Sensitivity analysis of volatility: a new tool for risk management

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation problem may be recovered from the univariate approach. The main tool we use is the "variance sensitivity analysis", which measures the change in the portfolio variance as a consequence of an infinitesimal change in the portfolio allocation. We derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the derivatives of the estimated GARCH variance with respect to these weights. We suggest a new and simple method to estimate full variance-covariance matrices of portfolio assets. An application to real data portfolios shows how to implement our methodology and compares its performance against that of selected popular alternatives. JEL Classification: C32, C53, G15Dynamic Correlations, GARCH, risk management, Sensitivity Analysis

High order direct Arbitrary-Lagrangian-Eulerian schemes on moving Voronoi meshes with topology changes

We present a new family of very high order accurate direct Arbitrary-Lagrangian-Eulerian (ALE) Finite Volume (FV) and Discontinuous Galerkin (DG) schemes for the solution of nonlinear hyperbolic PDE systems on moving 2D Voronoi meshes that are regenerated at each time step and which explicitly allow topology changes in time. The Voronoi tessellations are obtained from a set of generator points that move with the local fluid velocity. We employ an AREPO-type approach, which rapidly rebuilds a new high quality mesh rearranging the element shapes and neighbors in order to guarantee a robust mesh evolution even for vortex flows and very long simulation times. The old and new Voronoi elements associated to the same generator are connected to construct closed space--time control volumes, whose bottom and top faces may be polygons with a different number of sides. We also incorporate degenerate space--time sliver elements, needed to fill the space--time holes that arise because of topology changes. The final ALE FV-DG scheme is obtained by a redesign of the fully discrete direct ALE schemes of Boscheri and Dumbser, extended here to moving Voronoi meshes and space--time sliver elements. Our new numerical scheme is based on the integration over arbitrary shaped closed space--time control volumes combined with a fully-discrete space--time conservation formulation of the governing PDE system. In this way the discrete solution is conservative and satisfies the GCL by construction. Numerical convergence studies as well as a large set of benchmarks for hydrodynamics and magnetohydrodynamics (MHD) demonstrate the accuracy and robustness of the proposed method. Our numerical results clearly show that the new combination of very high order schemes with regenerated meshes with topology changes lead to substantial improvements compared to direct ALE methods on conforming meshes

Outcome of patients with arthritis and parvovirus B19 DNA in synovial membranes

To investigate the follow-up of the 17 patients during the period of 1995-2001 of the outpatient Clinic for Rheumatology at the University Hospital of Zurich with arthritis and the presence of parvovirus B19 DNA demonstrated by PCR in synovial biopsies. Seventeen patients of 163 with arthritis, which were routinely examined by needle arthroscopy during 1995-2001 with a positive parvovirus B19 DNA by PCR of synovial biopsy were reevaluated. Investigations included medical history, clinical examination and blood tests. Joint fluid was taken on patients with joint effusion. The observation period of the 17 patients (F:M=11:6) was 2-8years (Ø=6.5years). In 8 of 17 patients the arthritis could not be classified neither at entry nor during the follow up of the study. The arthritis could be diagnosed in six patients early in the onset of the disease and included three cases of lyme arthritis of the knee joint, two cases with arthritis following a gastrointestinal infection (one with Salmonella typhimurium—positive faecal test—and the other one with a culture negative agent), one patient probably had an infection-associated arthritis after a gastrointestinal infection with Entamöeba histolytica (Schirmer et al. in Rheumatol Int 18:37-38, 1998; Kasliwal in Am J Proctol Gastroenterol Colon Rectal Surg 32:12, 16, 28, 1981; Haslock and Wright in J R Coll Phys Lond 8:1554-162, 1974; Than-Saw et al. in Trop Geogr Med 44:355-358, 1992) with remission after antibiotic therapy. After a disease course of 9months one patient could be classified as rheumatoid arthritis in the presence of anti-cyclic citrullinated antibodies but lack of rheumatoid factor. One patient with polyarthritis developed psoriasis of the skin 22months later. From the nine patients with unclassified arthritis 4 (45%) got into complete remission with no symptoms or signs of joint inflammation after a disease course of 9-45months, whereas 5 (55%) still demonstrate active non erosive arthritis (disease duration between 3 and 10years). The presence of parvovirus B19 DNA in synovial tissue of patients with joint inflammation does not allow the diagnosis of parvovirus induced arthritis. If the arthritis remains unclassified and without erosions over time a virus associated aetiology may be assumed. However, no definitive diagnosis is possible even in the presence of parvovirus B19 DNA in synovial tissu

Palaeoenvironmental analysis of the upper Cenomanian and lower Turonian limestone beds in the Sergipe Basin, northeastern Brazil, based on microfacies analysis, micropalaeontology and stable isotopes

Die Kalksteinschichten des oberen Cenoman- unteren Turon (mittlere Kreide) des Sergipe Beckens in Nordost-Brasilien, wurden bezüglich des Paläoenvironments und der Mikrofazies untersucht. Die Mikrofauna wurde auf ihre biostratigraphische Verwendbarkeit analysiert und zur Interpretation des Paläoenvironments. Stabile Isotope (13C, 18O) wurden gemessen, zum einen um die Vollständigkeit der stratigraphischen Abfolge zu überprüfen und zum anderen um die beprobten Profile miteinander zu korrelieren. Der Ablagerungsraum der oberen Cenoman- und unteren Turon-Schichten war eine leicht geneigte Karbonatrampe. Die Vertiefung des Beckens von Nordosten nach Südwesten ist in zwei Ablagerungsbereichen aufgeschlossen: der mittleren und äusseren Rampe. Die Mikrofauna der untersuchten Schichten besteht hauptsächlich aus Foraminiferen, Calcisphären, Radiolarien und wenigen Ostrakoden. Neben Foraminiferen lassen sich Roveacriniden als Grenzmarker nutzen. Die Vergesellschaftung planktonischen Foraminiferen des nördlichen und zentralen Bereich des Beckens weisen auf ein flaches bis mittleres neritisches environment unter gut durchlüfteten Bedingungen. Dafür spricht ausserdem die starke Bioturbation der Schichten. Die niedrig-diversen, wenig verbreiteten benthischen Mikroorganismen des südwestlichen Bereichs des Beckens weisen auf ein mittleres bis tief-neritisches environment unter sauerstoff-reduzierten Bedingungen hin. Die Laminationsstrukturen dieser Schichten unterstreichen dies. Die Schichtlücke im südlichen Japaratuba-Gebiet konnte mit Hilfe der d13C-Kurve nachgewiesen werden. Die auftretenden Fluktuationen der Kohlenstoff-Kurve lassen eine Korrelation der einzelnen Profile zu, die mit der Biostratigraphie übereinstimmt

Extended neutral hydrogen filamentary network in NGC 2403

We present new neutral hydrogen (H 

Comparative genomics of ParaHox clusters of teleost fishes: gene cluster breakup and the retention of gene sets following whole genome duplications

BACKGROUND: The evolutionary lineage leading to the teleost fish underwent a whole genome duplication termed FSGD or 3R in addition to two prior genome duplications that took place earlier during vertebrate evolution (termed 1R and 2R). Resulting from the FSGD, additional copies of genes are present in fish, compared to tetrapods whose lineage did not experience the 3R genome duplication. Interestingly, we find that ParaHox genes do not differ in number in extant teleost fishes despite their additional genome duplication from the genomic situation in mammals, but they are distributed over twice as many paralogous regions in fish genomes. RESULTS: We determined the DNA sequence of the entire ParaHox C1 paralogon in the East African cichlid fish Astatotilapia burtoni, and compared it to orthologous regions in other vertebrate genomes as well as to the paralogous vertebrate ParaHox D paralogons. Evolutionary relationships among genes from these four chromosomal regions were studied with several phylogenetic algorithms. We provide evidence that the genes of the ParaHox C paralogous cluster are duplicated in teleosts, just as it had been shown previously for the D paralogon genes. Overall, however, synteny and cluster integrity seems to be less conserved in ParaHox gene clusters than in Hox gene clusters. Comparative analyses of non-coding sequences uncovered conserved, possibly co-regulatory elements, which are likely to contain promoter motives of the genes belonging to the ParaHox paralogons. CONCLUSION: There seems to be strong stabilizing selection for gene order as well as gene orientation in the ParaHox C paralogon, since with a few exceptions, only the lengths of the introns and intergenic regions differ between the distantly related species examined. The high degree of evolutionary conservation of this gene cluster's architecture in particular - but possibly clusters of genes more generally - might be linked to the presence of promoter, enhancer or inhibitor motifs that serve to regulate more than just one gene. Therefore, deletions, inversions or relocations of individual genes could destroy the regulation of the clustered genes in this region. The existence of such a regulation network might explain the evolutionary conservation of gene order and orientation over the course of hundreds of millions of years of vertebrate evolution. Another possible explanation for the highly conserved gene order might be the existence of a regulator not located immediately next to its corresponding gene but further away since a relocation or inversion would possibly interrupt this interaction. Different ParaHox clusters were found to have experienced differential gene loss in teleosts. Yet the complete set of these homeobox genes was maintained, albeit distributed over almost twice the number of chromosomes. Selection due to dosage effects and/or stoichiometric disturbance might act more strongly to maintain a modal number of homeobox genes (and possibly transcription factors more generally) per genome, yet permit the accumulation of other (non regulatory) genes associated with these homeobox gene clusters