We examined tree rings from Douglas-fir (Pseudotsuga menziesii var. glauca (Beissn.) Franco) timbers in the Salt Lake Tabernacle, constructed from 1863–1867 in Salt Lake City, Utah. A seismic upgrade to the Tabernacle initiated in 2005 required the replacement of wooden timbers with steel beams. Our objectives were to 1) determine cutting dates for the timbers to identify logs that may have been salvaged from previous structures, and consequently would have greater historical significance, 2) identify the species and provenance of the timbers, and 3) develop a chronology that could extend or strengthen the existing tree-ring record for environmental and historical applications in northern Utah. We built a 162-year floating chronology from 13 cores and 15 cross-sections, crossdated visually using skeleton plots and verified statistically with COFECHA. Statistically significant (p , 0.0001) comparisons with established chronologies from northern Utah indicated that the Tabernacle chronology extends from 1702–1862. Cutting dates ranged from 1836–1863, with most in 1862 or 1863 and a smaller cluster around 1855. The broad range of cutting dates suggests that some of the timbers were used in previous structures, and that some trees were dead before they were cut. This study provides valuable information for the preservation of historical materials, and increases the sample depth of existing chronologies during the 18th and 19th Centuries.

The crude oil, natural gas, and electricity markets are among the most widely traded and talked about commodity markets across the world. Over the past two decades each commodity has seen price volatility due to political, economic, social, and technological reasons. With that comes a significant amount of risk that both corporations and governments must account for to ensure expected cash flows and to minimize losses. This thesis analyzes the portfolio risk of the major US commodity hubs for crude oil, natural gas and electricity by applying Extreme Value Theory to historical daily price returns between 2003 and 2013. The risk measures used to analyze risk are Value-at-Risk and Expected Shortfall, with these estimated by fitting the Generalized Pareto Distribution to the data using the peak-over-threshold method. We consider both the univariate and bivariate cases in order to determine the effects that price shocks within and across commodities will have in a mixed portfolio. The results show that electricity is the most volatile, and therefore most risky, commodity of the three markets considered for both positive and negative returns. In addition, we find that the univariate and bivariate results are statistically indistinguishable, leading to the conclusion that for the three markets analyzed during this period, price shocks in one commodity does not directly impact the volatility of another commodity’s price. / Graduate

La présente thèse s'est inscrite dans une perspective d'améliorer les outils de mesure du risque de marché en proposant des solutions capables de reproduire certaines caractéristiques empiriques d'évolution des marchés financiers. A travers une étude empirique sur des données réelles, nous montrons que la réalité des marchés financiers possède certaines caractéristiques empiriques connues et résumées sous le nom "faits stylisés", qui rendent les mesures usuelles du risque de marché incapables de reproduire ces caractéristiques. Nous proposons des nouvelles méthodes de mesure de la Value-at-Risk (VaR), en fonction de la volatilité passée et des corrélations existant entre les actifs composant un portefeuille, dans le cadre de deux grandes approches de mesure du risque : une approche de mesure du risque global (ou risque univarié) et une approche de mesure du risque multiple (ou risque multivarié), tout en testant leur qualité prédictive au moyen des procédures de backtesting. Les résultats obtenus montrent une grande capacité des différentes mesures utilisées à capturer les faits stylisés caractérisant l'évolution des marchés financiers étudiés avec une nette surperformance des méthodes de mesure de la VaR estimées dans le cadre du risque multivarié par rapport à celles du risque univarié. / This thesis has object to improve the methods for estimating market risk by offering solutions capable to replicate some empirical properties of asset returns. Through an empirical study on real data, we show that the reality of financial markets has some empirical characteristics known and summarized as "stylized facts" that render the conventional market risk measurement unable to reproduce. We propose a Value-at-Risk (VaR) measures, based on modeling portfolio volatility and correlations between assets classes, using two risk measurement approaches: an univariate risk measurement approach and multivariate risk measurement approach, and testing their quality predictive using backtesting procedures. The results obtained show a great ability of different used risk measurement to capture the stylized facts characterizing financial markets, with a clear outperformance of the multivariate VaR measures than the univariate VaR measures.

A major virulence factor of the human malaria parasite Plasmodium falciparum is Plasmodium falciparum erythrocyte membrane protein 1(PfEMP-1). This protein is inserted into the erythrocyte membrane, giving cytoadherence properties. A family of genes called var, located sub-telomerically and in chromosome central clusters encode this protein. Var genes are expressed in a mutually exclusive manner, how this is controlled is unclear. A non-coding RNA (ncRNA) termed the GC-rich element (GRE) had been identified that is only located at the central clusters and is transcribed throughout the parasite lifecycle. A screen of the P. falciparum genome for novel ncRNAs identified ncRNAs from known classes. Novel transcripts were identified, but none in the proximity of var genes. We have investigated the role of the GRE in var gene regulation. A set of qRT-PCR primers have been designed and tested to follow var gene expression in the HB3 isolate, these are not cross-reactive with a published set for the 3D7 isolate. Alterations were made to the 3D7 set to remove cross-reactivity with HB3. Var gene expression was studied in 31 HB3 clones and progeny of the 3D7xHB3 genetic cross. Following var switching over five months in eleven HB3 clones showed that all of the clones ended up expressing var genes from the same central cluster on chromosome 4. GRE Transcription in these clones is linked to a specific class of var gene. Transcription from a single GRE locus occurs only when a var gene of the central UpsC class is expressed from the same cluster. Expression of other classes of var gene gives multiple transcripts from different GRE loci. Investigations into the in vitro binding properties of the GRE revealed an RNA:protein complex that can be resolved by electrophoresis. Proteomic analysis of the complex revealed predominantly ribosome proteins and translation factors.

The problem in this investigation consists of, first, the procurement of several strains of Micrococcus pyogenes var. aureus; second, the comparison of the degree and rate of development of resistance of these organisms to terramycin; and, third, to study the morphological and physiological changes which occur during the development of resistance.

Most of the literature on Value at Risk concentrates on the unconditional nonparametric or parametric approach to VaR estimation and much less on the direct modeling of conditional quantiles. This thesis focuses on the direct conditional VaR modeling, using the flexible quantile regression and hence imposing no restrictions on the return distribution. We apply semiparamet- ric Conditional Autoregressive Value at Risk (CAViaR) models that allow time-variation of the conditional distribution of returns and also different time-variation for different quantiles on four stock price indices: Czech PX, Hungarian BUX, German DAX and U.S. S&P 500. The objective is to inves- tigate how the introduction of dynamics impacts VaR accuracy. The main contribution lies firstly in the primary application of this approach on Cen- tral European stock market and secondly in the fact that we investigate the impact on VaR accuracy during the pre-crisis period and also the period covering the global financial crisis. Our results show that CAViaR models perform very well in describing the evolution of the quantiles, both in abso- lute terms and relative to the benchmark parametric models. Not only do they provide generally a better fit, they are also able to produce accurate forecasts. CAViaR models may be therefore used as a...

The thesis evaluates relationship between probability of default of non-financial corporations and households and evolution of macroeconomic environment. This work contributes to the literature of credit risk proving importance of macroeconomic variables in determining the PDs both on aggregate level and for sector of non-financial corporations and sector of households in the Czech Republic. Evaluation of an impact of the recent financial crisis on the PDs are done by employing latent factor model and FAVAR model on monthly data of non-performing loans and other macroeconomic variables covering the period 01/2002-06/2013. Finally, an ability to forecast and fit the data of FAVAR model and one factor latent model are compared. The comparison indicates that latent factor model should be more appropriate than FAVAR model.

This thesis studies interconnections between macroeconomic environment and non-performing loans ratio (NPL) of banking loans provided to households in the Czech Republic in years 2005-2014. This analysis serves as tool for macroprudential policy to detect potential risks before negative consequences occur. The thesis examines mutual relations between households' non-performing loans ratio and variables capturing macroeconomic environment such as GDP growth, unemployment rate, CPI, interest rate and exchange rate. For purposes of this analysis, vector autoregressive approach and vector error correction model are applied. Based on impulse response analysis, most of expected relations are confirmed. Generally, favorable macroeconomic conditions increase payback capacity of households and reduce share of non-performing loans. According to forecast variance decomposition, increase in unemployment rate is the most serious threat for financial stability of the country from the perspective of non-performing rate increase. JEL Classification C32, C52, E21, G21 Keywords Households, indebtedness, financial stability, non-performing loans, Czech Republic, VAR, VECM Author's e-mail h.kroupa@seznam.cz Supervisor's e-mail seidler@email.cz

Econometric Analysis of Financial Data Author: Matúš Baniar Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jitka Zichová, Dr. Abstract: In some occasions, financial data can be represented as a combination of cross-sectional and time-series information. Hence it could be convenient to consider a system of econometric equations for modeling such data sets. At the beginning of this thesis, we describe general definitions and we talk about different types of variables from the perspective of exogeneity. Later, we describe some specific cases of these equations: SUR system, simultaneous equation models and the model of vector autoregression. For selected models, we also discuss estimation methods and their properties. In the final section, the described approach is applied to real financial data making use of appropriate software. Keywords: exogeneity, SUR system, simultaneous equations, VAR

In practice, we often meet data in the form of observations of several variables at various points in time. These data are called time series. We present various approaches in time series analysis; graphical models, vector autoregres- sive models and vector moving-average models. We try to get information about mutual relationship of the variables and then to model their behavior. The used techniques are illustrated on log returns of monthly average exchange rates. The programs are processed in the software Mathematica 7 and can be found on the CD. 1