Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Conditional release: A less restrictive alternative to hospitalization?

Objective: This study examined conditional release - that is, involuntary outpatient commitment orders upon release from hospitalization - as a least restrictive alternative to psychiatric hospitalization in Victoria, Australia. Methods: Records were obtained from the Victorian Psychiatric Case Register for patients who experienced psychiatric hospitalization: between 1990 and 2000 a total of 8,879 patients were given conditional release and 16,094 were not. Results: Compared with the group that was hospitalized but did not receive a conditional release, the group that received a conditional release was more likely to have more prior hospitalizations of greater than average duration. Patients with schizophrenia were more likely to be given conditional release. Patients given conditional release experienced a care pattern involving briefer inpatient episodes (8.3 fewer days per episode), more inpatient days, and longer duration of restrictive care - that is, combined inpatient and conditional release periods (5.1 more days per month in care). Conclusions: For patients at risk of long-term hospitalization, conditional release may help to shorten inpatient episodes by providing a least restrictive alternative to continued hospitalization. However, patients who were given conditional release doubled the amount of days they spent under restrictive care, compared with the amount of time they previously spent in the hospital before entering a period of combined inpatient and conditional release commitment. Additional oversight may have led to more frequent hospitalization. This consequence raises new questions regarding the possible benefits of such extended oversight and new challenges for release planning using conditional release as a least restrictive method of care.

Is a little sunshine all we need? On the impact of sunshine regulation on profits, productivity and prices in the Dutch drinking water sector

This paper analyzes the performance of Dutch drinking water utilities before and after the introduction of sunshine regulation, which involves publication of the performance of utilities but no formal price regulation. By decomposing profit change into its economic drivers, our results suggest that, in the Dutch political and institutional context, sunshine regulation was effective in improving the productivity of publicly organised services. Nevertheless, while sunshine regulation did bring about a moderate reduction in water prices, sustained and substantial economic profits suggest that it may not have the potential to fully align output prices with economic costs in the long run. In methodological terms, the DEA based profit decomposition is extended to robust and conditional non-parametric efficiency measures, so as to account better for both uncertainty and differences in operating environment between utilities.

Corporate governance and finance in Poland and Russia

This book provides a comparative analysis of the emerging corporate control structures in the transition economies. It details characteristics of corporate governance in the two largest transition economies: Russia and Poland. It explores what kind of ownership structures are emerging in these two countries and to what degree they are they path-dependent and conditional on the initial choice of privatisation methods - fast ownership transfer through the mass privatisation programme and loans-for-equity scheme in Russia, and a more 'organic' growth of the new private sector in Poland. It examines the directions of the subsequent, post-privatisation, secondary ownership flows in both countries and the impact of the government on corporations, implied both by the residual shareholding of the state and by its regulatory and administrative actions.

The Wide-Field Plate Database: Development and Access via Internet

ACM Computing Classification System (1998): J.2.

Class Number Two for Real Quadratic Fields of Richaud-Degert Type

2000 Mathematics Subject Classification: Primary: 11D09, 11A55, 11C08, 11R11, 11R29; Secondary: 11R65, 11S40; 11R09.

A study of stock market linkages between the US and frontier countries

My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

Don't Get Mad, Get Even: How Employees Abused by Their Supervisor Retaliate Against the Organization and Undermine Their Spouses

My study investigated the effects of abusive supervision on work and family outcomes including supervisor-directed and organization-directed deviance and spousal undermining. Using a moderated-mediation model, the relationship of abusive supervision on outcome variables was proposed to be mediated by moral courage and moderated by leader-member exchange (a-path) and work and family role quality (b-path). Two separate studies were conducted using a sample (N=200) recruited through Amazon’s Mechanical Turk and through relatives of students at a large US public southeastern university (N=150 dyads). Results confirm the effects of abusive supervision on work and family outcomes while analyses of contextual and conditional factors are mixed. Confirmatory factor analyses, factor loadings, and model fit statistics are provided and implications for research and practice are discussed.

Genome-wide association and genome partitioning reveal novel genomic regions underlying variation in gastrointestinal nematode burden in a wild bird

Acknowledgements This study was funded by a BBSRC studentship (MA Wenzel) and NERC grants NE/H00775X/1 and NE/D000602/1 (SB Piertney). The authors are grateful to Fiona Leckie, Andrew MacColl, Jesús Martínez-Padilla, François Mougeot, Steve Redpath, Pablo Vergara† and Lucy M.I. Webster for samples; Keliya Bai, Daisy Brickhill, Edward Graham, Alyson Little, Daniel Mifsud, Lizzie Molyneux and Mario Röder for fieldwork assistance; Gillian Murray-Dickson and Laura Watt for laboratory assistance; Heather Ritchie for helpful comments on manuscript drafts; and all estate owners, factors and keepers for access to field sites, most particularly Stuart Young and Derek Calder (Edinglassie), Simon Blackett, Jim Davidson and Liam Donald (Invercauld and Glas Choille), Richard Cooke and Fred Taylor† (Invermark) and T. Helps (Catterick).

Intergenerational effects of parental substance-related convictions and adult drug treatment court participation on children's school performance.

This study examined the intergenerational effects of parental conviction of a substance-related charge on children's academic performance and, conditional on a conviction, whether completion of an adult drug treatment court (DTC) program was associated with improved school performance. State administrative data from North Carolina courts, birth records, and school records were linked for 2005-2012. Math and reading end-of-grade test scores and absenteeism were examined for 5 groups of children, those with parents who: were not convicted on any criminal charge, were convicted on a substance-related charge and not referred by a court to a DTC, were referred to a DTC but did not enroll, enrolled in a DTC but did not complete, and completed a DTC program. Accounting for demographic and socioeconomic factors, the school performance of children whose parents were convicted of a substance-related offense was worse than that of children whose parents were not convicted on any charge. These differences were statistically significant but substantially reduced after controlling for socioeconomic characteristics; for example, mother's educational attainment. We found no evidence that parent participation in an adult DTC program led to improved school performance of their children. While the children of convicted parents fared worse on average, much--but not all--of this difference was attributed to socioeconomic factors, with the result that parental conviction remained a risk factor for poorer school performance. Even though adult DTCs have been shown to have other benefits, we could detect no intergenerational benefit in improved school performance of their children.

Evaluating statistical and machine learning methods to predict risk of in-hospital child mortality in Uganda

Thesis (Master's)--University of Washington, 2016-08

Three essays in labor economics and applied econometrics

Méthodologie:Cadre conceptuel: Principal-agent

Big bang bifurcations in von Bertalanffy’s dynamics with strong and weak Allee effects

The main purpose of this work was to study population dynamic discrete models in which the growth of the population is described by generalized von Bertalanffy's functions, with an adjustment or correction factor of polynomial type. The consideration of this correction factor is made with the aim to introduce the Allee effect. To the class of generalized von Bertalanffy's functions is identified and characterized subclasses of strong and weak Allee's functions and functions with no Allee effect. This classification is founded on the concepts of strong and weak Allee's effects to population growth rates associated. A complete description of the dynamic behavior is given, where we provide necessary conditions for the occurrence of unconditional and essential extinction types. The bifurcation structures of the parameter plane are analyzed regarding the evolution of the Allee limit with the aim to understand how the transition from strong Allee effect to no Allee effect, passing through the weak Allee effect, is realized. To generalized von Bertalanffy's functions with strong and weak Allee effects is identified an Allee's effect region, to which is associated the concepts of chaotic semistability curve and Allee's bifurcation point. We verified that under some sufficient conditions, generalized von Bertalanffy's functions have a particular bifurcation structure: the big bang bifurcations of the so-called box-within-a-box type. To this family of maps, the Allee bifurcation points and the big bang bifurcation points are characterized by the symmetric of Allee's limit and by a null intrinsic growth rate. The present paper is also a significant contribution in the framework of the big bang bifurcation analysis for continuous 1D maps and unveil their relationship with the explosion birth and the extinction phenomena.

Identification and functional analysis of novel genes expressed in the Anterior Visceral Endoderm

During early vertebrate development, the correct establishment of the body axes is critical. The anterior pole of the mouse embryo is established when Distal Visceral Endoderm (DVE) cells migrate to form the Anterior Visceral Endoderm (AVE). Symmetrical expression of Lefty1, Cer1 and Dkk1 determines the direction of DVE migration and the future anterior side. In addition to the establishment of the Anterior-Posterior axis, the AVE has also been implicated in anterior neural specification. To better understand the role of the AVE in these processes, we have performed a differential screening using Affymetrix GeneChip technology with AVE cells isolated from cer1P-EGFP transgenic mouse embryos. We found 175 genes which were upregulated in the AVE and 36 genes in the Proximal-posterior sample. Using DAVID software, we characterized the AVE cell population regarding cellular component, molecular function and biological processes. Among the genes that were found to be upregulated in the AVE, several novel genes were identified. Four of these transcripts displaying high-fold change in the AVE were further characterized by in situ hybridization in early stages of development in order to validate the screening. From those four selected genes, one, denominated Adtk1, was chosen to be functionally characterized by targeted inactivation in ES cells. Adtk1 encodes for a serine/threonine kinase. Adtk1 null mutants are smaller and present short limbs due to decreased mineralization, suggesting a potential role in chondrogenesis during limb development. Taken together, these data point to the importance of reporting novel genes present in the AVE.

Impact of the cation symmetry on the mutual solubilities between water and imidazolium-based ionic liquids

Aiming at the evaluation of the impact of the ionic liquids (ILs) cation symmetry on their phase behaviour, in this work, novel mutual solubilities with water of the symmetric series of [C(n)C(n)im][NTf2] (with n=1-5) were determined and compared with their isomeric forms of the asymmetric [C(n)C(1)im][NTf2] group. While the solubility of isomeric ILs in water was found to be similar, the solubility of water in ILs follows the same trend up to a maximum cation alkyl side chain length. For n >= 4 in [C(n)C(n)im][NTf2] the solubility of water in the asymmetric ILs is slightly higher than that observed in the symmetric counterparts. The thermodynamic properties of solution and solvation derived from the experimental solubility data of ILs in water at infinite dilution, namely the Gibbs energy, enthalpy and entropy were used to evaluate the cation symmetry effect on the ILs solvation. It is shown that the solubility of ILs in water is entropically driven and highly influenced by the cation size. Accordingly, it was found that the ILs solubility in water of both symmetric and asymmetric series depends on their molecular volume. Based on these findings, a linear correlation between the logarithm of the solubility of ILs in water and their molar volume is here proposed for the [NTf2]-based ILs at a fixed temperature.