The dynamics of hourly electricity prices

The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in order to verify that the schedule is feasible and lies within transmission constraints. Instead agents have to submit their bids and offers for delivery of electricity for all hours of the next day before a specified market closing time. We suggest the use of dynamic semiparametric factor models (DSFM) for the behavior of hourly electricity prices. We find that a model with three factors is able to explain already a high proportion of the variation in hourly electricity prices. Our analysis also provides insights into the characteristics of the market, in particular with respect to the driving factors of hourly prices and their dynamic behavior through time.Power Markets, Dynamic Semiparametric Factor Models, Day-ahead Electricity Prices

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities and financial markets. First of all, we find a significant relationship between EUA returns and those of the other considered variables that is most appropriately modeled by a Gaussian and Student-t copula. These results contradict some earlier studies that report no statistically significant or even negative correlations between returns of emission allowances and other financial variables. Secondly, considering time-varying copulas shows that the estimated copula parameters are not constant over time. We find in particular that the dependence is stronger during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages of copula methods. In particular the Student-t copula provides an appropriate quantification of VaR at different confidence levels while other models fail to specify the risk correctly. This analysis shows that ignoring the actual nature of dependence might lead to an underestimation of the risk for portfolios combining EUAs with commodities or equity investments.CO2 emission trading, commodity markets, copula models, dependence structure

Convenience Yields for CO2 Emission Allowance Futures Contracts

In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formally entered into operation. Within the new trading system, the right to emit a particular amount of CO2 becomes a tradable commodity - called EU Allowances (EUAs) - and affected companies, traders and investors will face new strategic challenges. In this paper we investigate the nature of convenience yields for CO2 emission allowance futures. We conduct an empirical study on price behavior, volatility term structure and correlations in different CO2 EUA contracts. Our findings are that the market has changed from initial backwardation to contango with significant convenience yields in future contracts for the Kyoto commitment period starting in 2008. A high fraction of the yields can be explained by the price level and volatility of the spot prices. We conclude that the yields can be interpreted as market expectation on the price risk of CO2 emissions allowance prices and the uncertainty of EU allocation plans for the Kyoto period.CO2 Emission Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields.

Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study

The recently finalized Basel II Capital Accord requires banks to adopt a procedure to estimate the operational risk capital charge. Under the Advanced Measurement Approaches, that are currently mandated for all large internationally active US banks, require the use of historic operational loss data. Operational loss databases are typically subject to a minimum recording threshold of roughly $10,000. We demonstrate that ignoring such thresholds leads to biases in corresponding parameter estimates when the threshold is ignored. Using publicly available operational loss data, we analyze the effects of model misspecification on resulting expected loss, Value-at-Risk, and Conditional Value-at-Risk figures and show that underestimation of the regulatory capital is a consequence of such model error. The choice of an adequate loss distribution is conducted via in-sample goodness-of-fit procedures and backtesting, using both classical and robust methodologies. --

Structured immune work-up in healthy children with a first episode of severe bacterial infection: a 7-year single-center study

Background: Severe bacterial infections (SBI) in otherwise healthy children are rare and may represent an underlying impairment of the immune system including primary immunodeficiency (PID). However, it is unclear if and how children should be assessed. Methods: We retrospectively analyzed data from hospital records of previously healthy children aged 3 days to 18 years with SBI including pleuropneumonia, meningitis, and/or sepsis. Patients were diagnosed or immunologically followed-up between 2013/01/01 and 2020/03/31. Results: Out of 432 children with SBI, 360 children could be analyzed. Follow-up data were available for 265 (74%) children, of whom 244 children (92%) had immunological testing. Laboratory abnormalities were found in 51 of 244 patients (21%), with 3 deaths (1%). There were 14 (6%) children with immunodeficiency considered clinically relevant (3 complement deficiencies, 1 autoimmune neutropenia, 10 humoral immunodeficiencies) and 27 (11%) with milder humoral abnormalities or findings suggestive of delayed adaptive immune maturation. Conclusions: A substantial proportion of children with SBI may benefit from routine immunological testing, revealing (potentially) clinically relevant impaired immune function in 6-17% of children. The identification of immune abnormalities allows for specific counselling of families and optimization of preventive measures such as booster vaccinations to avoid future SBI episodes

Analyse der Funktion von Caspase-4 in der Chorionkarzinom-Zelllinie JEG-3

In dieser Dissertation wurde der Einfluss des in seiner Funktion noch wenig verstandenen Enzyms Caspase-4 auf grundlegende zelluläre Funktionen der humanen Chorionkarzinom-Modell-Zelllinie JEG-3, welche als Modell-Zelllinie für invadierende Trophoblasten dient, untersucht. Es sollte geklärt werden, ob die Stimulation von JEG-3-Zellen mit Leukaemia Inhibitory Factor (LIF) neben einer vermehrten Genexpression auch zu einer direkten Steigerung der Enzymaktivität von Caspase-4 führt. Hierzu wurde die Unterdrückung der Genexpression und Proteinsynthese von Caspase-4 mittels RNA-Interferenz (RNAi) in JEG-3-Zellen etabliert. Mit funktionellen Tests wurde der Einfluss dieses „Knock-downs“ auf das Proliferations- und Apoptoseverhalten von JEG-3-Zellen untersucht. Zudem sollte überprüft werden, ob die in der Frühschwangerschaft relevanten Zytokine LIF, Interleukin 6 (IL-6) und Hepatocyte Growth Factor (HGF) einen Einfluss auf die oben genannten Zellfunktionen nach RNAi von Caspase-4 besitzen. Es konnte gezeigt werden, dass LIF neben einer vermehrten Genexpression auch direkt zu einer signifikanten Steigerung der Enzymaktivität von Caspase-4 führt. Die funktionellen Tests zeigten zudem, dass der „Knock-down“ von Caspase-4 sowie die anschließende Stimulation der Zellen mit LIF, IL-6 und HGF zu einer signifikanten Steigerung der Proliferation führt. Im Bezug auf die intrazelluläre Regulation des Apoptose-Verhaltens zeigten die Ergebnisse keinen sicheren pro- oder anti-apoptotischen Einfluss von Caspase-4. Die Ergebnisse lassen eine regulatorische Funktion von Caspase-4 v.a. im Bereich der Steigerung des Invasionspotentials von JEG-3-Zellen vermuten. Die Übertragung dieser Ergebnisse vom JEG-3-Modell auf die trophoblastäre Primärzelle und die Einordnung der Ergebnisse in die bis heute gesicherten Erkenntnisse zur Trophoblastinvasion und Plazentation lassen den Schluss zu, dass Caspase-4 als Regulator des invasiven Potentials von Trophoblastzellen einen bis dato unbekannten Baustein der molekularen Mechanismen zur erfolgreichen Etablierung einer Schwangerschaft darstellen könnte

Gout in pediatric renal transplant recipients

Clinical gout has rarely been described after pediatric renal transplantation (RTx), although asymptomatic hyperuricemia is common in these patients. We describe three male pediatric patients who presented with gouty arthritis 7-8.5 years following RTx. Since receiving allopurinol, all patients had been free of gouty symptoms. To prevent severe bone marrow depletion, the dosage of azathioprine, an immunosupressant drug, was reduced by 50% to prevent interaction with allopurinol. Because atypical presentation of gout can occur, a high index of suspicion is needed to allow appropriate diagnosis of this disease in patients with skeletal pain after RT

Pneumococcal Serotype-Specific Antibodies Persist through Early Childhood after Infant Immunization: Follow-Up from a Randomized Controlled Trial

Background: In a previous UK multi-center randomized study 278 children received three doses of 7-valent (PCV-7) or 13- valent (PCV-13) pneumococcal conjugate vaccine at 2, 4 and 12 months of age. At 13 months of age, most of these children had pneumococcal serotype-specific IgG concentrations $0.35 mg/ml and opsonophagocytic assay (OPA) titers$8. Methods: Children who had participated in the original study were enrolled again at 3.5 years of age. Persistence of immunity following infant immunization with either PCV-7 or PCV-13 and the immune response to a PCV-13 booster at preschool age were investigated. Results: In total, 108 children were followed-up to the age of 3.5 years and received a PCV-13 booster at this age. At least 76% of children who received PCV-7 or PCV-13 in infancy retained serotype-specific IgG concentrations $0.35 mg/ml against each of 5/7 shared serotypes. For serotypes 4 and 18C, persistence was lower at 22–42$0.35 mg/ml against each of 4/6 of the additional PCV-13 serotypes; for serotypes 1 and 3 this proportion was 45% and 52%. In the PCV-7 group these percentages were significantly lower for serotypes 1, 5 and 7F. A pre-school PCV-13 booster was highly immunogenic and resulted in low rates of local and systemic adverse effects. Conclusion: Despite some decline in antibody from 13 months of age, these data suggest that a majority of pre-school children maintain protective serotype-specific antibody concentrations following conjugate vaccination at 2, 4 and 12 months of age. Trial Registration: ClinicalTrials.gov NCT0109547

Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study

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