Miracle-dz/UniFAR-FTUs huggingface dataset:
Advancing Financial Risk Estimates by Incorporating GARCH Into Value at Risk

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several variants of the GARCH family with the use of several underlying distributions in order to create a model with the best forecasting ability on the MSCI index. Substituting the obtained volatility estimates in a VaR model should eventually increase the forecasting ability beyond a traditional VaR method. Finally, the paper finds that incorporating volatility estimates as generated by AVGARCH(2,2) with a JSU distribution yields out-of-sample VaR estimates which are superior to traditional methods at high confidence levels. Consequently, valuable insights and potential real life application of the proposed model is conceivable.
Patterns of phytoplankton primary productivity in the Neuse River estuary, North Carolina, USA

Phytoplankton primary productivity in the Neuse Rlver estuary (North Carolina. USA) was assessed for spatial and temporal patterns over 4 yr as a function of associated influential factors, especially biomass (chlorophyll a, chl a) and light. From I4CO2-uptake assays maximum photosynthetic rates (P,,,,,), photosynthesis versus irradiance relationships, daily pnmary productivity ( P d ) , and annual pnmary productivity (P,) for the system were calculated. Both physical and chemical characteristics of the estuary were profoundly influenced by river flow; this became especially apparent during the near record high flow events of spring 1987. Salinity was depressed throughout the estuary while average photic depth declined. A significant 'washout' of chl a occurred as a result of freshwater input upstream. The effects of this high flow persisted for months after the events and influenced the spatial pattern of primary productivity in the estuary. For the 4 yr period, dally primary productivity ranged from 0.002 to 4.84 g C d-' and unlike many estuaries, correlated poorly with chl a. However, the product of biomass (chl a), photic depth, and surface incident light, In(B Zp .I,), was found to explain 66 %of the variance in lnPd. Pooled data from estuarine stations had a sign~f~cantly ower slope of the regression line and higher y-intercept than riverine stations. This may have been due to the increased biomass specific production (PmB) of the phytoplankton in the mesohaline zone relative to the river species. No significant differences in the relationship of ln P, to In (B Z, I,) were found between seasons or years. There was no better relationship between P, and any other measured parameters. The 1985 to 1988 annual primary productivity estimates for the Neuse River estuary were 395, 455, 491, and 493 g C m-2 yr-' with the mean being 456 g C m-2 yr-l
Developmental Observation and High Temperature Rescue from Hybrid Weakness in a Cross between Japanese Rice Cultivars and Peruvian Rice Cultivar 'Jamaica'

The weak growth occurring in hybrids derived from crosses between two normal strains is referred to as hybrid weakness. F1 hybrid weakness (F1HW) in a cross between a Peruvian rice cultivar ‘Jamaica’ and Japanese rice cultivars has been reported and was considered to be controlled by a set of complementary genes, Hwc1 and Hwc2. We observed the development of F1 plants between Nipponbare and Jamaica (NJF1s). NJF1s were characterized by short roots, rolled leaves and a short stature. Although the NJF1 embryos were normal, the growth of the primary roots was arrested and in most cases, they could not emerge from seeds of the hybrids. Histological observation of the root apical meristem (RAM) at 10 days after sowing revealed that the zone of cell division in the NJF1 plants was lost, and that the cells were not short enough to explain the reduced root length of the NJF1 plants. Thus, it was suggested that the shorter roots the NJF1 plants might be due to reduced cell division. Although no distinct morphological abnormalities in the shoot apical meristem were observed, leaf primordium production was delayed in the NJF1 plants. Inhibition of root elongation in this type of hybrid weakness was alleviated under high temperature (34°C) conditions in diverse genetic backgrounds. The threshold temperature required for the recovery of root growth from hybrid weakness seemed to range from 29 to 30°C. Among 85 NJF1 plants that germinated and grew at 34°C for 10 days, and then outdoors, 18 plants eventually flowered. These plants were dwarf and their flowering time was delayed compared with that of their parents. In spite of their abnormal development, they were fertile. Thus, it is suggested that high temperature treatment was also effective to overcome hybrid weakness and to obtain next generation in this cross combination.
Food quality effects of unsaturated fatty acids on larvae of the zebra mussel Dreissena polymorpha

In standardized growth experiments, newly hatched larvae of the zebra mussel Dreissena polymorpha were fed diets representing different biochemical compositions. Algae that were rich in (n‐3) polyunsaturated fatty acids (PUFAs), except for long‐chained (>C18) PUFAs (Chlorella minutissima and Monoraphidium minutum) were of low food quality. Higher growth than on C. minutissima or M. minutum was supported by a culture of the cyanobacterium Aphanothece sp. , which contained traces of a long‐chained (n‐3) PUFA, docosahexaenoic acid (DHA, 22 : 6n‐3). The alga Isochrysis aff. galbana, which contained high amounts of the longchained (n‐3) PUFAs DHA and eicosapentaenoic acid (EPA, 20 : 5n‐3), supported the highest growth. The alga Nannochloropsis limnetica, which differed from I. galbana by a deficiency in DHA, allowed slightly, but significantly lower, growth. Growth of larvae on N. limnetica was increased by enrichment of N. limnetica cells with a lipid extract of I. galbana, showing that larval growth on N. limnetica was limited by the deficiency of a compound that was present in I. galbana. Growth was also enhanced by feeding N. limnetica cells supplemented with DHA, but not by cells enriched with EPA, indicating that DHA was the limiting factor. We conclude that, on DHA‐deficient food, the larvae of D. polymorpha were not able to sufficiently convert C18‐PUFAs into long‐chained (n‐3) PUFAs and that the rates for elongation and desaturation of EPA into DHA limited growth.
Risk Management for Sustainable Sovereign Debt Financing

The sharp increase of sovereign debt internationally, since the 2008 global financial crisis, decisively contributed to several sovereign debt crises. The current COVID-19 pandemic and the fact that public debt remains high globally, have prompted a renewed interest in debt sustainability analysis (DSA) and in policy discussions concerning the most appropriate variables. We develop a normative DSA model to manage tail risk and optimize debt-financing decisions with sustainability conditions on debt stock and flow, under macroeconomic, financial, and fiscal uncertainty. We show that a risk management view alters a government’s debt-financing policy to manage tail risk better. Many uncertain variables confound the problem, and portfolio optimization using stochastic programming on scenario trees provides a versatile and effective tool to achieve sustainable debt dynamics. The model is an essential building block of the European Stability Mechanism framework to assess debt sustainability of eurozone member states, including the repayment capacity of crisis countries under €295bn assistance programs.
Are Economists More Likely to Hold Stocks?

Using a large panel data set containing detailed information on educational attainments as well as financial and socioeconomic variables for individual investors, we show that economists are more likely to hold stocks than otherwise identical investors. First, we consider the change in stockholdings associated with (i) completing an economics education and (ii) an economist moving into the household. Second, we model stock market participation using a probit model with unobserved individual heterogeneity. Third, instrumental variables estimation allows us to identify the causal effect of an economics education on stock market participation. Throughout, we focus explicitly on the effect of a change in educational status on the likelihood of holding stocks.
Four new species of thouarella (anthozoa: octocorallia: primnoidae) from antarctic waters

Four new Antarctic species of the genus Thouarella , all of them belonging to the subgenus Thouarella , are described and illustrated from material collected at the South Georgia and the South Sandwich Islands, and off Atka Bay (eastern Weddell Sea) on the Polarstern cruises ANT XIX/5 (LAMPOS), and ANT XXIV/2 (ANDEEP-SYSTCO). The study of our new taxa allows us to describe a wider variation in the number of the distal cycles of polyp scales, as well as the existence in the genus (and subgenus) of additional species with planar colonial morphologies. The new species are compared with their closest congeners.
A Morphometric Analysis of Jomon Skeletons from the Funadomari Site on Rebun Island, Hokkaido, Japan

Excavations at the Funadomari Site, located on Rebun Island, in northernmost Japan, have recovered 28 inhumation burials which date to the Late Jomon Period. The morphological characteristics of these skeletons, including metric and non-metric cranial traits, dental measurements, and limb bone measurements, are similar to other Jomon skeletal series from Honshu Island, Japan. However, analysis of cranial metric data reveals some peculiarities in the Funadomari specimens. Compared to the Honshu Jomon samples, the Funadomari skulls have slightly larger cranial vaults, lower facial skeletons, larger orbital openings, and wider mandibular rami. These distinctive cranial traits, as well as custom of tooth ablation of one of the upper lateral incisors in some individuals, are commonly found in the Jomon skeletal series from southwestern Hokkaido Island, suggesting that there has been both biological and cultural exchanges between the Jomon people of Rebun Island and those of southwestern Hokkaido Island.
Strategic Asset Allocation With Climate Change

We develop a top-down strategic pathway towards green investing and show that eco-investing should not be a puzzle or a sacrifice if investors consider the unknown impact of climate change on different asset classes. We investigate the impact of climate change over a large universe of asset classes including stocks, bonds, alternatives and a list of green assets which have low-carbon emissions, in terms of their time-varying risk-return trade-offs using a factor-based vector autoregression (VAR) model with climate risk as an additional state variable. Estimation results show that green assets are in general resilient against temperature change, while many grey assets are negatively related to the risk of warming. When simulating future investment opportunity set, we disentangle the climate effects from the return processes and introduce two climate scenarios: an optimistic scenario implied by the VAR estimates; and a pessimistic one based on the DICE model. We find a substantial demand for green assets under the pessimistic scenario, which verifies the hypothesis that investors with a decent awareness of climate change should find it profitable to invest in green.
Finding Value in Momentum

The paper applies momentum-based investment strategies, such as trend and reversal, on government bond futures. It thereby introduces an innovative yet simple approach to harvest time horizon diversification in the signal generation process. Signal diversification over multiple lookback windows enhances returns, independent of the signal aggregation algorithm (naïve diversification, maximum diversification, average correlation, Ward distance, equal risk contribution, or principal component analysis). The paper builds two distinct strategies from the same aggregated input signals. The first, time-series momentum (TSMOM), uses time-series aggregation and the second, cross-sectional momentum reversal (XSREV), is calculated in a cross-sectional framework. Specifically, XSREV grounds on government bond pairs, an approach that has a longstanding history within the fixed income space. The paper states that government bond returns are highly correlated and driven by common global factors, which suggests that a reversal strategy is more suitable. Further analysis reveals that XSREV captures a cross-sectional value return factor. With its formulation of XSREV, the paper fills a void in the literature, as existing value measures in fixed income suffer from data quality issues.
Volatility Forecast Using GARCH, News Sentiment and Implied Volatility

Due to its significance, forecasting asset volatility has been an active area of research in recent decades. In this whitepaper we aim to take into account the stylised facts of volatility to improve predictive power of a simple GARCH model. We investigate the power of three GARCH models (GARCH, EGARCH, GJR- GARCH) using implied volatility and news sentiment data as external regressors in order to enhance forecasts of stock return volatility. We also explore the impact of the use of fat-tailed and skewed distributions. Analysis is conducted on 5 constituents of the S&amp;P500. In terms of in-sample performance, the findings suggest that a GJR-GARCH(1,1) model incorporating a student-t distribution, implied volatility and news sentiment data consistently out-performs a simple GARCH(1,1) with a normal distribution. When comparing out-of-sample forecast performance, the enhanced models were able to improve volatility predictions for four out of five stocks.
Quality and germination capacity of seed material harvested from an Arrhenatherion meadow

Arrhenatherion meadows are an endangered type of semi-natural grassland in Europe, and their conservation and restoration is an important policy objective. Recent research has led to development of techniques for harvesting seed material from regional donor sites and strategies for re-establishment of species-rich grassland, but their practical application requires that consumers are guaranteed sufficient seed quality of directly harvested material. Methods for the evaluation of purity, thousand seed weight (TSW) and germination capacity were developed and tested, a pre-condition to define the optimal seeding rate for this vegetation type (2000–3000 seeds m−2). The assessment was based on seed obtained by two harvesting techniques: on-site threshing (OST) and seed stripping (SS). Materials from both methods obtained 63% pure seeds. The TSW differed significantly between harvesting methods: the OST provided greater seed weight (1·057 g) than the SS (0·84 g). Two trials were implemented to define criteria for the germination capacity test. Organic growing media obtained the best and most homogenous results in a first comparative germination test. In the second trial, different dormancy-breaking treatments were compared, each with and without pre-chilling, namely: addition of potassium nitrate (KNO3), addition of gibberellic acid (GA3) and without addition of chemicals (WA). The germination capacity of the treated variants KNO3, GA3 and pre-chilling was lower than that for WA. The harvesting method significantly influenced quality and quantity of the seed material, whereas the substrate and dormancy-breaking treatments had no effect.
Flight-to-Liquidity and the Great Recession

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to financial frictions and idiosyncratic funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the financial sector is determined endogenously: Balance sheet constraints force banks to trade off insurance against funding outflows with loan scale. The model shows that an aggregate shock to the collateral value of bank assets triggers a flight to liquidity, which amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great Recession. The paper thus develops a new balance sheet channel of shock transmission that works through the composition of banks' asset portfolios rather than fluctuations in borrower net worth as in the financial accelerator literature.
Index Option Trading Activity and Market Returns

Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is stronger in high VIX periods and in periods following macroeconomic announcements. We explore rationales for our findings, which include investor sentiment, the notion that market makers trade on information in options markets, and option-based risk protection strategies used by retail investors. The last explanation accords best with our analysis. This paper was accepted by Tyler Shumway, finance.
The Non-Linear Trade-Off Between Return and Risk and Its Determinants

We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and risk to be time-varying and also dependent on the level of risk considered. The proposed positive trade-off is mainly observed during low volatility periods and when we move from low risk up to medium-high risk investments. However, the direction of the trade-off is inverted for the highest risk alternatives especially during high volatility periods. The temporal variation of the risk-return trade-off can be explained by a series of sentiment, macro, credit risk, liquidity and corporate variables. All these determinants suggest that the positive relationship between return and risk is more evident during periods where economic, financial and market conditions improve.
The Norwegian Gender Balance Law. A Reform That Failed?

The Norwegian Gender Balance Law (GBL) was proposed in June 14th 2003, made into a law on December 9th 2005, and implemented from January 1st 2006 with a two-year grace period. The law mandates at least 40% board representation for both gender in PLC companies. The government gave two main promises, one that gender equality would increase with the law, the other that companies' financial performance would improve. I review research literature and add descriptive long-term developments on these dimensions. This essay concludes that the promises were not fulfilled, and that the corporate governance consequences that did follow are mostly negative. Companies attain the 40% female director target, but besides this, the law does not bring more female managers or CEOs, and the gender segregated labour market remains segregated. Today, the law applies to about 500 women, half of the number at its maximum. An unintended consequence of the legislation is the mass exodus of companies from the PLC register. I find it difficult to compare results from research on financial performance. Researchers perform before-and-after study, a natural experiment, but the reform has a long gestation period and attrition of companies from the PLC register. I conclude that the law should be repealed. In a wider context the experiment casts doubt as to the usefulness of legislation to promote gender equality in the boardroom and in society at large.
Evaluating analytical approaches for estimating pelagic fish biomass using simulated fish communities

Pelagic fish assessments often combine large amounts of acoustic-based fish density data and limited midwater trawl information to estimate species-specific biomass density. We compared the accuracy of five apportionment methods for estimating pelagic fish biomass density using simulated communities with known fish numbers that mimic Lakes Superior, Michigan, and Ontario, representing a range of fish community complexities. Across all apportionment methods, the error in the estimated biomass generally declined with increasing effort, but methods that accounted for community composition changes with water column depth performed best. Correlations between trawl catch and the true species composition were highest when more fish were caught, highlighting the benefits of targeted trawling in locations of high fish density. Pelagic fish surveys should incorporate geographic and water column depth stratification in the survey design, use apportionment methods that account for species-specific depth differences, .
Genome Relations of Diploid Agropyron libanoticum with Diploid and Autotetraploid Agropyron stipifolium

A diploid, 2n = 14, race of Asian Agropyron stipifolium Czern. ex Nevski is reported for the first time. It crossed readily with another Asian diploid, A libanoticum Hack. Chromosome pairing in the F1 hybrids averaged 0.86I, 6 48II, 0.01III, and 0.04IV in 163 metaphase-I cells. The parent species contain the same basic genome, which differs in the two species by minor structural rearrangements. Stainable pollen ranged from 12% to 40% in 10 hybrids, and eight of the 10 hybrids failed to set seed. Autotetraploid A. stipifolium, 2n = 28, and diploid A. libanoticum crossed with difficulty and produced one triploid hybrid, 2n = 21 Chromosome pairing in this hybrid averaged 3.31I, 3 28II, and 3.71III in 107 metaphase-I cells. The A. libanoticum genome is closely homologous with the genomes of tetraploid A. stipifolium The hybrid produced 1%-2% stainable pollen, but it produced no seeds. Agropyron stipifolium and A libanoticum are taxonomically distinct species inasmuch as they are morphologically distinguishable, have different natural distributions, and are separated by relatively strong genetic barriers.
Fundamental Factor Models and Macroeconomic Risks - An Orthogonal Decomposition

Multiple, often competing, characteristic factor models have been proposed to explain the cross-section of stock returns, but with limited economic interpretation of the factors. In this paper, we employ an optimal orthogonalization approach to examine the proportion of explained variation in factor returns, while retaining economic intuition. Findings indicate that a small number of dominant explanatory variables account for much of the explained variation in fundamental factor returns, but pronounced dynamics in exposure attribution are evident. Using quantile regression, we provide evidence of heterogeneous exposures of fundamental factors to macroeconomic variables at extremes of the return distribution. Our results highlight that the majority of characteristic factors proxy for macroeconomic variables, but that relationships may be more intricate than previously thought.
Nash Bargaining and Strategy

This paper proposes the Nash program on the theory of bargaining as a common ground for the integration of “value capture” and “stakeholders” theories of strategy into a unified framework. We argue that neither the theories of strategy nor the Nash program, sufficiently acknowledge the relevance of transaction costs in the implementation of the negotiation processes that result in the individual and collective outcomes. The paper outlines a governance-management system with the mission of implementing the Nash bargaining solution in terms of wealth creation and wealth allocation, that would take the place of strategic bargaining and would save in transaction costs. Finally, the paper demonstrates that prices matter in the analysis of value creation and appropriation.