L'art de péter , essai théori-physique et méthodique, à l'usage des personnes constipées... Suivi de l'Histoire de Pet-en-l'Air & de la reine des Amazones... Nouvelle édition. Augmentée de la Société des francs-péteurs...

Comprend : Histoire du prince Pet-en-l'Air et de la reine des Amazones ; La Société des francs-péteurs

Covariance Matrix Estimation and Mean-Variance Optimization in application to International Diversification

Tutkimus keskittyy kansainväliseen hajauttamiseen suomalaisen sijoittajan näkökulmasta. Tutkimuksen toinen tavoite on selvittää tehostavatko uudet kovarianssimatriisiestimaattorit minimivarianssiportfolion optimointiprosessia. Tavallisen otoskovarianssimatriisin lisäksi optimoinnissa käytetään kahta kutistusestimaattoria ja joustavaa monimuuttuja-GARCH(1,1)-mallia. Tutkimusaineisto koostuu Dow Jonesin toimialaindekseistä ja OMX-H:n portfolioindeksistä. Kansainvälinen hajautusstrategia on toteutettu käyttäen toimialalähestymistapaa ja portfoliota optimoidaan käyttäen kahtatoista komponenttia. Tutkimusaieisto kattaa vuodet 1996-2005 eli 120 kuukausittaista havaintoa. Muodostettujen portfolioiden suorituskykyä mitataan Sharpen indeksillä. Tutkimustulosten mukaan kansainvälisesti hajautettujen investointien ja kotimaisen portfolion riskikorjattujen tuottojen välillä ei ole tilastollisesti merkitsevää eroa. Myöskään uusien kovarianssimatriisiestimaattoreiden käytöstä ei synnytilastollisesti merkitsevää lisäarvoa verrattuna otoskovarianssimatrisiin perustuvaan portfolion optimointiin.

La cultura como agente de cambio en el desarrollo cultural comunitario

El trabajo comunitario tiene una larga tradición en España, aunque la denominación Desarrollo Cultural Comunitario (DCC) es mucho más reciente. En éste artículo, defendemos ésta designación; revisamos sus antecedentes, remontándonos a los años posteriores a la II Guerra Mundial y vemos cómo ha evolucionado hasta llegar a nuestros días. Nos detenemos en las políticas culturales, el concepto de ciudadanía y los modelos de sociedad de acogida; abordamos el reto de la participación, fundamental en los procesos de trabajo comunitario; tratamos el papel de la cultura y de la creatividad en los procesos de trabajo comunitario y vemos cuál ha sido la aportación de los artistas. Por último trazamos las líneas de lo que sería el marco metodológico de intervención en proyectos DCC y exponemos las fases de desarrollo de los proyectos: diagnóstico, desarrollar la toma de conciencia de la dimensión colectiva, concretar cooperativamente los objetivos de cada fase del proyecto, planificación de la intervención, desarrollo del proyecto, y por último la evaluación.

A signaling mechanism coupling netrin-1/deleted in colorectal cancer chemoattraction to SNARE-mediated exocytosis in axonal growth cones

Directed cell migration and axonal guidance are essential steps in neural development. Both processes are controlled by specific guidance cues that activate the signaling cascades that ultimately control cytoskeletal dynamics. Another essential step in migration and axonal guidance is the regulation of plasmalemma turnover and exocytosis in leading edges and growth cones. However, the cross talk mechanisms linking guidance receptors and membrane exocytosis are not understood. Netrin-1 is a chemoattractive cue required for the formation of commissural pathways. Here, we show that the Netrin-1 receptor deleted in colorectal cancer (DCC) forms a protein complex with the t-SNARE (target SNARE) protein Syntaxin-1 (Sytx1). This interaction is Netrin-1 dependent both in vitro and in vivo, and requires specific Sytx1 and DCC domains. Blockade of Sytx1 function by using botulinum toxins abolished Netrin-1-dependent chemoattraction of axons in mouse neuronal cultures. Similar loss-of-function experiments in the chicken spinal cord in vivo using dominant-negative Sytx1 constructs or RNAi led to defects in commissural axon pathfinding reminiscent to those described in Netrin-1 and DCC loss-of-function models. We also show that Netrin-1 elicits exocytosis at growth cones in a Sytx1-dependent manner. Moreover, we demonstrate that the Sytx1/DCC complex associates with the v-SNARE (vesicle SNARE) tetanus neurotoxin-insensitive vesicle-associated membrane protein (TI-VAMP) and that knockdown of TI-VAMP in the commissural pathway in the spinal cord results in aberrant axonal guidance phenotypes. Our data provide evidence of a new signaling mechanism that couples chemotropic Netrin-1/DCC axonal guidance and Sytx1/TI-VAMP SNARE proteins regulating membrane turnover and exocytosis.

A signaling mechanism coupling netrin-1/deleted in colorectal cancer chemoattraction to SNARE-mediated exocytosis in axonal growth cones

Directed cell migration and axonal guidance are essential steps in neural development. Both processes are controlled by specific guidance cues that activate the signaling cascades that ultimately control cytoskeletal dynamics. Another essential step in migration and axonal guidance is the regulation of plasmalemma turnover and exocytosis in leading edges and growth cones. However, the cross talk mechanisms linking guidance receptors and membrane exocytosis are not understood. Netrin-1 is a chemoattractive cue required for the formation of commissural pathways. Here, we show that the Netrin-1 receptor deleted in colorectal cancer (DCC) forms a protein complex with the t-SNARE (target SNARE) protein Syntaxin-1 (Sytx1). This interaction is Netrin-1 dependent both in vitro and in vivo, and requires specific Sytx1 and DCC domains. Blockade of Sytx1 function by using botulinum toxins abolished Netrin-1-dependent chemoattraction of axons in mouse neuronal cultures. Similar loss-of-function experiments in the chicken spinal cord in vivo using dominant-negative Sytx1 constructs or RNAi led to defects in commissural axon pathfinding reminiscent to those described in Netrin-1 and DCC loss-of-function models. We also show that Netrin-1 elicits exocytosis at growth cones in a Sytx1-dependent manner. Moreover, we demonstrate that the Sytx1/DCC complex associates with the v-SNARE (vesicle SNARE) tetanus neurotoxin-insensitive vesicle-associated membrane protein (TI-VAMP) and that knockdown of TI-VAMP in the commissural pathway in the spinal cord results in aberrant axonal guidance phenotypes. Our data provide evidence of a new signaling mechanism that couples chemotropic Netrin-1/DCC axonal guidance and Sytx1/TI-VAMP SNARE proteins regulating membrane turnover and exocytosis.

A signaling mechanism coupling netrin-1/deleted in colorectal cancer chemoattraction to SNARE-mediated exocytosis in axonal growth cones

Directed cell migration and axonal guidance are essential steps in neural development. Both processes are controlled by specific guidance cues that activate the signaling cascades that ultimately control cytoskeletal dynamics. Another essential step in migration and axonal guidance is the regulation of plasmalemma turnover and exocytosis in leading edges and growth cones. However, the cross talk mechanisms linking guidance receptors and membrane exocytosis are not understood. Netrin-1 is a chemoattractive cue required for the formation of commissural pathways. Here, we show that the Netrin-1 receptor deleted in colorectal cancer (DCC) forms a protein complex with the t-SNARE (target SNARE) protein Syntaxin-1 (Sytx1). This interaction is Netrin-1 dependent both in vitro and in vivo, and requires specific Sytx1 and DCC domains. Blockade of Sytx1 function by using botulinum toxins abolished Netrin-1-dependent chemoattraction of axons in mouse neuronal cultures. Similar loss-of-function experiments in the chicken spinal cord in vivo using dominant-negative Sytx1 constructs or RNAi led to defects in commissural axon pathfinding reminiscent to those described in Netrin-1 and DCC loss-of-function models. We also show that Netrin-1 elicits exocytosis at growth cones in a Sytx1-dependent manner. Moreover, we demonstrate that the Sytx1/DCC complex associates with the v-SNARE (vesicle SNARE) tetanus neurotoxin-insensitive vesicle-associated membrane protein (TI-VAMP) and that knockdown of TI-VAMP in the commissural pathway in the spinal cord results in aberrant axonal guidance phenotypes. Our data provide evidence of a new signaling mechanism that couples chemotropic Netrin-1/DCC axonal guidance and Sytx1/TI-VAMP SNARE proteins regulating membrane turnover and exocytosis.

Market linkages and volatility spillover: evidence from BRIC countries

The aim of this study is to investigate volatility spillover-effect and market integration between BRIC countries. Motivated by existing literature of market integration between developed and emerging markets, we will investigate market linkages using multivariate asymmetric GARCH BEKK model. The increasing globalization of the financial markets and consequent higher volatility transfer between markets makes it more important to understand market integration between BRIC countries. We investigate the stock market integration and volatility transfer between the BRIC countries form 1998 to 2007, using daily data. The empirical results show that there are international diversification benefits among Brazil, Russia, China and India. U.S. influence to these countries has been week, even though U.S. economy has been leading the global financial markets. From Finnish point of view, diversification benefits are robust but we find some correlation with Russia and China.

Analysis of outliers in electricity spot prices with exampleof New England and New Zealand markets

Electricity spot prices have always been a demanding data set for time series analysis, mostly because of the non-storability of electricity. This feature, making electric power unlike the other commodities, causes outstanding price spikes. Moreover, the last several years in financial world seem to show that ’spiky’ behaviour of time series is no longer an exception, but rather a regular phenomenon. The purpose of this paper is to seek patterns and relations within electricity price outliers and verify how they affect the overall statistics of the data. For the study techniques like classical Box-Jenkins approach, series DFT smoothing and GARCH models are used. The results obtained for two geographically different price series show that patterns in outliers’ occurrence are not straightforward. Additionally, there seems to be no rule that would predict the appearance of a spike from volatility, while the reverse effect is quite prominent. It is concluded that spikes cannot be predicted based only on the price series; probably some geographical and meteorological variables need to be included in modeling.

Time-varying Risk Premiums and Conditional Market Risk: Empirical Evidence from European Stock Markets

This study investigates the relationship between the time-varying risk premiums and conditional market risk in the stock markets of the ten member countries of Economy and Monetary Union. Second, it examines whether the conditional second moments change over time and are there asymmetric effects in the conditional covariance matrix. Third, it analyzes the possible effects of the chosen testing framework. Empirical analysis is conducted using asymmetric univariate and multivariate GARCH-in-mean models and assuming three different degrees of market integration. For a daily sample period from 1999 to 2007, the study shows that the time-varying market risk alone is not enough to explain the dynamics of risk premiums and indications are found that the market risk is detected only when its price is allowed to change over time. Also asymmetric effects in the conditional covariance matrix, which is found to be time-varying, are clearly present and should be recognized in empirical asset pricing analyses.

Essays on pricing of risk and international linkage of Russian stock market

Last two decades have seen a rapid change in the global economic and financial situation; the economic conditions in many small and large underdeveloped countries started to improve and they became recognized as emerging markets. This led to growth in the amounts of global investments in these countries, partly spurred by expectations of higher returns, favorable risk-return opportunities, and better diversification alternatives to global investors. This process, however, has not been without problems and it has emphasized the need for more information on these markets. In particular, the liberalization of financial markets around the world, globalization of trade and companies, recent formation of economic and regional blocks, and the rapid development of underdeveloped countries during the last two decades have brought a major challenge to the financial world and researchers alike. This doctoral dissertation studies one of the largest emerging markets, namely Russia. The motivation why the Russian equity market is worth investigating includes, among other factors, its sheer size, rapid and robust economic growth since the turn of the millennium, future prospect for international investors, and a number of important major financial reforms implemented since the early 1990s. Another interesting feature of the Russian economy, which gives motivation to study Russian market, is Russia’s 1998 financial crisis, considered as one of the worst crisis in recent times, affecting both developed and developing economies. Therefore, special attention has been paid to Russia’s 1998 financial crisis throughout this dissertation. This thesis covers the period from the birth of the modern Russian financial markets to the present day, Special attention is given to the international linkage and the 1998 financial crisis. This study first identifies the risks associated with Russian market and then deals with their pricing issues. Finally some insights about portfolio construction within Russian market are presented. The first research paper of this dissertation considers the linkage of the Russian equity market to the world equity market by examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner. Empirical results shows evidence of direct linkage between the Russian equity market and the world market both in regards of returns and volatility. However, the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market, even though the contagion can be clearly seen during the time of the crisis period. The second and the third paper, co-authored with Mika Vaihekoski, investigate whether global, local and currency risks are priced in the Russian stock market from a US investors’ point of view. Furthermore, the dynamics of these sources of risk are studied, i.e., whether the prices of the global and local risk factors are constant or time-varying over time. We utilize the multivariate GARCH-M framework of De Santis and Gérard (1998). Similar to them we find price of global market risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency components. The purpose of the fourth paper is to look at the relationship between the stock and the bond market of Russia. The objective is to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. The Constant Conditional Correlation model by Bollerslev (1990), the Dynamic Conditional Correlation model by Engle (2002), and an asymmetric version of the Dynamic Conditional Correlation model by Cappiello et al. (2006) are used in the analysis. The empirical results do not support the assumption of constant conditional correlation and there was clear evidence of time varying correlations between the Russian stocks and bond market and both asset markets exhibit positive asymmetries. The implications of the results in this dissertation are useful for both companies and international investors who are interested in investing in Russia. Our results give useful insights to those involved in minimising or managing financial risk exposures, such as, portfolio managers, international investors, risk analysts and financial researchers. When portfolio managers aim to optimize the risk-return relationship, the results indicate that at least in the case of Russia, one should account for the local market as well as currency risk when calculating the key inputs for the optimization. In addition, the pricing of exchange rate risk implies that exchange rate exposure is partly non-diversifiable and investors are compensated for bearing the risk. Likewise, international transmission of stock market volatility can profoundly influence corporate capital budgeting decisions, investors’ investment decisions, and other business cycle variables. Finally, the weak integration of the Russian market and low correlations between Russian stock and bond market offers good opportunities to the international investors to diversify their portfolios.

Expectativas y volatilidad condicionada: los tipos de interés en el mercado interbancario

En este trabajo examinamos si la teoría de expectativas con primas de liquidez constantes puede explicar la estructura temporal de los tipos de interés de pequeños vencimientos en el mercado interbancario de depósitos español, para datos mensuales desde 1977 hasta 1995. Utilizamos el contraste de Campbell y Shiller (1987) basado en un modelo VAR cointegrado. A partir de las estimaciones consistentes de dicho modelo obtenemos la magnitud y persistencia de los shocks a través de la simulación de la respuesta al impulso, y estimaciones eficientes de los parámetros modelizando la varianza condicional que es variable en el tiempo. En este sentido, se proponen varios esquemas de volatilidad que permiten plantear distintas aproximaciones de laincertidumbre en un entorno multiecuacional GARCH y que están basadas en el modelo de expectativas propuesto. La evidencia empírica muestra que se incumple la teoría de las expectativas, que existe una dinámica conjunta a corto plazo para los tipos de interés y el diferencial que está definida por un modelo VAR(4)-GARCH( 1,1)-BEKK (que está próximo a la integrabilidad en varianza), y que existen distintos factores de riesgo que afectan a las primas en los plazos estudiados

Evaluation of the influence of base and alkyl bromide on synthesis of pyrazinoic acid esters through fatorial design

Pyrazinoic acid esters have been synthesized as prodrugs of pyrazinoic acid. In the literature, its preparation is reported through the reaction of pyrazinoyl chloride with alcohols and the reaction with DCC/DMAP. In this work, it is reported a 2² factorial design to evaluate the preparation of these esters through the substitution of alkyl bromides with carboxylate anion. The controlled factors were alkyl chain length of bromides (ethyl and hexyl) and the used base (triethylamine and DBU). Results revealed that the used base used has significant effect on yield, and alkyl bromide used has neither significant influence, nor its interaction effect with base.

Regime Switching Models for Electricity Time Series that Capture Fat Tailed Distributions

In the power market, electricity prices play an important role at the economic level. The behavior of a price trend usually known as a structural break may change over time in terms of its mean value, its volatility, or it may change for a period of time before reverting back to its original behavior or switching to another style of behavior, and the latter is typically termed a regime shift or regime switch. Our task in this thesis is to develop an electricity price time series model that captures fat tailed distributions which can explain this behavior and analyze it for better understanding. For NordPool data used, the obtained Markov Regime-Switching model operates on two regimes: regular and non-regular. Three criteria have been considered price difference criterion, capacity/flow difference criterion and spikes in Finland criterion. The suitability of GARCH modeling to simulate multi-regime modeling is also studied.