Copulas and bivariate risk measures : an application to hedge funds

With hedge funds, managers develop risk management models that mainly aim to play on the effect of decorrelation. In order to achieve this goal , companies use the correlation coefficient as an indicator for measuring dependencies existing between (i) the various hedge funds strategies and share index returns and (ii) hedge funds strategies against each other. Otherwise, copulas are a statistic tool to model the dependence in a realistic and less restrictive way, taking better account of the stylized facts in finance. This paper is a practical implementation of the copulas theory to model dependence between different hedge fund strategies and share index returns and between these strategies in relation to each other on a "normal" period and a period during which the market trend is downward. Our approach based on copulas allows us to determine the bivariate VaR level curves and to study extremal dependence between hedge funds strategies and share index returns through the use of some tail dependence measures which can be made into useful portfolio management tools.Hedge fund strategies, share index, dependence, copula, tail dependence, bivariate Value at Risk

La rupture et la violation du contrat psychologique : distinction conceptuelle et conséquences sur les comportements de citoyenneté organisationnelle et l'intention de départ volontaire

La rupture et la violation du contrat psychologique sont deux notions proches mais conceptuellement distinctes. La rupture est la perception cognitive que l’organisation a échoué à réaliser une ou plusieurs des obligations objets du contrat. Quant à la violation, elle désigne un état affectif et émotionnel négatif, caractérisé par la déception et la colère et susceptible d’accompagner la perception de rupture. L’objectif de cet article est de valider empiriquement cette distinction. Les résultats montrent que les conséquences de la rupture sur les comportements de citoyenneté organisationnelle et l’intention de départ volontaire sont distinctes de celles de la violation : la violation est directement et négativement associée aux comportements de citoyenneté alors que les effets de la rupture sont médiatisés par la satisfaction au travail. L’effet négatif de la rupture des obligations transactionnelles sur l’intention de départ est plus intense que celui de la violation, vu le caractère transactionnel de la relation d’échange. Enfin, la sensibilité à l’équité modère le lien entre la violation et les comportements de citoyenneté profitant à l’organisation ainsi que le lien entre la rupture et les comportements de citoyenneté orientés vers les individus dans l’organisation

Bayesian Elastic Net based on Empirical Likelihood

Empirical likelihood is a popular nonparametric method for inference and estimation. In this article, we propose a Bayesian elastic net model that is based on empirical likelihood for variable selection. The proposed method incorporates interpretability and robustness from Bayesian empirical likelihood approach. We derive asymptotic distributions of coefficients for credible intervals. The posterior distribution of Bayesian empirical likelihood does not have a closed-form analytic expression and has nonconvex domain, which causes implementation of MCMC challenging. To solve this problem, we implement the Hamiltonian Monte Carlo approach. Simulation studies and real data analysis demonstrate the advantages of the proposed method in variable selection and prediction accuracy

Catalytic Degradation of 4-Ethylpyridine in Water by Heterogeneous Photo-Fenton Process

In this work, the degradation of 4-ethylpyridine (4EP) in water by a heterogeneous photo-Fenton process (H2O2/Fe3O4/ultraviolet irradiation (UV)) was investigated. More rapid and effective 4EP degradation was obtained with H2O2/Fe3O4/UV than Fenton-like (H2O2/Fe3O4) and UV/H2O2, which is due to the larger production of hydroxyl radicals from the chemical and photolytic decomposition of H2O2. The operational conditions were varied during 4EP degradation experiments to evaluate the effects of pH, catalyst, concentration, and temperature on the kinetics and efficiency of H2O2/Fe3O4/UV oxidation. Under optimal conditions (100 mg/L 4EP, [H2O2] = 1000 mg/L, Fe3O4 = 40 mg/L, pH = 3 and room temperature, 300 rpm), 4EP was totally declined and more than 93% of the total organic carbon (TOC) was eliminated. Liquid chromatography analysis confirmed the formation of aromatic and aliphatic intermediates (4-hydroxypyridine, 4-pyridone, malonic, oxalic, and formic acids) that resulted in being mineralized. Ion chromatography analysis demonstrated the stoichiometric release of NH4+ ions during 4EP degradation by heterogeneous photo-Fenton oxidation. The reuse of the heterogeneous catalyst was evaluated after chemical and heat treatment at different temperatures. The heat-treated catalyst at 500 °C presented similar activity than the pristine Fe3O4. Accordingly, heterogeneous photo-Fenton oxidation can be an alternative method to treat wastewaters and groundwater contaminated with pyridine derivatives and other organic micropollutants. The combination of heterogeneous photo-Fenton oxidation with classical biological methods can be proposed to reduce the overall cost of the treatment in large-scale water treatment plants. View Full-TextQatar National Librar

Teatcher’s Methods of Dealing with Stubborn Student

تهدف الدّراسة الحالية إلى الكشف عن أساليب تعامل المعلّم مع التّلميذ العنيد، والكشف عن الاختلاف الذي يمكن أن يكون بين المعلمين في الأساليب المستخدمة، وقد اتّبغت الدراسة وفق خطوات المنهج الوصفي، معتمدة على الاستكشاف ومنه إلى المقارنة وقد حدد لها 230 معلما كعينة. جمعت بيانات الدراسة باستخدام أداتين قامت الطالبة ببنائهما. أما عن النتائج ، فقد توصلت الدراسة إلى أن المعلمين يستخدمون الأسلوب المرن في تعاملهم مع التلميذ العنيد بنسبة 68.26 % ، بينما يستخدمون الأسلوب المتشدد بنسبة 31.73% ؛كما توصلت الدراسة إلى وجود اختلاف في أساليب تعامل المعلمين مع التلميذ العنيد باختلاف طبيعة تكوينهم، بينما لم تتوصل إلى إيجاد اختلاف في أساليب تعامل المعلمين مع التلميذ العنيد باختلاف لغتهم في التدريس، وأقدميتهم في التعليم، وجنسهمThe study aims at uncovering the teacher's methods of dealing with the stubborn student and revealing the difference that may be among the teachers in the methods used. The study went according to the steps of the descriptive approach, based on the exploration and from it to the comparison and has identified 230 teachers as a sample, the study data were collected using two tools built by the student. The results of the study showed that teachers use the flexible method in dealing with the stubborn student by 68.26% while using the hard method at 31.73%, the study also found a difference in the methods of dealing with the stubborn student according to the nature of their composition, to find a difference in the methods of dealing with teacher's stubborn student by different language in teaching, and their senior in education, and gende

Imageries spectroscopique et optique de la dynamique spatio-temporelle de la transition de spin induite par la température ou par une impulsion laser

Les matériaux à transition de spin présentent un fort potentiel industriel en raison de la possibilité de modulation de leurs propriétés magnétiques, optiques, électriques et mécaniques. Ces propriétés liées à la transition de spin sont principalement caractérisées et étudiées grâce à plusieurs techniques habituelles telles que la spectroscopie Mössbauer, la diffraction des rayons X, mesure d'aimantation ou d'absorption optique etc. En revanche, la distribution spatiale et temporelle des états de spin au cours de la transition a été très peu étudiée dans la littérature. Par conséquent, l'objectif de ce travail consiste à étudier la dynamique spatio-temporelle de la transition de spin induite par la température ou par une impulsion optique (nanoseconde). L'échantillon principalement étudié est le composé [FeII(bapbpy)(NCS)2] où le "bapbpy" correspond au ligand N-(6-(6-(pyridin-2-ylamino)pyridin-2-yl)pyridin-2-yl)pyridin-2-amine. Ce composé présente une transition de spin thermo-induite en deux étapes et possède une forte coopérativité car ces deux transitions sont du premier ordre, présentant chacune une hystérésis. De plus, des études comparatives avec un deuxième composé faiblement coopératif ont été réalisées et nous ont permis de discuter la dynamique spatio-temporelle en fonction de la force de coopérativité des systèmes. La dynamique de la transition de spin en fonction de la température a été caractérisée par microscopie optique et par cartographie Raman dans des monocristaux. Nous avons réussi à imager la séparation des phases haut spin (HS) et bas spin (BS) au cours de la transition de spin et à obtenir une signature à la fois spectroscopique et optique de la coexistence des " domaines de spin " de taille micrométrique. Grâce à cette étude, nous avons mis en évidence un mécanisme de nucléation hétérogène favorisée par des inhomogénéités structurales (bords du cristal, dislocations, défauts, etc.). Cette nucléation est suivie d'une croissance anisotrope des " domaines de spin " avec une vitesse de l'ordre de quelques micromètres par seconde. L'effet prédominant des défauts structuraux sur la dynamique spatio-temporelle de la transition de spin thermo-induite nous a conduits à étudier la possibilité de concevoir des sites de nucléation artificiels. Dans cet objectif, des défauts microstructuraux par ablation laser ont été créés. Ces défauts ont pour effet de baisser la barrière énergétique de la nucléation et, par conséquent, la température de transition ainsi que la largeur de l'hystérésis sont modifiées. Cette modification des sites de nucléation a permis également de générer un changement dans la direction de propagation des phases HS et BS. Ainsi, un contrôle de la dynamique spatio-temporelle est démontré pour la première fois dans les composés à transition de spin. La seconde partie de ces travaux a été réalisée sur l'étude de la transition de spin induite par une impulsion laser. En effet, à l'aide d'une impulsion laser (0,1 microJ, 4 ns, 532 nm) focalisée sur une petite zone de quelques micromètres, nous avons réussi à faire commuter des cristaux entiers grâce à un phénomène d'auto-amplification. Des observations importantes sur la taille critique du domaine induit par l'impulsion laser et sur la dynamique des parois de ces domaines ont pu être rapportées. Nous avons ainsi déterminé le rôle crucial des contraintes élastiques locales dans la stabilisation des domaines de spin. Ces études ouvrent de nouvelles perspectives pour la réalisation de systèmes photo-commutables à très fort rendement quantique grâce aux effets coopératifs intrinsèques des matériaux à transition de spin.Molecular spin crossover (SCO) complexes are benchmark examples of materials exhibiting bistability and associated structural phase transitions. The spin crossover phenomenon can be triggered by a variety of external perturbations (temperature change, laser pulse, etc.) and entails a spectacular change of different physical properties: color, density, magnetic susceptibility and so on. This phenomenon has been deeply characterized using Mössbauer spectroscopy, X-ray diffraction, as well as magnetic and optical methods. However, the in situ observations of the nucleation, the evolution of the phase boundaries and the associated changes of the microstructure have been scarcely reported in spin crossover solids. Much remains unknown concerning the nucleation and growth kinetics for cooperative SCO systems. In this context, we aimed to study the spatial and temporal dynamics of the spin transition using Raman spectral and optical imaging of micro-sized single crystals. For our experiments we have chosen the molecular spin crossover compound [FeII(bapbpy)(NCS)2] (bapbpy = N-(6-(6-(pyridin-2-ylamino)pyridin-2-yl)pyridin-2-yl)pyridin-2-amine). This compound shows a two-step spin transition between the high spin (HS) and low spin (LS) states, where both steps are of first order and accompanied by a hysteresis loop. Optical microscopy studies on this compound allowed us to observe the heterogeneous nucleation of different spin domains and to clearly follow their propagation in single crystals. These results were confirmed by Raman spectroscopy and provided us with clear-cut spectroscopic evidence of the coexistence of micro-sized spin state domains. The use of different optical contrast techniques allowed us to determine the velocity of the domain barrier, which was typically around a few micrometers per second. We also carried out also comparative studies of a non cooperative compound [Fe(Meta'Me2(bapbpy)(NCS)2]. In line with the very gradual character of the SCO in this compound, its spin crossover process is accomplished in a homogenous manner without discernible domain formation. These reproducible observations suggest that it may be possible to modulate or even to control the spatiotemporal development of the SCO phenomenon. We demonstrate that it is possible to radically change the spatiotemporal dynamics of a first-order structural phase transition by ablating micrometric surface-relief defects in the crystal surface of [Fe(bapbpy)(NCS)2]. The idea is to ablate a microstructural defect where the nucleation barrier is reduced to such an extent that nucleation occurs preferentially at this site and the new phase is thus expected to propagate from this new point throughout the crystal. So, we report on pre-determined nucleation, guided motion, and trapping of the phase boundary. In parallel, we also studied the spin transition induced by a single nanosecond laser pulse. We carried out a conceptually new investigation where the phase transition was triggered by a spatially localized laser pulse within a comparatively large single crystal. The application of the laser pulse leads to the switching of the molecules from the LS to the HS state and a micro-sized HS nucleus is formed in the photo-excited volume. We show that the whole crystal can be transformed to the new phase from this initial domain thanks to a stress-driven self-amplification process. We point out that the key control parameter for the stability of the laser-induced initial domain is the accommodation strain energy. These results have broad implications for the field of photo induced phase transitions. They reveal that the stress-driven phase boundary motion can be a very efficient, but at the same time a rather slow stage of the overall switching process in cooperative systems

DIC TEXTURING-ASSISTED ACCELERATED SOLVENT EXTRACTION OF ACTIVE MOLECULES OF POMEGRANATE PEEL

The current work discusses the use of Instant Controlled Pressure Drop (DIC) as a pretreatment texturing stage intensifying phenolic compound extraction from South Tunisian Punicagranatum L. peels in both cases of conventional and Accelerated Solvent Extraction (ASE). Response Surface Methodology (RSM) allowed identifying the effects of DIC processing parameters on the yields of Total Phenol Compounds (TPC), Total Flavonoid (TF), Condensed Tannins (CT), and Hydrolysable Tannins (HT), and antioxidant capacities via 2, 2-diphenyl-1-picrylhydrazyl (DPPH) radical-scavenging capacity and ß-carotene-linoleic acid as responses. Comparative methods were used to evaluate DIC-textured and Raw samples. The results obtained confirmed that appropriate DIC-texturing improved both kinetic and yield of bioactive compound extraction using ASE from Punicagranatum L. peels. Extraction kinetics was studied through Coupled Washing-Diffusion CWD model. The effective diffusivity was identified and quantified ranged from 0.27 to 8.22 against 0.4710-10 m2s-1 for DIC textured and raw material (RM), respectively. DIC swelling enabled solid vegetal material matrix to expand and be more adapted to mass transfer thus increasing extractability of the phenol compounds. Scanning Electron Microscope SEM showed that DIC generated pores with an average diameter of 50 µm