Comparing conditional hedging strategies.

The traditional approach to discriminate amongst two competing hedging strategies is to compare the sample portfolio return variance implied by each strategy. This simple approach suffers from two drawbacks. First, it is an unconditional performance measure which is theoretically not coherent with a dynamic hedging strategy that minimizes the conditional portfolio return variance. Second, estimating unconditional performance over the entire period may not be sufficcient since a strategy with a good unconditional hedging performance may not perform well at a particular point in time. In this paper, I use the Giacomini and White (2006), the Wald, and the Diebold and Mariano (1995) statistical tests in order to conditionally (and as a special case, unconditionally) compare the portfolio return variances implied by two competing hedging strategies. The attractive feature of the conditional perspective is that, in case of rejection of equal conditional hedging effectiveness among two initial strategies, it provides us with a new hedging strategy that selects at each date the initial strategy that will perform the best next period, conditional on current information. An application to several agricultural commodities illustrates the technique. For daily hedging horizons, it is found that most of the time Ederington's (1979) static strategy is superior to more elaborate dynamic strategies. This calls into question earlier results reported in the literature that were based on a much smaller database.GARCH; Hedging; Strategy; Portfolio; Variance; IT; Performance; Time; Tests; Order; Effectiveness; Information; Database;

Evaluating How Information and Communication Technology (ICT) Interventions Affect the Wellbeing of Indigenous Communities in the North Rupununi, Guyana

Having its roots in computer science and information systems, the field of information and communication technologies (ICT) in development has arguably been dominated by technocentric approaches, mainly concerned with describing and managing the mechanisms of technology diffusion and adoption. However, the high failure rate of many ICT for development (ICT4D) interventions and their limited focus on wellbeing impact has drawn attention to the needs for designing better evaluation frameworks to help make sense of the complex realities in which ICT interventions take place, and for interrogating the usefulness of mainstream approaches on the impact of ICT4D interventions on wellbeing. Efforts to operationalise the capability approach, and to apply it to the field of ICT4D constitute an increasingly popular alternative in this regard. The alternative shifts the focus of ICT4D evaluation away from an exclusive focus on technology access and use, towards understanding their multidimensional development outcomes, including their impact on wellbeing. One avenue, which has largely been underexplored, is the potential contribution of systems thinking approaches for further strengthening the focus on multidimensional development outcomes while improving the practical applicability of ICT4D evaluations. This doctoral research sets out to explore how systems thinking concepts and techniques can be used to complement existing approaches so as to increase the success rate of ICT4D interventions, as measured by their effect on the wellbeing of intended beneficiaries. Drawing on multiple theoretical influences, including the capability approach, systemic inquiry, critical theory and pragmatism, this thesis evaluates four ICT4D interventions, including a researcher-led ICT4D intervention, which have all taken place in Indigenous communities of the North Rupununi, Guyana, between 2005 and 2015. The findings of this study suggest that the wellbeing impact of ICT4D interventions is primarily determined by whether they are introduced to address locally-defined needs and the extent to which beneficiary communities are involved in their design, implementation and evaluation. It argues that applying concepts and techniques from systems thinking can help address some of the criticism and shortcomings of established and emerging approaches for evaluating ICT4D interventions, by looking beyond efficiency and optimisation towards questions of participation, power, purpose and values. The research then outlines the contours of a Systemic Implementation and Evaluation (SIE) framework, as a way to draw attention to the inevitable clashes of worldviews that characterise interventions involving multiple stakeholders, and to allow a critical reflection on the nature of these interventions and the changes brought about. It concludes by producing a series of policy recommendations associated with enhancing the impact of ICT4D interventions on Indigenous wellbeing

The Intradermal Tuberculin Test as a Research Tool

Epidemiological studies and controlled comparative trials in tuberculosis require precise measurement of delayed hypersensitivity to tuberculin, and only the intradermal test can provide this accuracy. The correct procedures for random sampling, random allocation of treatments and blindness of assessment are discussed. Some basic principles of planning, collecting and recording data, analysing and interpreting of results, are illustrated by two examples.S. Afr. Med. J., 47, 142 (1973

Testing futures returns predictability : implications for hedgers.

The predictability of futures returns is investigated using a semiparametric approach where it is assumed that the expected returns depend non parametrically on a combination of predictors. We first collapse the forecasting variables into a single index variable where the weights are identified up to scale, using the average derivative estimator proposed by Stoker (1986). We then use the Nadaraya-Watson kernel estimator to calculate (and visually depict) the relation between the estimated index and the expected futures returns. An application to four agricultural commodity futures illustrates the technique. The results indicate that for each of the commodities considered, the estimated index contains statistically significant information regarding the expected futures returns. Economic implications for a non-infinitely risk averse hedger are also discussed.Average derivative estimates; futures market; Hedging; Futures; Implications; Information;

Ain\u27t You Coming Back to Old New Hampshire, Molly?

https://digitalcommons.library.umaine.edu/mmb-vp/1162/thumbnail.jp

Aggressive prevention and preemptive management of vascular complications after pediatric liver transplantation: A major impact on graft survival and long-term outcome

Vascular complications are a major cause of patient and graft loss after LTs. The aim of this study was to evaluate the effect of a multimodal perioperative strategy aimed at reducing the incidence of vascular complications. A total of 126 first isolated LTs-performed between November 2008 and December 2015-were retrospectively analyzed. A minimum follow-up period of 24 months was analyzable for 124/126 patients (98.4%). The aggressive preemptive strategy consisted of identifying and immediately managing any problem and any abnormality in the vascular flow, in any of the hepatic vessels, and at any time after the liver graft revascularization. As a result, with a median follow-up of 57 months (3-112 months), not a single graft has been lost from vascular or biliary problems. The actuarial 8-year graft survival is 96.5%. These results have shown that a combination of technical attention, medical prevention, an early diagnosis, and rapid interventions reduced the negative impact of vascular problems on the outcome of both grafts and patients

Design, Wind Tunnel Tests, Normative and Theoretical Approaches of the ARC MAJEUR Subject to Vortex Shedding

peer reviewe

Statistical Approaches to Identify Pairwise and High-Order Brain Functional Connectivity Signatures on a Single-Subject Basis

Keeping up with the shift towards personalized neuroscience essentially requires the derivation of meaningful insights from individual brain signal recordings by analyzing the descriptive indexes of physio-pathological states through statistical methods that prioritize subject-specific differences under varying experimental conditions. Within this framework, the current study presents a methodology for assessing the value of the single-subject fingerprints of brain functional connectivity, assessed both by standard pairwise and novel high-order measures. Functional connectivity networks, which investigate the inter-relationships between pairs of brain regions, have long been a valuable tool for modeling the brain as a complex system. However, their usefulness is limited by their inability to detect high-order dependencies beyond pairwise correlations. In this study, by leveraging multivariate information theory, we confirm recent evidence suggesting that the brain contains a plethora of high-order, synergistic subsystems that would go unnoticed using a pairwise graph structure. The significance and variations across different conditions of functional pairwise and high-order interactions (HOIs) between groups of brain signals are statistically verified on an individual level through the utilization of surrogate and bootstrap data analyses. The approach is illustrated on the single-subject recordings of resting-state functional magnetic resonance imaging (rest-fMRI) signals acquired using a pediatric patient with hepatic encephalopathy associated with a portosystemic shunt and undergoing liver vascular shunt correction. Our results show that (i) the proposed single-subject analysis may have remarkable clinical relevance for subject-specific investigations and treatment planning, and (ii) the possibility of investigating brain connectivity and its post-treatment functional developments at a high-order level may be essential to fully capture the complexity and modalities of the recovery