58 research outputs found
Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges
Modelling overdispersion with integer-valued moving average processes
A new first-order integer-valued moving average, INMA(1), model based
on the negative binomial thinning operation defined by Risti´c et al. [21] is proposed
and characterized. It is shown that this model has negative binomial (NB) marginal
distribution when the innovations follow a NB distribution and therefore it can be
used in situations where the data present overdispersion. Additionally, this model is
extended to the bivariate context. The Generalized Method of Moments (GMM) is
used to estimate the unknown parameters of the proposed models and the results of
a simulation study that intends to investigate the performance of the method show
that, in general, the estimates are consistent and symmetric. Finally, the proposed
model is fitted to a real dataset and the quality of the adjustment is evaluated.publishe
Linking personality to larval energy reserves in rainbow trout (Oncorhynchus mykiss).
There is a surging interest in the evolution, ecology and physiology of personality differences. However, most of the studies in this research area have been performed in adult animals. Trait variations expressed early in development and how they are related to the ontogeny of an animal's personality are far less studied. Genetic differences as well as environmental factors causing functional variability of the central serotonergic system have been related to personality differences in vertebrates, including humans. Such gene-environment interplay suggests that the central serotonergic system plays an important role in the ontogeny of personality traits. In salmonid fishes, the timing of emergence from spawning nests is related to energy reserves, aggression, and social dominance. However, it is currently unknown how the size of the yolk reserve is reflected on aggression and dominance, or if these traits are linked to differences in serotonergic transmission in newly emerged larvae. In this study we investigated the relationship between yolk reserves, social dominance, and serotonergic transmission in newly emerged rainbow trout (Oncorhynchus mykiss) larvae. This was conducted by allowing larvae with the same emergence time, but with different yolk sizes, to interact in pairs for 24 h. The results show that individuals with larger yolks performed more aggressive acts, resulting in a suppression of aggression in individuals with smaller yolks. A higher brain serotonergic activity confirmed subordination in larvae with small yolks. The relationship between social dominance and yolk size was present in siblings, demonstrating a link between interfamily variation in energy reserves and aggression, and suggests that larger yolk reserves fuel a more aggressive personality during the initial territorial establishment in salmonid fishes. Furthermore, socially naïve larvae with big yolks had lower serotonin levels, suggesting that other factors than the social environment causes variation in serotonergic transmission, underlying individual variation in aggressive behavior
Genotype-Temperature Interaction in the Regulation of Development, Growth, and Morphometrics in Wild-Type, and Growth-Hormone Transgenic Coho Salmon
The neuroendocrine system is an important modulator of phenotype, directing cellular genetic responses to external cues such as temperature. Behavioural and physiological processes in poikilothermic organisms (e.g. most fishes), are particularly influenced by surrounding temperatures.By comparing the development and growth of two genotypes of coho salmon (wild-type and transgenic with greatly enhanced growth hormone production) at six different temperatures, ranging between 8 degrees and 18 degrees C, we observed a genotype-temperature interaction and possible trend in directed neuroendocrine selection. Differences in growth patterns of the two genotypes were compared by using mathematical models, and morphometric analyses of juvenile salmon were performed to detect differences in body shape. The maximum hatching and alevin survival rates of both genotypes occurred at 12 degrees C. At lower temperatures, eggs containing embryos with enhanced GH production hatched after a shorter incubation period than wild-type eggs, but this difference was not apparent at and above 16 degrees C. GH transgenesis led to lower body weights at the time when the yolk sack was completely absorbed compared to the wild genotype. The growth of juvenile GH-enhanced salmon was to a greater extent stimulated by higher temperatures than the growth of the wild-type. Increased GH production significantly influenced the shape of the salmon growth curves.Growth hormone overexpression by transgenesis is able to stimulate the growth of coho salmon over a wide range of temperatures. Temperature was found to affect growth rate, survival, and body morphology between GH transgenic and wild genotype coho salmon, and differential responses to temperature observed between the genotypes suggests they would experience different selective forces should they ever enter natural ecosystems. Thus, GH transgenic fish would be expected to differentially respond and adapt to shifts in environmental conditions compared with wild type, influencing their ability to survive and interact in ecosystems. Understanding these relationships would assist environmental risk assessments evaluating potential ecological effects
Behavioural indicators of welfare in farmed fish
Behaviour represents a reaction to the environment as fish perceive it and is therefore a key element of fish welfare. This review summarises the main findings on how behavioural changes have been used to assess welfare in farmed fish, using both functional and feeling-based approaches. Changes in foraging behaviour, ventilatory activity, aggression, individual and group swimming behaviour, stereotypic and abnormal behaviour have been linked with acute and chronic stressors in aquaculture and can therefore be regarded as likely indicators of poor welfare. On the contrary, measurements of exploratory behaviour, feed anticipatory activity and reward-related operant behaviour are beginning to be considered as indicators of positive emotions and welfare in fish. Despite the lack of scientific agreement about the existence of sentience in fish, the possibility that they are capable of both positive and negative emotions may contribute to the development of new strategies (e. g. environmental enrichment) to promote good welfare. Numerous studies that use behavioural indicators of welfare show that behavioural changes can be interpreted as either good or poor welfare depending on the fish species. It is therefore essential to understand the species-specific biology before drawing any conclusions in relation to welfare. In addition, different individuals within the same species may exhibit divergent coping strategies towards stressors, and what is tolerated by some individuals may be detrimental to others. Therefore, the assessment of welfare in a few individuals may not represent the average welfare of a group and vice versa. This underlines the need to develop on-farm, operational behavioural welfare indicators that can be easily used to assess not only the individual welfare but also the welfare of the whole group (e. g. spatial distribution). With the ongoing development of video technology and image processing, the on-farm surveillance of behaviour may in the near future represent a low-cost, noninvasive tool to assess the welfare of farmed fish.Fundação para a Ciência e Tecnologia, Portugal [SFRH/BPD/42015/2007]info:eu-repo/semantics/publishedVersio
Asymmetries in conditional mean and variance: Modelling stock returns by asMA-asQGARCH
The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the condi- tional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries in the conditional mean and the conditional variance, separately or jointly. Some of the new model's moment properties are also derived. Em- pirical results are given for the daily returns of the composite index of the New York Stock Exchange. There is strong evidence of asymmetry in both the conditional mean and condi- tional variance functions. In a genuine out-of-sample forecasting experiment the performance of the best ¯tted asMA-asQGARCH model is compared to pure asMA and no-change fore- casts. This is done both in terms of conditional mean forecasting as well as in terms of risk forecasting
Asymmetries in conditional mean variance: modelling stock returns by asMA-asQGARCH
We propose a nonlinear time series model where both the conditional mean and the conditional variance are asymmetric functions of past information. The model is particularly useful for analysing financial time series where it has been noted that there is an asymmetric impact of good news and bad news on volatility (risk) transmission. We introduce a coherent framework for testing asymmetries in the conditional mean and the conditional variance, separately or jointly. To this end we derive both a Wald and a Lagrange multiplier test. Some of the new asymmetric model's moment properties are investigated. Detailed empirical results are given for the daily returns of the composite index of the New York Stock Exchange. There is strong evidence of asymmetry in both the conditional mean and the conditional variance functions. In a genuine out-of-sample forecasting experiment the performance of the best fitted asymmetric model, having asymmetries in both conditional mean and conditional variance, is compared with an asymmetric model for the conditional mean, and with no-change forecasts. This is done both in terms of conditional mean forecasting as well as in terms of risk forecasting. Finally, the paper presents some evidence of asymmetries in the index stock returns of the Group of Seven (G7) industrialized countries. Copyright © 2004 John Wiley & Sons, Ltd
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