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3 results on '"Savai M"'

2. Missing Data Bias on a Selective Hedging Strategy

Author

Kiss Gábor Dávid, Sávai Marianna, and Udvari Beáta

Subjects
missing data, EM method, Value at Risk, GARCH, options, Business, HF5001-6182
Abstract

Foreign exchange rates affect corporate profitability both on the macro and cash-flow level. The current study analyses the bias of missing data on a selective hedging strategy, where currency options are applied in case of Value at Risk (1%) signs. However, there can be special occasions when one or some data is missing due to lack of a trading activity. This paper focuses on the impact of different missing data handling methods on GARCH and Value at Risk model parameters, because of selective hedging and option pricing based on them. The main added value of the current paper is the comparison of the impact of different methods, such as listwise deletion, mean substitution, and maximum likelihood based Expectation Maximization, on risk management because this subject has insufficient literature. The current study tested daily closing data of floating currencies from Kenya (KES), Ghana (GHS), South Africa (ZAR), Tanzania (TZS), Uganda (UGX), Gambia (GMD), Madagascar (MGA) and Mozambique (MZN) in USD denomination against EUR/USD rate between March 8, 2000 and March 6, 2015 acquired from the Bloomberg database. Our results suggested the biases of missingness on Value at Risk and volatility models, presenting significant differences among the number of extreme fluctuations or model parameters. A selective hedging strategy can have different expenditures due to the choice of method. This paper suggests the usage of mean substitution or listwise deletion for daily financial time series due to their tendency to have a close to zero first momentum

Published
2017
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3. Combination of remifentanil with isoflurane or propofol: effect on the surgical stress response

Author

Simin Azemati, Savai, M., Khosravi, M. B., Allahyari, E., and Jahanmiri, F.

Subjects
Adult, Blood Glucose, Hydrocortisone, Isoflurane, Hemodynamics, Anesthetics, Combined, Remifentanil, C-Reactive Protein, Gynecologic Surgical Procedures, Piperidines, Heart Rate, Stress, Physiological, Anesthetics, Inhalation, Humans, Arterial Pressure, Female, Propofol, Anesthetics, Intravenous, Biomarkers
Abstract

Hormonal and metabolic changes following surgery are markers of the stress response to surgery. We compared hemodynamic parameters and stress response markers (glucose, cortisol, and C-reactive protein) in two groups of patients receiving either propofol or isoflurane combined with remifentanil for maintenance of anesthesia.We randomly assigned 100 women (ASA I-II) scheduled for diagnostic gynecologic laparoscopy to receive either isoflurane (0.8% end-tidal) or propofol (100 mg/kg/min) in addition to remifentanil (0.25 mg/ kg/min). Heart rate and mean arterial pressure were recorded after induction, 30 seconds after intubation, at four time points after incision, and 60 min after surgery. Serum C-reactive protein, cortisol and glucose concentrations were measured before induction, one hour after incision, and one hour after surgery.After induction, heart rate decreased significantly from baseline in both groups, and remained below baseline until the end of surgery. Mean arterial pressure also decreased significantly in both groups. C-reactive protein levels were not significantly different between groups. In the propofol group, cortisol decreased significantly one hour after incision, but increased in the isoflurane group. Glucose increased significantly in both groups, but was significantly lower in the propofol group one hour after the incision and one hour after surgery.An anesthetic regimen combining propofol and remifentanil attenuates two indicators of the stress response more efficiently than a isoflurane - remifentanil combination.

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