The GARCH (1, 1) Model As A Risk Predictor For International Portfolios

This study pertains to forecasting portfolio risk using a GARCH (Generalized Autoregressive Conditional Heteroscedasticity) approach. Three models are compared to the GARCH model (1,1) i.e., random walk (RW), historical mean (HMM) and J.P. Morgans exponentially weighted moving average (EWMA). In recent years, many volatility forecasting models have been presented in the financial literature. Using the historical average of stock returns to determine the optimal portfolio is current practice in academic circles. However, we doubt the ability of this method to provide the best estimated portfolio variance. Moreover, an error in the estimated covariance matrix could result in a completely different portfolio mix. Consequently, we believe it would be relevant to examine the volatility forecasting model proposed in different studies to estimate the standard deviation of an efficient portfolio. With a view to building an efficient portfolio in an international context, we will analyze the forecasting models mentioned above. The purpose of this research is to determine whether a GARCH approach to forecasting the covariance matrix makes it possible to obtain a risk that most resembles the actual observed risk for a given return than the model traditionally used by practitioners and academic researchers. To this end, we selected six international stock indices. The study was conducted in a Canadian context and consequently, each stock index is converted into Canadian dollars. Initially, we estimate the covariance matrix for each forecasting model mentioned above. Then, we determine the proportions to invest in the portfolio and calculate the standard deviation of a minimum variance portfolio. Finally, the best model is selected based on the variances between estimated and actual risk by minimizing the root mean squared error (RMSE) for each forecasting model. Our results show that the GARCH (1,1) model is good for estimating risk in a minimum variance portfolio. As well, we find that it is statistically impossible to make a distinction between the accuracy of this model and the RW model. Lastly, our results show that based on the four statistical error measures used, the HMM is the least accurate for estimating portfolio risk. We therefore decided not to use this model and to rely instead on the GARCH approach or the RW, the simplest of all the models

Global burden of 288 causes of death and life expectancy decomposition in 204 countries and territories and 811 subnational locations, 1990–2021: a systematic analysis for the Global Burden of Disease Study 2021

BACKGROUND Regular, detailed reporting on population health by underlying cause of death is fundamental for public health decision making. Cause-specific estimates of mortality and the subsequent effects on life expectancy worldwide are valuable metrics to gauge progress in reducing mortality rates. These estimates are particularly important following large-scale mortality spikes, such as the COVID-19 pandemic. When systematically analysed, mortality rates and life expectancy allow comparisons of the consequences of causes of death globally and over time, providing a nuanced understanding of the effect of these causes on global populations. METHODS The Global Burden of Diseases, Injuries, and Risk Factors Study (GBD) 2021 cause-of-death analysis estimated mortality and years of life lost (YLLs) from 288 causes of death by age-sex-location-year in 204 countries and territories and 811 subnational locations for each year from 1990 until 2021. The analysis used 56 604 data sources, including data from vital registration and verbal autopsy as well as surveys, censuses, surveillance systems, and cancer registries, among others. As with previous GBD rounds, cause-specific death rates for most causes were estimated using the Cause of Death Ensemble model-a modelling tool developed for GBD to assess the out-of-sample predictive validity of different statistical models and covariate permutations and combine those results to produce cause-specific mortality estimates-with alternative strategies adapted to model causes with insufficient data, substantial changes in reporting over the study period, or unusual epidemiology. YLLs were computed as the product of the number of deaths for each cause-age-sex-location-year and the standard life expectancy at each age. As part of the modelling process, uncertainty intervals (UIs) were generated using the 2·5th and 97·5th percentiles from a 1000-draw distribution for each metric. We decomposed life expectancy by cause of death, location, and year to show cause-specific effects on life expectancy from 1990 to 2021. We also used the coefficient of variation and the fraction of population affected by 90% of deaths to highlight concentrations of mortality. Findings are reported in counts and age-standardised rates. Methodological improvements for cause-of-death estimates in GBD 2021 include the expansion of under-5-years age group to include four new age groups, enhanced methods to account for stochastic variation of sparse data, and the inclusion of COVID-19 and other pandemic-related mortality-which includes excess mortality associated with the pandemic, excluding COVID-19, lower respiratory infections, measles, malaria, and pertussis. For this analysis, 199 new country-years of vital registration cause-of-death data, 5 country-years of surveillance data, 21 country-years of verbal autopsy data, and 94 country-years of other data types were added to those used in previous GBD rounds. FINDINGS The leading causes of age-standardised deaths globally were the same in 2019 as they were in 1990; in descending order, these were, ischaemic heart disease, stroke, chronic obstructive pulmonary disease, and lower respiratory infections. In 2021, however, COVID-19 replaced stroke as the second-leading age-standardised cause of death, with 94·0 deaths (95% UI 89·2-100·0) per 100 000 population. The COVID-19 pandemic shifted the rankings of the leading five causes, lowering stroke to the third-leading and chronic obstructive pulmonary disease to the fourth-leading position. In 2021, the highest age-standardised death rates from COVID-19 occurred in sub-Saharan Africa (271·0 deaths [250·1-290·7] per 100 000 population) and Latin America and the Caribbean (195·4 deaths [182·1-211·4] per 100 000 population). The lowest age-standardised death rates from COVID-19 were in the high-income super-region (48·1 deaths [47·4-48·8] per 100 000 population) and southeast Asia, east Asia, and Oceania (23·2 deaths [16·3-37·2] per 100 000 population). Globally, life expectancy steadily improved between 1990 and 2019 for 18 of the 22 investigated causes. Decomposition of global and regional life expectancy showed the positive effect that reductions in deaths from enteric infections, lower respiratory infections, stroke, and neonatal deaths, among others have contributed to improved survival over the study period. However, a net reduction of 1·6 years occurred in global life expectancy between 2019 and 2021, primarily due to increased death rates from COVID-19 and other pandemic-related mortality. Life expectancy was highly variable between super-regions over the study period, with southeast Asia, east Asia, and Oceania gaining 8·3 years (6·7-9·9) overall, while having the smallest reduction in life expectancy due to COVID-19 (0·4 years). The largest reduction in life expectancy due to COVID-19 occurred in Latin America and the Caribbean (3·6 years). Additionally, 53 of the 288 causes of death were highly concentrated in locations with less than 50% of the global population as of 2021, and these causes of death became progressively more concentrated since 1990, when only 44 causes showed this pattern. The concentration phenomenon is discussed heuristically with respect to enteric and lower respiratory infections, malaria, HIV/AIDS, neonatal disorders, tuberculosis, and measles. INTERPRETATION Long-standing gains in life expectancy and reductions in many of the leading causes of death have been disrupted by the COVID-19 pandemic, the adverse effects of which were spread unevenly among populations. Despite the pandemic, there has been continued progress in combatting several notable causes of death, leading to improved global life expectancy over the study period. Each of the seven GBD super-regions showed an overall improvement from 1990 and 2021, obscuring the negative effect in the years of the pandemic. Additionally, our findings regarding regional variation in causes of death driving increases in life expectancy hold clear policy utility. Analyses of shifting mortality trends reveal that several causes, once widespread globally, are now increasingly concentrated geographically. These changes in mortality concentration, alongside further investigation of changing risks, interventions, and relevant policy, present an important opportunity to deepen our understanding of mortality-reduction strategies. Examining patterns in mortality concentration might reveal areas where successful public health interventions have been implemented. Translating these successes to locations where certain causes of death remain entrenched can inform policies that work to improve life expectancy for people everywhere. FUNDING Bill & Melinda Gates Foundation

[Lung diseases in farmers]

International audienceRespiratory diseases in farmers are complex and intricate diseases. Their diagnosis, management and treatment are difficult and their social and financial consequences can be painful. Respiratory diseases include: hypersensitivity pneumopathies, the most frequent and recognized one being farmer's lung disease; agricultural chronic bronchitis; allergic or non-allergic asthmas and rhinitis; and toxic bronchopneumopathies, of which organic dust toxic syndrome (or dust fever) is the most common, especially in animal breeding environments. The purpose of this article is to shortly describe these diseases, indicate their frequency and the main elements of their management: treatments and prevention methods

Evaluation of salting as a hay preservative against farmer's lung disease agents.

International audienceSalting is a traditional, empirical practice used commonly in dairy farming regions to prevent moulding and heating in hay. Our aim was to evaluate the effect of salting hay on the proliferation of microorganisms, particularly thermophilic actinomycetes and moulds involved in farmer's lung disease. Fifty-one pairs of salted and unsalted hay bales from 14 farms were produced during the haymaking season between March and July. Both the salted and the unsalted bales came from the same field, and were packed and stored under identical conditions. Sampling was performed by microbiological analysis including 6 culture media during the winter following salting (January-February). The use of salt did not significantly decrease the amount of Saccharopolyspora rectivirgula , the actinomycetes most commonly involved in farmer's lung disease, or that of Absidia corymbifera, Eurotium amstelodami and Wallemia sebi , three moulds responsible for farmer's lung disease in eastern France. Our results are important in that they can inform farmers and dispel the false sense of security induced by salting, which is reinforced by the misconception that palatable hay is healthy hay

Predictors of early cessation of dairy farming in the French Doubs province: 12-year follow-up.

International audienceBACKGROUND: A healthy worker effect due to respiratory disability has been noted in the farming population, but other factors may also interfere. Little has been published about factors influencing the early cessation of work in self-employed dairy farmers. METHODS: Two hundred and nineteen dairy farmers were included from a cohort constituted in eastern France in 1993-1994 with a 12-year follow-up. Spirometric data, personal, and farm characteristics were registered. Cox models with delayed entry in which age was the time-scale were applied to identify the baseline predictive factors of the early cessation of dairy farming. RESULTS: Working in a modern farm was protective against early cessation of dairy farming (hazard ratio: 0.36 [95% CI: 0.16-0.81]), especially in men. Having asthma was a predictive factor of early cessation, especially in women (hazard ratio: 16.12 [95% CI: 3.28-79.12]). CONCLUSIONS: The most predictive factors of early cessation of dairy farming were health related in women and farm related in men

Symptômes et fonction respiratoire des exploitants laitiers du Doubs : suivi longitudinal à 12 ans

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Impact of farm modernity on the prevalence of chronic obstructive pulmonary disease in dairy farmers.

International audienceDairy farming is associated with an excess of chronic obstructive pulmonary disease (COPD). The dairy industry has been changing for the past three decades with larger, more efficient farms and potentially less exposure to agents involved in COPD development. However, the impact of farm modernisation on COPD prevalence is unknown. We studied respiratory symptoms, respiratory function by spirometry and tobacco smoking in 575 male dairy farmers working either in traditional or in modern farms in the French Doubs region. COPD was defined by the Global Initiative for Chronic Obstructive Lung Disease (GOLD) criterion (forced expiratory volume in 1 s/forced vital capacity (FEV1/FVC) <0.70) and by the Quanjer reference equation (FEV1/FVC<lower limit of normal (LLN)). Modern farms were defined either as having a separation between the house and the cowshed (model 1) or as having a loose housing system for the animals (model 2). The prevalence of COPD in dairy farmers was 12.0±2.7% (GOLD), and 5.6±4.1% (LLN definition). By multivariate analysis using the LLN definition, tobacco smoking (OR (95% CI) 3.96 (1.53 to 10.3) and 3.42 (1.32 to 8.84) for models 1 and 2, respectively) and characteristics of traditional farms (1.97 (1.02 to 4.47) and 5.20 (1.73 to 15.64) for models 1 and 2, respectively) were associated with higher COPD prevalence. Working in a traditional farm plus current smoking had an additive effect on COPD prevalence in model 1 and a synergistic effect in model 2. These findings support a positive impact of farm modernity on COPD prevalence in dairy farmers. Occupational and smoking-related risk factors are of nearly the same magnitude

Farmer's lung disease and microbiological composition of hay: a case-control study.

International audiencePrevious studies performed in France have suggested that handling hay contaminated with high amounts of moulds, and especially Absidia corymbifera and Eurotium amstelodami, may favour farmer's lung disease. The circumstances favouring farmer's lung disease and the distinctive microbiological composition of hay samples that provoke attacks need to be specified. We present a case-control study which investigates the agricultural practices and the microbiological composition of hay handled in patients with farmer's lung disease as compared to those of a representative control population. Ten cases identified the hay they were handling at the onset of symptoms. The location, type of farm and working conditions were similar to those of the control farms. Conversely, the microbiological composition of hay differed, with significantly higher amounts of E. amstelodami (P < 0.01), A. corymbifera (P = 0.003), mesophilic Streptomyces (P < 0.01), thermophilic Streptomyces (P < 0.01) and Saccharomonospora viridis (P < 0.01) than in the control population. Our results demonstrate that hay identified by patients as having a harmful effect is characterized by a higher total amount of microorganisms, notably five microorganisms that seem discriminative. Mean concentrations are 2- to 115-fold higher in hay suspected to cause symptoms than in hay from a representative panel of farms. Handling hay with high amounts of these five microorganisms constitutes a risk factor for farmer's lung disease that should be considered for the development of prophylactic measures

Déclin de la fonction respiratoire chez les producteurs laitiers : influence des poussières organiques

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Influence des facteurs individuels et environnementaux sur le declin de la fonction respiratoire des producteurs laitiers

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