An analysis between implied and realised volatility in the Greek Derivatives Market

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put option

Business cycle synchronisation in EU: a time-varying approach

The paper investigates the time -varying correlation between the EU12 -wide business cycle and the initial EU12 member -countries based on scalar -BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level.Business cycle synchronisation has moved in a direction positive for the operation of a single currency suggesting that the common monetary policy is less costly in terms of lost flexibility at the national level. Thus,any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to the lack of cyclical synchronisation

Linking the Value Assessment of Oil and Gas Firms to Ambidexterity Theory Using a Mixture of Normal Distributions

Oil and gas exploration and production firms have return profiles that are not easily explained by current financial theory – the variation in their market returns is non-Gaussian. In this paper, the nature and underlying reason for these significant deviations from expected behavior are considered. Understanding these differences in financial market behavior is important for a wide range of reasons, including: assessing investments, investor relations, decisions to raise capital, assessment of firm and management performance. We show that using a “thicker tailed” mixture of two normal distributions offers a significantly more accurate model than the traditionally Gaussian approach in describing the behavior of the value of oil and gas firms. This mixture of normal distribution is also more effective in bridging the gap between management theory and practice without the need to introduce complex time-sensitive GARCH and/or jump diffusion dynamics. The mixture distribution is consistent with ambidexterity theory that suggests firms operate in two distinct states driven by the primary focus of the firm: an exploration state with high uncertainty and, an exploitation (or production) state with lower uncertainty. The findings have direct implications on improving the accuracy of real option pricing techniques and futures analysis of risk management. Traditional options pricing models assume that commercial returns from these assets are described by a normal random walk. However, a normal random walk model discounts the possibility of large changes to the marketplace from events such as the discovery of important reserves or the introduction of new technology. The mixture distribution proves to be well suited to inherently describe the unusually large risks and opportunities associated with oil and gas production and exploration. A significance testing study of 554 oil and gas exploration and production firms empirically supports using a mixture distribution grounded in ambidexterity theory to describe the value fluctuations for these firms

Tourism demand and economic growth in Spain: New insights based on the yield curve

We examine for the first time the dynamic relationship between tourism growth and expected macroeconomic conditions of the destination country, employing a DCCGARCH model. Our focus is on the Spanish economy and we collect monthly tourist arrival data from five key origin countries, as well as, from around the world between 1998-2017. We capture expected macroeconomic conditions using the Spanish term structure of interest rates. Our findings suggest that the tourism-expected macroeconomic conditions relationship is time-varying without any country-specific differences in the behaviour of the correlations. Importantly, we report that positive correlations coincide with a regime shift in the Spanish economy; whereas negative correlations are evident when expected economic conditions are stable. We further show that the aforementioned relationship is influenced by key geopolitical and economic events (the 2001 terrorist attacks, the Global Financial Crisis and the ECB’s quantitative easing programme). We finally report policy implications deriving from our findings

Oil volatility, oil and gas firms and portfolio diversification

This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002) so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies, respectively. Given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management, we also examine optimal weights and hedge ratios among the aforementioned series. Our results point to the existence of significant volatility spillover effects among oil and oil and gas companies’ stock volatility. However, the spillover is usually unidirectional from oil and gas companies’ stock volatility to oil volatility, with BP, CHEVRON, EXXON, SHELL and TOTAL being the major net transmitters of volatility to oil markets. Conditional correlations are positive and time-varying, with those between each of the aforementioned companies and oil being the highest. Finally, the diversification benefits and hedging effectiveness based on our results are discussed

Genome-wide expression changes induced by bisphenol A, F and S in human stem cell derived hepatocyte-like cells

Acknowledgments BLV and DCH were funded by an award from the Chief Scientist Office (TCS 16/37). This work has received funding from the European Union’s Horizon 2020 research and innovation programme under grant agreement no. 681002 (EU-ToxRisk) and from TransQST (no. 116030).Peer reviewedPublisher PD

Dynamics of the transcriptional landscape during human fetal testis and ovary development

Acknowledgements We thank all members of the SEQanswers forums for helpful advice; Steven Salzberg and Cole Trapnell for continuous support with the ‘Tuxedo’ suite; and the UCSC Genome team members. Sequencing was performed by the GenomEast platform, a member of the ‘France Génomique’ consortium (ANR-10-INBS-0009). We thank Ms Linda Robertson, Ms Margaret Fraser, Ms Samantha Flannigan (University of Aberdeen) and the staff at Grampian NHS Pregnancy Counselling Service and all the staff of the Department of Obstetrics and Gynecology of the Rennes Sud Hospital for their expert assistance and help, and the participating women, without whom this study would not have been possible. The authors are grateful for Ms Gersende Lacombe and Mr Laurent Deleurme from the Biosit CytomeTri cytometry core facility of Rennes 1 University. Funding French National Institute of Health and Medical Research (Inserm); University of Rennes 1; French School of Public Health (EHESP); Swiss National Science Foundation [SNF n° CRS115_171007 to B.J.]; the French National Research Agency [ANR n° 16-CE14-0017-02 and n°18-CE14-0038-02 to F.C]; Medical Research Council [MR/L010011/1 to PAF]; European Community’s Seventh Framework Programme (FP7/2007–2013) [under grant agreement no 212885 to PAF]; European Union’s Horizon 2020 Research and Innovation Programme [under grant agreement no 825100 to P.A.F. and S.M.G.].Peer reviewedPostprin

Abnormal mitochondrial respiration in skeletal muscle in patients with peripheral arterial disease

AbstractObjectiveDiscrete morphologic, enzymatic and functional changes in skeletal muscle mitochondria have been demonstrated in patients with peripheral arterial disease (PAD). We examined mitochondrial respiration in the gastrocnemius muscle of nine patients (10 legs) with advanced PAD and in nine control patients (nine legs) without evidence of PAD.MethodsMitochondrial respiratory rates were determined with a Clark electrode in an oxygraph cell containing saponin-skinned muscle bundles. Muscle samples were obtained from the anteromedial aspect of the gastrocnemius muscle, at a level 10 cm distal to the tibial tuberosity. Mitochondria respiratory rate, calculated as nanoatoms of oxygen consumed per minute per milligram of noncollagen protein, were measured at baseline (V0), after addition of substrates (malate and glutamate; (VSUB), after addition of adenosine diphosphate (ADP) (VADP), and finally, after adenine nucleotide translocase inhibition with atractyloside (VAT). The acceptor control ratio, a sensitive indicator of overall mitochondrial function, was calculated as the ratio of the respiratory rate after the addition of ADP to the respiratory rate after adenine nucleotide translocase inhibition with atractyloside (VADP/ VAT).ResultsRespiratory rate in muscle mitochondria from patients with PAD were not significantly different from control values at baseline (0.31 ± 0.06 vs 0.55 ± 0.12; P = .09), but Vsub was significantly lower in patients with PAD compared with control subjects (0.43 ± 0.07 vs 0.89 ± 0.20; P < .05), as was VADP (0.69 ± 0.13 vs 1.24 ± 0.20; P < .05). Respiratory rates after atractyloside inhibition in patients with PAD were no different from those in control patients (0.47 ± 0.07 vs 0.45 ± P = .08). Compared with control values, mitochondria from patients with PAD had a significantly lower acceptor control ratio (1.41 ± 0.10 vs 2.90 ± 0.20; P < .001).ConclusionMitochondrial respiratory activity is abnormal in lower extremity skeletal muscle in patients with PAD. When considered in concert with the ultrastructural and enzymatic abnormalities previously documented in mitochondria of chronically ischemic muscle, these data support the concept of defective mitochondrial function as a pathophysiologic component of PAD

Long-term exposure to chemicals in sewage sludge fertilizer alters liver lipid content in females and cancer marker expression in males

This work was supported by the SRF Academic Scholarship Award 2013 (to PAF, PJOS, PF), the Wellcome Trust (080388 to PAF, CC, SMR, RMS, NPE) and the European Community’s Seventh Framework Programme (FP7 ⁄ 2007-2013 to PAF, SMR, CC) under grant agreement no 212885. The authors would like to thank Ms Margaret Fraser and the Proteomics Core Facility at the University of Aberdeen and Ms Carol E. Kyle and as Dr Stewart Rhind (deceased) at James Hutton Institute, Aberdeen, for their important contributions to this study. Supplementary material and research data are available at https://doi.org/10.1016/j.envint.2019.01.003Peer reviewedPublisher PD

Effect of the COVID-19 pandemic on surgery for indeterminate thyroid nodules (THYCOVID): a retrospective, international, multicentre, cross-sectional study

Background Since its outbreak in early 2020, the COVID-19 pandemic has diverted resources from non-urgent and elective procedures, leading to diagnosis and treatment delays, with an increased number of neoplasms at advanced stages worldwide. The aims of this study were to quantify the reduction in surgical activity for indeterminate thyroid nodules during the COVID-19 pandemic; and to evaluate whether delays in surgery led to an increased occurrence of aggressive tumours.Methods In this retrospective, international, cross-sectional study, centres were invited to participate in June 22, 2022; each centre joining the study was asked to provide data from medical records on all surgical thyroidectomies consecutively performed from Jan 1, 2019, to Dec 31, 2021. Patients with indeterminate thyroid nodules were divided into three groups according to when they underwent surgery: from Jan 1, 2019, to Feb 29, 2020 (global prepandemic phase), from March 1, 2020, to May 31, 2021 (pandemic escalation phase), and from June 1 to Dec 31, 2021 (pandemic decrease phase). The main outcomes were, for each phase, the number of surgeries for indeterminate thyroid nodules, and in patients with a postoperative diagnosis of thyroid cancers, the occurrence of tumours larger than 10 mm, extrathyroidal extension, lymph node metastases, vascular invasion, distant metastases, and tumours at high risk of structural disease recurrence. Univariate analysis was used to compare the probability of aggressive thyroid features between the first and third study phases. The study was registered on ClinicalTrials.gov, NCT05178186.Findings Data from 157 centres (n=49 countries) on 87 467 patients who underwent surgery for benign and malignant thyroid disease were collected, of whom 22 974 patients (18 052 [78 center dot 6%] female patients and 4922 [21 center dot 4%] male patients) received surgery for indeterminate thyroid nodules. We observed a significant reduction in surgery for indeterminate thyroid nodules during the pandemic escalation phase (median monthly surgeries per centre, 1 center dot 4 [IQR 0 center dot 6-3 center dot 4]) compared with the prepandemic phase (2 center dot 0 [0 center dot 9-3 center dot 7]; p&lt;0 center dot 0001) and pandemic decrease phase (2 center dot 3 [1 center dot 0-5 center dot 0]; p&lt;0 center dot 0001). Compared with the prepandemic phase, in the pandemic decrease phase we observed an increased occurrence of thyroid tumours larger than 10 mm (2554 [69 center dot 0%] of 3704 vs 1515 [71 center dot 5%] of 2119; OR 1 center dot 1 [95% CI 1 center dot 0-1 center dot 3]; p=0 center dot 042), lymph node metastases (343 [9 center dot 3%] vs 264 [12 center dot 5%]; OR 1 center dot 4 [1 center dot 2-1 center dot 7]; p=0 center dot 0001), and tumours at high risk of structural disease recurrence (203 [5 center dot 7%] of 3584 vs 155 [7 center dot 7%] of 2006; OR 1 center dot 4 [1 center dot 1-1 center dot 7]; p=0 center dot 0039).Interpretation Our study suggests that the reduction in surgical activity for indeterminate thyroid nodules during the COVID-19 pandemic period could have led to an increased occurrence of aggressive thyroid tumours. However, other compelling hypotheses, including increased selection of patients with aggressive malignancies during this period, should be considered. We suggest that surgery for indeterminate thyroid nodules should no longer be postponed even in future instances of pandemic escalation.Funding None.Copyright (c) 2023 Published by Elsevier Ltd. All rights reserved