L'efficience du marche des changes et l'application d'un modele arch.

Rapport de recherche

Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

An arch in the UK

Arches, streamers, polar lights, merry dancers… just a few of many names used to describe the aurora borealis in historical documents in the UK. We have compiled a new catalogue of 20591 independent reports of auroral sightings from the British Isles and Ireland for 1700–1975 using observatory yearbooks, the diaries of amateur observers, newspaper reports and the scientific literature. Our aim is to provide an independent data series that can aid understanding of longterm solar variability, alongside cosmogenic isotope data and historic records of geomagnetic activity and sunspots.

A retrospective study of zygomatico-orbital complex and/or zygomatic arch fractures over a 71-month period

Background/Aim: The aim of this retrospective study was to evaluate the epidemiology, treatment, and complications of zygomatico-orbital complex (ZOC) and/or zygomatic arch (ZA) fractures either associated with other facial fractures or not over a 71-month period. Material and methods: This survey was performed in three hospitals of Ribeirao Preto in Sao Paulo, Brazil, from August 2002 to July 2008. The records of 1575 patients with facial trauma were reviewed. There were 140 cases of ZOC and ZA fractures either associated with other facial fractures or not. Data regarding gender, age, race, addictions, day of trauma, etiology, signs and symptoms, oral hygiene condition, day of initial evaluation, hospital admission, day of surgery, surgery approach, pattern of fractures, treatment performed, post-operative antibiotic therapy, day of hospital discharge, and post-operative complications were collected. The data were subjected to descriptive statistical analyses. Results: The most frequent fractures affected Caucasian men and occurred during the fourth decade of life. The most frequent etiology was traffic accident, and symptoms and signs included pain and edema. Type I fractures were the main injury observed, and the treatment of choice was always rigid internal fixation. Post-operative antibiotic therapy was solely employed when there was an indication. Complications were observed in 13.1% of the cases. Conclusions: The treatment protocol yielded suitable post-operative results and also showed success rates comparable to published data around the world.

Treatment of Zygomatic Arch Fracture With Lag Screws

Zygomatic arch fractures often occur as part of a zygoma fracture or Le Fort type III fractures of the maxillary. Isolated fractures of the zygomatic arch comprise around 10% of all zygoma fractures. The main etiologic factors are traffic accidents, falls, assaults, and sport accidents. Treatment may involve minimally invasive surgical procedures for slightly dislocated fractures or surgery with more extensive access for large dislocations of bone segments. This article reports the case of a 41-year-old male victim of physical aggression to the face with a steel sickle with an exposed, unstable fracture of the zygomatic arch. The patient underwent general anesthesia, and after the reduction of the fractures, the bone segments were fixed with 2.0-mm screws.

Frontonasal Dysgenesis, First Branchial Arch Anomalies, and Pericallosal Lipoma: A New Subtype of Frontonasal Dysgenesis

We report on two unrelated Brazilian boys with craniofacial anomalies that involve the frontonasal process and the first branchial arch associated with pericallosal lipoma. To our knowledge this condition seems to have been reported only once previously, but may represent a new condition within the group of the frontonasal dysgenesis. Clinical and imaging data, phenotypic evolution, and differential diagnosis are discussed. (C) 2010 Wiley-Liss, Inc.

A New Yardstick for Rating Dental Arch Relationship in Patients With Complete Bilateral Cleft Lip and Palate

Objective: To develop yardsticks for assessment of dental arch relationship in young individuals with repaired complete bilateral cleft lip and palate appropriate to different stages of dental development. Participants: Eleven cleft team orthodontists from five countries worked on the projects for 4 days. A total of 776 sets of standardized plaster models from 411 patients with operated complete bilateral cleft lip and palate were available for the exercise. Statistics: The interexaminer reliability was calculated using weighted kappa statistics. Results: The interrater weighted kappa scores were between .74 and .92, which is in the ""good"" to ""very good"" categories. Conclusions: Three bilateral cleft lip and palate yardsticks for different developmental stages of the dentition were made: one for the deciduous dentition (6-year-olds` yardstick), one for early mixed dentition (9-year-olds` yardstick), and one for early permanent dentition (12-year-olds` yardstick).

A Longitudinal Three-Center Study of Dental Arch Relationship in Patients With Bilateral Cleft Lip and Palate

Objective: To compare and evaluate longitudinally the dental arch relationships from 4.5 to 13.5 years of age with the Bauru-BCLP Yardstick in a large sample of patients with bilateral cleft lip and palate (BCLP). Design: Retrospective longitudinal intercenter outcome study. Patients: Dental casts of 204 consecutive patients with complete BCLP were evaluated at 6, 9, and 12 years of age. All models were identified only by random identification numbers. Setting: Three cleft palate centers with different treatment protocols. Main Outcome Measures: Dental arch relationships were categorized with the Bauru-BCLP yardstick. Increments for each interval (from 6 to 9 years, 6 to 12 years, and 9 to 12 years) were analyzed by logistic and linear regression models. Results: There were no significant differences in outcome measures between the centers at age 12 or at age 9. At age 6, center B showed significantly better results (p = .027), but this difference diminished as the yardstick score for this group increased over time (linear regression analysis), the difference with the reference category (center C, boys) for the intervals 6 to 12 and 9 to 12 years being 10.4% (p = .041) and 12.9% (p = .009), respectively. Conclusions: Despite different treatment protocols, dental arch relationships in the three centers were comparable in final scores at age 9 and 12 years. Delaying hard palate closure and employing infant orthopedics did not appear to be advantageous in the long run. Premaxillary osteotomy employed in center B appeared to be associated with less favorable development of the dental arch relationship between 9 and 12 years.

Avaliação de opções: o caso brasileiro: utilização de modelos Arch na estimação dos parâmetros

o trabalho se refere à avaliação de opções através do modelo conhecido pelo nome de seus autores, Black-Scholes. É descrito o desenvolvimento da teoria de opções, desde os primórdios da existência de mercados organizados deste derivativo, no século XVII, até os mais importantes trabalhos dos primeiros anos da década de 1990. É destacado o papel fundamental da estimação correta dos parâmetros a serem inseridos no modelo de avaliação. Após esta revisão, um teste do modelo Black-Scholes é realizado no mercado de opções sobre ouro da BM&F, utilizando-se mecanismos tradicionais de estimação dos parâmetros e apurando-se a diferença existente entre o valor dado pelo modelo de avaliação e o observado no mercado. Novos mecanismos de apuração dos parâmetros fundamentais, volatilidade e taxa de juros, são propostos, baseados no comportamento das séries históricas a eles referentes. A análise deste comportamento mostra a adequação destas séries à uma classe de modelos econométricos conhecidos como ARCH - Autorregressive Conditiona! Heterocedasticity Mode! . Três novos testes do modelo Black-Scholes no mercado de opções são realizados: o primeiro usando a volatilidade estimada através de um modelo ARCH(1) e a taxa de juros estimada de forma tradicional, o segundo usando a taxa de juros estimada através de um modelo ARCH-M(1) e a volatilidade estimada de forma tradicional e, finalmente, o terceiro, usando a volatilidade estimada através de um modelo ARCH(1) e a taxa de juros estimada através de um modelo ARCH-M(1). As diferenças, nos três casos, entre os valores dados pelo modelo Black-Scholes e os observados no mercado, foram computadas. Os resultados indicaram que o uso da volatilidade estimada através do modelo ARCH(1) melhora a performance do modelo Black-Scholes, perfomance esta medida pelo erro quadrático médio entre os valores dados pelo modelo e os observados no mercado. O mesmo não ocorreu com a utilização da taxa de juros estimada pelo modelo ARCH-M(1), apesar da compatibilidade teórica apresentada entre a série temporal destas taxas e o modelo. O autor acredita que este resultado seja devido à problemas encontrados na estimação dos parâmetros deste modelo ARCH-M(1). Também a inserção conjunta dos dois parâmetros estimados através dos modelos da classe ARCH não foi frutífera, ainda em função dos problemas de estimação dos modelos referentes à taxa de juros. As conclusões básicas do trabalho indicam que as série temporais em estudo são modeláveis e que os modelos da classe ARCH se apresentam como promissores para este fim, ao menos no que tange à volatilidade.

Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1)

Double aortic arch in a dog (Canis familiaris): a case report

We herein report a case of a double aortic arch in a 10-week-old male dog of no defined race, which presented episodes of regurgitation at the time of weaning. This vascular malformation was Characterized by the persistence of two aortic arches, right and left, of varying dimensions. The right aortic arch was observed to be larger. During post mortem examination the vessels of the animal were injected with coloured latex bi-centrifuged CIS 1-4 polisopreno which revealed the patency of the two aortic arches. Concomitantly, dilation of the cranial oesophagus causing constriction was observed, indicating megaesophagus, Apart from the constriction, the oesophagus presented normal morphometric parameters in relation to its dimensions.