WTI crude oil option implied VaR and CVaR: An empirical application

Using option market data we derive naturally forward‐looking, nonparametric and model‐free risk estimates, three desired characteristics hardly obtainable using historical returns. The option‐implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option‐implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results show that the option‐implied risk metrics are valid alternatives to the statistically based historical models.     

A history of the axiomatic formulation of probability from Borel to Kolmogorov: Part I

This paper, the first of two, traces the origins of the modern axiomatic formulation of Probability Theory, which was first given in definitive form by Kolmogorov in 1933. Even before that time, however, a sequence of developments, initiated by a landmark paper of E. Borel, were giving rise to problems, theorems, and reformulations that increasingly related probability to measure theory and, in particular, clarified the key role of countable additivity in Probability Theory.This paper describes the developments from Borel's work through F. Hausdorff's. The major accomplishments of the period were Borel's Zero-One Law (also known as the Borel-Cantelli Lemmas), his Strong Law of Large Numbers, and his Continued Fraction Theorem. What is new is a detailed analysis of Borel's original proofs, from which we try to account for the roots (psychological as well as mathematical) of the many flaws and inadequacies in Borel's reasoning. We also document the increasing realization of the link between the theories of measure and of probability in the period from G. Faber to F. Hausdorff. We indicate the misleading emphasis given to independence as a basic concept by Borel and his equally unfortunate association of a Heine-Borel lemma with countable additivity. Also original is the (possible) genesis we propose for each of the two examples chosen by Borel to exhibit his new theory; in each case we cite a now neglected precursor of Borel, one of them surely known to Borel, the other, probably so. The brief sketch of instances of the Cantelli lemma before Cantelli's publication is also original.We describe the interesting polemic between F. Bernstein and Borel concerning the Continued Fraction Theorem, which serves as a rare instance of a contemporary criticism of Borel's reasoning. We also discuss Hausdorff's proof of Borel's Strong Law (which seems to be the first valid proof of the theorem along the lines sketched by Borel).In retrospect, one may ask why problems of geometric (or continuous) probability did not give rise to the (Kolmogorov) view of probability as a form of measure, rather than the study of repeated independent trials, which was Borel's approach. This paper shows that questions of geometric probability were always the essential guide to the early development of the theory, despite the contrary viewpoint exhibited by Borel's preferred interpretation of his own results.     

Control of respiration by nitric oxide in Keilin-Hartree particles,mitochondria and SH-SY5Y neuroblastoma cells

The pattern of cytochrome c oxidase inhibition by nitric oxide (NO) was investigated polarographically using Keilin-Hartree particles, mitochondria and human neuroblastoma cells. NO reacts with purified cytochrome c oxidase forming either a nitrosyl- or a nitrite-inhibited derivative, displaying distinct kinetics and light sensitivity of respiration recovery in the absence of free NO. Keilin-Hartree particles or cells, respiring either on endogenous substrates alone or in the presence of ascorbate, as well as state 3and state 4mitochondria respiring on glutamate and malate, displayed the rapid recovery characteristic of the nitrite derivative. All systems, when respiring in the presence of tetramethyl-p-phenylenediamine, were characterised by the slower, light-sensitive recovery typical of the nitrosyl derivative. Together the results suggest that the reaction of NO with cytochrome c oxidase in situ follows two alternative inhibition pathways, depending on the electron flux through the respiratory chain.Received 1 April 2003; received after revision 22 May 2003; accepted 3 June 2003     

Rat sternothyroid muscle: Dissection and preparation for electrophysiologic and electronmicrographic studies

Summary The sternothyroid muscle of the rat is described. The ease of dissection and localization of end-plate regions within the sternothyroid muscle by direct visualization of nerve supply provides a convenient mammalian muscle preparation for electrophysiological and ultrastructural research.This research was supported in part by the following grants: PHS 5429-16-20 (to C. M. Poser), NIH grant NS-07740 (to R. L. Parsons).We express our appreciation to Drs C. M. Poser and R. L. Parsons for providing us with laboratory space and equipment to conduct these experiments in addition to much helpful advice and criticism.     

Average conditional correlation and tree structures for multivariate GARCH models

We propose a simple class of multivariate GARCH models, allowing for time‐varying conditional correlations. Estimates for time‐varying conditional correlations are constructed by means of a convex combination of averaged correlations (across all series) and dynamic realized (historical) correlations. Our model is very parsimonious. Estimation is computationally feasible in very large dimensions without resorting to any variance reduction technique. We back‐test the models on a six‐dimensional exchange‐rate time series using different goodness‐of‐fit criteria and statistical tests. We collect empirical evidence of their strong predictive power, also in comparison to alternative benchmark procedures. Copyright © 2006 John Wiley & Sons, Ltd.     

The effect of intoxication induced in rat liver by carbon tetrachloride,ethionine and white phosphorus on the level of microsomal cytochromesb 5 and P−450

Riassunto L'intossicazine di ratti Wistar con tetracloruro di carbonio (CCl₄) causa nel fegato una marcata diminuzione dei citocromi microsomialib ₅ e P_–450. L'etionina e il fosforo bianco, somministrati anch'essi ad una dose capace di determinare degenerazione grassa del fegato, non influenzano significativamente il livello dei due citocromi microsomiali.