Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics

This paper is an attempt to examine regime switches in the empirical relation between return dynamics and implied volatility in energy markets. The time-varying properties of the return-generating process are defined as a function of several risk factors, including oil market volatility and changes in stock prices and currency rates. The empirical evidence is based on Markov-regime switching models, which have the capacity to capture, in particular, the stochastic behavior of the OVX oil volatility index as a benchmark for investors' fear. The results suggest that the dynamics of oil market returns are governed by two distinct regimes, a state driven by a negative relationship between returns and implied volatility and another state characterized by a more pronounced negative correlation. It is the latter regime with a stronger correlation that tends to prevail over the sample period from 2008 to 2021, but the frequency of regime shifts also seems to increase under more volatile oil price dynamics in association with significant events such as the COVID-19 pandemic. Thus, the evidence of a negative correlation structure is found to be robust to changes in the estimation period, which suggests that the oil volatility index remains a reliable gauge of market sentiment in the energy markets.

A case of hemophagocytic lymphohistiocytosis after BNT162b2 COVID-19 (Comirnaty®) vaccination.

RATIONALE: Coronavirus disease (COVID-19), an infectious disease caused by the severe acute respiratory syndrome coronavirus 2 virus, was reported in Wuhan of China in December 2019. The world is still in a state of pandemic owing to COVID-19. COVID-19 vaccines help our bodies develop immunity against the virus that causes COVID-19 without having to get the illness. Herein, we describe a rare case of a critical disorder, hemophagocytic lymphohistiocytosis (HLH), in a patient with nephritic sclerosis associated with hypertension, following mRNA COVID-19 vaccination. HLH is a life-threatening hyperinflammatory syndrome caused by aberrantly activated macrophages and cytotoxic T cells that may rapidly progress to terminal multiple organ failure. PATIENT CONCERNS: An 85-year-old Japanese woman with chronic renal failure and hypertension was included in this study. Routine laboratory investigations provided the following results: white blood cell (WBC) count, 4.6 × 109/L; hemoglobin (Hb), 8.1 g/dL; platelet count, 27 × 109/L; blood urea nitrogen 48.9 mg/dL, and serum creatinine 3.95 mg/dL. The patient developed malaise, vomiting, and persistent high fever (up to 39.7°C) on the 12th day after receiving the second dose of the vaccine. Initial evaluation revealed neutropenia. The total WBC count was 0.40 × 109/L (Neutrophils 0, Lymphocytes 240/µ, blast 0%); Hb 9.0 g/dL, platelet count 27 × 109/L; and, C Reactive Protein 9.64 mg/dL. DIAGNOSIS: Further tests showed hyperferritinemia (serum ferritin 2284.4 µg/L). Bone marrow examination revealed haemophagocytosis. A provisional diagnosis of HLH associated with the Comirnaty® vaccination was made based on the HLH-2004 diagnostic criteria. INTERVENTIONS: The patient was treated with granulocyte colony-stimulating factor and 500 mg methylprednisolone. OUTCOMES: A significant improvement was observed in the patient's condition; the abnormal laboratory results resolved gradually, and the patient was discharged. LESSONS: This case serves to create awareness among clinicians that HLH is a rare complication of COVID-19 vaccination and should be considered, especially in patients with a history of chronic renal failure and hypertension.