A Diagnostic Calculator for Detecting Glaucoma on the Basis of Retinal Nerve Fiber Layer, Optic Disc, and Retinal Ganglion Cell Analysis by Optical Coherence Tomography

Purpose: The purpose of this study was to develop and validate a multivariate predictive model to detect glaucoma by using a combination of retinal nerve fiber layer (RNFL), retinal ganglion cell-inner plexiform (GCIPL), and optic disc parameters measured using spectral-domain optical coherence tomography (OCT). Methods: Five hundred eyes from 500 participants and 187 eyes of another 187 participants were included in the study and validation groups, respectively. Patients with glaucoma were classified in five groups based on visual field damage. Sensitivity and specificity of all glaucoma OCT parameters were analyzed. Receiver operating characteristic curves (ROC) and areas under the ROC (AUC) were compared. Three predictive multivariate models (quantitative, qualitative, and combined) that used a combination of the best OCT parameters were constructed. A diagnostic calculator was created using the combined multivariate model. Results: The best AUC parameters were: inferior RNFL, average RNFL, vertical cup/disc ratio, minimal GCIPL, and inferior-temporal GCIPL. Comparisons among the parameters did not show that the GCIPL parameters were better than those of the RNFL in early and advanced glaucoma. The highest AUC was in the combined predictive model (0.937; 95% confidence interval, 0.911–0.957) and was significantly (P = 0.0001) higher than the other isolated parameters considered in early and advanced glaucoma. The validation group displayed similar results to those of the study group. Conclusions: Best GCIPL, RNFL, and optic disc parameters showed a similar ability to detect glaucoma. The combined predictive formula improved the glaucoma detection compared to the best isolated parameters evaluated. The diagnostic calculator obtained good classification from participants in both the study and validation groups.

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes

The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. For this purpose, we use an underlying vector random coefficient autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model, to derive asymptotic theory for the quasi-maximum likelihood estimator. As an extension, we develop a new multivariate asymmetric long memory volatility model, and discuss the associated asymptotic properties.

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.