Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the necessary background that led to the emergence of first REIT structures and also provide an overview of the European REITs market. In the second part, we apply the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to examine correlations between the above mentioned asset classes. The general understanding of real estate is that it provides diversification benefits to a diversified portfolio. However, our results suggest that returns of European REITs and stocks show a relatively high correlation and more importantly, the correlation increases in time. These findings have significant implications for investors and portfolio managers who seek protection for their portfolios in time of market downturns. Our results...

In this thesis we study the regional and global linkages as evidence of markets integration of the stock markets in Frankfurt, Amsterdam, Prague the U.S. and the dynamics of volatility transmission of related foreign exchange rates using multivariate GARCH approach. For each of the model classes, a theoretical review, basic properties and estimation procedure are provided. We illustrate approach by applying the models to daily market data. Our two main aims are discussing and report the existence of regional and global stock markets linkages and provide comparison of such multivariate GARCH models on the data sample. We find out that the estimated time-varying conditional correlations indicate limited integration among the markets which implies that investors can benefit from the risk reduction by investigating in the different stock markets especially during the crisis.

Dans le système nerveux des bilatériens, certains neurones, appelés commissuraux, étendent leurs axones au-delà de la ligne médiane pour se connecter à des neurones controlatéraux. La Nétrine-1, une protéine sécrétée, guide ces axones jusqu'à la ligne médiane ventrale. Son récepteur DCC, exprimé dans les axones commissuraux, est considéré comme le relais de cette signalisation. Cependant, chez la souris, le récepteur Robo3 participe également à cette signalisation et est nécessaire pour que les axones commissuraux franchissent la ligne médiane ventrale. Dans ce travail, nous avons étudié la conservation des récepteurs Robo3 et DCC chez les vertébrés. De façon surprenante, nous avons mis en évidence que le gène Dcc est absent chez deux groupes d'oiseaux. Toutefois, cette perte ne semble pas s'accompagner de défaut de guidage des axones commissuraux chez ces oiseaux. Le gène Robo3 est, quant à lui, présent chez tous les vertébrés, mais présente des particularités structurales et fonctionnelles chez les mammifères, notamment la perte de liaison aux Slits (les ligands canoniques des récepteurs Robo). Chez les amniotes, Robo3 est spécifiquement exprimé dans les axones commissuraux avant le croisement de la ligne médiane. En revanche, chez les autres vertébrés, son expression est plus vaste et sa fonction dans le guidage commissural reste ambigüe. Enfin, la restauration de la signalisation Robo3-Slits chez la souris et sans effet sur la mise en place des commissures, et son rôle chez les autres vertébrés reste inconnu. Dans l'ensemble, ces données apportent un nouvel éclairage sur la diversité des commissures et de leurs systèmes de guidage chez les vertébrés. / In most bilateria, some neurons, called commissural neurons, extend their axons across midline to connect with contralateral targets. Netrin-1, a protein secreted at the ventral midline by the floor plate, atracts commissural axons and guide them towards midline. It is thought that the DCC receptor mediates Netrin-1 attraction towards ventral midline. However, in the mouse, Robo3 receptor also participate to Netrin-1 attractive signaling, and is necessary for commissural axons to reach ventral mdline. In this work, we have been studiing Robo3 and DCC receptors conservation in vertebrates. Strickingly, we found that birds withinh two major groups, the Galliforms and Passeriforms, do not have a Dcc gene. However, our comparative analysis of commissure development in birds revealed no difference between birds having or not DCC. On the other hand, Robo3 gene is present in all vertebrates studied, but is divergent in mammals. Especially Robo3 does not bind its cananical lignads Slits in these group. In amniotes, Robo3 is specifically expressed in commissural axons before they cross the midline. In contrast, Robo3 expression in other vertebrates is broder, and its exact function in commissural axon guidance remains unclear. Finally, restoring Slit binding to Robo3 in mammals does not affect commissural guidance, and the rôle of Robo3-Slit signaling in other vertebrates remains unclear. These data shed a new light on commissures diversity and their guidance mechanism among vertebrates.

Real estate is commonly viewed as a good diversification tool since the real estate market cycle exhibit low correlations to other asset classes. Moreover, Real Estate Investment Trusts (REITs) have become increasingly popular in the past decades since this investment form offers private investors a convenient way of diversifying stock portfolios with real estate. Some studies investigating the within-country diversification potential of REITs and stocks have been performed. These studies generally suggest poor diversification potential. Hence, we investigate the international diversification potential of REITs from Europe, Asia Pacific and the US for private investors holding European stocks from 2007 to 2019. For Europe and Asia Pacific, REIT markets with different maturity levels are included since emerging and developed REIT markets might have different characteristics affecting the diversification potential. We also examine which market leads which in terms of changes in returns. Moreover, the diversification potential of REITs may depend on the investment horizon, hence the long- and short-run perspectives for private investors are examined. The lesson learned from the Global Financial Crises and European Debt Crisis is that abnormal market conditions may change the behavior of assets on the financial markets, and significantly affect portfolio behavior. Hence, diversification potential in relation to crises is also considered. The methods employed are Johansen’s cointegration, Granger non-causality and DCC-GARCH. Our findings suggest long- and short-run diversification potential of international REITs for European stocks. Cross-regional combinations of REITs and stocks generally offer better diversification potential than within-regional combinations, and emerging REIT markets are preferred over their developed counterparts due to lower conditional correlations. Moreover, changes in stock market returns lead changes in REIT market returns, indicating that stock markets react more quickly to new information on the market. Long- and short-run diversification potential still exists during the crises although increased conditional correlations suggest higher interdependence in this period. However, there is no trend of increasing conditional correlations over the whole sample, suggesting the abnormal market conditions during the financial turmoil did not permanently change the diversification potential of REITs in stock portfolios.

La SER, est la grandeur qui permet de quantifier le pouvoir réflecteur d'un objet, ou a contrario sa discrétion électromagnétique. Maîtriser la SER, voire la diminuer, est un enjeu majeur dans le domaine aéronautique de défense. C'est en particulier un gage de survivabilité pour les aéronefs. Historiquement, les fréquences RADAR d'intérêt étaient celles de la bande Super Haute Fréquence, ce qui équivaut à des longueurs d'onde de 2 à 30 centimètres. Des outils d'analyse adaptés ainsi que des moyens de mesure ou de caractérisation de la SER ont été mis au point. Ils se sont révélés extrêmement performants. On peut citer par exemple la chambre anéchoïque CAMELIA du CESTA. En revanche, dans le domaine des basses fréquences, il est plus délicat de réaliser des mesures précises. Pour des longueurs d'onde de 1 à 5 mètres, l'épaisseur des absorbants est souvent trop faible ; même les dimensions des chambres anéchoïques ne représentent que quelques longueurs d'onde. Notre objectif, lors de cette thèse, était de proposer et d'étudier des algorithmes nouveaux permettant d'améliorer ou de faciliter la caractérisation de la SER en basse fréquence. La notion de courants caractéristiques, introduite par Harrington et Mautz dans les années 70, puis reprise par Y. Morel dans le cas d'objets parfaitement conducteurs, permet la décomposition d'un courant induit quelconque en courants élémentaires. Les modes caractéristiques sont obtenus en faisant rayonner ces courants caractéristiques. Cependant, il n'existe pas d'outil de détermination des modes lorsque l'objet n'est plus parfaitement conducteur. Nous nous sommes donc dotés d'un tel outil, que nous avons construit et validé. Pour cela, nous avons repris dans un premier temps le cadre mathématique qui permet de définir l'opérateur de Perturbation, ses propriétés mathématiques et sa décomposition en éléments propres. Nous avons montré que cet opérateur discrétisé conserve ses propriétés mathématiques. Nous avons ensuite validé notre méthode de calcul direct des modes caractéristiques, issus de la diagonalisation de l'opérateur de perturbation discrétisé. Dans un deuxième temps, nous avons mené des études phénoménologiques. Nous avons tout d'abord observé l'évolution des éléments propres de l'opérateur de perturbation en fonction de l'impédance, et nous nous sommes intéressés au cas particulier de l'impédance égale à 1. Nous avons ensuite observé les phénomènes lorsque la fréquence évolue. En nous concentrant sur les valeurs propres, nous avons pu différencier deux types de modes. Enfin, nous avons détaillé quelques exemples d'applications concrètes de cette méthode de détermination des modes, qui permettent d'améliorer ou de faciliter la caractérisation de la SER en basse fréquence. L'outil ORFE (Outil de Reformulation, Filtrage et Extrapolation de données) permet d'atténuer les termes d'erreurs inhérents à toute caractérisation, et d'extrapoler des données existantes à des cas de figure non acquis ou non accessibles en mesure. Il a donné lieu à un brevet. Un outil d'interpolation de SER en basse fréquence a aussi été construit. Il permet d'obtenir de meilleurs résultats que l'interpolation linéaire de la SER. Nous avons aussi mis en place une méthode d'imagerie basse fréquence. Elle permet de localiser d'éventuels défauts de métallisation de l'objet considéré, en utilisant la base des courants caractéristiques. Enfin, nous avons présenté une méthodologie de caractérisation de SER qui intègre les limites des moyens de mesure. Nous avons mis en évidence que cette caractérisation donne une information absolue sur la SER de l'objet, dans un périmètre de validité. Un brevet a été déposé sur cette méthode.

This paper uses multivariate DCC-GARCH model to investigate the volatility of dynamic correlation between MSCI Taiwan stock index and the USA, China, Japan , Asia and global stock market. The existence of stock market volatility asymmetry, volatility spread of infection and clustering effects also are analysed, while in case of the U.S. sub-prime mortgage crisis and triggered the global financial tsunami. It discusses the Taiwan stock market fluctuations and structural changes in the international markets and the market dynamics related to change of influence and change. The main findings are (1)The volatility of continuity between the spread of infection and the clustering effect between the Taiwan stock market and international market fluctuations, (2) During the global financial tsunami, the correlation between changes in the international market and the market Correlation of different dynamic fluctuations and structural changes occurring in different time point also show the impact of changes of individual markets (3)The correlation between MSCI Taiwan stock index and the USA, China , Japan, indicates that the impact of change of stock the Japanese stock market on the MSCI Taiwan stock index is low, while China and the MSCI Taiwan stock index-related enhances, (4) market structure changes, the MSCI Taiwan stock index and the global dynamic fluctuations in the market is still a significant, The visible impact of the shock oscillation is wide and return to equilibrium of adjustment is still ongoing.

Modelleisenbahnen können Kinderspielzeug oder anspruchsvolles Hobby sein. Heute fahren viele Bahnen digital und werden mittels Digital Command Control (DCC) gesteuert. Im Vortrag sollen die Grundlagen des Protokolls erläutert und die Grundfunktionen mittels des Decoder Programmers SPROG II unter Linux ausprobiert werden.

Ce mémoire s'intéresse à la transmission de la volatilité des marchés financiers. Les marchés canadien et américain sont étudiés durant la crise financière de 2008. Afin d'analyser ces transmissions, nous utilisons le modèle d'hétéroscédasticité conditionnelle autorégressive généralisé à corrélations conditionnelles dynamiques d'Engle (2002). La période analysée est du 1er janvier 2005 au 31 juillet 2010. Cette période se divise en deux sous-périodes, soit une période de calme et une période de crise. La période de calme est du 1er janvier 2005 au 8 septembre 2008 et la période de crise est du 9 septembre 2008 au 31 juillet 2010. Les résultats obtenus indiquent qu'il y a eu une transmission de volatilité des États-Unis vers le Canada durant cette crise. Nous avons aussi trouvé une augmentation des corrélations conditionnelles dynamiques entre le Canada et les États-Unis en temps de crise. ______________________________________________________________________________ MOTS-CLÉS DE L’AUTEUR : GARCH multivarié, DCC-GARCH, crise financière, volatilité.

Dynamic combinatorial chemistry (DCC) is a powerful tool to identify new ligands for biological targets. In the technique, library synthesis and hit identification are neatly combined into a single step. A labile functionality between fragments allows the biological target to self-select binders from a dynamic combinatorial library (DCL) of interconverting building blocks. The scope of suitable reversible reactions that proceed under thermodynamic control in physiological conditions has been gradually expanded over the last decades, however DCC has thus far failed to gain traction as a technique appropriate for drug discovery in the pharmaceutical industry. The constraints placed on library size by validated analytical techniques, and the effort-intensive reality of this academically elegant concept have not allowed DCC to develop into a broad-platform technique to compete with the high-throughput screening campaigns favoured by medicinal chemists. This thesis seeks to develop DCL analysis techniques, in an effort to increase the library size and accelerate the analysis of DCC experiments. Using a 19F-labelled core scaffold, we constructed a DCL that could be monitored non-invasively by 19F NMR. Building on NMR techniques developed by fragment screening and non-biological DCC campaigns, the method was developed to circumvent the undesired equilibrium-perturbing side effects arising from sample-consuming analytical methods. The N-acylhydrazone (NAH) DCL equilibrated rapidly at pH 6.2 using 4-amino-L-phenylalanine (4-APA) as a novel, physiologically benign, nucleophilic catalyst. The DCL was designed to target b-ketoacyl-ACP synthase III (FabH), an essential bacterial enzyme and antibiotic target. From the 5-membered DCL, a single combination was identified as a privileged structure by our 19F NMR method. The result correlated well with an in vitro assay, validating 19F NMR as a tool for DCL screening. During the 19F NMR study we identified an established antimicrobial compound, 4,5- dichloro-1,2-dithiole-3-one (HR45), to have potential as a core scaffold from which to develop future DCLs targeting FabH. Despite the potentially tractable chemistry of HR45 for DCC, lack of knowledge around the inhibitory mechanism of the compound prevented us from proceeding. Thus, we used mass spectrometry, NMR and molecular modelling to show that HR45 acts by forming a covalent adduct with S. aureus FabH. The 5-chloro substituent directs attack from the nucleophilic thiol side chain of the essential active site cysteine-112 residue via a Michael-type addition elimination mechanism. Although interesting, this mechanism disfavoured the use of HR45 as a core scaffold for NAH exchange in a DCC campaign. Electrospray ionisation mass spectrometry (ESI-MS) is a powerful technique that allows for larger DCLs by eliminating the size-limitations imposed by the need for spectral or chromatographic resolution of DCL members. We developed a 4-APAcatalysed NAH library targeting the pyridoxal 5’-phosphate (PLP) dependent enzyme 7,8-diaminopelargonic acid synthase (BioA), an essential enzyme in the biotin biosynthesis pathway. We exploited the aldehyde moiety of PLP to form an NAH DCL with a panel of hydrazides, and used the BioA isozymes from M. tuberculosis (Mtb) and E. coli to template the library. A combination of buffer exchange and denaturing ESI-MS allowed us to conduct a DCC experiment with a 29-member DCL. Hits from the DCC experiment correlated well with differential scanning fluorimetry (DSF) results. Of these hits, 5 compounds were selected for further study. In vivo activity was displayed by 2 compounds against E. coli and the ESKAPE pathogen A. baumannii. The identification of compounds with antibacterial activity from a DCL further validates ESI-MS as a platform technology for drug discovery.

Countries participating in a common currency area increase their integration within the area. This paper investigates the impact common currency areas have for economic integration with economies of different characteristic outside the area. Results for a common currency group compares to a sovereign currency group. The common currency group consists of three countries who have adopted the euro, while the sovereign currency group consist of three European countries with sovereign currencies. The level of economic integration is examined towards three different economies; European drivers, global markets and emerging markets. The period ranges from 1993M01 to 2017M09 and includes industrial production indices and stock market indices. Economic integration is studied through a DCC-EGARCH model, on both aggregated and time-dependent level, which yield correlations. In comparison to previous studies, this paper also applies a cross-quantilogram method to examine the impact of different market conditions have on the correlations. Higher correlations for the common currency group than for the sovereign currency group do exist with the European drivers and the global countries. With the emerging markets such pattern is not found, instead low correlations are mainly examined. Besides the correlation with the emerging countries, the results indicate membership in a common currency area, in this case the EMU, to increase the economic integration. Overall, highest levels of correlation are found with the European drivers, followed by the US as a global economy, corresponding with the importance of homogeneity for high economic integration. Due to no conclusive change in correlations during the euro implementation, membership in a common currency area per se does not increase economic integration. However, a common currency area with a strong currency do along with other characteristics influence the economic integration. We find evidence that market regimes have an impact on economic integration. Adverse market conditions overall seem to influence the integration in a higher degree than normal or good conditions. The results indicate that the adverse conditions increase the economic integration, this is in particularly seen for the common currency countries correlation with the European drivers and the US.