Markov-Switching GARCH Modelling of Value-at-RisK

This paper proposes an asymmetric Markov regime-switching (MS) GARCH model to estimate value-at-risk (VaR) for both long and short positions. This model improves on existing VaR methods by taking into account both regime change and skewness or leverage effects. The performance of our MS model and single-regime models is compared through an innovative backtesting procedure using daily data for UK and US market stock indices. The findings from exceptions and regulatory-based tests indicate the MS-GARCH specifications clearly outperform other models in estimating the VaR for both long and short FTSE positions and also do quite well for S&P positions. We conclude that ignoring skewness and regime changes has the effect of imposing larger than necessary conservative capital requirements

How profitable are FX technical trading rules?

This paper provides a comprehensive empirical investigation of the profitability of foreign exchange technical trading rules over the 1996:10?2015:06 period for 22 currencies quoted in US dollars. It reports evidence of profitability across a universe of 113,148 rules that include traditional moving average rules and those constructed on the basis of technical indicators such as Bollinger bands and the relative strength index. The best trading rules achieve annualised returns of up to 30%. The Step-SPA test (Hsu, Hsu, & Kuan, 2010) results show a sharp fall in the total number of rules that are robust to data snooping bias. Virtually no traditional rule is significant in the 2006?2015 sub-sample, in line with the adaptive markets hypothesis. By contrast, rules based on new technical indicator such as Bollinger Band and relative strength index rules remain robustly profitable across all currencies over the more recent sub-sample

How Do Stock Markets in the US and Europe Price Efficiency Gains from Bank M&As?

This paper examines whether the stock markets price changes in operating efficiency as a result of bank mergers and if the premiums paid by the acquiring banks also reflect these changes. The sample covers mergers and acquisitions consummated in the US and Europe during the period of 1997 to 2003. Changes in cost and profit efficiency are calculated using the non-parametric Data Envelopment Analysis (DEA) method 1 year prior and 3 years following the merger announcement. Evidence suggests a significant relation between the announcement-period abnormal returns and the post-merger profit efficiency changes. Results also indicate that bank managers are likely to pay a higher premium for those M&A transactions that can bring about greater efficiency gains, particularly on the profit side. Further, although acquirer shareholders in the US and Europe appear to react differently to the announcement of a bank merger, our results for target shareholders suggest that regional differences might be less important than the degree of capital market development in explaining wealth effects. © 2012 Springer Science+Business Media, LLC

Efficiency across alternative financial structures, bank types and size classes: a comparison of the OECD countries

This paper investigates the impact of alternative financial and banking structures on banks' overall efficiency. The effect of size on the estimated banking efficiency is also examined. These issues are addressed by first measuring the cost efficiencies over 1998?2003 for a sample of commercial, savings and cooperative banking institutions across bank- and market-based countries that operate in 21 Organisation for Economic Co-operation and Development (OECD) countries. Then, in order to examine not only the cost side but the overall efficiency of the sampled banks, we assess the importance of various aspects of profitability. Finally, the inefficiency measures are related to several explanatory variables, including bank-specific and financial structure characteristics. Our results suggest that there is only weak evidence to support the hypothesis that private commercial banks have cost efficiency and profitability advantages over their mutual cooperative and savings counterparts. Moreover, in market-based systems very large commercial banks tend to be more efficient and profitable than their smaller counterparts, whereas the opposite is true in bank-based systems. Finally, the results from our pooled logistic regression broadly suggest that after controlling for the level of financial development, a more market-based financial structure will likely lead to greater cost efficiency

Enteral Feeding Reduces Endothelial Nitric Oxide Synthase in the Caudal Intestinal Microvasculature of Preterm Piglets.

The initiation of enteral feeding represents a challenge to the neonatal intestinal microcirculation, especially in preterms where it predisposes to necrotizing enterocolitis (NEC). We hypothesized that a structural microvascular deficiency may occur when enteral feeding is initiated in preterm piglets susceptible to NEC. Stereologic volume densities of a pan-endothelial marker (vWF), and the main vasodilator endothelial nitric oxide synthase (eNOS), were determined along the small intestine of 1) unfed preterm piglets, 2) piglets receiving total parenteral nutrition (TPN) for 2-3 d, and 3) piglets fed 2 d sow's colostrum (TPN+SOW) or milk formula (TPN+FOR) following TPN. In the mucosa, vWF-density decreased in a cranio-caudal direction. A corresponding mucosal eNOS gradient appeared only after initiating enteral feeding. In TPN+SOW, eNOS induction may lag behind the mucosal growth of the caudal region. In TPN+FOR, formula-related factors (i.e. bacteria, cytokines) may suppress mucosal eNOS, indicated by increased stress-sensitive nuclear HIF1alpha staining. The low mucosal endothelial eNOS density was related to the presence of NEC lesions, maybe via increased hypoxia-sensitivity, especially in the caudal region as indicated by nuclear HIF1alpha-staining. Our results suggest an insufficient structural adaptation of the microvasculature to enteral feeding, especially of mucosal eNOS, which may lead to NEC. AD - Department of Veterinary Medicine [E.R.H, M.O., A.L.M.W., C.J.G.], University of Antwerp, 2610 Wilrijk, Belgium; Department of Human Nutrition [T.T., P.T.S.], University of Copenhagen, Frederiksberg DK-1958, Denmark; Department of Pharmacology, Toxicology, Biochemistry and Organ Physiology [S.U.S.], University of Ghent, 9820 Merelbeke, Belgium; Department of Anatomy and Embryology [W.H.L.], University of Maastricht, 6200 MD Maastricht, The Netherlands