Volatility modelling in the forex market: an empirical evaluation

We compare three frequently used volatility modelling techniques: GARCH, Markovian switching and cumulative daily volatility models. Our primary goal is to highlight a practical and systematic way to measure the relative effectiveness of these techniques. Evaluation comprises the analysis of the validity of the statistical requirements of the various models and their performance in simple options hedging strategies. The latter puts them to test in a "real life" application. Though there was not much difference between the three techniques, a tendency in favour of the cumulative daily volatility estimates, based on tick data, seems dear. As the improvement is not very big, the message for the practitioner - out of the restricted evidence of our experiment - is that he will probably not be losing much if working with the Markovian switching method. This highlights that, in terms of volatility estimation, no clear winner exists among the more sophisticated techniques.

Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994-2003. The economic methodology used is that of multivariate GARCH family volatility models, particularly the DCC models in the form proposed by Engle and Sheppard (2001). The returns were duly corrected for a series of country-specific fundamentals. The relevance of this procedure is highlighted in the literature by the work of Pesaran and Pick (2003). The results obtained in this paper provide evidence favourable to the hypothesis of regional contagion in both Latin America and Asia. As a rule, contagion spread from the Asian crisis to Latin America but not in the opposite direction

Cópulas: uma alternativa para a estimação de modelos de risco multivariados

Dentre os principais desafios enfrentados no cálculo de medidas de risco de portfólios está em como agregar riscos. Esta agregação deve ser feita de tal sorte que possa de alguma forma identificar o efeito da diversificação do risco existente em uma operação ou em um portfólio. Desta forma, muito tem se feito para identificar a melhor forma para se chegar a esta definição, alguns modelos como o Valor em Risco (VaR) paramétrico assumem que a distribuição marginal de cada variável integrante do portfólio seguem a mesma distribuição , sendo esta uma distribuição normal, se preocupando apenas em modelar corretamente a volatilidade e a matriz de correlação. Modelos como o VaR histórico assume a distribuição real da variável e não se preocupam com o formato da distribuição resultante multivariada. Assim sendo, a teoria de Cópulas mostra-se um grande alternativa, à medida que esta teoria permite a criação de distribuições multivariadas sem a necessidade de se supor qualquer tipo de restrição às distribuições marginais e muito menos as multivariadas. Neste trabalho iremos abordar a utilização desta metodologia em confronto com as demais metodologias de cálculo de Risco, a saber: VaR multivariados paramétricos - VEC, Diagonal,BEKK, EWMA, CCC e DCC- e VaR histórico para um portfólio resultante de posições idênticas em quatro fatores de risco – Pre252, Cupo252, Índice Bovespa e Índice Dow Jones

Comparison between univariate and bivariate geostatistical models for estimating catch per unit of effort (cpue): A simulation study

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience

This paper explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in NAFTA (i.e., Canada, Mexico, and the US). Our examination of interactions of the NAFTA stock markets considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques. Second, we evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, we explore the volatility transmission process between the three markets, using a variety of multivariate GARCH models. Our results also exhibit significant volatility transmission between the second moments of the NAFTA stock markets, albeit not homogenous. The magnitude and trend of the conditional correlations indicate that in the last few years, the Mexican stock market exhibited a tendency toward increased integration with the US market. Finally, we do note that evidence exists that the Peso and Asian financial crises as well as the stock-market crash in the US affect the return and volatility time-series relationships.

Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities

In the current uncertain context that affects both the world economy and the energy sector, with the rapid increase in the prices of oil and gas and the very unstable political situation that affects some of the largest raw materials’ producers, there is a need for developing efficient and powerful quantitative tools that allow to model and forecast fossil fuel prices, CO2 emission allowances prices as well as electricity prices. This will improve decision making for all the agents involved in energy issues. Although there are papers focused on modelling fossil fuel prices, CO2 prices and electricity prices, the literature is scarce on attempts to consider all of them together. This paper focuses on both building a multivariate model for the aforementioned prices and comparing its results with those of univariate ones, in terms of prediction accuracy (univariate and multivariate models are compared for a large span of days, all in the first 4 months in 2011) as well as extracting common features in the volatilities of the prices of all these relevant magnitudes. The common features in volatility are extracted by means of a conditionally heteroskedastic dynamic factor model which allows to solve the curse of dimensionality problem that commonly arises when estimating multivariate GARCH models. Additionally, the common volatility factors obtained are useful for improving the forecasting intervals and have a nice economical interpretation. Besides, the results obtained and methodology proposed can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.

A comparison of linear forecasting models and neural networks:an application to Euro inflation and Euro Divisia

Linear models reach their limitations in applications with nonlinearities in the data. In this paper new empirical evidence is provided on the relative Euro inflation forecasting performance of linear and non-linear models. The well established and widely used univariate ARIMA and multivariate VAR models are used as linear forecasting models whereas neural networks (NN) are used as non-linear forecasting models. It is endeavoured to keep the level of subjectivity in the NN building process to a minimum in an attempt to exploit the full potentials of the NN. It is also investigated whether the historically poor performance of the theoretically superior measure of the monetary services flow, Divisia, relative to the traditional Simple Sum measure could be attributed to a certain extent to the evaluation of these indices within a linear framework. Results obtained suggest that non-linear models provide better within-sample and out-of-sample forecasts and linear models are simply a subset of them. The Divisia index also outperforms the Simple Sum index when evaluated in a non-linear framework. © 2005 Taylor & Francis Group Ltd.

The meaning of implied volatility in pricing stock options traded in options markets

Ph.D. in the Faculty of Business Administration

Multicomponent kinetic spectrophotometric determination of pefloxacin and norfloxacin in pharmaceutical preparations and human plasma samples with the aid of chemometrics

A spectrophotometric method for the simultaneous determination of the important pharmaceuticals, pefloxacin and its structurally similar metabolite, norfloxacin, is described for the first time. The analysis is based on the monitoring of a kinetic spectrophotometric reaction of the two analytes with potassium permanganate as the oxidant. The measurement of the reaction process followed the absorbance decrease of potassium permanganate at 526 nm, and the accompanying increase of the product, potassium manganate, at 608 nm. It was essential to use multivariate calibrations to overcome severe spectral overlaps and similarities in reaction kinetics. Calibration curves for the individual analytes showed linear relationships over the concentration ranges of 1.0–11.5 mg L−1 at 526 and 608 nm for pefloxacin, and 0.15–1.8 mg L−1 at 526 and 608 nm for norfloxacin. Various multivariate calibration models were applied, at the two analytical wavelengths, for the simultaneous prediction of the two analytes including classical least squares (CLS), principal component regression (PCR), partial least squares (PLS), radial basis function-artificial neural network (RBF-ANN) and principal component-radial basis function-artificial neural network (PC-RBF-ANN). PLS and PC-RBF-ANN calibrations with the data collected at 526 nm, were the preferred methods—%RPET not, vert, similar 5, and LODs for pefloxacin and norfloxacin of 0.36 and 0.06 mg L−1, respectively. Then, the proposed method was applied successfully for the simultaneous determination of pefloxacin and norfloxacin present in pharmaceutical and human plasma samples. The results compared well with those from the alternative analysis by HPLC.

Depression, anxiety and body image after treatment for invasive stage one epithelial ovarian cancer

Background: Diagnosis of epithelial ovarian cancer (EOC) in young women has major implications including those to their reproductive potential. We evaluated depression, anxiety and body image in patients with stage I EOC treated with fertility sparing surgery (FSS) or radical surgery (RS). We also investigated fertility outcomes after FSS.----- Methods: A retrospective study was undertaken in which 62 patients completed questionnaires related to anxiety, depression, body image and fertility outcomes. Additional information on adjuvant therapy after FSS and RS and demographic details were abstracted from medical records. Both bi and multivariate regression models were used to assess the relationship between demographic, clinical and pathological results and scores for anxiety, depression and body image.----- Results: Thirty-nine patients underwent RS and the rest, FSS. The percentage of patients reporting elevated anxiety and depression (subscores ≥ 11) were 27 % and 5% respectively. The median (inter quartile range) score for body image scale (BIS) was 6 (3-15). None of the demographic or clinical factors examined showed significant association with anxiety and BIS with the exception of ‘time since diagnosis’. For depression, post-menopausal status was the only independent predictor. Among those 23 patients treated by FSS, 14 patients tried to conceive (7 successful), resulting in 7 live births, one termination of pregnancy and one miscarriage.----- Conclusion: This study shows that psychological issues are common in women treated for stage I EOC. Reproduction after FSS is feasible and lead to the birth of healthy babies in about half of patients who wished to have another child. Further prospective studies with standardised instruments are required.

Prognostic significance of IGF and ECM induced signalling proteins in breast cancer patients

Breast cancer is a leading contributor to the burden of disease in Australia. Fortunately, the recent introduction of diverse therapeutic strategies have improved the survival outcome for many women. Despite this, the clinical management of breast cancer remains problematic as not all approaches are sufficiently sophisticated to take into account the heterogeneity of this disease and are unable to predict disease progression, in particular, metastasis. As such, women with good prognostic outcomes are exposed to the side effects of therapies without added benefit. Furthermore, women with aggressive disease for whom these advanced treatments would deliver benefit cannot be distinguished and opportunities for more intensive or novel treatment are lost. This study is designed to identify novel factors associated with disease progression, and the potential to inform disease prognosis. Frequently overlooked, yet common mediators of disease are the interactions that take place between the insulin-like growth factor (IGF) system and the extracellular matrix (ECM). Our laboratory has previously demonstrated that multiprotein insulin-like growth factor-I (IGF-I): insulin-like growth factor binding protein (IGFBP): vitronectin (VN) complexes stimulate migration of breast cancer cells in vitro, via the cooperative involvement of the insulin-like growth factor type I receptor (IGF-IR) and VN-binding integrins. However, the effects of IGF and ECM protein interactions on the dissemination and progression of breast cancer in vivo are unknown. It was hypothesised that interactions between proteins required for IGF induced signalling events and those within the ECM contribute to breast cancer metastasis and are prognostic and predictive indicators of patient outcome. To address this hypothesis, semiquantitative immunohistochemistry (IHC) analyses were performed to compare the extracellular and subcellular distribution of IGF and ECM induced signalling proteins between matched normal, primary cancer, and metastatic cancer among archival formalin-fixed paraffin-embedded (FFPE) breast tissue samples collected from women attending the Princess Alexandra Hospital, Brisbane. Multivariate Cox proportional hazards (PH) regression survival models in conjunction with a modified „purposeful selection of covariates. method were applied to determine the prognostic potential of these proteins. This study provides the first in-depth, compartmentalised analysis of the distribution of IGF and ECM induced signalling proteins. As protein function and protein localisation are closely correlated, these findings provide novel insights into IGF signalling and ECM protein function during breast cancer development and progression. Distinct IGF signalling and ECM protein immunoreactivity was observed in the stroma and/or in subcellular locations in normal breast, primary cancer and metastatic cancer tissues. Analysis of the presence and location of stratifin (SFN) suggested a causal relationship in ECM remodelling events during breast cancer development and progression. The results of this study have also suggested that fibronectin (FN) and ¥â1 integrin are important for the formation of invadopodia and epithelial-to-mesenchymal transition (EMT) events. Our data also highlighted the importance of the temporal and spatial distribution of IGF induced signalling proteins in breast cancer metastasis; in particular, SFN, enhancer-of-split and hairy-related protein 2 (SHARP-2), total-akt/protein kinase B 1 (Total-AKT1), phosphorylated-akt/protein kinase B (P-AKT), extracellular signal-related kinase-1 and extracellular signal-related kinase-2 (ERK1/2) and phosphorylated-extracellular signal-related kinase-1 and extracellular signal-related kinase-2 (P-ERK1/2). Multivariate survival models were created from the immunohistochemical data. These models were found to fit well with these data with very high statistical confidence. Numerous prognostic confounding effects and effect modifications were identified among elements of the ECM and IGF signalling cascade and corroborate the survival models. This finding provides further evidence for the prognostic potential of IGF and ECM induced signalling proteins. In addition, the adjusted measures of associations obtained in this study have strengthened the validity and utility of the resulting models. The findings from this study provide insights into the biological interactions that occur during the development of breast tissue and contribute to disease progression. Importantly, these multivariate survival models could provide important prognostic and predictive indicators that assist the clinical management of breast disease, namely in the early identification of cancers with a propensity to metastasise, and/or recur following adjuvant therapy. The outcomes of this study further inform the development of new therapeutics to aid patient recovery. The findings from this study have widespread clinical application in the diagnosis of disease and prognosis of disease progression, and inform the most appropriate clinical management of individuals with breast cancer.

A longitudinal study of grieving in family caregivers of people with dementia

A longitudinal study of grieving in family caregivers of people with dementia Recent research into dementia has identified the long term impact that the role of care giving for a relative with dementia has on family members This is largely due to the cognitive decline that characterises dementia and the losses that can be directly attributed to this. These losses include loss of memories, relationships and intimacy, and are often ambiguous so that the grief that accompanies them is commonly not recognised or acknowledged. The role and impact of pre-death or anticipatory grief has not previously been widely considered as a factor influencing health and well-being of family caregivers. Studies of grief in caregivers of a relative with dementia have concluded that grief is one of the greatest barriers to care giving and is a primary determinant of caregiver well-being. The accumulation of losses, in conjunction with experiences unique to dementia care giving, place family caregivers at risk of complicated grief. This occurs when integration of the death does not take place following bereavement and has been associated with a range of negative health outcomes. The aim of this research was to determine the influence of grief, in addition to other factors representing both positive and negative aspects of the role, on the health related quality of life of family caregivers of people with dementia, prior to and following the death of their relative with dementia. An exploratory research project underpinned by a conceptual framework of caregivers’ adaptation in the context of subjective appraisal of the strains and gains in their role was undertaken. The research comprised three studies. Study 1 was a scoping study that involved a series of semi-structured interviews with thirteen participants who were family caregivers of people with severe dementia or whose relative with dementia had died in the previous twelve months. The results of this study in conjunction with factors identified in the literature informed data collection for the further studies. Study 2 was a cross sectional survey of fifty caregivers recruited when their relative was in the moderate to severe stage of dementia. This study provided the baseline data for Study 3, a prospective cohort follow up study. Study 3 consisted of seventeen participants followed up at two time points after the death of their relative with dementia: six weeks and then six months following the death of the relative with dementia. The scoping study indicated that differences in appraisal of the care giving role and encounters with health professionals were related to levels of grief of caregivers prior to and following the death of the relative with dementia. This was supported in the baseline and follow up studies. In the baseline study, after adjusting for all variables in multivariate regression models, subjective appraisal of burden was found to make a significant contribution (p<.05) to mental health related quality of life. The two dependent variables, anticipatory grief and mental health related quality of life, were significantly (p<.01) correlated at a bivariate level. In the follow up study, linear mixed modelling and multiple regression analysis of data found that subjective appraisal of burden and resilience were significantly associated (p<.05 and p<.01, respectively) with mental health related quality of life over time. In addition, bereavement and complicated grief were significantly associated (p<.05) with mental health following the death of the relative. In this study social support and satisfaction with end of life care were found to be statistically associated (p<.05) with physical health related quality of life over time. The strong relationship between grief of caregivers and their health related quality of life over the entire care giving trajectory and period following the death of their relative highlights the urgent need for further research and interventions in this area. Overall results indicate that addressing the risk and protective factors including subjective appraisal of their care giving role, resilience, social support and satisfaction with end of life care of their relative, has the potential to both ameliorate negative health outcomes and to promote improved health for these caregivers. This research provides important information for development of targeted and appropriate interventions that aim to promote resilience and reduce the personal burden on caregivers of people with dementia.

Tumor necrosis correlates with angiogenesis and is a predictor of poor prognosis in malignant mesothelioma

Objectives: Malignant mesothelioma (MM) is a fatal tumor of increasing incidence related to asbestos exposure. Microscopic tumor necrosis (TN) is a poor prognostic factor in solid tumors, but it has not been characterized in MM. We wished to evaluate the incidence of TN in MM and its correlations with clinicopathologic factors, angiogenesis, and survival. Methods: TN was graded in 171 routine formalin-fixed, paraffin-embedded hematoxylin-eosinstained tumor sections by two independent observers. Angiogenesis was assessed by the microvessel count (MVC) of CD34 immunostained sections. TN was correlated with survival by Kaplan-Meier and log-rank analysis, and stepwise, multivariate Cox models were used to compare TN with angiogenesis and established prognostic factors and prognostic scoring systems. Results: TN was identified in 39 cases (22.8%) and correlated with low hemoglobin (p = 0.01), thrombocytosis (p = 0.04), and high MVC (p = 0.02). TN was a poor prognostic factor in univariate analysis (p = 0.008). Patients with TN had a median survival of 5.3 months vs 8.3 months in negative cases. Independent indicators of poor prognosis in multivariate analysis were nonepithelioid cell type (p = 0.0001), performance status > 0 (p = 0.007), and increasing MVC (p = 0.004) but not TN. TN contributed independently to the European Organisation for Research and Treatment of Cancer (EORTC) [p = 0.03] and to the Cancer and Leukemia Group B (CALGB) [p = 0.03] prognostic groups in respective multivariate Cox analyses. Conclusions: TN correlates with angiogenesis and is a poor prognostic factor in MM. TN contributes to the EORTC and CALGB prognostic scoring systems.

A Near-Infrared Reflectance Spectroscopy Method for Direct Analysis of Several Chemical Components and Properties of Fruit, for Example, Chinese Hawthorn

Near-infrared spectroscopy (NIRS) calibrations were developed for the discrimination of Chinese hawthorn (Crataegus pinnatifida Bge. var. major) fruit from three geographical regions as well as for the estimation of the total sugar, total acid, total phenolic content, and total antioxidant activity. Principal component analysis (PCA) was used for the discrimination of the fruit on the basis of their geographical origin. Three pattern recognition methods, linear discriminant analysis, partial least-squares-discriminant analysis, and back-propagation artificial neural networks, were applied to classify and compare these samples. Furthermore, three multivariate calibration models based on the first derivative NIR spectroscopy, partial least-squares regression, back-propagation artificial neural networks, and least-squares-support vector machines, were constructed for quantitative analysis of the four analytes, total sugar, total acid, total phenolic content, and total antioxidant activity, and validated by prediction data sets.