Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Positive solutions of nonlinear problems involving the square root of the Laplacian

We consider nonlinear elliptic problems involving a nonlocal operator: the square root of the Laplacian in a bounded domain with zero Dirichlet boundary conditions. For positive solutions to problems with power nonlinearities, we establish existence and regularity results, as well as a priori estimates of Gidas-Spruck type. In addition, among other results, we prove a symmetry theorem of Gidas-Ni-Nirenberg type.

Structure of a multisubunit complex that promotes DNA branch migration.

The RuvA and RuvB proteins of Escherichia coli, which are induced in response to DNA damage, are important in the formation of heteroduplex DNA during genetic recombination and related recombinational repair processes. In vitro studies show that RuvA binds Holiday junctions and acts as a specificity factor that targets the RuvB ATPase, a hexameric ring protein, to the junction. Together, RuvA and RuvB promote branch migration, an ATP-dependent reaction that increases the length of the heteroduplex DNA. Electron microscopic visualization of RuvAB now provides a new insight into the mechanism of this process. We observe the formation of a tripartite protein complex in which RuvA binds the crossover and is sandwiched between two hexameric rings of RuvB. The Holliday junction within this complex adopts a square-planar structure. We propose a molecular model for branch migration, a unique feature of which is the role played by the two oppositely oriented RuvB ring motors.

Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and volatilities, and our model averaging method allows for investors' model uncertainty over time. Our time-varying parameter Nelson-Siegel Dynamic Model Averaging (NS-DMA) predicts yields better than standard benchmarks and successfully captures plausible time-varying term premia in real time. The proposed model has significant in-sample and out-of-sample predictability for excess bond returns, and the predictability is of economic value.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Amino acid coevolution reveals three-dimensional structure and functional domains of insect odorant receptors.

Insect odorant receptors (ORs) comprise an enormous protein family that translates environmental chemical signals into neuronal electrical activity. These heptahelical receptors are proposed to function as ligand-gated ion channels and/or to act metabotropically as G protein-coupled receptors (GPCRs). Resolving their signalling mechanism has been hampered by the lack of tertiary structural information and primary sequence similarity to other proteins. We use amino acid evolutionary covariation across these ORs to define restraints on structural proximity of residue pairs, which permit de novo generation of three-dimensional models. The validity of our analysis is supported by the location of functionally important residues in highly constrained regions of the protein. Importantly, insect OR models exhibit a distinct transmembrane domain packing arrangement to that of canonical GPCRs, establishing the structural unrelatedness of these receptor families. The evolutionary couplings and models predict odour binding and ion conduction domains, and provide a template for rationale structure-activity dissection.

Western Préalpes Médianes Romandes: Timing and structure. A review.

Between the original position and their present day location as klippen, the Prealpes Medianes underwent a complex history of paleotectonics and alpine tectonics. Due to the opening of the Piemont ocean the Brianconnais sedimentation realm of the Prealpes Medianes evolved as a rim basin of the northern passive margin during Jurassic to Eocene times. Different paleotectonic features (normal faults, synsedimentary growth structures, inversion structures) developed and were active above a basal detachment in evaporitic layers. The tectonic movements were a consequence of thermal events in the crust. Isolated from the Iberic continent at the end of the Late Cretaceous, the Brianconnais exotic terrain was incorporated into the accretionary prism of the closing Piemont ocean and the incipient alpine orogeny during the Lutetian-Bartonian. The Prealpes Medianes were detached from their homeland during the Bartonian-Priabonian and were transported onto the foreland. The tectonic style is one of a thin-skinned foreland fold and thrust belt. Fault associated fold development above a main decollement, together with internal deformation, represent the Prealpes Medianes main structural features. The very low-grade metamorphic conditions have their origin in the heat flux induced by tectonic burial by overriding nappes in the accretionary prism. After having been transported on top of the developing Helvetic nappes the Prealpes were emplaced in their present day position in front of the Alpine mountain belt during Oligocene times. Post-emplacement and out of sequence thrusting, possibly younger than Oligocene, is observed and can be related to thrusting in the sedimentary substratum and the basement.

Structure of the salivary glands of the unfed female tick Amblyomma cajennense (Fabricius) (Acarina: Ixodidae)

Acini in in the salivary glands of female tick specimens of Amblyomma ajennense unfed at both postnymphal and adult phases, were studied. The salivary glands are consisted by three acini, one agranular and two granular. The agranular acini are directly attached to the anterior portion of the main salivary duct, consisting of cells without valve. A relatively large, clear, central cell occupies most of the alveolar midsection. The central cell is in contact with the acini lumen. Granular acini consist of approximately seven to fourteen cells (type II acini) or seven to sixteen (type III acini). The type II acini have three types of granular cells ("a", "b" and "c") and valve; the type III acini have another three types of granular cells ("d", "e" and "f") also presenting a valve.

The effect of host social system on parasite population genetic structure: comparative population genetics of two ectoparasitic mites and their bat hosts.

BACKGROUND: The population genetic structure of a parasite, and consequently its ability to adapt to a given host, is strongly linked to its own life history as well as the life history of its host. While the effects of parasite life history on their population genetic structure have received some attention, the effect of host social system has remained largely unstudied. In this study, we investigated the population genetic structure of two closely related parasitic mite species (Spinturnix myoti and Spinturnix bechsteini) with very similar life histories. Their respective hosts, the greater mouse-eared bat (Myotis myotis) and the Bechstein's bat (Myotis bechsteinii) have social systems that differ in several substantial features, such as group size, mating system and dispersal patterns. RESULTS: We found that the two mite species have strongly differing population genetic structures. In S. myoti we found high levels of genetic diversity and very little pairwise differentiation, whereas in S. bechsteini we observed much less diversity, strongly differentiated populations and strong temporal turnover. These differences are likely to be the result of the differences in genetic drift and dispersal opportunities afforded to the two parasites by the different social systems of their hosts. CONCLUSIONS: Our results suggest that host social system can strongly influence parasite population structure. As a result, the evolutionary potential of these two parasites with very similar life histories also differs, thereby affecting the risk and evolutionary pressure exerted by each parasite on its host.

A malaria merozoite surface protein (MSP1)-structure, processing and function

Merozoite surface protein-1 (MSP-1, also referred to as P195, PMMSA or MSA 1) is one of the most studied of all malaria proteins. The proteins. The protein is found in all malaria species investigated and structural studies on the gene indicate that parts of the molecule are well-conserved. Studies on Plasmodium falciparum have shown that the protein is in a processed form on the merozoite surface, a result of proteolytic cleavage of the large percursor molecule. Recent studies have identified some of these cleavage sites. During invasion of the new red cell most of the MSP1 molecule is shed from the parasite surface except for a small C-terminal fragment which can be detected in ring stages. Analysis of the structure of this fragment suggests that it contains two growth factor-like domains that may have a functional role.

The Accessibility City. When Transport Infrastructure Matters in Urban Spatial Structure

Suburbanization is changing the urban spatial structure and less monocentric metropolitan regions are becoming the new urban reality. Focused only on centers, most works have studied these spatial changes neglecting the role of transport infrastructure and its related location model, the “accessibility city”, in which employment and population concentrate in low-density settlements and close to transport infrastructure. For the case of Barcelona, we consider this location model and study the population spatial structure between 1991 and 2006. The results reveal a mix between polycentricity and the accessibility city, with movements away from the main centers, but close to the transport infrastructure.

Rigorous derivation of a nonlinear diffusion equation as fast-reaction limit of a continuous coagulation-fragmentation model with diffusion

Weak solutions of the spatially inhomogeneous (diffusive) Aizenmann-Bak model of coagulation-breakup within a bounded domain with homogeneous Neumann boundary conditions are shown to converge, in the fast reaction limit, towards local equilibria determined by their mass. Moreover, this mass is the solution of a nonlinear diffusion equation whose nonlinearity depends on the (size-dependent) diffusion coefficient. Initial data are assumed to have integrable zero order moment and square integrable first order moment in size, and finite entropy. In contrast to our previous result [CDF2], we are able to show the convergence without assuming uniform bounds from above and below on the number density of clusters.

A mixed finite element method for nonlinear diffusion equations

We propose a mixed finite element method for a class of nonlinear diffusion equations, which is based on their interpretation as gradient flows in optimal transportation metrics. We introduce an appropriate linearization of the optimal transport problem, which leads to a mixed symmetric formulation. This formulation preserves the maximum principle in case of the semi-discrete scheme as well as the fully discrete scheme for a certain class of problems. In addition solutions of the mixed formulation maintain exponential convergence in the relative entropy towards the steady state in case of a nonlinear Fokker-Planck equation with uniformly convex potential. We demonstrate the behavior of the proposed scheme with 2D simulations of the porous medium equations and blow-up questions in the Patlak-Keller-Segel model.

Delinquency in male adolescents: the role of alexithymia and family structure

The purpose of this study was to examine the linkages between alexithymia and delinquency in male adolescents (age ranging from 14 to 18 years), and to investigate whether alexithymia was a good discriminatory factor for juvenile delinquency. Thirty-six offender adolescents and 46 non-offender control adolescents participated in the study and completed the 20-item Toronto Alexithymia Scale (TAS-20) (alexithymia), the Revised Children's Manifest Anxiety Scale (R-CMAS) (anxiety), the Liste d'Adjectifs Bipolaires et en Echelles de Likert (LABEL) (personality-Big Five) and demographic data. Findings revealed that the adolescents of the offender group scored high on alexithymia and that proportion of disrupted family structure in the offender group is higher than in the control group. Logistic regressions confirmed that alexithymia and family structure are the strongest discriminatory factors for juvenile delinquency. Limitations and clinical implications are discussed, and recommendations for future research are provided