Value-at-Risk forecasting with different quantile regression models

Forecasting volatility and Value-at-Risk (VaR) are popular topics of study in econometrical finance. Their popularity can likely be attributed to the statistical challenges related to producing reliable VaR estimates across a wide array of assets and data series. As many financial assets offer unique statistical properties, it has proven to be a difficult task to find a model reliable enough to be considered accepted as the best method. This study focuses on the problem of forecasting volatility and one-day-ahead VaR. The thesis has two main purposes. Firstly, we want to further examine the performance of linear quantile regression models in VaR forecasting against more established models as benchmarks. Secondly, we want to compare the performance between each of the three quantile regression models to see which one performs the best. The three quantile regression models in question are HAR-QR, EWMA-QR and GARCH(1,1) QR. Our findings strongly support the conclusion that quantile regression outperforms the three benchmark models in predicting one-day-ahead VaR for all of the five assets examined. When subjected to coverage tests for both unconditional and conditional coverage each quantile regression delivered perfect unconditional coverage. However, only the HAR-QR model delivered perfect conditional coverage and thus performed the best of the three models. The benchmarks models RiskMetrics, GARCH(1,1) and Historical Simulation showed particular problems with estimating the left tail quantiles of the distribution. The study shows that compared to the QR approach, these models fail to capture time variant volatility and the negative skewness and leptokurtosis that is present in the assets return distributions.M-Ø

Nordic digital identification (eID)

This publication presents the survey results and policy recommendations of a Nordic study of national eID-systems. The countries that have been studied are Denmark, Finland, Iceland, Norway and Sweden. The aim of the study is to facilitate and lay a foundation for discussions about the similarities and differences in legal, organisational, technical and data approaches taken by the different countries. The survey data has been gathered with the assistance of the members of a project reference group. The data has been analysed and structured into a number of highlighted issues (chapter 1). The highlighted issues have been in turn used as baseline for a set of recommendations (chapter 9). The Nordic Council of Ministers has provided funding and facilitated the staffing of the reference group. The Norwegian Agency for Public Management and e-Government, Difi, has been the project owner and provided project resources

Underwater archaeobotany : plant and wood analyses from the Vrouw Maria, a 1771 shipwreck in the Finnish Baltic Sea

Archaeobotanical analyses together with historical records can provide unique information about the cargoes and histories of sunken ships, which are found as wrecks at the bottom of the seas all over the world. An interdisciplinary research project was undertaken on the Vrouw Maria (Lady Mary), a Dutch wooden two-masted merchant ship that sank on October 9th in 1771 in the Finnish Baltic Sea. She rested at a depth of 41 m and was in good condition when discovered. Based on written sources and archaeological research, the ship was carrying a valuable cargo including, for example, sugar, dyes, cloth, porcelain, wood and goods that the Russian nobility had ordered. Among them were paintings that the Russian Empress Catherine the Great (1729-1796) had bought at an auction in Amsterdam. Samples from four wooden barrels and from one wooden packing crate among the ship's cargo were investigated. Botanical analysis revealed products such as stimulants, dyes and fruits originating from the Mediterranean, India, Africa and South America. One of the most intriguing finds from the cargo was Indigofera tinctoria L. (true indigo), a valuable dye plant. Our paper presents the botanical data analysed from the barrels and summarizes the plants mentioned in the historical records on the cargo of the Vrouw Maria.Peer reviewe

Utvikling og kvalitet i kommunal beredskap

I etterkant av terrorangrepet den 22. juli kom samfunnssikkerhet på dagsordenen, og det ble brukt mye ressurser på kort tid for å forbedre det norske beredskapsapparatet. Mange av disse tiltakene var fokusert på høyere organisatoriske plan, og ikke på lokale og regionale strukturer. Formålet for dette prosjektet var å undersøke i hvilken grad utviklingen innenfor kommunal beredskap siden 2011 har hevet kvaliteten til det kommunale beredskapsarbeidet på landsbasis, og hvorvidt endringene har utbedret manglene som omhandlet beredskapsplanlegging utpekt av 22. juli kommisjonen. For å måle kvalitet ble åtte retningslinjer for effektiv beredskapsplanlegging, presentert av Engen m. fl., valgt ut. Deretter ble det gjennomført en dokumentstudie av stortingsmeldingene om samfunnssikkerhet fra 2001-2021 og kommuneundersøkelsene fra 2010-2021. Resultatene fra dokumentanalysen ble samlet opp og presentert. Her ble tre overordnede strategiske initiativer og fire ulike kategorier av utviklingstrender identifisert. Det ble også gjennomført tre intervjuer med kommunalt og regionalt beredskapspersonell, for å nyansere de overordnede trendene som ble avdekket i dokumentanalysen. Datamaterialet viser at det kommunale beredskapsapparatet har gått gjennom en positiv utvikling i forhold til deres kunnskap om risiko, grad av samvirke og kontinuitet i beredskapsarbeidet. Videre er det svake indikatorer som peker mot en positiv utvikling innenfor bruk av generelle prinsipper samt samlet og individuell trening av beredskapsplaner. I forhold til manglene utpekt av 22. juli kommisjonen har det vært en forbedring innenfor koordinering og samvirke. Det er også indikatorer som tilsier at evnen til å erkjenne risiko og lære fra øvelser samt evnen til å bruke eksisterende planverk, har blitt forbedret. Det ser ut til at få av endringene innenfor kommunal beredskap kan knyttes direkte til 22. juli, og at de heller er fortsettelsen av allerede eksisterende trender. Datagrunnlaget for å beskrive utviklingen innenfor kommunal beredskap er dog svakt, og det burde gjøres mer forskning innenfor dette tema i fremtiden

Light drinking in pregnancy, a risk for behavioural problems and cognitive deficits at 3 years of age?

Background The objective of this study was to determine whether there was an association between mothers’ light drinking during pregnancy and risk of behavioural problems, and cognitive deficits in their children at age 3 years. Methods Data from the first two sweeps of the nationally representative prospective UK Millennium Cohort study were used. Drinking patterns during pregnancy and behavioural and cognitive outcomes were assessed during interviews and home visits. Behavioural problems were indicated by scores falling above defined clinically 15 relevant cut-offs on the parent-report version of the Strengths and Difficulties Questionnaire (SDQ). Cognitive ability was assessed using the naming vocabulary subscale from the British Ability Scale (BAS) and the Bracken School Readiness Assessment (BSRA). Results There was a J-shaped relationship between mothers drinking 20 during pregnancy and the likelihood of high scores (above the cut-off) on the total difficulties scale of the SDQ and the conduct problems, hyperactivity and emotional symptom SDQ subscales. Children born to light drinkers were less likely to score above the cut-offs compared with children of abstinent mothers. Children 25 born to heavy drinkers were more likely to score above the cut-offs compared with children of abstinent mothers. Boys born to mothers who had up to 1–2 drinks per week or per occasion were less likely to have conduct problems (OR 0.59, 95% CI 0.45–0.77) and hyperactivity (OR 0.71, 95% CI 0.54–0.94). These effects remained 30 in fully adjusted models. Girls were less likely to have emotional symptoms (OR 0.72, 95% CI 0.51–1.01) and peer problems (OR 0.68, 95% CI 0.52–0.92) compared with those born to abstainers. These effects were attenuated in fully adjusted models. Boys born to light drinkers had higher cognitive ability test scores [standard 35 deviations, (95% CI)] BAS 0.15 (0.08–0.23) BSRA 0.24 (0.16–0.32) compared with boys born to abstainers. The difference for BAS was attenuated on adjustment for socio-economic factors, whilst the difference for BSRA remained statistically significant. Conclusions Children born to mothers who drank up to 1–2 drinks per week or per occasion during pregnancy were not at increased risk of clinically relevant behavioural difficulties or cognitive deficits compared with children of abstinent mothers. Heavy drinking 5 during pregnancy appears to be associated with behavioural problems and cognitive deficits in offspring at age 3 years whereas light drinking does not

Underwater archaeobotany: plant and wood analyses from the Vrouw Maria, a 1771 shipwreck in the Finnish Baltic Sea

Archaeobotanical analyses together with historical records can provide unique information about the cargoes and histories of sunken ships, which are found as wrecks at the bottom of the seas all over the world. An interdisciplinary research project was undertaken on the Vrouw Maria (Lady Mary), a Dutch wooden two-masted merchant ship that sank on October 9th in 1771 in the Finnish Baltic Sea. She rested at a depth of 41 m and was in good condition when discovered. Based on written sources and archaeological research, the ship was carrying a valuable cargo including, for example, sugar, dyes, cloth, porcelain, wood and goods that the Russian nobility had ordered. Among them were paintings that the Russian Empress Catherine the Great (1729–1796) had bought at an auction in Amsterdam. Samples from four wooden barrels and from one wooden packing crate among the ship’s cargo were investigated. Botanical analysis revealed products such as stimulants, dyes and fruits originating from the Mediterranean, India, Africa and South America. One of the most intriguing finds from the cargo was Indigofera tinctoria L. (true indigo), a valuable dye plant. Our paper presents the botanical data analysed from the barrels and summarizes the plants mentioned in the historical records on the cargo of the Vrouw Maria.</p

School self-evaluation and its impact on teachers’ work in England

This study, based on in-depth interview data from a sample of schools in the midlands of England, offers an analysis of UK teachers’ perceptions and understandings of school self evaluation at a point when national accountability procedures have required that all schools complete and constantly update a web-based self evaluation schedule, which is then used as the basis for high stakes external inspection. School systems and cultures of self evaluation were found to be diverse, complex and school-specific. Three broad cultural categories are proposed as a heuristic to illuminate: issues of compliance and resistance, teacher motivation and behaviours, understandings of professionalism and leadership, school ethos, job satisfaction, and the use and interpretation of school level data in relation to school self evaluation

Dopamine agonist serum concentrations and impulse control disorders in Parkinson's disease

Background and purpose: Impulse control disorders (ICDs) are common among Parkinson's disease patients using dopamine agonists. We wanted to determine whether ICD patients have higher dopamine agonist serum concentrations than those without any sign of ICD. Methods: Patients who used either pramipexole or ropinirole depot once daily were screened for ICDs using the validated Questionnaire for Impulsive-Compulsive Disorders in Parkinson's Disease–Rating Scale. Those who scored above the cut-off for one or more of the four defined ICDs (gambling, compulsive sexual behavior, compulsive shopping, and binge-eating) were compared in a case–control study to patients who scored zero points (no evidence of ICD) on the same items. They were examined clinically and evaluated using relevant scales. Three blood samples were taken on the same day: before daily dose, and then 6 and 12 h later. Results: Forty-six patients were included: 19 ICD-positive and 27 controls. Ropinirole serum concentrations 6 h after daily intake (Cmax) were higher in the case group compared to the control group, as was the daily ropinirole dosage. No differences were observed in serum concentrations, dosage or total drug exposure for pramipexole. Disease duration and length of dopamine agonist treatment was significantly longer among ICD patients for ropinirole, but not for pramipexole. Conclusions: The use of pramipexole may in itself confer high ICD risk, whereas ICDs among ropinirole users depend more on serum concentration and drug exposure. The pharmacokinetic properties of ropinirole make it challenging to predict its effects on patients, which supports the need for therapeutic drug monitoring to reduce risk of ICD

A New Classification for Idiopathic Genu Vara

PURPOSE: Past classification for the treatment of idiopathic genu vara depended simply on the measurement of distance between the knees, without attention to the rotational profile of the lower extremity. We retrospectively analyzed anatomical causes of idiopathic genu vara. PATIENTS AND METHODS: Twenty eight patients with idiopathic genu vara were included in this study. All patients were surgically treated. To evaluate the angular deformity, a standing orthoroentgenogram was taken and the lateral distal femoral angle and the medial proximal tibial angle were measured. In order to assess any accompanying torsional deformity, both femoral anteversion and tibial external rotation were measured using computerized tomographic scans. A derotational osteotomy was performed at the femur or tibia to correct rotational deformity, and a correctional osteotomy was performed at the tibia to correct angular deformity. RESULTS: Satisfactory functional results were obtained in all cases. Genu vara was divided into 3 groups according to the nature of the deformity; group 1 (6 patients) with increased femoral anteversion, group 2 (10 patients) with proximal tibial varus deformity alone, and group 3 (12 patients) with proximal tibial varus deformity accompanied by increased external tibial rotation. CONCLUSION: The success seen in our cases highlights the importance of an accurate preoperative analysis that accounts for both rotational and angular deformities that may underlie idiopathic genu vara.ope

Examination of the cut-off scores determined by the Ages and Stages Questionnaire in a population-based sample of 6 month-old Norwegian infants

<p>Abstract</p> <p>Background</p> <p>Few population-based samples have previously published performance on the Ages and Stages Questionnaire (ASQ), a recommended screening tool to detect infant developmental delay. The aim of the study was to investigate performance on the ASQ in a population-based sample of 6-month-old infants.</p> <p>Methods</p> <p>In this population-based questionnaire study from Oslo, Norway, the 30 item ASQ 6 month Questionnaire (N = 1053) were included, however without the pictograms, and compared to the Norwegian reference sample (N.ref) (N = 169) and to US cut-off values. Exclusion criteria were maternal non-Scandinavian ethnicity, infant age < 5.0 or > 7.0 months (corrected age), twins, and birth weight < 2.5 kg. Cut-off = 2.5 percentile (equivalent to mean minus 2 standard deviations). Pearson's Chi square and Mann-Whitney U were used to compare items and areas, respectively, with N.ref.</p> <p>Results</p> <p>The reported ASQ scores were lower on all but one of the 10 significantly different items, and in all areas except Personal social, compared to the N.ref sample. The estimated cut-off values for suspected developmental delay (Communication 25, Gross motor 15, Fine motor 18, Problem solving 25 and Personal social 20) were lower than the recommended American (US) values in all areas, and lower than the Norwegian values in two areas. Scores indicating need for further assessment were reached by 13.8% or 20.5% of the infants (missing items scored according to the US or the Norwegian manual), and by 33.8% or 30.3% of the infants using the recommended US or the Norwegian cut-off values, in this population-based sample. The Fine motor area demonstrated a large variability depending on the different cut-off and scoring possibilities. Both among the items excluding pictograms and the items that do not have pictograms, approximately every third item differed significantly compared to the N.ref sample.</p> <p>Conclusion</p> <p>The psychomotor developmental scores were lower than in the reference samples in this study of ASQ 6 month Questionnaire; to our knowledge the first study to be both representative and comparatively large. Approximately every third child with birth weight above 2.5 kg, received scores suggesting further assessment using recommended ASQ cut-off scores.</p