Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Volatility transmission between stock and exchange-rate markets: A connectedness analysis

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yilmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.

Credit spreads and monetary policy in a small open economy: an analysis of the colombian economy

This paper estimates Bejarano and Charry (2014)’s small open economy with financial frictions model for the Colombian economy using Bayesian estimation techniques. Additionally, I compute the welfare gains of implementing an optimal response to credit spreads into an augmented Taylor rule. The main result is that a reaction to credit spreads does not imply significant welfare gains unless the economic disturbances increases its volatility, like the disruption implied by a financial crisis. Otherwise its impact over the macroeconomic variables is null.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.

The EU ban on uncovered sovereign credit default swaps: assessing impacts on liquidity, volatility and price discovery

This article addresses the effects of the prohibition against naked CDS buying implemented by the European Union in November 2012. Three aspects of market quality are analyzed: liquidity, volatility, and price informativeness. Overall, our results suggest that the ban produced negative effects on liquidity and price informativeness. First, we find that in territories within the scope of the EU regulation, the bid–ask spreads on sovereign CDS contracts rose after the ban, but fell for countries outside its bounds. Open interest declined for both groups of CDS reference entities in our sample, but significantly more in the constraint group. Price delay increased more prominently for countries affected by the ban, whereas price precision decreased for these countries while increasing for CDSs written on other sovereign reference entities. Most notably, our findings indicate that hese negative effects were more pronounced amid reference entities exhibiting lower credit risk. With respect to volatility, the evidence suggests that the ban was successful in stabilizing the CDS market in that volatility decreased, particularly for contracts written on riskier CDS entities.

Aplicações de cromatografia líquida de alta eficiência para o estudo de poluentes orgânicos emergentes

Emerging organic pollutants (EOP) include many environmental contaminants based on commercial products such as pharmaceuticals, personal care products, detergents, gasoline, polymers, etc. EOP may be candidates for future regulation as they offer potential risk to environmental and human health due to their continual entrance into the environment and to the fact that even the most modern wastewater treatment plants are not able to totally transform / remove these compounds. High performance liquid chromatography is recommended to separate emerging organic pollutants with characteristics of high polarity and low volatility, especially pharmaceuticals, from environmental matrices.

Atividade fisica no padrão epidemiologico de transição : investigação de lesões sensitivo-motoras na hanseniase a partir de estudo transversal hibrido no Instituto Lauro de Souza Lima, Bauru

Universidade Estadual de Campinas . Faculdade de Educação Física

Modelos de volatilidade estocástica em séries financeiras: uma aplicação para o IBOVESPA

Neste artigo apresentamos uma análise Bayesiana para o modelo de volatilidade estocástica (SV) e uma forma generalizada deste, cujo objetivo é estimar a volatilidade de séries temporais financeiras. Considerando alguns casos especiais dos modelos SV usamos algoritmos de Monte Carlo em Cadeias de Markov e o software WinBugs para obter sumários a posteriori para as diferentes formas de modelos SV. Introduzimos algumas técnicas Bayesianas de discriminação para a escolha do melhor modelo a ser usado para estimar as volatilidades e fazer previsões de séries financeiras. Um exemplo empírico de aplicação da metodologia é introduzido com a série financeira do IBOVESPA.

Sublimação e pulsão de morte: a desfusão pulsional

Com o advento do segundo dualismo pulsional freudiano, surge uma série de mudanças no entendimento da sublimação. Essa passa a se apresentar como a causa por excelência da desfusão das pulsões, o que nos leva a um paradoxo: ao mesmo tempo em que a sublimação é a base da cultura, ela é também causa da destrutividade no seio dessa mesma cultura. A pulsão de morte resultante da desfusão das pulsões, por sua vez, teria consequências tanto em cada indivíduo quanto na cultura como um todo, tal como o que se observa em relação ao primado da imagem na sociedade contemporânea. Este artigo busca discutir alguns dos efeitos da pulsão de morte desfusionada, entendida como resultado da sublimação, principalmente no que tange à sublimação implicada na criação literária.

Pitfalls of artificial grouping and stratification of scientific journals based on their Impact Factor: a case study in Brazilian Zoology

The present contribution explores the impact of the QUALIS metric system for academic evaluation implemented by CAPES (Coordination for the Development of Personnel in Higher Education) upon Brazilian Zoological research. The QUALIS system is based on the grouping and ranking of scientific journals according to their Impact Factor (IF). We examined two main points implied by this system, namely: 1) its reliability as a guideline for authors; 2) if Zoology possesses the same publication profile as Botany and Oceanography, three fields of knowledge grouped by CAPES under the subarea "BOZ" for purposes of evaluation. Additionally, we tested CAPES' recent suggestion that the area of Ecology would represent a fourth field of research compatible with the former three. Our results indicate that this system of classification is inappropriate as a guideline for publication improvement, with approximately one third of the journals changing their strata between years. We also demonstrate that the citation profile of Zoology is distinct from those of Botany and Oceanography. Finally, we show that Ecology shows an IF that is significantly different from those of Botany, Oceanography, and Zoology, and that grouping these fields together would be particularly detrimental to Zoology. We conclude that the use of only one parameter of analysis for the stratification of journals, i.e., the Impact Factor calculated for a comparatively small number of journals, fails to evaluate with accuracy the pattern of publication present in Zoology, Botany, and Oceanography. While such simplified procedure might appeals to our sense of objectivity, it dismisses any real attempt to evaluate with clarity the merit embedded in at least three very distinct aspects of scientific practice, namely: productivity, quality, and specificity.

Description and phylogenetic analysis of the Calycopidina (Lepidoptera, Lycaenidae, Theclinae, Eumaeini): a subtribe of detritivores

Description and phylogenetic analysis of the Calycopidina (Lepidoptera, Lycaenidae, Theclinae, Eumaeini): a subtribe of detritivores. The purpose of this paper is to establish a phylogenetic basis for a new Eumaeini subtribe that includes those lycaenid genera in which detritivory has been recorded. Morphological characters were coded for 82 species of the previously proposed "Lamprospilus Section" of the Eumaeini (19 of these had coding identical to another species), and a phylogenetic analysis was performed using the 63 distinct ingroup terminal taxa and six outgroups belonging to four genera. Taxonomic results include the description in the Eumaeini of Calycopidina Duarte & Robbins new subtribe (type genus Calycopis Scudder, 1876), which contains Lamprospilus Geyer, Badecla Duarte & Robbins new genus (type species Thecla badaca Hewitson), Arzecla Duarte & Robbins new genus (type species Thecla arza Hewitson), Arumecla Robbins & Duarte, Camissecla Robbins & Duarte, Electrostrymon Clench, Rubroserrata K. Johnson & Kroenlein revalidated status, Ziegleria K. Johnson, Kisutam K. Johnson & Kroenlein revalidated status, and Calycopis. Previous "infratribe" names Angulopina K. Johnson & Kroenlein, 1993, and Calycopina K. Johnson & Kroenlein, 1993, are nomenclaturally unavailable and polyphyletic as proposed. New combinations include Badecla badaca (Hewitson), Badecla picentia (Hewitson), Badecla quadramacula (Austin & K. Johnson), Badecla lanckena (Schaus), Badecla argentinensis (K. Johnson & Kroenlein), Badecla clarissa (Draudt), Arzecla arza (Hewitson), Arzecla tarpa (Godman & Salvin), Arzecla canacha (Hewitson), Arzecla calatia (Hewitson), Arzecla tucumanensis (K. Johnson & Kroenlein), Arzecla sethon (Godman & Salvin), Arzecla nubilum (H. H. Druce), Arzecla paralus (Godman & Salvin), Arzecla taminella (Schaus), Arzecla albolineata (Lathy), Electrostrymon denarius (Butler & H.Druce), Electrostrymon guzanta (Schaus), Electrostrymon perisus (H. H. Druce), Rubroserrata mathewi (Hewitson), Rubroserrata ecbatana (Hewitson), Kisutam micandriana (K. Johnson), and Kisutam syllis (Godman & Salvin). The structure of the male genitalia lateral window, labides, and brush organs are described and discussed, as are the female genitalia signa of the corpus bursae and 8th abdominal tergum. Widespread wing pattern sexual dimorphism in the Calycopidina is noted and illustrated, and the presence of alternating dark and light bands on the ventral wings of both sexes is discussed. The evidence for detritivory in Lamprospilus, Badecla, Arzecla, Arumecla, Camissecla, Electrostrymon, Ziegleria, Kisutam, and Calycopis is summarized using the new classification.

Aerobic capacity and skeletal muscle function in children with asthma

Background Peripheral muscle strength and endurance are decreased in patients with chronic pulmonary diseases and seem to contribute to patients' exercise intolerance. However, the authors are not aware of any studies evaluating peripheral muscle function in children with asthma. It seems to be implied that children with asthma have lower aerobic fitness, but there are limited studies comparing the aerobic capacity of children with and without asthma. The present study aimed to evaluate muscle strength and endurance in children with persistent asthma and their association with aerobic capacity and inhaled corticosteroid consumption. Methods Forty children with mild persistent asthma (MPA) or severe persistent asthma (SPA) (N=20 each) and 20 children without asthma (control group) were evaluated. Upper (pectoralis and latissimus dorsi) and lower (quadriceps) muscle strength and endurance were assessed, and cardiopulmonary exercise testing was performed. Inhaled corticosteroid consumption during the last 6 and 24 months was also quantified. Results Children with SPA presented a reduction in peak oxygen consumption (VO(2)) (28.2 +/- 8.1 vs 34.7 +/- 6.9 ml/kg/min; p<0.01) and quadriceps endurance (43.1 +/- 6.7 vs 80.9 +/- 11.9 repetitions; p<0.05) compared with the control group, but not the MPA group (31.5 +/- 6.1 ml/kg/min and 56.7 +/- 47.7 repetitions respectively; p>0.05). Maximal upper and lower muscle strength was preserved in children with both mild and severe asthma (p>0.05). Finally, the authors observed that lower muscle endurance weakness was not associated with reductions in either peak VO(2) (r=0.22, p>0.05) or corticosteroid consumption (r=-0.31, p>0.05) in children with asthma. Conclusion The findings suggest that cardiopulmonary exercise and lower limb muscle endurance should be a priority during physical training programs for children with severe asthma.

Evaluation of Protective Effect of a Water-In-Oil Microemulsion Incorporating Quercetin Against UVB-Induced Damage in Hairless Mice Skin

Purpose. Histological aspects were considered in order to evaluate the in vivo photoprotective effect of a w/o microemulsion containing quercetin against UVB irradiation-induced dermal damages. The toxicity in cell culture and the potential skin irritation resulting from topical application of this formulation were investigated. Methods. Mouse dorsal surfaces were treated topically with 300 mg of the unloaded and quercetin-loaded (0.3%, w/w) microemulsions before and after exposure to UVB (2.87 J/cm(2)) irradiation. The untreated control groups irradiated and non-irradiated were also evaluated. UVB-induced histopathological changes as well as the photoprotective effect of this formulation were evaluated considering the parameters of infiltration of inflammatory cells, epidermis thickening (basale and spinosum layers) and collagen and elastic fiber contents. The cytotoxicity of the reported formulation was evaluated in L929 mice fibroblasts by MTT assay and the skin irritation was investigated after topical application of both unloaded and quercetin-loaded microemulsions once a day for 15 days. Results. The results demonstrated that the w/o microemulsion containing quercetin reduced the incidence of histological skin alterations, mainly the connective-tissue damage, induced by exposure to UVB irradiation. This suggests that protective effects of this formulation against UV-induced responses are not secondary to the interference of UV transmission (i.e., blocking the UVB radiation from being absorbed by the skin), as is usually implied with UVB absorbers and sunscreens, but is instead due to different biological effects of this flavonoid. Furthermore, by evaluating the cytotoxic effect on L929 cells and histological aspects such as infiltration of inflammatory cells and epidermis thickness of hairless mice, the present study also demonstrated the lack of toxicity of the proposed system. Conclusion. Based on these mice models, a detailed characterization of the w/o microemulsion incorporating quercetin effects as a photochemoprotective agent on human skin is presented.

An overview of the Amazonian Aerosol Characterization Experiment 2008 (AMAZE-08)

The Amazon Basin provides an excellent environment for studying the sources, transformations, and properties of natural aerosol particles and the resulting links between biological processes and climate. With this framework in mind, the Amazonian Aerosol Characterization Experiment (AMAZE-08), carried out from 7 February to 14 March 2008 during the wet season in the central Amazon Basin, sought to understand the formation, transformations, and cloud-forming properties of fine-and coarse-mode biogenic aerosol particles, especially as related to their effects on cloud activation and regional climate. Special foci included (1) the production mechanisms of secondary organic components at a pristine continental site, including the factors regulating their temporal variability, and (2) predicting and understanding the cloud-forming properties of biogenic particles at such a site. In this overview paper, the field site and the instrumentation employed during the campaign are introduced. Observations and findings are reported, including the large-scale context for the campaign, especially as provided by satellite observations. New findings presented include: (i) a particle number-diameter distribution from 10 nm to 10 mu m that is representative of the pristine tropical rain forest and recommended for model use; (ii) the absence of substantial quantities of primary biological particles in the submicron mode as evidenced by mass spectral characterization; (iii) the large-scale production of secondary organic material; (iv) insights into the chemical and physical properties of the particles as revealed by thermodenuder-induced changes in the particle number-diameter distributions and mass spectra; and (v) comparisons of ground-based predictions and satellite-based observations of hydrometeor phase in clouds. A main finding of AMAZE-08 is the dominance of secondary organic material as particle components. The results presented here provide mechanistic insight and quantitative parameters that can serve to increase the accuracy of models of the formation, transformations, and cloud-forming properties of biogenic natural aerosol particles, especially as related to their effects on cloud activation and regional climate.

Azimuthal Anisotropy of pi(0) Production in Au plus Au Collisions at root s(NN)=200 GeV: Path-Length Dependence of Jet Quenching and the Role of Initial Geometry

We have measured the azimuthal anisotropy of pi(0) production for 1 < p(T) < 18 GeV/c for Au + Au collisions at root s(NN) = 200 GeV. The observed anisotropy shows a gradual decrease for 3 less than or similar to p(T) less than or similar to 7-10 GeV/c, but remains positive beyond 10 GeV/c. The magnitude of this anisotropy is underpredicted, up to at least similar to 10 GeV/c, by current perturbative QCD (PQCD) energy-loss model calculations. An estimate of the increase in anisotropy expected from initial-geometry modification due to gluon saturation effects and fluctuations is insufficient to account for this discrepancy. Calculations that implement a path-length dependence steeper than what is implied by current PQCD energy-loss models show reasonable agreement with the data.