Risk-asymmetry indices in Europe

The objectives of this study are threefold. First, we introduce for the first time a skewness index (SKEW) for each European country. Second, we compute an alternative measure of asymmetry (RAX) based on corridor implied volatilities to assess whether it outperforms the standard skewness index in measuring tail risk. Third, we investigate the properties of the proposed indices by uncovering the contemporaneous linear relationship among skewness, volatility, and returns and the information content of skewness on future returns, which is highly debated in the literature. Last, we propose two aggregate indices of asymmetry to monitor the risk of the EU financial market as a whole. To deal with the limited availability of option-based data for European countries, that represent the main obstacle for the construction of such indices in the EU, we delineate a country-specific procedure. Several results are obtained. First, all the asymmetry indices are on average higher than 100, indicating that the risk-neutral distribution is in general left-skew for the 12 EU countries under investigation. Second, the relation between changes in asymmetry indices and contemporaneous market returns in positive, indicating that asymmetry indices are not able to capture the same fear effect captured by volatility indices. Third, the results for the relationship between asymmetry and volatility (future returns) are mixed both in terms of magnitude and significance and do not allow us to delineate general conclusions. Last, the aggregate asymmetry index based on the RAX methodology is the only one able to forecast future negative returns for all the EU countries in our dataset when it reaches very high levels

Asymmetric correlations and hedging effectiveness of cryptocurrencies for the European stock market

The aim of the paper is twofold: first, to examine the hedging effectiveness of cryptocurrencies and cryptocurrency portfolios for European equities in bearish and bullish market conditions, and second, to contrast cryptocurrencies with gold as a safe haven asset. To this end, daily data from 2018 to 2021 were employed in a linear and nonlinear Autoregressive Distributed Lag (ARDL) framework. The findings have significant implications for investors, financial intermediaries and regulators. First, none of the cryptocurrencies under investigation acts as a safe haven for the European stock market. Second, an asymmetric relationship was found between Bitcoin / Ethereum returns on the one hand and stock market returns on the other, indicating the risk of large joint losses during periods of market turmoil. Third, cryptocurrency portfolios appear to perform better than Bitcoin and Ethereum for diversification purposes. Fourth, among cryptocurrency portfolios, the portfolio made up of the top ten cryptocurrencies appear to be the best in terms of diversification benefits and the risk-return profile. Finally, during the 2020 bear market conditions, not even gold acted as a safe haven for European stocks, highlighting the need to investigate alternative safe haven assets to mitigate portfolio risks

Evaluation of cervical posture improvement of children with cerebral palsy after physical therapy based on head movements and serious games

Background: This paper presents the preliminary results of a novel rehabilitation therapy for cervical and trunk control of children with cerebral palsy (CP) based on serious videogames and physical exercise. Materials: The therapy is based on the use of the ENLAZA Interface, a head mouse based on inertial technology that will be used to control a set of serious videogames with movements of the head. Methods: Ten users with CP participated in the study. Whereas the control group (n=5) followed traditional therapies, the experimental group (n=5) complemented these therapies with a series of ten sessions of gaming with ENLAZA to exercise cervical flexion-extensions, rotations and inclinations in a controlled, engaging environment. Results: The ten work sessions yielded improvements in head and trunk control that were higher in the experimental group for Visual Analogue Scale, Goal Attainment Scaling and Trunk Control Measurement Scale (TCMS). Significant differences (27% vs. 2% of percentage improvement) were found between the experimental and control groups for TCMS (p<0.05). The kinematic assessment shows that there were some improvements in the active and the passive range of motion. However, no significant differences were found pre- and post-intervention. Conclusions:Physical therapy that combines serious games with traditional rehabilitation could allow children with CP to achieve larger function improvements in the trunk and cervical regions. However, given the limited scope of this trial (n=10) additional studies are needed to corroborate this hypothesis

The role of neighborhood inequalities on diabetes prevention care: a mini-review

An emerging research niche has focused on the link between social determinants of health and diabetes mellitus, one of the most prevalent non-communicable diseases in modern society. The aim of the present mini-review is to explore and summarize current findings in this field targeting high-income countries. In the presence of disadvantaged neighborhood factors (including socioeconomic status, food environment, walkability and neighborhood aesthetics), diabetes prevention and care are affected at a multidimensional level. The vast majority of the included studies suggest that, besides individual risk factors, aggregated neighborhood inequalities should be tackled to implement effective evidence-based policies for diabetes mellitus

How Much Do Front-Of-Pack Labels Correlate with Food Environmental Impacts?

Nutrient profiling and front-of-pack labeling (FOPL) have been developed to categorize food products as more or less healthy based on their nutrient content and to easily communicate this information to consumers. The goal is to change individual food choices toward a healthier diet. Since global climate change has recently become an urgent matter, this paper also aims to investigate the correlations between different food health scales, including some FOPLs currently adopted by one or more countries, and several sustainability indicators. For this purpose, a food sustainability composite index has been developed to summarize environmental indicators and compare food scales. Results indicate, as expected, that well-known healthy and sustainable diets are strongly correlated with both environmental indicators and the composite index, while FOPLs based on portions or on 100 g show moderate and weak correlation values, respectively. Within-category analysis has not found any associations that explain these results. Hence, 100 g standard, on which FOPLs are usually developed, seems not to be the ideal basis for developing a label that aspires to communicate healthiness and sustainability in a unique format, as required by the need for simple messaging. On the contrary, FOPLs based on portions appear to be more likely to achieve this goal

The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods

Measurement of volatility is of paramount importance in finance because of the effects on risk measurement and risk management. Corridor implied volatility measures allow us to disentangle the volatility of positive returns from that of negative returns, providing investors with additional information beyond standard market volatility. The aim of the paper is twofold. First, to propose different types of corridor implied volatility and some combinations of them as risk indicators, in order to provide useful information about investors’ sentiment and future market returns. Second, to investigate their usefulness in prediction of market returns under different market conditions (with a particular focus on the subprime crisis and the European debt crisis). The data set consists of daily index options traded on the Italian market and covers the 2005–2014 period. We find that upside corridor implied volatility measure embeds the highest information content about contemporaneous market returns, claiming the superiority of call options in measuring current sentiment in the market. Moreover, both upside and downside volatilities can be considered as barometers of investors’ fear. The volatility measures proposed have forecasting power on future returns only during high volatility periods and in particular during the European debt crisis. The explanatory power on future market returns improves when two of the proposed volatility measures are combined together in the same model

Moment risk premia and the cross-section of stock returns in the European stock market

This article investigates whether volatility, skewness, and kurtosis risks are priced in the European stock market and assess the signs and the magnitudes of the corresponding risk premia. To this end, we adopt two approaches: a model-free approach based on swap contracts, and a model-based approach built on portfolio-sorting techniques. A number of results are obtained. First, stocks with high exposure to innovations in implied market volatility (skewness) exhibit low (high) returns on average. Second, the estimated premium for bearing market volatility (skewness) risk is negative (positive), robust to the two approaches employed, and statistically and economically significant. Third, in contrast with studies on the US stock market, we identify the existence of a size premium in the European stock market: small capitalization stocks earn higher returns than high capitalization stocks

INDICES FOR FINANCIAL MARKET VOLATILITY OBTAINED THROUGH FUZZY REGRESSION

The measurement of volatility is of fundamental importance in finance. Standard market practice adopted for volatility estimation from option prices leads to a considerable loss of information and the introduction of an element of arbitrariness in the volatility index computation. We propose to resort to fuzzy regression methods in order to include all the available information from option prices and obtain an informative volatility index. In fact, the obtained fuzzy volatility indices do not only offer a most possible value, but also a lower and an upper bound for the interval of possible values, providing investors with an additional source of information. We also propose a defuzzification procedure in order to select a representative value within this interval. Moreover, we investigate the occurrence of truncation and discretization errors in the volatility index computation by resorting to an interpolation-extrapolation method. We also test the forecasting power of each volatility index on future realized volatility