Applications of Vine Copulas in Commodity Risk Management and Price Analysis

This dissertation consists of three studies that focus on applications of vine copulas, a relatively new class of multivariate copula approach, in commodity risk management and price analysis. The first study proposes a vine copula approach to estimate multiproduct hedge ratios that minimize the risk of refining margin erosion – the downside risk facing a typical oil refinery whose profit greatly depends on its refining margin or the difference between the prices of its refined products and the cost of crude oil. The out-of-sample hedging effectiveness of two popular classes of vine copula models – canonical (C-) and drawable (D-) vine copula models – are evaluated and compared with that of a widely used nonparametric method and three standard multivariate copula models. The empirical results reveal that the D-vine copula model seems to be a good and safe choice in managing the downside risk of the refinery. The second study explores the importance of modeling heterogeneous dependence structures between different pairs of energy commodity returns with vine copulas in improving one-step-ahead density forecasts of these returns. The value of modeling heterogeneous dependence structures is measured by comparing the performance of density forecasts based on vine copulas with density forecasts based on standard copulas that assume homogeneous dependence structures. The empirical results suggest that modeling heterogeneous dependence structures using vine copulas does not help improve quality of multivariate density forecasts of energy commodity returns. The third study applies a vine copula approach to analyze the dependence structure and tail dependence patterns among daily prices of three agricultural commodities (corn, soybean, and wheat) and two energy commodities (ethanol and crude oil) from June 2006 to June 2016. Our findings suggest that the prices of corn and crude oil are linked through the ethanol market. We also find that crude oil and agricultural commodity prices are statistically dependent during the extreme market downturns but independent during the extreme market upturns. Moreover, the results from our sub-sample analysis show that both the upper and lower tail dependence between crude oil and other commodity markets become weaker in the recent years when the ethanol market became more mature

Male Infertility for General Obstetricians and Gynecologists

General obstetricians and gynecologists have involved in the initial diagnosis and management of infertility problems. In the last two decades, there were increased knowledge that improved the diagnosis and treatment of male infertility. The recent knowledge of the diagnostic evaluation and treatment of male infertility will be beneficial for most obstetrics and gynecologists. This review article aims to summarize recent data on the management of male infertility

The water quality assessment and biodiversity of phytoplankton in Phayao Lake, Phayao Province, Thailand

The goals of this evaluation of Phayao Lake were to evaluate the physical, chemical, and biological water quality, to determine the phytoplankton biodiversity, and to examine the relationship between biodiversity and water quality. Seven stations gathered samples for six months, from September 2020 to February 2021. Twice a month, samples were collected from each location. The results identified eight divisions, fifty-nine genera, and eighty-nine species. The most prevalent division of phytoplankton was Chlorophyta (45%), composed of 40 species. Coelomoron sp. was the most dominant species, with 732 ± 252 individuals L-1. The ranges for the Shannon – Wiener index, the evenness index, the richness index, and the index of similarity were 0.210 to 3.101, 0.151 to 0.985, 0.481 to 6.487, and 40.00 to 76.11, respectively. Based on the relationship between water quality variables and phytoplankton and utilizing statistical data analyzed using canonical correspondence analysis, phytoplankton was categorized into seven types, each of which was linked to an increase in dissolved oxygen levels. Although community-use water was classed as having medium to low nutrient levels, the average water quality in terms of dissolved oxygen (DO), biological oxygen demand (BOD), conductivity, nitrate concentrations, and phosphorus was classified as having medium to high nutrient levels. Because aquatic organisms use the area surrounding Phayao Lake as a nursery and breeding site, it has been. It will continue to be an important source of food for the community. Aquatic animals use the area surrounding Phayao Lake as a nursery and breeding ground; hence, this area is and will continue to be an important food source for the local community. Long-term monitoring determines the annual phytoplankton succession and identifies the progression of anomalous events, as recommended by the policy recommendations.Sitthisak Pinmongkhonkul (Department of Biology, School of Science, University of Phayao), Rattapoom Prommana (Department of Environmental Science, School of Environmental Science, University of Phayao), Thatchakorn Khamkhunmuang (Department of Biology, Faculty of Science, Chiang Mai University), Shalinee Singkurt (Department of Biology, School of Science, University of Phayao), Akepawee Sukcharoen (Department of Biology, School of Science, University of Phayao), Warach Madhyamapurush (Department of Tourism and Hotel Management, School of Business and Communication Arts, University of Phayao)Includes bibliographical references

Analyzing Extreme Comovements in Agricultural and Energy Commodity Markets Using a Regular Vine Copula Method

Using a regular vine copula approach, this paper analyzes the dependence structure and tail dependence patterns among daily prices of three agricultural commodities (corn, soybean, and wheat) and two energy commodities (ethanol and crude oil) from June 2006 to June 2016. Our findings suggest that the prices of corn and crude oil are linked through the ethanol market, which are consistent with the results from previous studies. We also find that crude oil and agricultural commodity prices are statistically dependent during the extreme market downturns but independent during the extreme market upturns. In addition, the results from our sub-sample analysis show that both the upper and lower tail dependence between crude oil and other commodity markets become weaker in the recent years when the ethanol market became more mature. Keywords: Agricultural Markets, Energy Markets, Price Dependence, Tail Dependence, Vine Copulas JEL Classifications: C53, C58, G11, G17, Q13, Q4

An Application of Value Network Mapping in Workload Control Concept

Workload control (WLC) concept has been recognized for job shop practices. One of major parts of order release and review (ORR) is the order entry phase. Value network mapping (VNM) is an alternative approach of the value stream mapping (VSM). All parts on shop floor are mapped in the complete network flows with detailed data. An objective of this research is to use a case-based approach to apply VNM for supporting data in ORR strategy. A variety of material flow analysis and product grouping tools are employed to use in the empirical study. It is fruitful to handle multiple products in complex bill of material and becomes easier to visualize for anticipation a bottleneck. All necessary data are clearly shown for production planner in order to prepare for performing an optimization analysis in order release phase.特集 : Special Section for the Papers Presented at the Symposium on Mechanical Engineering, Industrial Engineering, and Robotics held at Noboribetsu, Hokkaido, Japan on 11 - 12 January 201

IgA Nephropathy Genetic Risk Score to Estimate the Prevalence of IgA Nephropathy in UK Biobank

Background: IgA nephropathy (IgAN) is the commonest glomerulonephritis worldwide. Its prevalence is difficult to estimate, as people with mild disease do not commonly receive a biopsy diagnosis. We aimed to generate an IgA nephropathy genetic risk score (IgAN-GRS) and estimate the proportion of people with hematuria who had IgAN in the UK Biobank (UKBB). Methods: We calculated an IgAN-GRS using 14 single-nucleotide polymorphisms (SNPs) drawn from the largest European Genome-Wide Association Study (GWAS) and validated the IgAN-GRS in 464 biopsy-proven IgAN European cases from the UK Glomerulonephritis DNA Bank (UKGDB) and in 379,767 Europeans in the UKBB. We used the mean of IgAN-GRS to calculate the proportion of potential IgAN in 14,181 with hematuria and other nonspecific renal phenotypes from 379,767 Europeans in the UKBB. Results: The IgAN-GRS was higher in the IgAN cohort (4.30; 95% confidence interval [95% CI: 4.23-4.38) than in controls (3.98; 3.97-3.98; P < 0.0001). The mean GRS in UKBB participants with hematuria (n = 12,858) was higher (4.04; 4.02-4.06) than UKBB controls (3.98; 3.97-3.98; P < 0.0001) and higher in those with hematuria, hypertension, and microalbuminuria (n = 1323) (4.07; 4.02-4.13) versus (3.98; 3.97-3.98; P = 0.0003). Using the difference in these means, we estimated that IgAN accounted for 19% of noncancer hematuria and 28% with hematuria, hypertension, and microalbuminuria in UKBB. Conclusions: We used an IgAN-GRS to estimate the prevalence of IgAN contributing to common phenotypes that are not always biopsied. The noninvasive use of polygenic risk in this setting may have further utility to identify likely etiology of nonspecific renal phenotypes in large population cohorts.This article is freely available via Open Access. Click on the Publisher URL to access it via the publisher's site.This study was done with the UK Biobank resource (application 9072). UK Glomerulonephritis DNA Bank cohort. Piotr Słowinski, was consulted on the means method and helped with the simulation estimates and calculation. KS is funded by an Nation Institute for Health and Research (NIHR) Academic Clinical Fellowship. SAS is supported by a Diabetes UK PhD studentship (17/0005757). RAO is supported by a Diabetes UK Harry Keen Fellowship (16/0005529) MNW is supported by the Wellcome Trust Institutional Support Fund (WT097835MF). The views expressed are those of the authors and not necessarily those of the National Health Service (NHS), the NIHR, or the Department of Healthpublished version, accepted version, submitted versio

IgA nephropathy genetic risk score to estimate the prevalence of IgA nephropathy in UK Biobank.

This is the final version. Available fromElsevier via the DOI in this record. BACKGROUND: IgA nephropathy (IgAN) is the commonest glomerulonephritis worldwide. Its prevalence is difficult to estimate, as people with mild disease do not commonly receive a biopsy diagnosis. We aimed to generate an IgA nephropathy genetic risk score (IgAN-GRS) and estimate the proportion of people with hematuria who had IgAN in the UK Biobank (UKBB). METHODS: We calculated an IgAN-GRS using 14 single-nucleotide polymorphisms (SNPs) drawn from the largest European Genome-Wide Association Study (GWAS) and validated the IgAN-GRS in 464 biopsy-proven IgAN European cases from the UK Glomerulonephritis DNA Bank (UKGDB) and in 379,767 Europeans in the UKBB. We used the mean of IgAN-GRS to calculate the proportion of potential IgAN in 14,181 with hematuria and other nonspecific renal phenotypes from 379,767 Europeans in the UKBB. RESULTS: The IgAN-GRS was higher in the IgAN cohort (4.30; 95% confidence interval [95% CI: 4.23-4.38) than in controls (3.98; 3.97-3.98; P < 0.0001). The mean GRS in UKBB participants with hematuria (n = 12,858) was higher (4.04; 4.02-4.06) than UKBB controls (3.98; 3.97-3.98; P < 0.0001) and higher in those with hematuria, hypertension, and microalbuminuria (n = 1323) (4.07; 4.02-4.13) versus (3.98; 3.97-3.98; P = 0.0003). Using the difference in these means, we estimated that IgAN accounted for 19% of noncancer hematuria and 28% with hematuria, hypertension, and microalbuminuria in UKBB. CONCLUSIONS: We used an IgAN-GRS to estimate the prevalence of IgAN contributing to common phenotypes that are not always biopsied. The noninvasive use of polygenic risk in this setting may have further utility to identify likely etiology of nonspecific renal phenotypes in large population cohorts.Diabetes UKDiabetes UKWellcome TrustNational Institute for Health Researc

Leukocytospermia and sperm preparation - a flow cytometric study

Reprod Biol Endocrinol. 2009 Nov 19;7:12