Time Varying VAR Analysis for Disaggregated Exchange Rate Pass-through in Tunisia

Our paper follows the "Time Varying Parameter VAR with Stochastic Volatility" (TVP VAR) approach developed by Primiceri (2005): Bayesian estimation with time varying coefficients and stochastic volatility. Our paper contributes to the literature by examining if the impact of monetary and exchange rate shocks have varied over time in Tunisia through a disaggregated analysis of exchange rate pass-through by introducing time variability in two ways; firstly, by assuming That all the coefficients of the VAR model are variant in time, and secondly, in the temporal variance-covariance matrix, that is the error term’s volatility of the VAR model. The multivariate stochastic volatility aims at capturing the heteroskedasticity of shocks and non linearities in the simultaneous relationships between the variables of the model. In fact, it allows us to capture abrupt and progressive changes in state variables. Given the structural and institutional changes in the Tunisian economy over the last few decades, it is important to emphasize the possibility of such a temporal variation in the empirical methodology. To the best of our knowledge, this work is among the first to apply the TVP-VAR approach with stochastic volatility to the shocks of monetary and exchange rate policies in Tunisia. Overall, the findings confirm that the modeling approch; i.e the TVP-VAR, is the best tool to analyze the impact of these shocks in Tunisia. The results of the study can help the short- and long-term decision-makers in Tunisia to adopt appropriate strategies for conducting monetary policy as well as containing inflation

Time Varying VAR Analysis for Disaggregated Exchange Rate Pass-through in Tunisia

Our paper follows the "Time Varying Parameter VAR with Stochastic Volatility" (TVP VAR) approach developed by Primiceri (2005): Bayesian estimation with time varying coefficients and stochastic volatility. Our paper contributes to the literature by examining if the impact of monetary and exchange rate shocks have varied over time in Tunisia through a disaggregated analysis of exchange rate pass-through by introducing time variability in two ways; firstly, by assuming That all the coefficients of the VAR model are variant in time, and secondly, in the temporal variance-covariance matrix, that is the error term’s volatility of the VAR model. The multivariate stochastic volatility aims at capturing the heteroskedasticity of shocks and non linearities in the simultaneous relationships between the variables of the model. In fact, it allows us to capture abrupt and progressive changes in state variables. Given the structural and institutional changes in the Tunisian economy over the last few decades, it is important to emphasize the possibility of such a temporal variation in the empirical methodology. To the best of our knowledge, this work is among the first to apply the TVP-VAR approach with stochastic volatility to the shocks of monetary and exchange rate policies in Tunisia. Overall, the findings confirm that the modeling approch; i.e the TVP-VAR, is the best tool to analyze the impact of these shocks in Tunisia. The results of the study can help the short- and long-term decision-makers in Tunisia to adopt appropriate strategies for conducting monetary policy as well as containing inflation

ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL

International audienc

ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL

This paper is devoted to the application of the Independent Component Analysis (ICA) methodology to the problem of selecting portfolio strategies, so as to provide against extremal movements in financial markets. A specific ICA model for describing the extreme fluctuations of asset prices is introduced, stipulating that the distributions of the ICs are heavy tailed (i.e., with power law behavior at infinity). An inference method based on conditional maximum likelihood estimation is proposed for our model, which permits to determine practically optimal investment strategies with respect to extreme risk. Empirical studies based on this modeling are carried out to illustrate our approach.Independent component analysis, portfolio selection, heavy-tailed distribution, extreme values, conditional MLE, safety first investment strategies

Statistical analysis of financial time series under the assumption of local stationarity

The aim of this paper is to apply a nonparametric methodology developed by Donoho et al(2003 IEEE Trans. Signal Processing53614-27) for estimating an autocovariance sequence to the statistical analysis of the return of securities and discuss the advantages offered by this approach over other existing methods such as fixed-window-length segmentation procedures. Theoretical properties of adaptivity of this estimation method have been proved for a specific class of time series, namely the class of locally stationary processes, with an autocovariance structure which varies slowly over time in most cases but might exhibit abrupt changes of regime. This method is based on an algorithm that selects empirically from the data the tiling of the time-frequency plane which exposes best in the least-squares sense the underlying second-order time-varying structure of the time series, and so may properly describe the time-inhomogeneous variations of speculative prices. The applications we consider here mainly concern the analysis of structural changes occurring in stock market returns, VaR estimation and the comparison between the variation structure of stock index returns in developed markets and in developing markets.

Cervical sympathetic chain schwannoma: A case report

Nerve tumors arising from the sympathetic chain are uncommon slow-growing tumors and represent a diagnosis challenge. Their malignant degeneration is rare. Definitive pre-operative diagnosis may be difficult as investigations are not usually helpful. We report the case of a 23-year old woman who presented with an asymptomatic solitary left cervical swelling. She was evaluated with sonography and computed tomography. Complete surgical excision of the lesion was carried out and histologic examination revealed a schwannoma. Post-operatively, the patient showed clinical findings of Horner’s syndrome. Pathologic and radiological evaluation, differential diagnosis of this neoplasm and its management are discussed

Do investors feedback trade in the Bitcoin—and why?

We empirically examine whether feedback traders are active in the Bitcoin and the extent to which their presence is affected by a series of noise-related factors (sentiment; volume; liquidity) at three different frequencies (hourly; daily; weekly) for the April 2013–July 2019 period based on Bitstamp data. Our findings suggest that positive feedback trading grows stronger for higher (hourly; daily) frequencies, with its presence manifesting itself mainly during periods of high/improving sentiment and high/rising volume/liquidity. Additional tests reveal that the significance of hourly feedback trading is identified during hours corresponding to the trading hours of major European/North American markets. Overall, our results confirm extant literature evidence on the prevalence of noise trading in cryptocurrencies, while further showcasing that the factors motivating feedback trading in other asset classes (equities; ETFs; futures) exhibit similar effects over the presence of feedback traders in the cryptocurrency market

Fertility-sparing surgery in advanced stage malignant ovarian germ cell tumor: a case report

Abstract Background Malignant ovarian germ cell tumor is a rare type of disease, which generally has a good prognosis due to the high chemosensitivity of this type of tumor. Fertility preservation is an important issue because malignant ovarian germ cell tumor commonly affects young women. Although conservation is the standard for early stage, it becomes more debatable as the disease progresses to more advanced stages. Aim: Report the case of a patient with an International Federation of Gynecology and Obstetrics Stage IIIc malignant ovarian germ cell tumor, who had conservative surgery and chemotherapy with a good fertility outcome. Case presentation A 23-year-old North African woman with a left malignant ovarian germ cell tumor stage IIIc was treated by left adnexectomy and omentectomy followed by chemotherapy. A 15-year follow-up showed no signs of relapse, and she completed three full-term natural pregnancies. Conclusions Malignant ovarian germ cell tumor is a rare ovarian tumor with a good prognosis. It is usually associated with a good fertility outcome in early stages. However, due to the rarity of the disease in advanced stages, the fertility outcome for this group of patients is not clear. This lack of data surrounding advanced stages points to the need for a meta-analysis of all published cases