Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model

In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student’s-t innovation, copula functions and extreme value theory. A Bayesian Markov-switching GJR-GARCH(1,1) model that identifies non-constant volatility over time and allows the GARCH parameters to vary over time following a Markov process, is combined with copula functions and EVT to formulate the Bayesian Markov-switching GJR-GARCH(1,1) copula-EVT VaR model, which is then used to forecast the level of risk on financial asset returns. We further propose a new method for threshold selection in EVT analysis, which we term the hybrid method. Empirical and back-testing results show that the proposed VaR models capture VaR reasonably well in periods of calm and in periods of crisis

The Greek implied volatility index: construction and properties

There is a growing literature on implied volatility indices in developed markets. However, no similar research has been conducted in the context of emerging markets. In this paper, an implied volatility index (GVIX) is constructed for the fast developing Greek derivatives market. Next, the properties of GVIX are explored. In line with earlier results, GVIX can be interpreted as a gauge of the investor's sentiment. In addition, it is found that the underlying stock market can forecast the future movements of GVIX. However, the reverse relationship does not hold. Finally, a contemporaneous spillover between GVIX and the US volatility indices VXO and VXN is detected. The results have implications for portfolio management.

Bis-naphthopyrone pigments protect filamentous ascomycetes from a wide range of predators

It is thought that fungi protect themselves from predation by the production of compounds that are toxic to soil-dwelling animals. Here, we show that a nontoxic pigment, the bisnaphthopyrone aurofusarin, protects Fusarium fungi from a wide range of animal predators. We find that springtails (primitive hexapods), woodlice (crustaceans), and mealworms (insects) prefer feeding on fungi with disrupted aurofusarin synthesis, and mealworms and springtails are repelled by wheat flour amended with the fungal bis-naphthopyrones aurofusarin, viomellein, or xanthomegnin. Predation stimulates aurofusarin synthesis in several Fusarium species and viomellein synthesis in Aspergillus ochraceus. Aurofusarin displays low toxicity in mealworms, springtails, isopods, Drosophila, and insect cells, contradicting the common view that fungal defence metabolites are toxic. Our results indicate that bisnaphthopyrones are defence compounds that protect filamentous ascomycetes from predators through a mechanism that does not involve toxicity.National Natural Science Foundation of China/[21876152]//ChinaChina Scholarship Concil///ChinaMinistry for Science and Culture of Lower Saxony///GermanyGerman Academic Exchange Service///GermanyGerman Research Foundation/[DFG IRTG 2172]//GermanyUCR::Vicerrectoría de Investigación::Unidades de Investigación::Ciencias Agroalimentarias::Centro para Investigaciones en Granos y Semillas (CIGRAS

Proteomic analysis of proton beam irradiated human melanoma cells.

Proton beam irradiation is a form of advanced radiotherapy providing superior distributions of a low LET radiation dose relative to that of photon therapy for the treatment of cancer. Even though this clinical treatment has been developing for several decades, the proton radiobiology critical to the optimization of proton radiotherapy is far from being understood. Proteomic changes were analyzed in human melanoma cells treated with a sublethal dose (3 Gy) of proton beam irradiation. The results were compared with untreated cells. Two-dimensional electrophoresis was performed with mass spectrometry to identify the proteins. At the dose of 3 Gy a minimal slowdown in proliferation rate was seen, as well as some DNA damage. After allowing time for damage repair, the proteomic analysis was performed. In total 17 protein levels were found to significantly (more than 1.5 times) change: 4 downregulated and 13 upregulated. Functionally, they represent four categories: (i) DNA repair and RNA regulation (VCP, MVP, STRAP, FAB-2, Lamine A/C, GAPDH), (ii) cell survival and stress response (STRAP, MCM7, Annexin 7, MVP, Caprin-1, PDCD6, VCP, HSP70), (iii) cell metabolism (TIM, GAPDH, VCP), and (iv) cytoskeleton and motility (Moesin, Actinin 4, FAB-2, Vimentin, Annexin 7, Lamine A/C, Lamine B). A substantial decrease (2.3 x) was seen in the level of vimentin, a marker of epithelial to mesenchymal transition and the metastatic properties of melanoma