DETERMINATION OF VOLATILITY AND MEAN RETURNS: AN EVIDENCE FROM AN EMERGING STOCK MARKET

In the present research we work with excess returns for an emerging stock market i.e. Jamaican Stock Price Index for the determination of volatility persistence and persistence in the mean returns series. We model excess returns in this stock market using state space or unobserved component models, which is a signal extraction approach. Our model encompass stable distributions to account for fat tails and GARCH-like effects to account for time varying volatility that may be present in the series. The study results that are obtained using the most general as well as the restricted versions of the state space models reveal statistically significant evidence of volatility persistence in the excess returns series. Further, there exist persistent predictable signals in returns series at 5 percent level of significance, and the value of an efficiently estimated excess returns series is percent per month (percent per annum). Further, the series encompass a stable characteristic exponent of showing a non-normal behavior in this market.stock return predictability, unobserved components, fat tails, stable distributions

Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index

We investigate the persistence in monthly KSE100 excess stock returns over the Treasury bills rates using non-Gaussian state space or unobservable component model with stable distributions and volatility persistence. Results from our non-Gaussian state space model, which is an improvement over Conard and Kaul (1988), show that the conditional distribution has a stable of 1.748 and normality is rejected even after accounting for GARCH. There exists a statistically significant predictable component in the KSE 100 excess stock returns. The optimal predictor in the unconditional expectation of the series is estimated to be 0.18 percent per annum. An evidence of highly nonconstant scales in different periods of time exhibits a tendency towards stock market crashes which invites remedial policy action.Stock Return Predictability, Unobserved Components, Fat Tails, Stable Distributions

BUSINESS CYCLE ASYMMETRIES IN STOCK RETURNS: ROBUST EVIDENCE

In this study we employ augmented and switching time series models to find possible existence of business cycle asymmetries in U.S. stock returns. Our approach is fully parametric and testing strategy is robust to any conditional heteroskedasticity, and outliers that may be present. We also approximate in sample as well as out-of-sample forecasts from artificial neural networks for testing business cycle nonlinearities in U.S. stock returns. Our results based on nonlinear augmented and switching time series models show a strong evidence of business cycle asymmetries in conditional mean dynamics of U.S. stock returns. These results also show that conditional heteroskedasticity is unimportant when testing for asymmetries in conditional mean. Moreover, the conditional volatility in stock returns is asymmetric and is more pronounced in recessions than in expansion phase of business cycles. Similarly, the results based on neural network models show a statistically significant evidence of business cycle nonlinearities in US stock returns. The magnitude of these nonlinearities is more obvious in post World War II era than in the full sample period.asymmetries; business cycles; conditional heteroskedasticity; long memory; nonlinearities; outliers; excess returns; stable distributions

Risk assessment of blasting operations in open pit mines using FAHP method

Purpose. In the mining blasting operation, fragmentation is the most important output. Fly rock, ground vibration, air blast, and environmental effects are detrimental effects of blasting operations. Identifying and ranking the risk of blasting operations is considered as the most important stage in project management. Methods. In this research, the problem of identifying and ranking the factors constituting the risk in blasting operations is considered with the methodology of the Fuzzy Analytical Hierarchy Process (FAHP). Criteria and sub-criteria have been determined based on historical research studies, field studies, and expert opinions for designing a hierarchical process. Findings. Based on FAHP scores, non-control of the sub-criterion of health and safety (C3), blast operation results (C18) and knowledge, and skill and staffing (C2) with a score of 0.377, 0.334, and 0.294 respectively are the most effective sub-criterion for the creation of blasting operations risk. According to the score, the sub-criterion C18 is the most effective sub-criterion in providing the blasting operations risk. Effects and results of blasting operations (D8), with a score of 0.334 as the most effective criterion, and natural hazards (D10), with a score of 0.015, were the last priorities in the factors causing blasting operations risk. Originality. Regarding the risk rating of blasting operations, the control of the sub-criteria C3, C18, and C2, and the D8 criterion, is of particular importance in reducing the risk of blasting operations and improving project management. Practical implications. The evaluation of human resource performance and increase in the level of knowledge and skills and occupational safety and control of all outputs of blasting operations is necessary. Therefore, selecting the most important project risks and taking actions to remove them is essential for risk management.Мета. Визначення ризиків проведення вибухових робіт та їх оцінка на основі використанням нечіткого методу аналізу ієрархій (НМАІ) для покращення управління якістю проектів. Методика. В рамках даного дослідження, проблеми визначення та оцінки ризиків вибухових робіт розглядалися із застосуванням нечіткого методу аналізу ієрархій. На базі аналізу історичних даних і польового дослідження з урахуванням експертних оцінок були визначені критерії та підкритерії для побудови ієрархій. Результати. За результатами НМАІ, неконтролюючий підкритерій здоров’я та безпеки (С3), підкритерій результатів вибухових робіт (С18), знань, умінь і кадрів (С2) зі значеннями 0.377, 0.334 і 0.294 відповідно найбільш ефективні в появі ризику проведення вибухових робіт. Підкритерій С18 чинить найбільший вплив на ризик проведення вибухових робіт. Критерій результатів і наслідків вибухових робіт (D8) з найефективнішим значенням 0.334 та критерій природних катастроф (D10) зі значенням 0.015 є останніми пріоритетами серед чинників, які визначають ризик проведення вибухових робіт. Наукова новизна. Отримав доповнення та подальший розвиток науково-методичний підхід до визначення ризиків при проведенні вибухових робіт, заснований на їх ранжуванні з використанням системи виявлених критеріїв і підкритеріїв методом НМАІ. Практична значимість. Для успішного керування проектом важливо визначати найсерйозніші ризики проекту й вжити заходів щодо їх усунення. Відносно ранжирування ризиків проведення вибухових робіт управління підкритеріями C3, C18 і C2, а також критерієм D8, особливо важливо для зниження цих ризиків та покращення якості управління проектом.Цель. Определение рисков проведения взрывных работ и их оценка на основе использования нечеткого метода анализа иерархий (НМАИ) для улучшения управления качеством проектов. Методика. В рамках данного исследования, проблемы определения и оценки рисков взрывных работ рассматривались с применением нечеткого метода анализа иерархий. На базе анализа исторических данных и полевого исследования с учетом экспертных оценок были определены, критерии и подкритерии для построения иерархий. Результаты. По результатам НМАИ, неконтролирующий подкритерий здоровья и безопасности (С3), подкритерий результатов взрывных работ (С18), знаний, умений и кадров (С2) со значениями 0.377, 0.334 и 0.294 соответственно наиболее эффективны в появлении риска проведения взрывных работ. Подкритерий С18 оказывает самое большое влияние на риск проведения взрывных работ. Критерий результатов и последствий взрывных работ (D8) с самым эффективным значением 0.334 и критерий природных катастроф (D10) со значением 0.015 являются последними приоритетами среди факторов, которые определяют риск проведения взрывных работ. Научная новизна. Получил дополнение и дальнейшее развитие научно-методический подход к определению рисков при проведении взрывных работ, основанный на их ранжировании с использованием системы выявленных критериев и подкритериев методом НМАИ. Практическая значимость. Для успешного руководства проектом важно определять самые серьезные риски проекта и предпринять действия по их устранению. В отношении ранжирования рисков проведения взрывных работ управление подкритериями C3, C18 и C2, а также критерием D8, особенно важно для снижения этих рисков и улучшения руководства проектом.The authors would like to thank Mining Engineering Department, Islamic Azad University (South Tehran Branch) for supporting this research

On Business Cycle Asymmetries in G7 Countries

We investigate whether business cycle dynamics in seven industrialized countries (the G7) are characterized by asymmetries in conditional mean. We provide evidence on this issue using a variety of time series models. Our approach is fully parametric. Our testing strategy is robust to any conditional heteroskedasticity, outliers, and / or long memory that may be present. Our results indicate fairly strong evidence of nonlinearities in the conditional mean dynamics of the GDP growth rates for Canada, Germany, Italy, Japan, and the US. For France and the UK, the conditional mean dynamics appear to be largely linear. Our study shows that while the existence of conditional heteroskedasticity and long memory does not have much affect on testing for linearity in the conditional mean, accounting for outliers does reduce the evidence against linearity.business cycles, asymmetries, nonlinearities, conditional heteroskedasticity, long memory, outliers, real GDP, stable distributions

Hepatobiliary scintigraphy with SPET in the diagnosis of bronchobiliary fistula due to a hydatid cyst

In this report, we present the application of hepatobiliary scintigraphy using Tc-99m mebrofenin in the diagnosis of bronchobiliary fistula caused by a liver hydatid cyst, which penetrated the diaphragm. Hepatobiliary scintigraphy noticeably depicted the leakage of the tracer from the biliary system of the liver to the bronchial tree. Hepatobiliary scintigraphy stands as a robust modality in the accurate diagnosis and treatment planning of bronchobiliary fistulas. © 2015, P.Ziti and Co. All rights reserved

Chemical composition and antifungal effects of three species of Satureja (S. hortensis, S. spicigera, and S. khuzistanica) essential oils on the main pathogens of strawberry fruit

Due to an increasing risk of chemical contamination upon the application of synthetic fungicides to preserve fresh fruits and vegetables, essential oils are gaining increasing attentions. In this research, besides chemical analysis of the essential oils of three Satureja species (S. hortensis, S. spicigera, and S. khuzistanica) by GC-MS, their fungicidal and/or fungistatic effects on postharvest pathogens of strawberry were investigated. Essential oils were extracted by means of hydro-distillation and afterwards GC/MS analysis was performed to identify their components. Carvacrol, γ-terpinene and p-cymene were detected as the repeating main constituents of the spices, while thymol and carvacrol methyl ether were found as major components only in S. spicigera oil. In vitro results showed that at the maximum concentration, the essential oils did not possess fungicidal effects on Aspergillus niger but they exhibited fungicidal activities against Penicillium digitatum, Botrytis cinerea and Rhizopus stolonifer. However, S. khuzistanica was the strongest oil in fungicidal activity. S. hortensis oil was more effective than S. spicigera against B. cinerea whereas S. spicigera oil showed stronger fungicidal activity against R. stolonifer. In conclusion, essential oils isolated from three savory species could be suitable for applications in the food industry to control molds and improve the safety of fruits and vegetables. © 2015 Elsevier B.V