Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normally distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalised assumption of normally distributed financial returns. Thus it is crucial to model distribution tails properly so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey in 2000 and combine GARCH-type models with the extreme value theory to estimate the tails of three financial index returns ¿ S&P 500, FTSE 100 and NIKKEI 225 ¿ representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are more accurate than those from conventional GARCH models assuming normal or Student¿s t distribution innovations when doing not only in-sample but also out-of-sample estimation. Moreover, these results are robust to alternative GARCH model specifications. The findings of this paper should be useful to investors in general, since their goal is to be able to forecast unforeseen price movements and take advantage of them by positioning themselves in the market according to these predictions

Monetary policy uncertainty spillovers in time and frequency domains

We use the recently created monthly Interest Rate Uncertainty measure, to investigate monetary policy uncertainty across the US, Germany, France, Italy, Spain, UK, Japan, Canada, and Sweden in both the time and frequency domains. We find that the largest spillover indices are from innovations in the country itself; however, there are some instances where spillover indices between countries are large. These relationships change over time and we observe large variances in pairwise spillovers during the global financial crisis. We find that most of the volatility is confined to the crisis period. Policy makers should consider accounting for the spillovers from the US, Germany, France and Spain, as we found that they are the most consistent net transmitters of monetary policy uncertainty

Futures trading, spot price volatility and market efficiency: evidence from European real estate securities futures

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %

Image-Derived Input Function for Human Brain Using High Resolution PET Imaging with [11C](R)-rolipram and [11C]PBR28

The aim of this study was to test seven previously published image-input methods in state-of-the-art high resolution PET brain images. Images were obtained with a High Resolution Research Tomograph plus a resolution-recovery reconstruction algorithm using two different radioligands with different radiometabolite fractions. Three of the methods required arterial blood samples to scale the image-input, and four were blood-free methods. values was quantified using a scoring system. Using the image input methods that gave the most accurate results with Logan analysis, we also performed kinetic modelling with a two-tissue compartment model.)-rolipram, which has a lower metabolite fraction. Compartment modeling gave less reliable results, especially for the estimation of individual rate constants.C]PBR28), the more difficult it is to obtain a reliable image-derived input function; and 4) in association with image inputs, graphical analyses should be preferred over compartmental modelling

The experiences and support needs of women with gestational breast cancer in singapore: A descriptive qualitative study

10.1097/NCC.0000000000000912Cancer Nursing451E263-E26

Common risk factors and risk premia in direct and securitized real estate markets

10.1080/09599910500136534Journal of Property Research213189-20

Market Prices and Institutional Values - Comparison for Tax Purposes Through GIS Instrument

In Italy, the institutional analysis of the real estate market values is carried out by the Inland Revenue (government agency), through the Observatory of the Real Estate Market (OMI). In the last ten years, the average values (for types of real estates: houses, warehouses, garages, etc.) reported by the OMI are much closer to the market prices really recorded through the housing market sale contracts. Therefore, the reform of taxes on the real estate, recently strongly required by the European Commission, intends to take as reference the OMI values to increase the level of equalization in the taxation. This measure wants to correlate taxes to the real market value of the property and not to the land register value, which is completely distant from the real prices: this is true both for historical reasons (the latest update of land register values dates to several years ago) and for the evolution that the market has suffered especially in the big cities because of metropolitan and transport infrastructure development. This paper intends to verify the reliability of the OMI values compared to actual market prices and, at the same time, intends to control the possibility to equalize the fiscal mechanism considering the same tax revenue, as the Government claims to be able to do. The intent is to avoid the sacrifice of the less affluent segments of the population benefiting the lobbies of high-quality property owners using these modern mechanisms of the tax system. In this model, has been implemented an informative dataset in GIS mode. The use of GIS instrument makes it easier to verify the differential between government data and market prices

Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets

Multiple structural breaks, Conditional volatility, Multivariate regime-dependent asymmetric dynamic covariance model, Securitized real estate markets, Dynamic risk-minimizing hedge ratio,

Price Discovery in Real Estate Markets: A Dynamic Analysis

Price discovery, REIT returns, NAV returns,