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.

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.

Risk factors associated with negative in-vivo diagnostic results in bovine tuberculosis-infected cattle in Spain

BACKGROUND Despite great effort and investment incurred over decades to control bovine tuberculosis (bTB), it is still one of the most important zoonotic diseases in many areas of the world. Test-and-slaughter strategies, the basis of most bTB eradication programs carried out worldwide, have demonstrated its usefulness in the control of the disease. However, in certain countries, eradication has not been achieved due in part to limitations of currently available diagnostic tests. In this study, results of in-vivo and post-mortem diagnostic tests performed on 3,614 animals from 152 bTB-infected cattle herds (beef, dairy, and bullfighting) detected in 2007-2010 in the region of Castilla y León, Spain, were analyzed to identify factors associated with positive bacteriological results in cattle that were non-reactors to the single intradermal tuberculin test, to the interferon-gamma (IFN-γ) assay, or to both tests applied in parallel (Test negative/Culture + animals, T-/C+). The association of individual factors (age, productive type, and number of herd-tests performed since the disclosure of the outbreak) with the bacteriology outcome (positive/negative) was analyzed using a mixed multivariate logistic regression model. RESULTS The proportion of non-reactors with a positive post-mortem result ranged from 24.3% in the case of the SIT test to 12.9% (IFN-γ with 0.05 threshold) and 11.9% (95% CI 9.9-11.4%) using both tests in parallel. Older (>4.5 years) and bullfighting cattle were associated with increased odds of confirmed bTB infection by bacteriology, whereas dairy cattle showed a significantly lower risk. Ancillary use of IFN-γ assay reduced the proportion of T-/C + animals in high risk groups. CONCLUSIONS These results demonstrate the likelihood of positive bacteriological results in non-reactor cattle is influenced by individual epidemiological factors of tested animals. Increased surveillance on non-reactors with an increased probability of being false negative could be helpful to avoid bTB persistence, particularly in chronically infected herds. These findings may aid in the development of effective strategies for eradication of bTB in Spain.