Portfolio optimization with mixture vector autoregressive models

Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as accurately as possible. We propose using mixture vector autoregressive (MVAR) models for portfolio optimization. Combining a mixture of distributions that depend on the recent history of the process, MVAR models can accommodate asymmetry, multimodality, heteroskedasticity and cross-correlation in multivariate time series data. For mixtures of Normal components, we exploit a property of the multivariate Normal distribution to obtain explicit formulas of conditional predictive distributions of returns on a portfolio of assets. After showing how the method works, we perform a comparison with other relevant multivariate time series models on real stock return data.Comment: 19 pages, 9 figures, 2 table

Sources of Income Inequality: Empirical Evidence from Bulgaria

The paper contributes to the empirical research on the micro-determinants of income inequality in Southeast European transition countries. The analysis utilizes data from a representative survey of 3,300 Bulgarian households conducted in 2007 and quantifies income differentiation effects related to certain socio-demographic characteristics. Quantile regression analysis reveals positive net effects of the degree of urbanization and the number of employed in the household as well as negative effects of the number of unemployed, children, and pensioners on the per-capita income level at all parts of the income distribution. Inequality indices decomposition by subgroups identifies the type of settlement, ethnical group, the number of children and unemployed as substantial sources of income inequality in Bulgaria.

A bivariate Weibull count model for forecasting association football scores

The paper presents a model for forecasting association football scores. The model uses a Weibull inter-arrival-times-based count process and a copula to produce a bivariate distribution of the numbers of goals scored by the home and away teams in a match. We test it against a variety of alternatives, including the simpler Poisson distribution-based model and an independent version of our model. The out-of-sample performance of our methodology is illustrated using, first, calibration curves, then a Kelly-type betting strategy that is applied to the pre-match win/draw/loss market and to the over–under 2.5 goals market. The new model provides an improved fit to the data relative to previous models, and results in positive returns to betting

HUESTON LOCAL FLAP IN PULP DEFECTS REPAIR OF THE HAND. A REVIEW OF 16 CASES

No abstrac

A Radial Island Forearm Flap - Opportunities for Covering of Skin Defects in the Region of Hand and Elbow Joint

The radial island forearm flap based on the radial artery has proved to be extraordinary universal. It can be applied with traumatic lesions of the hand - with a distal vascularization and retrograde blood flow as well as with defects in the elbow joint region - with proximal blood supply and anterograde blood flow. In this paper some of these applications in a series of 39 patients are described and discussed

PoARX models for count time series

This paper introduces multivariate Poisson autoregressive models with exogenous covariates (PoARX) for modelling multivariate time series of counts. We state conditions for a PoARX process to be stationary and ergodic before proposing a computationally efficient procedure for estimation of parameters by the method of inference functions (IFM) and stating asymptotic normality of these estimators. Lastly, we demonstrate an application to count data for the number of people entering and exiting a building, and show how the different aspects of the model combine to produce a strong predictive model. We conclude by listing directions for future work

PSEUDOMONAS AERUGINOSA WOUND INFECTIONS IN TRAUMATIC PATIENTS

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The Use Of Digital Services By Bulgaria’s Population: Major Prerequisites, Trends And Regional Dimensions

The digitalization of administrative processes and providing electronic services in Bulgaria has undoubtedly led to an increase of the administrative capacity not only of central but also of local organs of authority. At the same time, the differences in the levels of digital knowledge, skills and competences among Bulgaria’s regions have caused a certain disturbance in the offered digital services. The article aims at presenting some major trends in the dynamics of selected indicators which reflect the development of digitalization in the public sector. A specific focus is placed on the regional dimensions of these processes, assuming that local authorities face much more serious challenges in this respect compared to central state organs