Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic

This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a recently developed time-varying parameter vector autoregressive (TVP-VAR) connectedness approach using daily data spanning from March 16th, 2011 to March 3rd, 2021 — covering the first year of the COVID-19 pandemic. The empirical results suggest that connectedness across the different asset classes and oil price implied volatilities are varying over time and fluctuate at very high levels. The dynamic total connectedness ranges between 65% and 85% indicating a high degree of cross-market risk linkages. Furthermore, we find that the oil market is becoming more integrated with the financial markets, since it tends to be materially impacted by abrupt fluctuations of the global financial markets' volatilities. More specifically, the analysis shows that, throughout the period, OVX is a net receiver of shocks to the remaining implied volatilities. Finally, the net pairwise connectedness measures suggest that OVX is constantly at the net receiving end vis-a-vis the majority of the asset classes' implied volatilities. Those findings are of major importance for portfolio and risk management in terms of asset allocation and diversification. © 2022 The Author(s)

Breakthrough COVID-19 infection after vaccination in people with multiple sclerosis on disease modifying therapies in Latin America: data from RELACOEM registry

Introduction: In this study we aimed to monitor the risk of breakthrough COVID-19 infection in pwMS on different Disease Modifying Therapies (DMT) included in RELACOEM, a LATAM registry of MS and NMOSD patients infected with and vaccinated against COVID-19. Method(s): retrospective cohort study conducted between May 2021 and December 2021. The primary outcome was the appearance of infection during the follow-up time (at least three months after complete vaccination (second dose)). Specific information was requested (vaccine received, dose, date, symptoms, COVID- 19 infection, need for hospitalization, ventilatory assistance, treatment, and evolution). The primary objective of the analysis was to compare the incidence of breakthrough SARS-CoV-2 infections among the vaccinated pwMS in each DMT group. These conditions entail a PCR-confirmed test, and a time lag of at least 14 days from a full vaccination cycle (after the second vaccination dose). Cumulative incidence was reported by Kaplan Meier survival curves as well as incidence density. Result(s): A total of 857 pwMS patients from eight countries in LATAM were included. Mean age was 44.3 +/-12 years. The most frequent treatment used was fingolimod in 171 (19.9%). Most frequent first and second dose received was Astra-Zeneca (33%). During follow-up, a total of 28 COVID-19 cases were observed for a total exposure time of 150.965 days. The overall cumulative incidence was 3.2% (SE 0.22%) with an overall incidence density (ID) of 1.8 x 10.000 patients/day (95%CI 0.2-3.2). Compared to other DMTs, the incidence rate of breakthrough infections was significantly higher on ocrelizumab (6.02 (95%CI=5.65-7.16, RR=5.17 95%CI 3.27-7.12) and rituximab (6.94 (95%CI=6.15-9.12, RR= 5.93 95%CI 3.55-7.32) compared with other DMTs. No significant differences in the risk of breakthrough were observed for vaccine subtypes. Conclusion(s): An increased risk of breakthrough COVID-19 infections was observed in patients treated with ocrelizumab and rituximab.

Breakthrough COVID-19 infection after vaccination in patients with NMOSD in Latin America: data from RELACOEM registry

Objective: The objective of the study was to evaluate the incidence of COVID-19 infections after vaccination in NMOSD patients included in RELACOEM, a LATAM registry of MS and NMOSD patients infected and vaccinated for COVID-19. Method(s): Retrospective cohort study developed between May 2021 to December 2021. The primary outcome was the appearance of infection during the follow up time (at least three months after complete vaccination (second dose)). Data was collected through the contact between the treating physician and the patient. Specific information was requested (vaccine received, dose, date, symptoms, COVID-19 infection, need for hospitalization, ventilatory assistance, treatment, and evolution). The primary objective of the analysis was to compare the incidence of breakthrough SARS-CoV-2 19 infections among the vaccinated pwMS in each DMT group. These conditions entail a PCR-confirmed test, and a time lag of at least 14 days from a full vaccination cycle (after the second vaccination dose). Cumulative incidence was reported by Kaplan Meier survival curves as well as incidence density. Result(s): A total of 49 NMOSD patients from eight countries in LATAM were included. Mean age was 43.8 +/-13 years. The most frequent treatment use was rituximab in 29 (59.2%). The mean follow up after the second dose was 149 +/- 32 days. Most frequent first and second dose received was Pfizer (28.6%), followed by Sinopharm (24.5%). During follow up a total of 2 COVID-19 cases were observed for a total exposure time of 8627 days. Cumulative incidence was 4.1% (SE 0.87%) with an overall incidence density of 2.31 x 10.000 patients/day (95%CI 1.13-3.71). Both cases occurred in patients under rituximab (2/29, exposure time 4208, IR 4.7 x 10,000 patients/day 95%CI 3.5-5.1). No hospitalizations were reported for both cases. Conclusion(s): We observed an ID of COVID-19 infection after vaccination of 2.31 x 10.000 patients/day in NMOSD patients.