Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation

This paper conducts a comparative evaluation of the predictive performance of various Value at Risk (VaR) models such as GARCH-normal, GARCH-t, EGARCH, TGARCH models, variance-covariance method, historical simulation and filtred Historical Simulation, EVT and conditional EVT methods. Special emphasis is paid on two methodologies related to the Extreme Value Theory (EVT): The Peaks over Threshold (POT) and the Block Maxima (BM). Both estimation techniques are based on limits results for the excess distribution over high thresholds and block maxima, respectively. We apply both unconditional and conditional EVT models to management of extreme market risks in stock markets. They are applied on daily returns of the Tunisian stock exchange (BVMT) and CAC 40 indexes with the intension to compare the performance of various estimation methods on markets with different capitalization and trading practices. The sample extends over the period July 29, 1994 to December 30, 2005. We use a rolling windows of approximately four years (n= 1000 days). The sub-period from July, 1998 for BVMT (from August 4, 1998 for CAC 40) has been reserved for backtesting purposes. The results we report demonstrate that conditional POT-EVT method produces the most accurate forecasts of extreme losses both for standard and more extreme VaR quantiles. The conditional block maxima EVT method is less accurate

Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation

This paper conducts a comparative evaluation of the predictive performance of various Value at Risk (VaR) models such as GARCH-normal, GARCH-t, EGARCH, TGARCH models, variance-covariance method, historical simulation and filtred Historical Simulation, EVT and conditional EVT methods. Special emphasis is paid on two methodologies related to the Extreme Value Theory (EVT): The Peaks over Threshold (POT) and the Block Maxima (BM). Both estimation techniques are based on limits results for the excess distribution over high thresholds and block maxima, respectively. We apply both unconditional and conditional EVT models to management of extreme market risks in stock markets. They are applied on daily returns of the Tunisian stock exchange (BVMT) and CAC 40 indexes with the intension to compare the performance of various estimation methods on markets with different capitalization and trading practices. The sample extends over the period July 29, 1994 to December 30, 2005. We use a rolling windows of approximately four years (n= 1000 days). The sub-period from July, 1998 for BVMT (from August 4, 1998 for CAC 40) has been reserved for backtesting purposes. The results we report demonstrate that conditional POT-EVT method produces the most accurate forecasts of extreme losses both for standard and more extreme VaR quantiles. The conditional block maxima EVT method is less accurate

Resiliency of Smart Power Meters to Common Security Attacks

AbstractThe development of Smart Grid power systems is gaining momentum in many countries leading to massive deployment of smart meters to realize the envisioned benefits. However, there are several concerns among the consumer communities and the service providers with respect to information security when it comes to the deployment of smart meters. This paper attempts to address the main challenge related to smart grid information security by examining the resiliency of smart meters to security threats and attacks. Several common information security attacks are being used to study their impact on the performance of smart meters in a controlled laboratory environment. Results obtained showed drastic effect on the functionality of smart meters and their associated data gathering servers

Economic resilience in developing countries: The role of democracy in the face of external shocks

Objective: The objective of this article is to examine the role of democracy in strengthening the resilience of developing economies in the face of exogenous negative external shocks. Research Design & Methods: To achieve our research objectives, we used the duration model to estimate how democracy can determine the probable duration of an economic growth spell. Findings: By examining a panel of 96 developing countries observed in 1965-2015, we found that democracy is a resilience factor, insofar as it helps to support growth spells in the event of negative external shocks. The results show that an improvement in democracy score is associated with an increase in the expected duration of a growth spell. The second finding is that some dimensions of democratic institutions like political participation and egalitarian inclusion can lead to a sustainable economic growth. Implications & Recommendations: The benefits of democracy for improving living standards in developing coutries. The study should be subject to further research as more variables that account for major shocks could be considered, such as political and civil unrest, internal conflicts, or natural disasters. These shocks may occur during a growth period and cause very serious disruptive effects. Contribution & Value Added: The originality of this work lies in studying the role of democracy in the face of exogenous negative external shocks through the duration model which represents an original empirical study

Chocs externes, Institutions démocratiques et Résilience économique

This paper examines the role of democracy in strengthening the resilience of developing economies in the face of exogenous external shocks. Our study uses the duration model to estimate how external shocks and democracy determine the probable duration of a spell of economic growth. Examining a panel of 96 developing countries observed over the 1965-2015 period, we found that democracy is a resilience factor, insofar as it helps to support growth spells in the event of negative external shocks

Democratic transition and foreign direct investment: Transition process matters

This paper provides evidence on the relationship between foreign direct investment (FDI) and democratic transition. We propose first an econometric analysis of the determinants of the democratization process through a "probit" model. We consider a sample of 173 countries, with 44 that have experienced a democratic transition over the period 1980-2010. Our results reveal that variables related to human development and individual freedom facilitate the initiation of the democratic process in contrast to those related to social heterogeneity. In the second part, we study the impact of the democratic transition on FDI inflows. In order to avoid endogeneity, we limit the analysis to countries in transition and similar ones deduced from a matching process carried out after the first part. Our results confirm that democratic transitions lead to a significant increase in FDI inflow

Radial neck fracture in children: anatomic and functional results of Metaizeau technique

Fractures of the radial neck accounts for 1% of all childhood fractures and 5% to 10% of childhood traumatic lesions involving the elbow. Intramedullary percutaneous nail reduction (Metaizeau technique) is considered the most effective surgical technique. The purpose of this study was to identify the main clinical features of radial neck fracture in children and to evaluate the anatomical and functional results of the Metaizeau technique. In this retrospective study, we evaluated 22 patients under the age of 16 who were treated for radial neck fracture at the orthopedic and trauma surgery department of Sahloul University Hospital in Sousse over a period of 16 years from January 2001 to April 2017. Authors used Metaizeau classification. Functional results were evaluated by Mayo elbow performance score (MEPS) and the radiological evaluation was based on standard images with measurement of the residual rocker. The average age was 8.6 years (5-13 years). Seven fracture were grade III injuries and three grade IV. In the immediate postoperative period, radiological measurements showed a residual rocker less than 20° in 86.3% and more than 20° in 13.7% of cases. At an average follow-up of 13 months and a half, the MEPS score was excellent and good for 17 patients. Four types of complications were found: necrosis of the radial head in 1 case, pseudarthrosis in 1 case, periarticular calcification in 2 cases and stiff-ness of the elbow in 3 cases. Despite the small number of patients in our series, we believe that the elastic stable intramedullary pinning according to the Metaizeau technique is the treatment of choice for displaced radial neck fractures in children

Rotavirus Strain Diversity in the Centre Coast of Tunisia from 2000 through 2003

An epidemiological survey investigating rotavirus infection in children was undertaken in the coastal region of Tunisia from January 2000 through September 2003. A total of 309 fecal specimens were screened by enzyme-linked immunosorbent assay and latex agglutination assay for the presence of group A rotavirus antigen. The detection rate was 26.2%. Rotavirus outbreaks showed a temperature-dependant pattern (P= .026) but no significant association with rainfall. Rotavirus strains isolated were analyzed by RNA polyacrylamide gel electrophoresis and were characterized antigenically by monoclonal antibodies to the VP6 subgroup. Eight RNA electropherotypes were identified, with 3 long and 5 short different RNA profiles. Among VP6 typeable strains, all isolates with a long electrophoretic pattern carried the subgroup II specificity, whereas those with a short profile belonged to subgroup I. In total, 48 rotavirus-positive samples were analyzed for G and P typing by reverse-transcription polymerase chain reaction. A total of 8 different G and P combinations were found: G1P[8] (35.7%), G1P[6] (21.4%), G2P[4] (4.8%), G3P[4] (4.8%), G4P[6] (4.8%), G8P[8] (4.8%), G3P[8] (2.3%), and G4P[8] (2.3%). Mixed infections were detected in 19.1% of stool samples. The emergence in Tunisia of unconventional types, such as G8VP7 specificity, highlights the need for a continual survey of the uncommon strains in North Afric

Training and fitness variability in elite youth soccer:perspectives from a difficulty prediction model

Research within sport science disciplines seeks to enhance performance via the combination of factors that influences the team’s periodization. The current study aimed to investigate the variations in training load (TL), and the consequential changes in fitness variables, based on the use of match difficulty prediction model (MDP), level of opposition (LOP), days between matches, and match location during 12 weeks in the competitive period I. Seventeen elite soccer players (age = 17.57 ± 0.49 years; body height 1.79 ± 0.05 m; body weight 72.21 ± 6.96 kg), have completed a Yo-Yo intermittent recovery test, a running-based anaerobic sprint test, a soccer-specific repeated sprint ability, and a vertical jump test to identify changes in players fitness. TL was determined by multiplying the RPE of the session by its duration in minutes (s-RPE). Training monotony, strain, and acute:chronic workload ratio (ACWR) were also assessed. A simple regression model was conducted and the highest variances explained (R2) were used. The LOP score explained most of the variance in ACWR (r= 0.606, R2=0.37). TL declined significantly when compared the match-day by the first three days and the last three days of the week. No significant difference was found in s-RPE between the high and low MDP factor. Strong negative correlations were reported between ACWR and LOP (r=-0.714, p<.01). In addition, we found a significant improvement in repeated sprint ability, aerobic and anaerobic fitness variables between pre- and post-test in fatigue index (d=1.104), best testing time, ideal time, total time and mean-best (d=0.518-0.550), and aerobic and anaerobic fitness variables (p<.05), respectively. The MDP could facilitate the training prescription as well as the distribution of training intensities with high specificity, providing a long-term youth player’s development and allowing teams to maintain optimal fitness leading into more difficult matches

The Effect of a 12-Week Moderate Intensity Interval Training Program on the Antioxidant Defense Capability and Lipid Profile in Men Smoking Cigarettes or Hookah: A Cohort Study

Aim. To examine the impact of interval training program on the antioxidant defense capability and lipid profile in men smoking cigarettes or hookah unable or unwilling to quit smoking. Methods. Thirty-five participants performed an interval training (2 : 1 work : rest ratio) 3 times a week for 12 weeks at an intensity of 70% of VO2max. All subjects were subjected to a biochemical test session before and after the training program. Results. The increase of total antioxidant status (TAS), glutathione peroxidase (GPx), and α-tocopherol, is significant only for cigarette smokers (CS) and hookah smokers (HS) groups. The decrease of malondialdehyde (MDA) and the increase of glutathione reductase (GR) are more pronounced in smokers groups compared to those of nonsmokers (NS). Superoxide dismutase (SOD) increases in NS, CS, and HS groups by 10.1%, 19.5%, and 13.3%, respectively (P<0.001). Likewise, a significant improvement of high-density lipoprotein cholesterol (HDL-C) and TC/HDL-C ratio was observed in CS and HS groups (P<0.05). Conclusion. Although the interval training program does not have a significant effect on blood lipid levels, it seems to be very beneficial in the defense and prevention programs of oxidative stress