Forecasting realized volatility : New evidence from time-varying jumps in VIX

Given that jumps in the implied volatility index (VIX) lead to rapid changes in the level of volatility, they may contain significant predictive information for the realized variance (RV) of stock returns. Against this backdrop, the present study proposes to extend the heterogeneous autoregressive (HAR) model using the information content of time‐varying jumps occurring in VIX. We find that jumps in VIX have positive impacts on the RV of S&P 500 index and that the proposed HAR‐RV approach generates more accurate volatility forecasts than do the existing HAR‐RV type models. Importantly, these results hold for short‐, medium‐, and long‐term volatility components.© 2022 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.fi=vertaisarvioitu|en=peerReviewed

Translational control of the interferon regulatory factor 2 mRNA by IRES element

Translational control represents an important mode of regulation of gene expression under stress conditions. We have studied the translation of interferon regulatory factor 2 (IRF2) mRNA, a negative regulator of transcription of interferon-stimulated genes and demonstrated the presence of internal ribosome entry site (IRES) element in the 5'UTR of IRF2 RNA. Various control experiments ruled out the contribution of leaky scanning, cryptic promoter activity or RNA splicing in the internal initiation of IRF2 RNA. It seems IRF2-IRES function is not sensitive to eIF4G cleavage, since its activity was only marginally affected in presence of Coxsackievirus 2A protease. Interferon treatment did not affect the IRF2-IRES activity or the protein level significantly. Also, in cells treated with tunicamycin [an agent causing endoplasmic reticulum (ER) stress], the IRF2-IRES activity and the protein levels were unaffected, although the cap-dependent translation was severely impaired. Analysis of the cellular protein binding with the IRF2-IRES suggests certain cellular factors, which might influence its function under stress conditions. Interestingly, partial knockdown of PTB protein significantly inhibited the IRF2-IRES function. Taken together, it appears that IRF2 gene expression during stress condition is controlled by the IRES element, which in turn influences the cellular response

In search of time-varying jumps during the turmoil periods : Evidence from crude oil futures markets

Prior literature demonstrates that energy prices are characterized by time-varying jumps. However, earlier studies do not investigate if the intensity of such jumps appears to be higher amid periods of extreme volatility in comparison to normal periods. Employing the GARCH-jump model, this study examines whether jumps occurring in energy prices are an indicator of market crashes. To serve this purpose, we consider several downturns in oil markets spanning over the last few years. Our empirical analyses reveal that the conditional expected number of jumps in WTI and Brent oil futures prices increases significantly amid the depression periods, which is, however, not the case when the market functions normally. We, therefore, conclude that such clusters of jumps may contain predictive information for oil market crashes and thus provide early signals of future downturns. The findings further show that crude oil volatility, the US equity VIX, and economic policy uncertainty play a significant role in explaining the time-dependent jumps during the turmoil periods. The findings of our research could be useful for investors participating in global crude oil markets and for policymakers watching out for the impact of energy prices on the economy.© 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).fi=vertaisarvioitu|en=peerReviewed

Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework

This study explores the theoretical possibility of co-movement and causality between crude oil implied volatility (OVX) and financial stress in a wavelet framework. The paper contributes to the existing literature in at least three possible ways: (a) First, the study considers not only composite financial stress indicators but also uses the categorical stress components such as Credit, Equity Valuation, Funding, Safe Assets and Volatility. (b) Second, the study employs a wavelet-based approach in tracking the co-movement and causality between oil and financial stress in a continuous time-frequency space. Lastly, (c) while previous studies mainly use oil price changes to assess the relationship with financial stress, the present study evaluates the role of forward-looking (30-days ahead) oil price uncertainty (proxied by OVX). The findings indicate the existence of co-movement between oil volatility and financial stress, mainly around the phases of economic turbulence. The patterns and strength of such co-movements are time-variant. The direction of the relationship is mostly positive, and the lead-lag relationship reveals that OVX tends to drive the relationship. It is further observed that the causalities between the variables are mostly bi-directional. However, relatively stronger causalities are transmitted from OVX towards FSI. Furthermore, the association between OVX and stress indicators is assessed in two different states of the economy, i.e., state of distress and tranquillity. The findings suggest that the causal co-movement intensifies majorly during the state of distress. Overall, the outcome of this study could be useful to policymakers and investors to anticipate the impending changes in the relationship to mitigate its potential adverse impact.© 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).fi=vertaisarvioitu|en=peerReviewed

The asymmetric impact of oil price uncertainty on emerging market financial stress : A quantile regression approach

This study investigates the effects of the crude oil implied volatility index (OVX) upon emerging market financial stress (EMFS). We resort to a quantile regression framework as this approach is a better alternative to disentangle the relationship under different market conditions. Besides, we also examine how EMFS responds to the lags and asymmetries in the OVX. The empirical results show significantly positive impacts of OVX upon EMFS. Further, the effects of OVX become more assertive in the upper quantiles of EMFS, implying higher sensitivity to OVX when stress levels are high. In terms of the lagged effects, the relationship is transient as the OVX coefficients become weaker with increasing lag sizes. We further find that only positive impulses in OVX can significantly predict EMFS. Lastly, we report evidence that the Credit market stress is a crucial driver of EMFS.© 2022 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution-Non Commercial License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited and is not used for commercial purposes.fi=vertaisarvioitu|en=peerReviewed

Impact of COVID-19 shock on a segmented labour market: Analysis using a unique panel dataset

This paper studies the impact of economic crisis caused by the COVID on the Indian labour market using the Periodic Labour Force Survey (PLFS). The unique dataset offers the opportunity to analyse sectoral transition and mobility of workers in response to a crisis due to its rotational panel framework. We employ transition matrices, non-parametric cumulative distribution functions, and machine learning techniques to identify the impact of COVID shock on formal and informal sector workers and whether this impact was heterogeneous. We find that labour market outcomes, both in terms of employment status and income, became even more divergent between the formal and informal sectors during the first wave of pandemic and remained divergent in the recovery phase. The classification analysis highlights that the sector in which the worker was employed (formal or informal sector), was an important predictor of income loss during the first wave

Serum sodium and water imbalance after sellar, suprasellar, and parasellar surgeries: A prospective and observational study

Background: Sodium and water imbalance is common after sellar, suprasellar, and parasellar surgeries. A wide variation in the diagnostic criteria of diabetes insipidus (DI) has been noted in literature. A highly variable incidence of DI and hyponatraemia has been reported. There is paucity of Indian studies. Aims and Objectives: The study was designed to evaluate serum sodium level and water imbalance after sellar, suprasellar, and parasellar surgeries. This was evaluated in terms of occurrence of hyponatraemia and central DI on day 1 and day 7 in the post-operative period. Materials and Methods: Patients of either sex, aged from 18 to 65 years, ASA physical status I-II, GCS score ≥13, with baseline normal electrolyte level, posted for elective neurosurgical procedures for sellar, suprasellar, and parasellar tumours, were included for this study after satisfying the inclusion and exclusion criteria. A convenient sampling of 50 patients was considered for this study. The primary outcome measures were to determine the incidence of hyponatraemia and central DI. Other adverse event and any requirement of desmopressin in the post-operative period were also noted. Results: In the present study, the majority (74%) of patients were 31–50 years. Female preponderance was noted with male: female ratio as 1:1.4. Out of 50 cases 41 (82%) had transcranial surgery and 9 (18%) had transphenoidal surgery. The incidence of sodium and water disturbances (SWD) was observed in 22% (11/50) patients. Out of these 11 patients, nine developed DI and two had hyponatremia on day 1 in the post-operative period. Both the abnormalities were found to recover on day 7. Only 1 patient (2%) required desmopressin. Conclusion: The incidence of SWD after sellar, suprasellar, and parasellar surgeries was found to be common (22%). The hyponatraemia and DI responded to the therapy and were transient in nature

Comparative study between the effect of dexmedetomidine and lidocaine infusion on intraoperative analgesic requirement and hemodynamics during craniotomy

Background: Nowadays, anesthesiologists are evaluating several analgesic adjuncts to minimize opioid use during craniotomy. Some studies have evaluated the analgesic-sparing effect of intravenous infusion of dexmedetomidine and lidocaine on intraoperative hemodynamics and post-operative analgesia. There is a paucity of studies focussing on the intraoperative analgesic requirement. Aims and Objectives: The present study compared dexmedetomidine and lidocaine infusion primarily for their effects on intraoperative fentanyl requirements during craniotomy. Materials and Methods: This study was done on 70 patients aged 18–80 years, the American Society of Anesthesiologists physical status I–II, having Glasgow Coma Scale 15, undergoing craniotomies. Patients were randomly allocated to receive either dexmedetomidine (group A, n=35) at a dose of 0.6 mcg/kg bolus over 10 min followed by 0.6 mcg/kg/h infusion or lidocaine (group B, n=35) at a dose of 1.5 mg/kg bolus over 10 min, followed by 1.5 mg/kg/h infusion till the end of skin suture, respectively. Study drugs were started 10 min before the start of surgery. Intraoperative total fentanyl and propofol consumption, intraoperative hemodynamics, recovery from hypnosis, and time to extubation were recorded. Results: The use of dexmedetomidine resulted in considerably less total fentanyl requirement (245.1 vs. 300.7 mcg, P<0.0001) and total propofol requirement (172.7 vs. 236.7 mg, P<0.0001) compared with lidocaine. Comparatively better hemodynamics were observed with the use of dexmedetomidine at all the points of observation. Conclusion: Dexmedetomidine as an analgesic adjunct can be a better alternative to lidocaine in terms of reduced fentanyl consumption, reduced propofol use and favorable hemodynamics, and early recovery from anesthesia

Bilateral intra-industry trade flows and intellectual property rights protections: further evidence from the United Kingdom

This paper investigates the relationship between the United Kingdom's (hereafter referred as UK) bilateral intra-industry trade (IIT) and foreign intellectual property rights (IPRs) protections. The empirical investigation is based on pooled UK data and benefits from the theoretical distinction between horizontal and vertical IIT. It also estimates a gravity equation for international trade using both fixed and random effects models. We then extend the analysis by employing the GMM system for dynamic panel models. The principal findings suggest that the UK's IIT is stimulated when the level of a trading partner's IPRs and its imitative ability are considered jointly. However, when IPRs and imitation abilities are considered separately, their disparate effects are not an important factor in determining UK IIT flows