We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic indicator for volatilities, analogous to the Richter scale in geophysics. The peakover-threshold method is used to fit the generalized Pareto probability distribution for the extreme values in the realized variances of wavelet coefficients. The indicator is computed for the daily Dow Jones Industrial Average index data from 1896 to 2007 and for the intraday CAC40 data from 1995 to 2006. The results are used for comparison and structural multi-resolution analysis of extreme events on the stock market and for the detection of financial crises.
Background: The quality of colonoscopy has been related to a higher risk of interval cancer, and this issue has been addressed extensively in developed countries. The aim of our study was to explore the main quality indicators of colonoscopy in a large emerging country. Methods: Consecutive patients referred for colonoscopy in 14 centres were prospectively included between July and October 2014. Before colonoscopy, several clinical and demographic variables were collected. Main quality indicators (i.e. caecal intubation rate, (advanced) adenoma detection rate, rate of adequate cleansing and sedation) were collected. Data were analysed at per patient and per centre level (only for those with at least 100 cases). Factors associated with caecal intubation rate and adenoma detection rate were explored at multivariate analysis. Results: A total of 8829 (males: 35%; mean age: 57 þ 14 years) patients were included, with 11 centres enrolling at least 100 patients. Screening (including non-alarm symptoms) accounted for 59% (5188/8829) of the indications. Sedation and split preparation were used in 26% (2294/8829) and 25% (2187/8829) of the patients. Caecal intubation was achieved in 7616 patients (86%), and it was !85% in 8/11 (73%) centres. Adenoma detection rate was 18% (1550/8829), and it was higher than 20% in five (45%) centres, whilst it was lower than 10% in four (33%) centres. At multivariate analysis, age (OR: 1.020, 95% CI: 1.015-1.024), male sex (OR: 1.2, 95% CI: 1.1-1.3), alarm symptoms (OR: 1.8, 95% CI: 1.7-2), split preparation (OR: 1.4, 95% CI: 1.2-1.6), caecal intubation rate (OR: 1.6, 95% CI: 1.3-1.9) and withdrawal time measurement (OR: 1.2, 95% CI: 1.6-2.1) were predictors of a higher adenoma detection rate, while adequate preparation (OR: 3.4: 95% CI: 2.9-3.9) and sedation (OR: 1.3; 95% CI: 1.1-1.6) were the strongest predictors of caecal intubation rate. Conclusions: According to our study, there is a substantial intercentre variability in the main quality indicators. Overall, the caecal intubation rate appears to be acceptable in most centres, whilst the overall level of adenoma detection appears low, with less than half of the centres being higher than 20%. Educational and quality assurance programs, including higher rates of sedation and split regimen of preparation, may be necessary to increase the key quality indicators.
This paper studies the effects of multiple investment horizons and investors' bounded rationality on the price dynamics. We consider a pure exchange economy with one risky asset, populated with agents maximizing CRRA-type expected utility of wealth over discrete investment periods. An investor's demand for the risky asset may depend on the historical returns, so that our model encompasses a wide range of behaviorist patterns. The necessary conditions, under which the risky return can be a stationary iid process, are established. The compatibility of these conditions with different types of demand functions in the heterogeneous agents' framework are explored. We find that conditional volatility of returns cannot be constant in many generic situations, especially if agents with different investment horizons operate on the market. In the latter case the return process can display conditional heteroscedasticity, even if all investors are so-called "fundamentalists" and their demand for the risky asset is subject to exogenous iid shocks. We show that the heterogeneity of investment horizons can be a possible explanation of different stylized patterns in stock returns, in particular, mean-reversion and volatility clustering.Keywords: Asset Pricing, Heterogeneous Agents, Multiple Investment Scales, Volatility Clustering J.E.L. Classification: G.10, G.14. RésuméNousétudions l'effet de multiples horizons d'investissement et de la rationalité limitée des investisseurs sur la dynamique des prix. Dans le cadre d'un modèleà agents hétérogènes, nous introduisons de multipleséchelles d'investissement. Nous trouvons que la volatilité conditionnelle des rendements ne peut pasêtre constante dans de nombreuses situations génériques, en particulier si les agents avec des horizons d'investissement différents opèrent sur le marché. Dans ce dernier cas, le processus de rendements peutêtre hétéroscédastique, même si tous les investisseurs sont "fondamentalistes" mais leur demande de l'actif risqué est soumiseà des chocs iid exogènes. Nous montrons que l'hétérogénéité des horizons d'investissement peutêtre une explication possible de différents faits stylisés, observés pour les rendements des actions et, en particulier, du retourà la moyenne et du clustering de la volatilité.
We propose a Credit Value Adjustment (CVA) model capturing the Wrong Way Risk (WWR) that is not product-specific and is suitable for large-scale computations. The model is based on a doubly stochastic default process with the default intensities proxied by credit spreads. For different exposure structures, we show how credit–market correlation affects the CVA level, its sensitivities to credit and market factors, its volatility and the quality of hedging. The WWR is most significant for exposures highly sensitive to the market volatility in a situation when credit spreads are at moderate levels but both the market factors and credit spreads are volatile. In such conditions, ignoring credit–market correlations results in important CVA mispricing. While the benefits from hedging are always magnified in the situation of the WWR, the right way exposure case is more delicate: only a well-designed mix of credit and market hedges can bring volatility down. Our results raise doubts on the Basel III policy of recognizing credit but not market hedges for computing the CVA volatility capital charge.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.