145 research outputs found

    Semi-parametric Expected Shortfall Forecasting

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    Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation that can be semi-parametrically estimated via an asymmetric sum of squares function. The conditional autoregressive expectile class of model, used to indirectly model expected shortfall, is generalised to incorporate information on the intra-day range. An asymmetric Gaussian density model error formulation allows a likelihood to be developed that leads to semiparametric estimation and forecasts of expectiles, and subsequently of expected shortfall. Adaptive Markov chain Monte Carlo sampling schemes are employed for estimation, while their performance is assessed via a simulation study. The proposed models compare favourably with a large range of competitors in an empirical study forecasting seven financial return series over a ten year period

    Results from the European carbon labelling initiative CO2 Star

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    Today, passenger cars alone are responsible for around 12% of European CO 2 emissions. An opportunity to reduce CO 2 emissions in transport is provided by the use of biofuels with beneficial life cycle CO 2 emissions. The Carbon Labelling project (Project No. EIE/06/015) promotes the use of biofuels by implementing different labelling initiatives in Europe and applying the developed carbon label "CO 2Star" to biodiesel, efficient lubricants and biofuel based freight services. In a first step a supportable methodology for the quantification of carbon life cycle reductions was identified in co-operation with recent and on-going activities and methodologies by European and worldwide expert groups such as SenterNovem (NL), ifeu Institute (DE) and Imperial College (UK). In a second step the Carbon Labelling initiative actively promoted this carbon reduction to consumers. Finally, a consumer survey was conducted in order to assess the success of this initiative and the acceptance of GHG labels. This paper gives an overview about the current discussion on carbon reductions in the transport sector, different GHG calculation methodologies, and about the results of the 'Carbon Labelling' project which is supported by the Intelligent Energy Europe Programme.peer-reviewe

    Exploring immunological mechanisms in cow’s milk allergy

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    Koemelkallergie is de meest voorkomende allergische aandoening op de zuigelingenleeftijd. Rond de leeftijd van drie jaar zijn de meeste kinderen over hun allergie heen gegroeid, maar een minderheid blijft allergisch. Waarom is vooralsnog onbekend. Anders van Thuijl onderzocht immunologische mechanismen die hierbij een rol spelen. Hij toont aan dat de witte bloedcellen (T-cellen) van kinderen die gedurende de kinderleeftijd allergisch voor koemelkeiwit blijven op de zuigelingenleeftijd significant meer eiwitten (Th2-gemedieerde cytokines, die allergische reacties aansturen) produceren dan kinderen die op jonge leeftijd over hun allergie heen groeien. Deze bevinding kan clinici helpen de zuigeling met een verhoogd risico op persisterende koemelkallergie te identificeren
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