Modelling stock volatilities during financial crises: A time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying modelwhich provides the platformupon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.Open Access funded by European Research Council under a Creative Commons license

CSF Rhinorrhea After Endonasal Intervention to the Skull Base (CRANIAL) — Part 2:Impact of COVID-19

Background During the pandemic, there has been a concern about the increased risk of perioperative mortality for patients with COVID-19, and the transmission risk to healthcare workers, particularly during endonasal neurosurgical operations. The Pituitary Society produced recommendations to guide management during this era. We sought to assess contemporary neurosurgical practice and the impact of COVID-19. Methods A multicentre, prospective, observational cohort study was conducted at twelve tertiary neurosurgical units (UK and Ireland). Data were collected from March 23rd-July 31st, 2020 inclusive. Data points collected were patient demographics, pre-operative COVID-19 testing, intra-operative operative modifications, and 30-day COVID infection rates. Results 124 patients were included. 116 patients (n=116/124, 94%) underwent COVID-19 testing pre-operatively (TSA: 97/105, 92%; EEA: 19/19, 100%). One patient (n=1/115, 1%) tested positively for COVID-19 pre-operatively, requiring a delay of operation until the infection was confirmed as resolved. Asides from transient diabetes insipidus; no other complications were reported for this case. All theatre staff wore at least level 2 PPE. Adaptations to surgical techniques included minimising drilling, draping modifications, and using nasal iodine wash. At 30 days postoperatively, there was no evidence of COVID infection (symptoms or on formal testing) in our cohort, and no mortality. Conclusions Preoperative screening protocols and operative modifications have facilitated endonasal neurosurgery during the COVID-19 pandemic, with Pituitary Society guidelines followed for the majority of these operations. There was no evidence of COVID infection in our cohort, and no mortality, supporting the use of risk mitigation strategies to continue endonasal neurosurgery in subsequent pandemic waves

CSF Rhinorrhoea After Endonasal Intervention to the Skull Base (CRANIAL) - Part 1: Multicenter Pilot Study

Background: CRANIAL (CSF Rhinorrhoea After Endonasal Intervention to the Skull Base) is a prospective, multicentre observational study seeking to determine: (1) the scope of skull base repair methods used; and (2) corresponding rates of postoperative CSF rhinorrhoea in endonasal transsphenoidal (TSA) expanded endonasal approaches (EEA) for skull base tumours. We sought to pilot the project - assessing the feasibility and acceptability by gathering preliminary data. / Methods: A prospective, observational cohort pilot study was carried out at twelve tertiary UK neurosurgical units. Feedback regarding project positives and challenges were qualitatively analysed. / Results: 187 cases were included, 159 TSA (85%) and 28 EEA (15%). The most common pathologies included: pituitary adenomas (n=141/187), craniopharyngiomas (n=13/187) and skull-base meningiomas (n=4/187). The most common skull base repair techniques used were tissue glues (n=132/187, most commonly Tisseel®), grafts (n=94/187, most commonly fat autograft or Spongostan™) and vascularised flaps (n=51/187, most commonly nasoseptal). These repairs were most frequently supported by nasal packs (n=125/187) and lumbar drains (n=22/187). Biochemically-confirmed CSF rhinorrhoea occurred in 6/159 (3.8%) TSA and 2/28 (7.1%) EEA. Four TSA (3%) and two EEA (7%) cases required operative management for CSF rhinorrhoea (CSF diversion or direct repair). Qualitative feedback was largely positive (themes included: user-friendly and efficient data collection, strong support from senior team members) demonstrating acceptability. / Conclusions: Our pilot experience highlights the acceptability and feasibility of CRANIAL. There is a precedent for multicentre dissemination of this project, in order to establish a benchmark of contemporary skull base neurosurgery practice, particularly with respect to EEA cases

CSF Rhinorrhoea After Endonasal Intervention to the Skull Base (CRANIAL) - Part 1:Multicenter Pilot Study

Background CRANIAL (CSF Rhinorrhoea After Endonasal Intervention to the Skull Base) is a prospective, multicentre observational study seeking to determine: (1) the scope of skull base repair methods used; and (2) corresponding rates of postoperative CSF rhinorrhoea in endonasal transsphenoidal (TSA) expanded endonasal approaches (EEA) for skull base tumours. We sought to pilot the project - assessing the feasibility and acceptability by gathering preliminary data. Methods A prospective, observational cohort pilot study was carried out at twelve tertiary UK neurosurgical units. Feedback regarding project positives and challenges were qualitatively analysed. Results 187 cases were included, 159 TSA (85%) and 28 EEA (15%). The most common pathologies included: pituitary adenomas (n=141/187), craniopharyngiomas (n=13/187) and skull-base meningiomas (n=4/187). The most common skull base repair techniques used were tissue glues (n=132/187, most commonly Tisseel®), grafts (n=94/187, most commonly fat autograft or Spongostan™) and vascularised flaps (n=51/187, most commonly nasoseptal). These repairs were most frequently supported by nasal packs (n=125/187) and lumbar drains (n=22/187). Biochemically-confirmed CSF rhinorrhoea occurred in 6/159 (3.8%) TSA and 2/28 (7.1%) EEA. Four TSA (3%) and two EEA (7%) cases required operative management for CSF rhinorrhoea (CSF diversion or direct repair). Qualitative feedback was largely positive (themes included: user-friendly and efficient data collection, strong support from senior team members) demonstrating acceptability. Conclusions Our pilot experience highlights the acceptability and feasibility of CRANIAL. There is a precedent for multicentre dissemination of this project, in order to establish a benchmark of contemporary skull base neurosurgery practice, particularly with respect to EEA cases. Keywords Cerebrospinal fluid rhinorrhoeaCSFCerebrospinal fluid leakskull base surgeryendoscopic endonasalEE

Measurement and interpretation of same-sign W boson pair production in association with two jets in pp collisions at s = 13 TeV with the ATLAS detector

This paper presents the measurement of fducial and diferential cross sections for both the inclusive and electroweak production of a same-sign W-boson pair in association with two jets (W±W±jj) using 139 fb−1 of proton-proton collision data recorded at a centre-of-mass energy of √s = 13 TeV by the ATLAS detector at the Large Hadron Collider. The analysis is performed by selecting two same-charge leptons, electron or muon, and at least two jets with large invariant mass and a large rapidity diference. The measured fducial cross sections for electroweak and inclusive W±W±jj production are 2.92 ± 0.22 (stat.) ± 0.19 (syst.)fb and 3.38±0.22 (stat.)±0.19 (syst.)fb, respectively, in agreement with Standard Model predictions. The measurements are used to constrain anomalous quartic gauge couplings by extracting 95% confdence level intervals on dimension-8 operators. A search for doubly charged Higgs bosons H±± that are produced in vector-boson fusion processes and decay into a same-sign W boson pair is performed. The largest deviation from the Standard Model occurs for an H±± mass near 450 GeV, with a global signifcance of 2.5 standard deviations

Combination of searches for heavy spin-1 resonances using 139 fb−1 of proton-proton collision data at s = 13 TeV with the ATLAS detector

A combination of searches for new heavy spin-1 resonances decaying into different pairings of W, Z, or Higgs bosons, as well as directly into leptons or quarks, is presented. The data sample used corresponds to 139 fb−1 of proton-proton collisions at = 13 TeV collected during 2015–2018 with the ATLAS detector at the CERN Large Hadron Collider. Analyses selecting quark pairs (qq, bb, , and tb) or third-generation leptons (τν and ττ) are included in this kind of combination for the first time. A simplified model predicting a spin-1 heavy vector-boson triplet is used. Cross-section limits are set at the 95% confidence level and are compared with predictions for the benchmark model. These limits are also expressed in terms of constraints on couplings of the heavy vector-boson triplet to quarks, leptons, and the Higgs boson. The complementarity of the various analyses increases the sensitivity to new physics, and the resulting constraints are stronger than those from any individual analysis considered. The data exclude a heavy vector-boson triplet with mass below 5.8 TeV in a weakly coupled scenario, below 4.4 TeV in a strongly coupled scenario, and up to 1.5 TeV in the case of production via vector-boson fusion

Measurement of the tt¯tt¯ production cross section in pp collisions at √s=13 TeV with the ATLAS detector

A measurement of four-top-quark production using proton-proton collision data at a centre-of-mass energy of 13 TeV collected by the ATLAS detector at the Large Hadron Collider corresponding to an integrated luminosity of 139 fb−1 is presented. Events are selected if they contain a single lepton (electron or muon) or an opposite-sign lepton pair, in association with multiple jets. The events are categorised according to the number of jets and how likely these are to contain b-hadrons. A multivariate technique is then used to discriminate between signal and background events. The measured four-top-quark production cross section is found to be 26+17−15 fb, with a corresponding observed (expected) significance of 1.9 (1.0) standard deviations over the background-only hypothesis. The result is combined with the previous measurement performed by the ATLAS Collaboration in the multilepton final state. The combined four-top-quark production cross section is measured to be 24+7−6 fb, with a corresponding observed (expected) signal significance of 4.7 (2.6) standard deviations over the background-only predictions. It is consistent within 2.0 standard deviations with the Standard Model expectation of 12.0 ± 2.4 fb

Measurements of Higgs bosons decaying to bottom quarks from vector boson fusion production with the ATLAS experiment at √=13TeV

The paper presents a measurement of the Standard Model Higgs Boson decaying to b-quark pairs in the vector boson fusion (VBF) production mode. A sample corresponding to 126 fb−1 of s√=13TeV proton–proton collision data, collected with the ATLAS experiment at the Large Hadron Collider, is analyzed utilizing an adversarial neural network for event classification. The signal strength, defined as the ratio of the measured signal yield to that predicted by the Standard Model for VBF Higgs production, is measured to be 0.95+0.38−0.36 , corresponding to an observed (expected) significance of 2.6 (2.8) standard deviations from the background only hypothesis. The results are additionally combined with an analysis of Higgs bosons decaying to b-quarks, produced via VBF in association with a photon

Muon reconstruction and identification efficiency in ATLAS using the full Run 2 pp collision data set at \sqrt{s}=13 TeV

This article documents the muon reconstruction and identification efficiency obtained by the ATLAS experiment for 139 \hbox {fb}^{-1} of pp collision data at \sqrt{s}=13 TeV collected between 2015 and 2018 during Run 2 of the LHC. The increased instantaneous luminosity delivered by the LHC over this period required a reoptimisation of the criteria for the identification of prompt muons. Improved and newly developed algorithms were deployed to preserve high muon identification efficiency with a low misidentification rate and good momentum resolution. The availability of large samples of Z\rightarrow \mu \mu and J/\psi \rightarrow \mu \mu decays, and the minimisation of systematic uncertainties, allows the efficiencies of criteria for muon identification, primary vertex association, and isolation to be measured with an accuracy at the per-mille level in the bulk of the phase space, and up to the percent level in complex kinematic configurations. Excellent performance is achieved over a range of transverse momenta from 3 GeV to several hundred GeV, and across the full muon detector acceptance of |\eta |<2.7

Measurements of W+W−+ ≥ 1 jet production cross-sections in pp collisions at s \sqrt{s} = 13 TeV with the ATLAS detector

Fiducial and differential cross-section measurements of W+W− production in association with at least one hadronic jet are presented. These measurements are sensitive to the properties of electroweak-boson self-interactions and provide a test of perturbative quantum chromodynamics and the electroweak theory. The analysis is performed using proton-proton collision data collected at p s = 13TeV with the ATLAS experiment, corresponding to an integrated luminosity of 139 fb−1. Events are selected with exactly one oppositely charged electron-muon pair and at least one hadronic jet with a transverse momentum of pT > 30 GeV and a pseudorapidity of |�| < 4.5. After subtracting the background contributions and correcting for detector effects, the jet-inclusive W+W−+ � 1 jet fiducial cross-section and W+W−+ jets differential cross-sections with respect to several kinematic variables are measured. These measurements include leptonic quantities, such as the lepton transverse momenta and the transverse mass of the W+W− system, as well as jet-related observables such as the leading jet transverse momentum and the jet multiplicity. Limits on anomalous triple-gauge-boson couplings are obtained in a phase space where interference between the Standard Model amplitude and the anomalous amplitude is enhanced