Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)

Regular vine copulas are multivariate dependence models constructed from pair-copulas (bivariate copulas). In this paper, we allow the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially time-varying, following a nonlinear restricted ARMA(1,m) process, in order to obtain a very flexible dependence model for applications to multivariate financial return data. We investigate the dependence among the broad stock market indexes from Germany (DAX), France (CAC 40), Britain (FTSE 100), the United States (S&P 500) and Brazil (IBOVESPA) both in a crisis and in a non-crisis period. We find evidence of stronger dependence among the indexes in bear markets. Surprisingly, though, the dynamic D-vine copula indicates the occurrence of a sharp decrease in dependence between the indexes FTSE and CAC in the beginning of 2011, and also between CAC and DAX during mid-2011 and in the beginning of 2008, suggesting the absence of contagion in these cases. We also evaluate the dynamic D-vine copula with respect to Value-at-Risk (VaR) forecasting accuracy in crisis periods. The dynamic D-vine outperforms the static D-vine in terms of predictive accuracy for our real data sets.

A tour through part of the northern provinces of America : being a series of letters wrote on the spot, in the years 1774 & 1775 ; to which are annex'd, tables, shewing the roads, the value of coins, rates of stages, &c /

Preface signed : Carl Bridenbaugh.

The value of innovation:the interaction of competition, R&D and IP

This paper analyses market valuations of UK companies using a new data set of their R&D and IP activities (1989–2002). In contrast to previous studies, the analysis is conducted at the sectoral-level, where the sectors are based on the technological classification originating from Pavitt [Pavitt, K., 1984. Sectoral patterns of technical change. Research Policy 13, 343–373]. The first main result is that the valuation of R&D varies substantially across these sectors. Another important result is that, on average, firms that receive only UK patents tend to have no significant market premium. In direct contrast, patenting through the European Patent Office does raise market value, as does the registration of trade marks in the UK for most sectors. To explore these variations the paper links competitive conditions with the market valuation of innovation. Using profit persistence as a measure of competitive pressure, we find that the sectors that are the most competitive have the lowest market valuation of R&D. Furthermore, within the most competitive sector (‘science based’ manufacturing), firms with larger market shares (an inverse indicator of competitive pressure) also have higher R&D valuations, as well as some positive return to UK patents. We conclude that this evidence supports Schumpeter by finding higher returns to innovation in less than fully competitive markets and contradicts Arrow [Arrow, K., 1962. Economic welfare and the allocation of resources for invention. In: Nelson, R. (Ed.), The Rate and Direction of Inventive Activity. Princeton University Press, Princeton], who argued that, with the existence of IP rights, competitive market structure provides higher incentives to innovate.

Market value, R&D and intellectual property:an empirical analysis of large Australian firms

This paper considers the value of innovation to large Australian firms. Specifically, we investigate how R&D and intellectual property activity influences the market value of firms, using a Tobin’s q approach. R&D data are available for the period 1994–96 and data on patent, trade mark and design applications for 1996. The findings suggest that R&D and patent activity are positively and significantly associated with market value. The results also suggest that private returns to R&D in Australia are low by international standards.

Value Of Sentinel Lymph Node Biopsy In Papillary Thyroid Cancer: Initial Results Of A Prospective Trial.

The objectives of the study were to evaluate the performance of sentinel lymph node biopsy (SLNB) in detecting occult metastases in papillary thyroid carcinoma (PTC) and to correlate their presence to tumor and patient characteristics. Twenty-three clinically node-negative PTC patients (21 females, mean age 48.4 years) were prospectively enrolled. Patients were submitted to sentinel lymph node (SLN) lymphoscintigraphy prior to total thyroidectomy. Ultrasound-guided peritumoral injections of (99m)Tc-phytate (7.4 MBq) were performed. Cervical single-photon emission computed tomography and computed tomography (SPECT/CT) images were acquired 15 min after radiotracer injection and 2 h prior to surgery. Intra-operatively, SLNs were located with a gamma probe and removed along with non-SLNs located in the same neck compartment. Papillary thyroid carcinoma, SLNs and non-SLNs were submitted to histopathology analysis. Sentinel lymph nodes were located in levels: II in 34.7 % of patients; III in 26 %; IV in 30.4 %; V in 4.3 %; VI in 82.6 % and VII in 4.3 %. Metastases in the SLN were noted in seven patients (30.4 %), in non-SLN in three patients (13.1 %), and in the lateral compartments in 20 % of patients. There were significant associations between lymph node (LN) metastases and the presence of angio-lymphatic invasion (p = 0.04), extra-thyroid extension (p = 0.03) and tumor size (p = 0.003). No correlations were noted among LN metastases and patient age, gender, stimulated thyroglobulin levels, positive surgical margins, aggressive histology and multifocal lesions. Sentinel lymph node biopsy can detect occult metastases in PTC. The risk of a metastatic SLN was associated with extra-thyroid extension, larger tumors and angio-lymphatic invasion. This may help guide future neck dissection, patient surveillance and radioiodine therapy doses.

Taxonomic value of foliar characters in Dahlstedtia Malme: Leguminosae, Papilionoideae, Millettieae

Dahlstedtia Malme (Leguminosae) is a neotropical genus, native to the Brazilian Atlantic Forest, and comprises two species, D. pinnata (Benth.) Malme and D. pentaphylla (Taub.) Burk., although it has been considered a monotypic genus by some authors. Leaf anatomy was compared to verify the presence of anatomical characters to help delimit species. Foliar primordium, leaflet, petiolule, petiole and pulvinus were collected from cultivated plants (Campinas, SP, Brazil) and from natural populations (Picinguaba, Ubatuba and Caraguatatuba, SP, Brazil - D. pinnata; Antonina, PR, Brazil - D. pentaphylla). Studies on leaflet surface assessment (Scanning Electron Microscopy), as well as histology and venation analyses were carried out of dehydrated, fresh and fixed material from two species. Leaflet material was macerated for stomatal counts. Histological sections, obtained by free-hand cut or microtome, were stained with Toluidine Blue, Safranin/Alcian Blue, Ferric Chloride, Acid Phloroglucin. Secretory cavities are present in the lamina, petiolule, petiole, pulvinus and leaf primordium in D. pentaphylla, but not in D. pinnata, and can be considered an important character for species diagnosis. Other leaf characters were uninformative in delimiting Dahlstedtia species. There is cambial activity in the petiolule, petiole and pulvinus. This study, associated with other available data, supports the recognition of two species in Dahlstedtia.

Nutritive value and physical characteristics of Xaraes palisadegrass as affected by grazing strategy

The aim of this study was to ascertain whether the defoliation frequency based on a fixed rest period would generate variable sward structural and physiological conditions at each subsequent grazing event. The relative importance of the physiological age was established in comparison with the chronological age in the determination of the forage nutritive value of Xaraes palisadegrass [Brachiaria brizantha (Hochst ex A. RICH.) STAPF. cv. Xaraes]. Two grazing frequencies were defined by light interception (LI) at initiation of grazing (95% LI - ""target grazing"" [TG] or 100% LI - ""delayed grazing"" [DG]) and one based on chronological time, grazing every 28 days (28-d). Forage produced under the TG schedule was mostly leaves (93%) with a higher concentration of crude protein (CP; 138 g/kg in the whole forage), a lower concentrations of neutral detergent fibre (NDF) in the stems (740 g/kg), and higher in vitro dry matter digestibility (IVDMD) of the leaves (690 g/kg), compared to the other treatments. Lower grazing frequency strategies (DG and 28-d) resulted in forage with higher proportions of stems (10 and 9%, respectively). Strategies based on light interception did not produce pre-graze forage with a uniform nutritive value, as the indicators varied across grazing cycles. The treatment based on fixed days of rest did not result in uniformity.

f t value of the 0(+)-> 0(+) beta(+) decay of (32)Ar: A measurement of isospin symmetry breaking in a superallowed decay

We determined the absolute branch of the T=2 superallowed decay of (32)Ar by detecting the beta(+)-delayed protons and gamma decays of the daughter state. We obtain b(SA)(beta)=(22.71 +/- 0.16)%, which represents the first determination of a proton branch to better than 1%. Using this branch along with the previously determined (32)Ar half-life and energy release, we determined ft=(1552 +/- 12) s for the superallowed decay. This ft value, together with the corrected Ft value extracted from previously known T=1 superallowed decays, yields a measurement of the isospin symmetry breaking correction in (32)Ar decay delta(exp)(C)=(2.1 +/- 0.8)%. This can be compared to a theoretical calculation delta(C)=(2.0 +/- 0.4)%. As by-products of this work, we determined the gamma and proton branches for the decay of the lowest T=2 state of (32)Cl, made a precise determination of the total proton branch and relative intensities of proton groups that leave (31)S in its first excited state and deduced an improved value for the (32)Cl mass.

Scalar resonances in a unitary pi pi S-wave model for D(+)->pi(+)pi(-)pi(+)

We propose a model for D(+)->pi(+)pi(-)pi(+) decays following experimental results which indicate that the two-pion interaction in the S wave is dominated by the scalar resonances f(0)(600)/sigma and f(0)(980). The weak decay amplitude for D(+)-> R pi(+), where R is a resonance that subsequently decays into pi(+)pi(-), is constructed in a factorization approach. In the S wave, we implement the strong decay R ->pi(+)pi(-) by means of a scalar form factor. This provides a unitary description of the pion-pion interaction in the entire kinematically allowed mass range m(pi pi)(2) from threshold to about 3 GeV(2). In order to reproduce the experimental Dalitz plot for D(+)->pi(+)pi(-)pi(+), we include contributions beyond the S wave. For the P wave, dominated by the rho(770)(0), we use a Breit-Wigner description. Higher waves are accounted for by using the usual isobar prescription for the f(2)(1270) and rho(1450)(0). The major achievement is a good reproduction of the experimental m(pi pi)(2) distribution, and of the partial as well as the total D(+)->pi(+)pi(-)pi(+) branching ratios. Our values are generally smaller than the experimental ones. We discuss this shortcoming and, as a by-product, we predict a value for the poorly known D ->sigma transition form factor at q(2)=m pi(2).

Birefringence enhancement by using D-shaped microstructured optical fibers

In this study, a detailed numerical investigation is presented, seeking to enhance the birefringence effect by using D-shaped microstructured optical fibers (MOFs). We studied a D-shape core geometry associated with three different air-hole configurations: circular and elliptical, aligned with either the x-direction or the y-direction. Results have shown that ultrahigh birefringence MOFs, with B values of the order of 10(-2) for a wide range of wavelengths, can be obtained. The highest birefringence B was equal 3.97 x 10(-2), a value found for a D-MOF (circular holes) at 1550 nm. To the best of our knowledge, this is the highest theoretical value in the published literature.

Antimicrobial activity of the extract and isolated compounds from Baccharis dracunculifolia D. C. (Asteraceae)

Baccharis dracunculifolia D. C. (Asteraceae) is the most important plant source of the Brazilian green propolis. Since propolis is known for its antimicrobial activity, the aim of this work was to evaluate the showed that the leaves extract of B. dracunculifolia (BdE) presents antifungal and antibacterial activities, especially against Candida krusei and Cryptococcus neoformans, for which the BdE showed IC50 values of 65 mu g mL(-1) and 40 mu g mL(-1), respectively In comparison to the BdE, it was observed that the green propolis extract (GPE) showed better antimicrobial activity, displaying an IC50 value of 9 mu g mL(-1) against C krusei. Also, a phytochemical study of the BdE was carried out, affording the isolation of ursolic acid (1), 2 alpha-hydroxy-ursolic acid (2), isosakuranetin (3), aromadendrin-4`-methylether (4), baccharin (5), viscidone (6), hautriwaic acid lactone (7), and the clerodane diterpene 8. This is the first time that the presence of compounds 1, 2, and 8 in B. dracunculifolia has been reported. Among the isolated compounds, 1 and 2 showed antibacterial activity against methicillin-resistant Staphylococcus aureus, displaying IC50 values of 65 mu g mL(-1) and 40 mu g mL(-1), respectively. 3 was active against C neoformans, showing an IC50 value of 15 mu g mL(-1) and a MIC value of 40 mu g mL(-1), while compounds 4-8 were inactive against all tested microorganisms. The results showed that the BdE, similar to the GPE, displays antimicrobial activity, which may be related to the effect of several compounds present in the crude extract.

In vitro antileishmanial, antiplasmodial and cytotoxic activities of phenolics and triterpenoids from Baccharis dracunculifolia D. C. (Asteraceae)

Baccharis dracunculifolia (Asteraceae), the most important plant source of the Brazilian green propolis (GPE), displayed in vitro activity against Leishmania donovani. with an IC(50) value of 45 mu g/mL. while GPE presented an IC(50) value of 49 mu g/mL Among the isolated compounds of B. dracunculifolia, ursolic acid, and hautriwaic acid lactone showed IC(50) values of 3.7 mu g/mL and 7.0 mu g/mL, respectively. Uvaol, acacetin, and ermanin displayed moderate antileishmanial activity. Regarding the antiplasmodial assay against Plasmodium falciparum, BdE and GPE gave similar IC(50) values (about 20 mu g/mL), while Hautriwaic acid lactone led to an IC(50) value of 0.8 mu g/mL (D6 clone). (C) 2009 Elsevier B.V. All rights reserved.