Valor en riesgo del portafolio de TES de los bancos colombianos

En este trabajo se realiza la medición del riesgo de mercado para el portafolio de TES de un banco colombiano determinado, abordando el pronóstico de valor en riesgo (VaR) mediante diferentes modelos multivariados de volatilidad: EWMA, GARCH ortogonal, GARCH robusto, así como distintos modelos de VaR con distribución normal y distribución t-student, evaluando su eficiencia con las metodologías de backtesting propuestas por Candelon et al. (2011) con base en el método generalizado de momentos, junto con los test de independencia y de cobertura condicional planteados por Christoffersen y Pelletier (2004) y por Berkowitz, Christoffersen y Pelletier (2010). Los resultados obtenidos demuestran que la mejor especificación del VaR para la medición del riesgo de mercado del portafolio de TES de los bancos colombianos, es el construido a partir de volatilidades EWMA y basado en la distribución normal, ya que satisface las hipótesis de cobertura no condicional, independencia y cobertura condicional, al igual que los requerimientos estipulados en Basilea II y en la normativa vigente en Colombia.

Preliminary Remarks on Old Spanish Auxiliares: haber, ser and estar

En aquest article s'intenta aportar una visió descriptiva del funcionament d'haber, ser i estar en construccions 'perifràstiques' del castellà medieval. Quant a les perífrasis 'AUX+ infinitiu', s'observa que no s'ajusten a una anàlisi del tipus 'SV que selecciona un SV'. D'altra banda, s'aporta evidència que afavoreix una visió de la derivació dels futurs i condicionals analítics on el verb [-finit] s'excorpora de l'auxiliar funcional per traslladar-se a CO. Finalment, s'estableix que les construccions 'haber/ser/estar+participi' poden ser analitzades com a verbs lèxics que subcategoritzen una oració reduïda el predicat de la qual és el participi. Això permet relacionar l'avantposició de participi amb la dels SA i la dels arguments interns. Els aspectes bàsics d'aquest canvi sintàctic que duu del castellà medieval i preclàssic a l'espanyol actual són: (a) la categoria lèxica SV dels verbs en qüestió es reanalitza com una categoria funcional SAsp i aquests verbs esdevenen auxiliars; (b) hi ha un canvi de subcabgorització, ja que aquests verbs deixen de subcategoritzar una oració reduïda per passar a subcategoritzar un SVmàx, i (c) la pèrdua de la projecció màxima SCONC1 comporta la desparició dels efectes de la llei Tobler-Mussafia, de la possibilitat d'avantposar el participi i també de la concordança de participi en els perfets compostos.

Modelling risk perception and trust in food safety information within the theory of planned behaviour

This study suggests a statistical strategy for explaining how food purchasing intentions are influenced by different levels of risk perception and trust in food safety information. The modelling process is based on Ajzen's Theory of Planned Behaviour and includes trust and risk perception as additional explanatory factors. Interaction and endogeneity across these determinants is explored through a system of simultaneous equations, while the SPARTA equation is estimated through an ordered probit model. Furthermore, parameters are allowed to vary as a function of socio-demographic variables. The application explores chicken purchasing intentions both in a standard situation and conditional to an hypothetical salmonella scare. Data were collected through a nationally representative UK wide survey of 533 UK respondents in face-to-face, in-home interviews. Empirical findings show that interactions exist among the determinants of planned behaviour and socio-demographic variables improve the model's performance. Attitudes emerge as the key determinant of intention to purchase chicken, while trust in food safety information provided by media reduces the likelihood to purchase. (C) 2006 Elsevier Ltd. All rights reserved.

The value premium and time-varying volatility

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.

Autoregressive conditional kurtosis

This article proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t-density and consequently can be estimated simply using maximum likelihood. The method is applied to a set of four daily financial asset return series comprising U.S. and U.K. stocks and bonds, and significant evidence in favor of the presence of autoregressive conditional kurtosis is observed. Various extensions to the basic model are proposed, and we show that the response of kurtosis to good and bad news is not significantly asymmetric.

Separating skill from luck in REIT mutual funds

This study uses a bootstrap methodology to explicitly distinguish between skill and luck for 80 Real Estate Investment Trust Mutual Funds in the period January 1995 to May 2008. The methodology successfully captures non-normality in the idiosyncratic risk of the funds. Using unconditional, beta conditional and alpha-beta conditional estimation models, the results indicate that all but one fund demonstrates poor skill. Tests of robustness show that this finding is largely invariant to REIT market conditions and maturity.

Shoot zinc (Zn) concentration varies widely within Brassica oleracea L. and is affected by soil Zn and phosphorus (P) levels

The low availability of zinc (Zn) in soils and crops affects dietary Zn intake worldwide. This study sought to determine if the natural genetic variation in shoot Zn concentrations (Zn(shoot)) is sufficient to pursue a crop improvement breeding strategy in a leafy vegetable crop. The gene-pool of Brassica oleracea L. was sampled using a large (n = 376) diversity foundation set (DFS), representing almost all species-wide common allelic variation, and 74 commercial varieties (mostly F(1)). The DFS genotypes were grown at low and high soil phosphorus (P) levels under glasshouse and field conditions, and also in a Zn-deficient soil, with or without Zn-fertilisation, in a glasshouse. Despite the large variation in Zn(shoot) among genotypes, environment had a profound effect on Zn(shoot) The heritability of Zn(shoot) was significant, but relatively low, among 90 doubled-haploid (DH) lines from a mapping population. While several quantitative trait loci (QTL) associated with Zn(shoot) occurred on chromosomes C2, C3, C5, C7, and C9, these were generally weak and conditional upon growth conditions. Breeding for Zn(shoot) in B. oleracea is therefore likely to be challenging. Shoot P concentrations increased substantially in all genotypes under low soil Zn conditions. Conversely, only some genotypes had increased Zn(shoot) at low soil P levels. Sufficient natural genetic variation may therefore exist to study some of the interactions between Zn and P nutrition.

Age and firm growth: evidence from three European countries

This article provides new insights into the dependence of firm growth on age along the entire distribution of growth rates, and conditional on survival. Using data from the European firms in a global economy survey, and adopting a quantile regression approach, we uncover evidence for a sample of French, Italian and Spanish manufacturing firms with more than ten employees in the period from 2001 to 2008. We find that: (1) young firms grow faster than old firms, especially in the highest growth quantiles; (2) young firms face the same probability of declining as their older counterparts; (3) results are robust to the inclusion of other firms’ characteristics such as labor productivity, capital intensity and the financial structure; (4) high growth is associated with younger chief executive officers and other attributes that capture the attitude of the firm toward growth and change. The effect of age on firm growth is rather similar across countries.

Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1)

Tangential-flow ultrafiltration: a versatile methodology for determination of complexation parameters in refractory organic matter from Brazilian water and soil samples

In this work the copper(II) complexation parameters of aquatic organic matter, aquatic and soil humic substances from Brazilian were determined using a new versatile approach based on a single-stage tangential-flow ultrafiltration (TF-UF) technique (cut-off 1 kDa) and sensitive atomic spectrometry methods. The results regarding the copper(II) complexation capacity and conditional stability constants obtained for humic materials were compared with those obtained using direct potentiometry with a copper-ion-selective electrode. The analytical procedure based on ultrafiltration is a good alternative to determine the complexation parameters in natural organic material from aquatic and soil systems. This approach presents additional advantages such as better sensibility, applicability for multi-element capability, and its possible to be used under natural conditions when compared with the traditional ion-selective electrode.

Meeting the millennium poverty reduction targets in Latin America and the Caribbean

Includes bibliography

Impact of FLT3 Internal Tandem Duplication on the Outcome of Related and Unrelated Hematopoietic Transplantation for Adult Acute Myeloid Leukemia in First Remission: A Retrospective Analysis

Purpose Patients with acute myeloid leukemia (AML) and FLT3/internal tandem duplication (FLT3/ITD) have poor prognosis if treated with chemotherapy only. Whether this alteration also affects outcome after allogeneic hematopoietic stem-cell transplantation (HSCT) remains uncertain. Patients and Methods We analyzed 206 patients who underwent HLA-identical sibling and matched unrelated HSCTs reported to the European Group for Blood and Marrow Transplantation with a diagnosis of AML with normal cytogenetics and data on FLT3/ITD (present: n = 120, 58%; absent: n = 86, 42%). Transplantations were performed in first complete remission (CR) after myeloablative conditioning. Results Compared with FLT3/ITD-negative patients, FLT3/ITD-positive patients had higher median leukocyte count at diagnosis (59 v 21 x 10(9)/L; P < .001) and shorter interval from CR to transplantation (87 v 99 days; P = .04). Other characteristics were similar in the two groups. At 2 years, relapse incidence (RI; +/- standard deviation) was higher (30% +/- 5% v 16% +/- 5%; P = .006) and leukemia-free survival (LFS) lower (58% +/- 5% v 71% +/- 6%; P = .04) in FLT3/ITD-positive compared with FLT3/ITD-negative patients. In multivariate analyses, FLT3/ITD led to increased RI (hazard ratio [HR], 3.4; 95% CI, 1.46 to 7.94; P = .005), as did older age, female sex, shorter interval between CR and transplantation, and higher number of chemotherapy courses before achieving CR. FLT3/ITD positivity was associated with decreased LFS (HR, 0.37; 95% CI, 0.19 to 0.73; P = .002), along with older age and higher number of chemotherapy courses before achieving CR. Conclusion FLT3/ITD adversely affected the outcome of HSCT in the same direction it does after chemotherapy; despite this, more than half of the patients harboring this mutation who received transplants were alive and leukemia free at 2 years. To further improve the results, use of FLT3 inhibitors before or after HSCT deserves investigation.

Firm Market Performance and Volatility in a National Real Estate Sector

We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange. from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in the domestic real estate sector. We find evidence of conditional premium persistence and conditional volatility persistence in the market. We find that the conditional risk-return relationship in the sector is consistent with the prospect theory of risk attitudes in this period. Certain companies seem to be operating on a perceived potential industry return above the target, while most others are below the target, and the whole sector is below target on average. (C) 2011 Elsevier Inc. All rights reserved.

Bivariate gamma-geometric law and its induced Levy process

In this article we introduce a three-parameter extension of the bivariate exponential-geometric (BEG) law (Kozubowski and Panorska, 2005) [4]. We refer to this new distribution as the bivariate gamma-geometric (BGG) law. A bivariate random vector (X, N) follows the BGG law if N has geometric distribution and X may be represented (in law) as a sum of N independent and identically distributed gamma variables, where these variables are independent of N. Statistical properties such as moment generation and characteristic functions, moments and a variance-covariance matrix are provided. The marginal and conditional laws are also studied. We show that BBG distribution is infinitely divisible, just as the BEG model is. Further, we provide alternative representations for the BGG distribution and show that it enjoys a geometric stability property. Maximum likelihood estimation and inference are discussed and a reparametrization is proposed in order to obtain orthogonality of the parameters. We present an application to a real data set where our model provides a better fit than the BEG model. Our bivariate distribution induces a bivariate Levy process with correlated gamma and negative binomial processes, which extends the bivariate Levy motion proposed by Kozubowski et al. (2008) [6]. The marginals of our Levy motion are a mixture of gamma and negative binomial processes and we named it BMixGNB motion. Basic properties such as stochastic self-similarity and the covariance matrix of the process are presented. The bivariate distribution at fixed time of our BMixGNB process is also studied and some results are derived, including a discussion about maximum likelihood estimation and inference. (C) 2012 Elsevier Inc. All rights reserved.

Smoking cessation and bronchial epithelial remodelling in COPD: a cross-sectional study

Abstract Background Chronic Obstructive Pulmonary Disease (COPD) is associated with bronchial epithelial changes, including squamous cell metaplasia and goblet cell hyperplasia. These features are partially attributed to activation of the epidermal growth factor receptor (EGFR). Whereas smoking cessation reduces respiratory symptoms and lung function decline in COPD, inflammation persists. We determined epithelial proliferation and composition in bronchial biopsies from current and ex-smokers with COPD, and its relation to duration of smoking cessation. Methods 114 COPD patients were studied cross-sectionally: 99 males/15 females, age 62 ± 8 years, median 42 pack-years, no corticosteroids, current (n = 72) or ex-smokers (n = 42, median cessation duration 3.5 years), postbronchodilator FEV1 63 ± 9% predicted. Squamous cell metaplasia (%), goblet cell (PAS/Alcian Blue+) area (%), proliferating (Ki-67+) cell numbers (/mm basement membrane), and EGFR expression (%) were measured in intact epithelium of bronchial biopsies. Results Ex-smokers with COPD had significantly less epithelial squamous cell metaplasia, proliferating cell numbers, and a trend towards reduced goblet cell area than current smokers with COPD (p = 0.025, p = 0.001, p = 0.081, respectively), but no significant difference in EGFR expression. Epithelial features were not different between short-term quitters (<3.5 years) and current smokers. Long-term quitters (≥3.5 years) had less goblet cell area than both current smokers and short-term quitters (medians: 7.9% vs. 14.4%, p = 0.005; 7.9% vs. 13.5%, p = 0.008; respectively), and less proliferating cell numbers than current smokers (2.8% vs. 18.6%, p < 0.001). Conclusion Ex-smokers with COPD had less bronchial epithelial remodelling than current smokers, which was only observed after long-term smoking cessation (>3.5 years). Trial registration NCT00158847