Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Determinants of frailty: the added value of assessing medication

This study aims to analyze which determinants predict frailty in general and each frailty domain (physical, psychological, and social), considering the integral conceptual model of frailty, and particularly to examine the contribution of medication in this prediction. A cross-sectional study was designed using a non-probabilistic sample of 252 community-dwelling elderly from three Portuguese cities. Frailty and determinants of frailty were assessed with the Tilburg Frailty Indicator. The amount and type of different daily-consumed medication were also examined. Hierarchical regression analysis were conducted. The mean age of the participants was 79.2 years (±7.3), and most of them were women (75.8%), widowed (55.6%) and with a low educational level (0–4 years: 63.9%). In this study, determinants explained 46% of the variance of total frailty, and 39.8, 25.3, and 27.7% of physical, psychological, and social frailty respectively. Age, gender, income, death of a loved one in the past year, lifestyle, satisfaction with living environment and self-reported comorbidity predicted total frailty, while each frailty domain was associated with a different set of determinants. The number of daily-consumed drugs was independently associated with physical frailty, and the consumption of medication for the cardiovascular system and for the blood and blood-forming organs explained part of the variance of total and physical frailty. The adverse effects of polymedication and its direct link with the level of comorbidities could explain the independent contribution of the amount of prescribed drugs to frailty prediction. On the other hand, findings in regard to medication type provide further evidence of the association of frailty with cardiovascular risk. In the present study, a significant part of frailty was predicted, and the different contributions of each determinant to frailty domains highlight the relevance of the integral model of frailty. The added value of a simple assessment of medication was considerable, and it should be taken into account for effective identification of frailty.

Value relevance of financial assets

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Corporate social responsible behaviour in the financial industry

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Valorization of pumpkin residue by supercritical extraction of added-value compounds

Dissertação para a obtenção do Grau de Mestre em Engenharia Química e Bioquímica

Evaluating the potential of yeast strains to produce added value products for the food and/or pharmaceutical industries

This study focus in the valorization of the apple pomace with the main goal of obtaining added value products. For that, hot compressed water technology was used for the extraction of phenolic compounds and hydrolysis of polysaccharides presents in the lignocellulosic structure of apple pomace to obtain simple sugars. The sugars have been utilized as alternative carbon source for growth, lipid accumulation and carotenoids production by five different yeast Yarrowia lipolytica, Rhodotorula mucilaginosa, Rhodotorula glutinis, Rhodosporidium babjevae and Rhodosporidium toruloides. Hydrolysis experiments were carried out with constant pressure of 100 bar, flow rate of 2mL/min and temperatures between 50°C and 250°C. The amount of total sugars present in apple pomace hydrolysates showed maximum values for the hydrolysis temperatures of 110°C and 190°C. In fact, these temperatures revealed the best results regarding the monosaccharides quantities. The amount of 5-HMF and furfural in each hydrolysate varied through the different temperatures. Maximum values for 5-HMF were obtained with 170°C, while furfural showed to be maximum at 210°C. Extraction of phenolic compounds were performed in simultaneously with hydrolysis reactions. Total phenolic compounds (TPC) increased along the temperature, however with small variations between 170°C and 250°C. Hydrolysates were then used as alternative carbon source to yeast growth. R. mucilaginosa shows the highest optical density, with the hydrolysate obtained at 130°C. Carotenoids produced by these yeast scored a total of 7.02μg carotenoids/g cell dry weight, while for the control assay, the same yeast scored 9.31μg caratonoides/g cell dry weight. β-carotene was quantified by HPLC, were 33% of the carotenoid production by R. mucilaginosa with hydrolysate as carbon source, corresponded to β-caroteno.

The added value from adopting a CGE approach to analyse changes in environmental trade balances

The application of multi-region environmental input-output (IO) analysis to the problem of accounting for emissions generation (and/or resource use) under different accounting principles has become increasingly common in the ecological and environmental economics literature in particular, with applications at the international and interregional subnational level. However, while environmental IO analysis is invaluable in accounting for pollution flows in the single time period that the accounts relate to, it is limited when the focus is on modelling the impacts of any marginal change in activity. This is because a conventional demand-driven IO model assumes an entirely passive supply-side in the economy (i.e. all supply is infinitely elastic) and is further restricted by the assumption of universal Leontief (fixed proportions) technology implied by the use of the A and multiplier matrices. Where analysis of marginal changes in activity is required, extension from an IO accounting framework to a more flexible interregional computable general equilibrium (CGE) approach, where behavioural relationships can be modelled in a more realistic and theory-consistent manner, is appropriate. Our argument is illustrated by comparing the results of introducing a positive demand stimulus in the UK economy using IO and CGE interregional models of Scotland and the rest of the UK. In the case of the latter, we demonstrate how more theory consistent modelling of both demand and supply side behaviour at the regional and national levels effect model results, including the impact on the interregional CO2 ‘trade balance’.

The added value from a general equilibrium analyses of increased efficiency in household energy use

The aim of the paper is to identify the added value from using general equilibrium techniques to consider the economy-wide impacts of increased efficiency in household energy use. We take as an illustrative case study the effect of a 5% improvement in household energy efficiency on the UK economy. This impact is measured through simulations that use models that have increasing degrees of endogeneity but are calibrated on a common data set. That is to say, we calculate rebound effects for models that progress from the most basic partial equilibrium approach to a fully specified general equilibrium treatment. The size of the rebound effect on total energy use depends upon: the elasticity of substitution of energy in household consumption; the energy intensity of the different elements of household consumption demand; and the impact of changes in income, economic activity and relative prices. A general equilibrium model is required to capture these final three impacts.

Valeur ajoutée de la supervision du médecin-assistant par un médecin de famille dans une permanence [Added value of family practitioners' supervision of junior doctors in a walk-in clinic].

The pending workforce crisis in family medicine has triggered various initiatives. This article describes the PMU-FLON walk-in clinic, a project of the Institute of General Medicine University of Lausanne. The working conditions in this clinic are close to that of a family practice. Doctors in training are supervised by family doctors who work part-time in the clinic. The objective is to improve training in the various fields of family medicine, from technical skills (improving optimal use of diagnostic tools), to integrating patients' requests in a more global patient-centered approach. This new educational model allows doctors in training to benefit from the specific approaches of different trainers. It will contribute to promoting quality family medicine in the future.

Added Value of Deep Sequencing Relative to Population Sequencing in Heavily Pre-Treated HIV-1-Infected Subjects.

OBJECTIVE: To explore the potential of deep HIV-1 sequencing for adding clinically relevant information relative to viral population sequencing in heavily pre-treated HIV-1-infected subjects. METHODS: In a proof-of-concept study, deep sequencing was compared to population sequencing in HIV-1-infected individuals with previous triple-class virological failure who also developed virologic failure to deep salvage therapy including, at least, darunavir, tipranavir, etravirine or raltegravir. Viral susceptibility was inferred before salvage therapy initiation and at virological failure using deep and population sequencing genotypes interpreted with the HIVdb, Rega and ANRS algorithms. The threshold level for mutant detection with deep sequencing was 1%. RESULTS: 7 subjects with previous exposure to a median of 15 antiretrovirals during a median of 13 years were included. Deep salvage therapy included darunavir, tipranavir, etravirine or raltegravir in 4, 2, 2 and 5 subjects, respectively. Self-reported treatment adherence was adequate in 4 and partial in 2; one individual underwent treatment interruption during follow-up. Deep sequencing detected all mutations found by population sequencing and identified additional resistance mutations in all but one individual, predominantly after virological failure to deep salvage therapy. Additional genotypic information led to consistent decreases in predicted susceptibility to etravirine, efavirenz, nucleoside reverse transcriptase inhibitors and indinavir in 2, 1, 2 and 1 subject, respectively. Deep sequencing data did not consistently modify the susceptibility predictions achieved with population sequencing for darunavir, tipranavir or raltegravir. CONCLUSIONS: In this subset of heavily pre-treated individuals, deep sequencing improved the assessment of genotypic resistance to etravirine, but did not consistently provide additional information on darunavir, tipranavir or raltegravir susceptibility. These data may inform the design of future studies addressing the clinical value of minority drug-resistant variants in treatment-experienced subjects.

Added prognostic value of myocardial blood flow quantitation in rubidium-82 positron emission tomography imaging

Les maladies cardiovasculaires restent la cause de mortalité la plus élevée dans le monde occidental. Il s'agit d'un processus long et complexe, dont l'infarctus du myocarde et la mort cardiaque ne sont que la fin d'un spectrum. La perfusion myocardique joue un rôle central dans l'évolution de la maladie et survient chronologiquement en amont de la dysfonction diastolique et systolique, ainsi que de l'infarctus du myocarde. Une meilleure compréhension de la Physiopathologie sous-jacente est cruciale dans le diagnostique et la prise en charge du patient. Dans ce sens, ce travail tente d'évaluer l'apport de l'évaluation de la perfusion myocardique évaluée par la tomographic à émission de positron (PET/CT) quant à la prédiction d'événements cardiovasculaires. De plus, l'apport de l'évaluation quantitative par rapport à l'évaluation qualitative a été démontré dans ce travail. Nous avons utilisé un radiotraceur unique au regard de ses caractéristiques. En effet, Le Rubidium-82 est un traceur qui ne nécessite pas d'un cyclotron pour sa fabrication, dès lors qu'il est produit par un générateur, rendant ainsi sa disponibilité un atout et un avantage potentiel lors de futurs implémentations à plus grande échelle. Ce travail démontre la supériorité de l'analyse de perfusion myocardique quantitative par rapport à l'analyse traditionnelle qualitative, ce qui n'était pas encore confirmé avec le Rubidium-82. Les résultats montrent une démarcation significative entre les différentes valeurs de perfusion quantitative/absolue, permettant de distinguer différentes populations plus ou moins à risque en terme de prédiction d'événements cardiaques futurs. Il est intéressant de noter que dans un modèle combinant l'analyse qualitative et quantitative proposé dans ce travail, l'inclusion des résultats les plus ischémiques obtenus par l'analyse qualitative avec les résultats de perfusion les plus bas en terme de flux myocardique absolu (analyse quantitative) démarque une population à très bas risque d'événements cardiovasculaires majeurs, une prédiction pouvant être observée surplus de 1'000 jours. Ces résultats forment un ajout significatif quant à l'évaluation de la perfusion myocardique par la médecine nucléaire, notamment par ce model intégratif proposé, lequel permet une prédiction précise et contributive dans le cadre de futurs événements cardiovasculaires majeurs.

Hybrid PET/MRI in the assessment of cardiac viability: added value compared to PET/CT

Purpose: We evaluated the potential for hybrid PET/MRI devices to provide integrated metabolic, functional and anatomic characterisation of patients with suspected coronary artery disease.Methods and Materials: Ten patients (5 with suspected hibernating myocardium and 5 healthy volunteers) performed an imaging study using a hybrid PET/MRI (Philips). Viability assessed by 18F-FDG was performed in diseased patients along with MRI anatomic and functional study and reassessed within 30 minutes by conventional PET/CT. Non-contrast right coronary artery (RCA) targeted and whole heart 3D coronary angio-MRI using ECG-gating and respiratory navigator was performed in healthy volunteers with reconstruction performed using MPR and volume rendering. The extent of metabolic defect (MD) using PET/MRI and PET/CT was compared in patients and coronary territories (LAD, CX, RCA). Assessability of coronary lumen was judged as good, sub-optimal or non-assessable using a 16-segments coronary model.Results: Metabolic assessment was successful in all patients with MD being 19.2% vs 18.3% using PET/MRI and PET/CT, respectively (P=ns). The MD was 10.2%, 6 %, and 3 % vs 9.3%, 6 % and 3 % for LAD, CX and RCA territories, respectively (P= ns). Coronary angio-MRI was successful in all volunteers with 66 coronary segments visualised overall. The RCA was fully visualised in 4/5 volunteers and the left coronary arteries in 4/5 volunteers. Assessability in visualised segments was good, sub-optimal and non-assessable in 88 %, 2 % and 10 %, respectively.Conclusion: Hybrid PET/MRI devices may enable metabolic evaluation comparable to PET/CT with additional value owing to accurate functional and anatomical information including coronary assessment.