Pilar Soriano

Volatility Transmission Models: A Survey

This study reviews the literature on volatility transmission in order to determine what we have learnt about the different methodologies applied. In particular, GARCH, regime switching and stochastic volatility models are analysed. In addition, this study covers several concrete aspects such as their scope of application, the overlapping problem, the concept of efficiency and asymmetry modelling. Finally, emerging topics and unanswered questions are identified, serving as an agenda for future research.

Volatility Transmission Patterns and Terrorist Attacks

The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets.

Malignant Granular Cell Tumor of Soft Tissues A Study of Two New Cases

We describe 2 cases of malignant granular cell tumor. A marked discrepancy exists concerning the criteria of malignancy of this rare entity, which was diagnosed in male patients aged 41 and 52 years, respectively. They presented with tumors measuring more then 3.5 cm; one arose in the dermis and subcutaneous tissue in the region of the scapula, whereas the other was situated in deeper soft tissue in the pelvis. One case, with previous diagnosis of benign granular cell tumor, presented local recurrence 2 years after the initial diagnosis. The other case presented a fascicular pattern of growth invading adjacent muscular tissue. Both neoplasms were composed of polygonal and spindle cells, showing abundant cytoplasm, vesicular nuclei with large nucleoli, high nuclear-to-cytoplasmic ratio, and polymorphism. Immunohistochemically, the neoplastic cells of both cases were positive for vimentin, S 100 protein, neuron-specific enclose (NSE), and CD68. In addition, high expression of p53 and MiB 1 (Ki67) was detected. Herein, we discuss the morphologic and immunohistochemical criteria of malignancy of granular cell tumors.

Effects of salt stress on the reproductive biology of the halophyte Plantago crassifolia

Floral phenology, pollen quality and seed set of Plantago crassifolia plants, grown in the presence of increasing NaCl concentrations, were studied to test how this Mediterranean halophyte responded to salt stress during the reproductive phase of its life cycle. “Reproductive success” was maximal in plants grown in non-saline conditions, or in the presence of 100 mM NaCl, but it was negatively affected by higher salinities, due to a progressive reduction of pollen fertility, seed set, and seed viability.

Region Vs. Industry Effects and Volatility Transmission

This article presents an analysis of the relative importance of region versus industry effects in stock returns, as opposed to the extensively analyzed country versus industry effects. The sample includes the period after the bursting of the technology bubble. Moreover, volatility transmission patterns are analyzed within an industry across regions to assess whether the same international links found in aggregate stock market indices exist at the industry level. The results confirm the dominance of region effects over industry effects, except during the bubble period. The results of the volatility transmission analysis suggest that the importance of spillovers depends on the industry. In recent years, the enhanced availability of financial information has strengthened existing relationships among stock markets. This development could have resulted in portfolio managers changing their investing strategies from country based to industry based to achieve optimal portfolio diversification. For this reason, whether return variations are driven primarily by geographical (or national) factors or by industry factors is important for practitioners and has long been a challenging area of research for academics. In fact, numerous studies have addressed the question of the relative importance of cross-country versus cross-industry diversification. The mixed empirical results presented in the literature suggest that the importance of country and industry factors may have been changing over time. We analyze this issue from a regional perspective rather than a country perspective. The article has two main thrusts. First, we analyze the relative importance of region versus industry effects in stock returns by using a sample that includes the period during and after the telecommunications/media/technology (TMT) bubble. Second, we analyze patterns of volatility transmission within an industry across regions to assess whether the same international links found in aggregate stock market indices exist at the industry level. The dataset consists of daily price indices in U.S. dollars for 10 industry indices in three regions (North America, Europe, and Asia)—all collected from Datastream. The sample is from January 1995 through December 2004 and is also divided into three subperiods to isolate the TMT bubble and ensuing crisis. To analyze the relative importance of region and industry effects, we used a dummy variable approach. The results confirm the overall dominance of region effects over industry effects except during the TMT crisis period. To analyze volatility transmission patterns within an industry across regions, we estimated a trivariate first-order vector autoregressive [VAR(1)]–asymmetric BEKK model for each of the 10 industries. In this case, the results suggest that spillovers are more or less important depending on the industry being analyzed. For example, the information technology industry was less affected by other international markets. The implication of our research for investors is that now that the TMT financial crisis is over, the traditional strategy of diversifying across countries or regions rather than by industries may still be adequate in terms of reducing portfolio risk. Of course, the most risk reduction will be achieved by taking into account the volatility transmission patterns found in this study and diversifying both across regions and across industries.

Volatility transmission in the CO 2 and energy markets

The main consequence of the launch, in 2005, of the European Union Emission Trading Scheme (EU ETS) has been the establishment of a price for carbon emissions. Thus, major energy producers in Europe are now aware of the impact of their polluting activities. The interest in analysing the carbon markets from a financial point of view has exponentially increased since the launch of the EU ETS. However, no research articles have focused their attention on the volatility transmission between CO2 and energy markets. The aim of this paper is to fill this gap in the literature. Specifically, our particular interest is to examine whether or not conditional volatility is transmitted across those markets since the start the EU ETS. We consider not only non-linearity in the variance of each series but we also allow for the possibility that changes in volatility in one of the markets may spill over to the others. The results show that CO2 is directly affected by its own volatility, and directly and indirectly (through the covariance) affected by the oil and natural gas volatility. Additionally, shocks originated in the CO2 and oil markets have an impact on CO2 volatility. Finally, the behaviour of oil volatility is similar to CO2 volatility in what concerns volatility transmission but this is not the case for natural gas volatility.

Effects of environmental factors on seed germination of Anthyllis barba-jovis L.

Abstract The influence of the main environmental factors on seed germination of Anthyllis barba-jovis L. were analysed. This work is part of a broader investigation aimed at the reintroduction of this species on Mount Conero, Ancona (central Italy), where it is at present extinct. The seeds were collected from the Gargano headland (southern Adriatic coast). Experimental analyses were carried out to determine: (i) dormancy levels of seeds collected in successive years, and also collected from the soil seed bank; (ii) effects of usual pre-treatments for overriding the physical dormancy of the seeds; (iii) optimal temperature range for maximum germination; (iv) effects of fire on seed germination; and (v) effects of NaCl on germination and on early stages of seedling development. Our results confirm that A. barba-jovis seeds have a physical dormancy due to their teguments, which are water-impermeable. This barrier persists in naked seeds that remain in the soil. Regularly water-drenched seeds show a high germinative ability. The optimal seed germination temperature is 20°C, with germination decreasing progressively at lower temperatures, and falling drastically over 20°C. Fire and high temperatures positively affected germination. The seeds were shown to be strongly resistant to salt stress, thus enabling the plants to colonize a habitat suitable for halophytes.

Is salinity the main ecologic factor that shapes the distribution of two endemic Mediterranean plant species of the genus Gypsophila

AimsResponses to salt stress of two Gypsophila species that share territory, but with different ecological optima and distribution ranges, were analysed. G. struthium is a regionally dominant Iberian endemic gypsophyte, whereas G. tomentosa is a narrow endemic reported as halophyte. The working hypothesis is that salt tolerance shapes the presence of these species in their specific habitats.MethodsTaking a multidisciplinary approach, we assessed the soil characteristics and vegetation structure at the sampling site, seed germination and seedling development, growth and flowering, synthesis of proline and cation accumulation under artificial conditions of increasing salt stress and effect of PEG on germination and seedling development.ResultsSoil salinity was low at the all sampling points where the two species grow, but moisture was higher in the area of G. tomentosa. Differences were found in the species’ salt and drought tolerance. The different parameters tested did not show a clear pattern indicating the main role of salt tolerance in plant distribution.ConclusionsG. tomentosa cannot be considered a true halophyte as previously reported because it is unable to complete its life cycle under salinity. The presence of G. tomentosa in habitats bordering salt marshes is a strategy to avoid plant competition and extreme water stress.

Genetic variability in the endemic Leucojum valentinum

The genetic variability of Leucojum valentinum Pau (Amaryllidaceae), a vulnerable endemic species restricted to a small area in the region of Valencia (Eastern Spain), has been studied using random amplified polymorphic DNA (RAPD) markers. A total of 197 individuals from eleven populations were studied using 13 RAPD primers. Our results show high variability for the species, low differentiation among populations and uncorrelated levels of genetic variability and population size. Four groups in which three populations (SAG, PUG and COL) are separated from all the others were found, but without connection to geographical location.

Unraveling Salt Tolerance Mechanisms in Halophytes: A Comparative Study on Four Mediterranean Limonium Species with Different Geographic Distribution Patterns

We have performed an extensive study on the responses to salt stress in four related Limonium halophytes with different geographic distribution patterns, during seed germination and early vegetative growth. The aims of the work were twofold: to establish the basis for the different chorology of these species, and to identify relevant mechanisms of salt tolerance dependent on the control of ion transport and osmolyte accumulation. Seeds were germinated in vitro, in the presence of increasing NaCl concentrations, and subjected to “recovery of germination” tests; germination percentages and velocity were determined to establish the relative tolerance and competitiveness of the four Limonium taxa. Salt treatments were also applied to young plants, by 1-month irrigation with NaCl up to 800 mM; then, growth parameters, levels of monovalent and divalent ions (in roots and leaves), and leaf contents of photosynthetic pigments and common osmolytes were determined in control and stressed plants of the four species. Seed germination is the most salt-sensitive developmental phase in Limonium. The different germination behavior of the investigated species appears to be responsible for their geographical range size: L. narbonense and L. virgatum, widespread throughout the Mediterranean, are the most tolerant and the most competitive at higher soil salinities; the endemic L. santapolense and L. girardianum are the most sensitive and more competitive only at lower salinities. During early vegetative growth, all taxa showed a strong tolerance to salt stress, although slightly higher in L. virgatum and L. santapolense. Salt tolerance is based on the efficient transport of Na+ and Cl− to the leaves and on the accumulation of fructose and proline for osmotic adjustment. Despite some species-specific quantitative differences, the accumulation patterns of the different ions were similar in all species, not explaining differences in tolerance, except for the apparent activation of K+ transport to the leaves at high external salinity, observed only in the most tolerant L. narbonense and L. virgatum. This specific response may be therefore relevant for salt tolerance in Limonium. The ecological implications of these results, which can contribute to a more efficient management of salt marshes conservation/regeneration programs, are also discussed.