Fear Trading

Our trading strategy is inspired from the paper "implied volatility indices as leading indicators of stock index returns?", Giot (2002,[3]). It uses stylized facts observed in stock markets: the so called "leverage effect", the clustering and the mean-reverting behaviour of the implied volatility. Based on S&P100 and VIX data, we show that abnormally high levels of volatility can be used as a trading signals for long traders. A bootstrap procedure confirms the significant returns for the 1986-2003 period.VIX, trading strategy

Analysis of dependencies in low frequency financial data sets

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results indicate that even in a low-frequency framework, the common practice of assuming independence over time should be taken with caution due to the presence of GARCH effects. In addition, extreme co-movements are observed across securities, especially for interest rates.dependencies; low-frequency; monthly; copula; GARCH

Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations

In this article, we propose the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Normal innovations. We sample the parameters joint posterior distribution using the approach suggested by Nakatsuma (1998). As a first step, we fit the model to foreign exchange log-returns time series and compare the Maximum Likelihood and the Bayesian estimates. Next, we illustrate some appealing aspects of the Bayesian approach through interesting probabilistic statements made on the parameters.GARCH model; Bayesian estimation; Markov Chain Monte Carlo

TINGKAT BAHAYA EROSI DAN LIMPASAN DI SUB SUB DAS KRUENG MEULEUSONG KABUPATEN ACEH BESAR

Pengeksploitasian lahan pertanian akan menyebabkan terjadinya degradasi lahan sehingga terjadinya penurunan produktifitas lahan, lahan tidak dapat berproduksi sama sekali baik secara alami maupun dengan pengelolaan. Alih guna lahan akan mempengaruhi tata air pada DAS, konversi hutan menjadi lahan pertanian mengakibatkan penurunan fungsi hutan sehingga banyak terjadinya longsor, erosi dan banjir. Limpasan permukaan adalah aliran air yang mengalir di atas permukaan karena penuhnya kapasitas infiltrasi tanah. Semakin besar limpasan permukaan maka semakin besar pula erosi yang terjadi. Penelitian ini bertujuan untuk mengetahui tingkat bahaya erosi di Sub Sub DAS Krueng Meulesong serta menghitung besarnya limpasan yang terjadi di Sub Sub DAS Krueng Meulesong.Tahap penelitian dimulai dari pengumpulan data curah hujan tahun 2005-2014, peta penggunaan lahan, peta kemiringan lereng dan peta jenis tanah dan data debit Sub Sub DAS Krueng Meulesong, kemudian diolah menggunakan Sistem Informasi dan Geografi (SIG) menghasilkan Satuan Peta Lahan (SPL) untuk menentukan titik pengambilan sampel tanah. Tahap selanjutnya hasil pengambilan sampel tanah dianalisis di laboratorium. Pengolahan data menggunakan metode USLE untuk mengetahui besarnya erosi yang terjadi di Sub Sub DAS Krueng Meulesong, kemudian untuk mengetahui volume limpasan permukaan menggunakan metode SCS-CN dengan cara menghitung jumlah hujan 5 hari sebelumnya untuk mengetahui kandungan air tanah. Hasil penelitian menunjukan besarnya erosi yang terjadi di Sub Sub DAS Krueng Meulesong tahun 2014 adalah 148,49 ton/ha/tahun, erosi tertinggi terjadi pada SPL 2 yaitu 729,91 ton/ha/tahun dan yang paling rendah terjadi pada SPL 3 yaitu 4,29 ton/ha/tahun. Kategori tingkat bahaya erosi sangat berat, sehingga membutuhkan penangganan lebih lanjut .Volume aliran permukaan terjadi di Sub Sub DAS Krueng Meulesong tahun 2014 yang tertinggi terjadi pada SPL 4 yaitu 1.588,40 m/ha dengan penggunaan lahan padang rumput dan yang paling rendah terjadi pada SPL 3 yaitu 273,88 m/ha dengan penggunaan lahan semak belukar. Besarnya volume limpasan keseluruhan yang terjadi di Sub Sub DAS Krueng Meulesong pada tahun 2014 adalah 13,53 m/ha, dengan luas Sub Sub DAS Krueng Meulesong adalah 442,33 ha

Approximating Probability Densities by Iterated Laplace Approximations

The Laplace approximation is an old, but frequently used method to approximate integrals for Bayesian calculations. In this paper we develop an extension of the Laplace approximation, by applying it iteratively to the residual, i.e., the difference between the current approximation and the true function. The final approximation is thus a linear combination of multivariate normal densities, where the coefficients are chosen to achieve a good fit to the target distribution. We illustrate on real and artificial examples that the proposed procedure is a computationally efficient alternative to current approaches for approximation of multivariate probability densities. The R-package iterLap implementing the methods described in this article is available from the CRAN servers.Comment: to appear in Journal of Computational and Graphical Statistics, http://pubs.amstat.org/loi/jcg

PAIN MANAGEMENT IN CRITICALLY ILL-INTUBATED PATIENT: A LITERATURE REVIEW

ABSTRACTBACKGROUND: Pain is classified as one of the least understood symptom because it is a subjective conceptand only can be defined by the individual who experiencing the pain. Among critical care patients, pain alsobeing a problem to be managed. This condition based on the reason that the patients in ICU were sufferingby complex problems and considered in a life threatening condition. PURPOSE: The purposes of this studyexplore the pain management among critically-ill intubated patient.METHOD: A relevant literature searched from databases: PubMed, CINAHL, the Cochrane and ProQuest Medical Library, and Science Direct were conducted. Key words used to retrieve included pain management, pain assessment tool, intubated and unconscious patient, and critically ill patient. Searching was limited in English language, full text, and the year of publication starting from 1994. RESULTS: Twenty-four related studies were intensivelyreviewed. Firstly, the concept of pain in critical care was described. Then, the barriers of pain assessmentand management, pain related factor in intensive care unit, and pain assessment tools in critically illintubated patientare explained. Moreover, in order to develop appropriate pain management in critically illintubated patient, the pharmacological and non-pharmacological intervention are reviewed. Finally, the nursing roles and activities for appropriate pain management in critically ill-intubated patients are described later.CONCLUSION: Literatures showed that critical care nurses (CCNS) holding the roles and responsibilities to deliver appropriate pain management in critically-ill intubated patients. This requirement are important in order to relieving and diminishing pain that feel among critical care patient, in particular unconscious and uncommunicative patients who cannot provide self report regarding their pain intensity andseverity.Keywords: Pain management, pain assessment, unconscious patient, critical care, and critically-illintubatedpatient

Perceived Ability to Practice in Disaster Management Among Public Health Nurses in Aceh, Indonesia

Background: The increasing number of disaster events around the world has challenged every country to develop better disaster-management strategies. As a part of healthcare system, public health nurses (PHNs) should be involved in caring for people in disasters. Currently, there is no known study whether PHNs of Aceh, Indonesia, working with community people who are at high risk of confronting natural disasters, are able to perform their roles and functions regarding disaster management. Methods: 252 PHNs from twenty-seven public health centers in Aceh were studied during November to December 2010 to evaluate their perceived ability to practice regarding disaster management at each disaster phase: preparedness, response, and recovery phase. The perceived ability to practice was assessed by using the 30-statement, five-point Likert-scale (0-4) of Public Health Nurses' Perceived Ability to Practice Regarding Disaster Management Questionnaire (PHNPP-DMQ). The composite scores of each phase and the total score were calculated and transformed to percentage for ease of presentation across disaster phases.Results: Overall, the PHNs' perceived ability to practice regarding disaster management in Aceh was at a moderate level (M=74.57%, SD=13.27). The highest mean score was for the recovery phase (M=78%), and the lowest mean score was in the preparedness phase (66.15%).Conclusion: The finding of this study evokes challenges to the local government of Aceh province to further prepare PHNs to increase their ability in disaster management

The AdMit Package

This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and it provides an efficient sample of random draws from it, given only a kernel of the target density function. The estimation procedure is fully automatic and thus avoids the time-consuming anddifficult task of tuning a sampling algorithm. To illustrate the use of the package, we apply the AdMit methodology to a bivariate bimodal distribution. We describe the use of the functions provided by the package and document the ability and relevance of the methodology to reproduce the shape of non-elliptical distributions.importance sampling;R software;Bayesian;adaptive mixture;student-t distribution;independence chain Metropolis-Hasting algorithm

HUBUNGAN KECERDASAN EMOSIONAL DENGAN PRESTASI AKADEMIK PADA MAHASISWA KEPERAWATAN DI BANDA ACEH

Kecerdasan emosional adalah suatu kemampuan untuk memotivasi diri sendiri dan bertahan menghadapi frustasi, mengendalikan dorongan hati dan tidak melebih-lebihkan kesenangan, mengatur suasana hati dan menjaga agar beban stress tidak melumpuhkan kemampuan berpikir, berempati dan berdoa. Kecerdasan Emosional Meliputi: Kesadaran Diri, Mengelola Emosi, Memotivasi Diri, Empati dan Keterampilan Sosial. Tujuan Penelitian untuk mengetahui apakah ada hubungan antara kecerdasan emosional dengan prestasi akademik pada mahasiswa PSIK-FK Unsyiah Banda Aceh. Jenis penelitian studi korelasi, desain penelitian cross sectional study, jumlah sampel sebanyak 77 orang tehnik pengambilan sampel Simple Random Sampling. Pengumpulan data dilaksanakan pada tanggal 1–2 Mei 2012 dengan menggunakan kuesioner dalam bentuk pernyataan. Analisa data dilakukan dengan penentuan nilai patokan sebagai dasar kategori. Hasil penelitian didapatkan tidak ada hubungan antara Kecerdasan Emosional dengan Indek Prestasi Akademik pada mahasiswa PSIK-FK Unsyiah dengan nilai P-Value 0,003 ; α = 0,05. Hasil setiap subvariabel juga tidak memiliki hubungan antara kesadaran diri (P-Value=0,002), Mengelola Emosi (P-Value=0,379), Memotivasi Diri (P-Value=0,003), Empati (P-Value= 0,000), Keterampilan sosial (P-Value= 0,088) dengan Indek Prestasi Akademik. Rekomendasi kepada PSIK-FK Unsyiah agar dapat memberikan saran dan masukan kepada seluruh staf pengajar untuk meningkatkan keterampilan sosial antar sesama mahasiswa keperawatan dan sesama individu dalam bentuk tugas-tugas kelompo

Econometrics meets sentiment : an overview of methodology and applications

The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software