Vascular dilatory function and cardiovascular risk factors in women with a history of pre-eclampsia

Women with a history of pre-eclampsia have an increased risk of cardiovascular disease in later life. The mechanisms which mediate this heightened risk are poorly understood; it was long believed that pre-eclampsia was a separate disease without any connection to other pathologies. The present study was undertaken to investigate the cardiovascular risk milieu, vascular dilatory function and cardiovascular risk factors, in women with pre-eclampsia, 5 6 years after index pregnancy. The aim was to understand better the cardiovascular risks associated with pre-eclampsia and add tools to the evaluation of cardiovascular risk in women. --- The study involved 30 women with previous severe pre-eclampsia and 21 controls. The 2-day study protocol included venous occlusion plethysmography and pulse wave analysis for assessment of vascular dilatory function and central pulse wave reflection, respectively, office and ambulatory blood pressure measurements, assessment of insulin sensitivity, using a minimal model technique, and tests regarding renal function, lipid metabolism, sympathetic activity and inflammation. Vasodilatory function was impaired in women with a history of pre-eclampsia; this was seen in both endothelium-dependent and endothelium-independent vasodilatation. Proteinuria during pre-eclampsia did not predict changes in vasodilatation, and renal function was similar in the two groups. Insulin sensitivity was related to vasodilatation and features of metabolic syndrome, but only in the patient group, despite similar insulin sensitivity in the control group. Arterial pressure was higher in the patient group than in the controls and correlated with endothelin-1 levels in the patient group, whilst the overall difference between the groups was diminished in 24 hour arterial pressure measurements. Additionally, women with previous pre-eclampsia were characterized by increased sympathetic activity. Impaired vasodilatory function at the vascular smooth muscle level seems to characterize clinically healthy women with a history of pre-eclampsia. These vascular changes and the features of metabolic syndrome may be related to the increased risk of cardiovascular disease. Furthermore, increased blood pressure in combination with enhanced sympathetic activity may be additive as regards this risk. These women should be informed about their potential cardiovascular risk profile and the possibilities to minimize it via their own actions. Medical cardiovascular risk assessment in women should include obstetric history.

Arterial stiffness and cardiovascular risk factors

Background: As the human body ages, the arteries gradually lose their elasticity and become stiffer. Although inevitable, this process is influenced by hereditary and environmental factors. Interestingly, many classic cardiovascular risk factors affect the arterial stiffness. During the last decade, accelerated arterial stiffening has been recognized as an important cardiovascular risk factor associated with increased mortality as well as with several chronic disorders. Objectives: This thesis examines the role of arterial stiffness in relation to variations in a physiological feature in healthy individuals. In addition, the effect on arterial stiffness of an acute transitory disease and the effect of a chronic disease are studied. Furthermore, the thesis analyzes the prognostic value of a marker of arterial stiffness in individuals with chronic disease. Finally, a potential method of reducing arterial stiffness is evaluated. Material and study design: The first study examines pulse wave reflection and pulse wave velocity in relation to muscle fibre distribution in healthy middle-aged men. In the second study, pulse wave reflection in women with current or previous preeclampsia is compared to a healthy control group. The effect of aging on the different blood pressure indices in patients with type 1 diabetes is examined in the third study, whereas the fourth paper studies the relation between these blood pressure indices and mortality in type 2 diabetes. The fifth study evaluates how intake of a fermented milk product containing bioactive peptides affects pulse wave reflection in individuals with mild hypertension. Results and conclusions: Muscle fibre type distribution is not an independent determinant of arterial stiffness in middle-aged males. Pulse wave reflection is increased in pregnant women with preeclampsia, but not in previously preeclamptic non-pregnant women. Patients with type 1 diabetes have a higher and more rapidly increasing pulse pressure, which suggests accelerated arterial stiffening. In elderly type 2 diabetic patients, very high and very low levels of pulse pressure are associated with higher mortality. Intake of milk-derived bioactive peptides reduces pulse wave reflection in hypertensive males but not in hypertensive females.

Childhood otitis media - risk factors and surgical management

Background: Otitis media (OM) is one of the most common childhood diseases. Approximately every third child suffers from recurrent acute otitis media (RAOM), and 5% of all children have persistent middle ear effusion for months during their childhood. Despite numerous studies on the prevention and treatment of OM during the past decades, its management remains challenging and controversial. In this study, the effect of adenoidectomy on the risk for OM, the potential risk factors influencing the development of OM and the frequency of asthma among otitis-prone children were investigated. Subjects and methods: One prospective randomized trial and two retrospective studies were conducted. In the prospective trial, 217 children with RAOM or chronic otitis media with effusion (COME) were randomized to have tympanostomy with or without adenoidectomy. The age of the children at recruitment was between 1 and 4 years. RAOM was defined as having at least 3 episodes of AOM during the last 6 months or at least 5 episodes of AOM during the last 12 months. COME was defined as having persistent middle ear effusion for 2-3 months. The children were followed up for one year. In the first retrospective study, the frequency of childhood infections and allergy was evaluated by a questionnaire among 819 individuals. In the second retrospective study, data of asthma diagnosis were analysed from hospital discharge records of 1616 children who underwent adenoidectomy or had probing of the nasolacrimal duct. Results: In the prospective randomized study, adenoidectomy had no beneficial effect on the prevention of subsequent episodes of AOM. Parental smoking was found to be a significant risk factor for OM even after the insertion of tympanostomy tubes. The frequencies of exposure to tobacco smoke and day-care attendance at the time of randomization were similar among children with RAOM and COME. However, the frequencies of allergy to animal dust and pollen and parental asthma were lower among children with COME than those with RAOM. The questionnaire survey and the hospital discharge data revealed that children who had frequent episodes of OM had an increased risk for asthma. Conclusions: The first surgical intervention to treat an otitis-prone child younger than 4 years should not include adenoidectomy. Interventions to stop parental smoking could significantly reduce the risk for childhood RAOM. Whether an otitis-prone child develops COME or RAOM, seems to be influenced by genetic predisposition more strongly than by environmental risk factors. Children who suffer from repeated upper respiratory tract infections, like OM, may be at increased risk for developing asthma.

A Nationwide Study on Breast Cancer Risk in Postmenopausal Women Using Hormone Therapy in Finland

Since national differences exist in genes, environment, diet and life habits and also in the use of postmenopausal hormone therapy (HT), the associations between different hormone therapies and the risk for breast cancer were studied among Finnish postmenopausal women. All Finnish women over 50 years of age who used HT were identified from the national medical reimbursement register, established in 1994, and followed up for breast cancer incidence (n= 8,382 cases) until 2005 with the aid of the Finnish Cancer Registry. The risk for breast cancer in HT users was compared to that in the general female population of the same age. Among women using oral or transdermal estradiol alone (ET) (n = 110,984) during the study period 1994-2002 the standardized incidence ratio (SIR) for breast cancer in users for < 5 years was 0.93 (95% confidence interval (CI) 0.80–1.04), and in users for ≥ 5 years 1.44 (1.29–1.59). This therapy was associated with similar rises in ductal and lobular types of breast cancer. Both localized stage (1.45; 1.26–1.66) and cancers spread to regional nodes (1.35; 1.09–1.65) were associated with the use of systemic ET. Oral estriol or vaginal estrogens were not accompanied with a risk for breast cancer. The use of estrogen-progestagen therapy (EPT) in the study period 1994-2005 (n= 221,551) was accompanied with an increased incidence of breast cancer (1.31;1.20-1.42) among women using oral or transdermal EPT for 3-5 years, and the incidence increased along with the increasing duration of exposure (≥10 years, 2.07;1.84-2.30). Continuous EPT entailed a significantly higher (2.44; 2.17-2.72) breast cancer incidence compared to sequential EPT (1.78; 1.64-1.90) after 5 years of use. The use of norethisterone acetate (NETA) as a supplement to estradiol was accompanied with a higher incidence of breast cancer after 5 years of use (2.03; 1.88-2.18) than that of medroxyprogesterone acetate (MPA) (1.64; 1.49-1.79). The SIR for the lobular type of breast cancer was increased within 3 years of EPT exposure (1.35; 1.18-1.53), and the incidence of the lobular type of breast cancer (2.93; 2.33-3.64) was significantly higher than that of the ductal type (1.92; 1.67-2.18) after 10 years of exposure. To control for some confounding factors, two case control studies were performed. All Finnish women between the ages of 50-62 in 1995-2007 and diagnosed with a first invasive breast cancer (n= 9,956) were identified from the Finnish Cancer Registry, and 3 controls of similar age (n=29,868) without breast cancer were retrieved from the Finnish national population registry. Subjects were linked to the medical reimbursement register for defining the HT use. The use of ET was not associated with an increased risk for breast cancer (1.00; 0.92-1.08). Neither was progestagen-only therapy used less than 3 years. However, the use of tibolone was associated with an elevated risk for breast cancer (1.39; 1.07-1.81). The case-control study confirmed the results of EPT regarding sequential vs. continuous use of progestagen, including progestagen released continuously by an intrauterine device; the increased risk was seen already within 3 years of use (1.65;1.32-2.07). The dose of NETA was not a determinant as regards the breast cancer risk. Both systemic ET, and EPT are associated with an elevation in the risk for breast cancer. These risks resemble to a large extent those seen in several other countries. The use of an intrauterine system alone or as a complement to systemic estradiol is also associated with a breast cancer risk. These data emphasize the need for detailed information to women who are considering starting the use of HT.

Soy supplementation and role of equol production capability in postmenopausal women using tibolone: effects on cardiovascular risk markers

Tibolone, a synthetic steroid, is effective in the treatment of postmenopausal symptoms. Its cardiovascular safety profile has been questioned, because tibolone reduces the levels of high-density lipoprotein (HDL) cholesterol. Soy-derived isoflavones may offer health benefits, particularly as regards lipids and also other cardiovascular disease (CVD) risk factors. The soy-isoflavone metabolite equol is thought to be the key as regards soy-related beneficial effects. We studied the effects of soy supplementation on various CVD risk factors in postmenopausal monkeys and postmenopausal women using tibolone. In addition, the impact of equol production capability was studied. A total of 18 monkeys received casein/lactalbumin (C/L) (placebo), tibolone, soy (a woman s equivalent dose of 138 mg of isoflavones), or soy with tibolone in a randomized order for 14 weeks periods, and there was a 4-week washout (C/L) in between treatments. Postmenopausal women using tibolone (N=110) were screened by means of a one-week soy challenge to find 20 women with equol production capability (4-fold elevation from baseline equol level) and 20 control women, and treated in a randomized cross-over trial with a soy powder (52 g of soy protein containing 112 mg of isoflavones) or placebo for 8 weeks. Before and after the treatments lipids and lipoproteins were assessed in both monkeys and women. In addition, blood pressure, arterial stiffness, endothelial function, sex steroids, sex hormone-binding globulin (SHBG), and vascular inflammation markers were assessed. A 14% increase in plasma low-density lipoprotein (LDL) + very low-density lipoprotein (VLDL) cholesterol was observed in tibolone-treated monkeys vs. placebo. Soy treatment resulted in a 18% decrease in LDL+VLDL cholesterol, and concomitant supplementation with tibolone did not negate the LDL+VLDL cholesterol-lowering effect of soy. A 30% increase in HDL cholesterol was observed in monkeys fed with soy, whereas HDL cholesterol levels were reduced (48%) after tibolone. Interestingly, Soy+Tibolone diet conserved HDL cholesterol levels. Tibolone alone increased the total cholesterol (TC):HDL cholesterol ratio, whereas it was reduced by Soy or Soy+Tibolone. In postmenopausal women using tibolone, reductions in the levels of total cholesterol and LDL cholesterol were seen after soy supplementation compared with placebo, but there was no effect on HDL cholesterol, blood pressure, arterial stiffness or endothelial function. Soy supplementation decreased the levels of estrone in equol producers, and those of testosterone in the entire study population. No changes were seen in the levels of androstenedione, dehydroepiandrosterone sulfate, or SHBG. The levels of vascular cell adhesion molecule-1 increased, and platelet-selectin decreased after soy treatment, whereas C-reactive protein and intercellular adhesion molecule-1 remained unchanged. At baseline and unrelated to soy treatment, equol producers had lower systolic, diastolic and mean arterial pressures, less arterial stiffness and better endothelial function than non-producers. To conclude, soy supplementation reversed the tibolone-induced fall in HDL cholesterol in postmenopausal monkeys, but this effect was not seen in women taking tibolone. Equol production capability was associated with beneficial cardiovascular changes and thus, this characteristic may offer cardiovascular benefits, at least in women using tibolone.

Primary Fallopian tube carcinoma:occurrence, risk and prognostic factors

The aim of the study was to clarify the occurrence, and etiological and prognostic factors of primary fallopian tube carcinoma (PFTC). We studied the sociodemographic determinants of the incidence of PFTC in Finland and the role of chlamydial infections and human papillomavirus infections as risk factors for PFTC. Serum tumor markers were studied as prognostic factors for PFTC. We also evaluated selected reproductive factors (parity, sterilization and hysterectomy) as risk or protective factors of PFTC. The risks of second primary cancers after PFTC were also studied. The age-adjusted incidence of PFTC in Finland increased to 5.4 / 1,000,000 in 1993 97. The incidence rate was higher in the cities, but the relative rise was higher in rural areas. Women in the two highest social classes showed a 1.8 fold incidence compared with those in the lowest. Women in agriculture and those not working outside the home showed only half the PFTC incidence of those in higher socioeconomic occupations. Pretreatment serum concentrations of hCGβ, CA125 and TATI were evaluated as prognostic markers for PFTC. Elevated hCGβ values (above the 75th percentile, 3.5 pmol/L; OR 2.49, 95% CI 1.22 5.09), stage and histology were strong independent prognostic factors for PFTC. The effects of parity, sterilization and hysterectomy on the risk of PFTC were studied in a case control-study with 573 PFTC cases from the Finnish Cancer Registry. In multivariate analysis parity was the only significant protective factor as regards PFTC, with increasing protection associated with increasing number of deliveries. In univariate analysis sterilization gave borderline protection against PFTC and the protective effect increased with time since the operation. In multivariate analysis the protection did not reach statistical significance. Chlamydial and human papillomavirus (HPV) infections were studied in two separate seroepidemiological case-control studies with 78 PFTC patients. The incidence of women with positive HPV or chlamydial serology was the same in PFTC patients and in the control group and was not found to be a risk factor for PFTC. Finally, the possible risk of a second primary cancer after diagnosis and treatment of PFTC in a cohort of 2084 cases from 13 cancer registries followed for second primary cancers within the period 1943 2000 was studied. In PFTC patients, second primary cancers were 36% more common than expected (SIR 1.36, 95% CI 1.13 1.63). In conclusion, the incidence of PFTC has increased in Finland, especially in higher social classes and among those in certain occupations. Elevated serum hCGβ reflect a worsened prognosis. Parity is a clear protective factor, as is previous sterilization. After PFTC there is a risk of second primary cancers, especially colorectal, breast, lung and bladder cancers and non-lymphoid leukemia. The excess of colorectal and breast cancers after PFTC may indicate common effects of earlier treatments, or they could reflect common effects of lifestyle or genetic, immunological or environmental background.

The effects of marriage partners' socio-economic positions on the risk of divorce in Finland

Väitöskirjatutkimuksen tavoitteena oli selvittää, miten aviopuolisoiden sosioekonominen asema vaikuttaa avioeroriskiin Suomessa. Tutkimuksessa käytettiin Tilastokeskuksen rekistereistä koottua aineistoa, joka koskee suomalaisten ensimmäisiä avioliittoja vuoden 1990 lopussa ja avioeroja vuosina 1991−93. Väitöskirjaan sisältyy kolme osatutkimusta. Ensimmäinen osatutkimus käsitteli avioeroriskin vaihtelua aviopuolisoiden sosioekonomisen aseman eri osatekijöiden (koulutusaste, sosiaaliryhmä, pääasiallinen toiminta, tulotaso, asunnon omistaminen ja asumisahtaus) mukaan. Kaiken kaikkiaan avioeroriski oli sitä pienempi, mitä paremmassa taloudellisessa ja sosiaalisessa asemassa aviopuolisot olivat. Esimerkiksi miehen ja vaimon korkea koulutusaste, toimihenkilöammatti, työssäkäynti (etenkin verrattuna työttömyyteen) sekä omistusasunnossa asuminen liittyivät pienentyneeseen avioeroriskiin. Vaimon sosioekonomisen aseman yhteys avioeroriskiin oli paljolti samanlainen kuin miehen aseman yhteys. Huomattavin poikkeus tähän oli, että vaimon suuret tulot lisäsivät avioeroriskiä, vaikka miehen suurilla tuloilla oli päinvastainen vaikutus. Lisäksi kotitaloustyötä pääasiallisena toimintanaan tekevillä naisilla (pääasiallisen toiminnan luokka ”muut”) oli vielä pienempi avioeroriski kuin työssäkäyvillä naisilla. Toisessa osatutkimuksessa keskityttiin aviomiehen ja vaimon aseman yhdistettyyn vaikutukseen. Selviä viitteitä siitä, että puolisoiden koulutustasojen erilaisuus lisäisi eroriskiä, ei saatu. Pareilla, joissa molemmilla oli enintään perusasteen koulutus, oli kuitenkin odotettua pienempi avioeroriski. Eroriski oli suhteellisen alhainen pareilla, joissa vaimo oli työssäkäyvä tai kotitaloustyötä tekevä ja aviomies työssäkäyvä. Eroriskiä kasvatti se, että aviomies, vaimo tai molemmat puolisot olivat työttömiä. Vaimon korkea tulotaso lisäsi eroriskiä miehen kaikilla tulotasoilla mutta erityisen voimakkaasti silloin, kun miehen tulotaso oli alhainen. Kolmanneksi selvitettiin, vaikuttaako puolisoiden sosioekonominen asema avioeroriskiin eri tavalla riippuen siitä, kauanko avioliitto on kestänyt. Tällöin havaittiin, että vähän koulutettujen ja työntekijäammateissa toimivien puolisoiden suuri eroriski rajoittuu paljolti nuorimpiin avioliittoihin. Sen sijaan esim. puolisoiden työttömyys, vaimon korkea tulotaso ja vuokra-asunnossa asuminen kasvattivat eroriskiä riippumatta siitä, kuinka kauan avioliitto oli kestänyt. Kaiken kaikkiaan eroriski oli siis sitä pienempi, mitä paremmassa taloudellisessa ja sosiaalisessa asemassa puolisot olivat. Vaimon taloudellisilla ja sosiaalisilla resursseilla näyttää kuitenkin olevan myös joitakin avioeroriskiä lisääviä vaikutuksia.

Identifying Genetic Risk Factors in Canine Autoimmune Disorders

Autoimmune diseases are more common in dogs than in humans and are already threatening the future of some highly predisposed dog breeds. Susceptibility to autoimmune diseases is controlled by environmental and genetic factors, especially the major histocompatibility complex (MHC) gene region. Dogs show a similar physiology, disease presentation and clinical response as humans, making them an excellent disease model for autoimmune diseases common to both species. The genetic background of canine autoimmune disorders is largely unknown, but recent annotation of the dog genome and subsequent development of new genomic tools offer a unique opportunity to map novel autoimmune genes in various breeds. Many autoimmune disorders show breed-specific enrichment, supporting a strong genetic background. Furthermore, the presence of hundreds of breeds as genetic isolates facilitates gene mapping in complex autoimmune disorders. Identification of novel predisposing genes establishes breeds as models and may reveal novel candidate genes for the corresponding human disorders. Genetic studies will eventually shed light on common biological functions and interactions between genes and the environment. This study aimed to identify genetic risk factors in various autoimmune disorders, including systemic lupus erythematosus (SLE)-related diseases, comprising immune-mediated rheumatic disease (IMRD) and steroid-responsive meningitis arteritis (SMRA) as well as Addison s disease (AD) in Nova Scotia Duck Tolling Retrievers (NSDTRs) and chronic superficial keratitis (CSK) in German Shepherd dogs (GSDs). We used two different approaches to identify genetic risk factors. Firstly, a candidate gene approach was applied to test the potential association of MHC class II, also known as a dog leukocyte antigen (DLA) in canine species. Secondly, a genome-wide association study (GWAS) was performed to identify novel risk loci for SLE-related disease and AD in NSDTRs. We identified DLA risk haplotypes for an IMRD subphenotype of SLE-related disease, AD and CSK, but not in SMRA, and show that the MHC class II gene region is a major genetic risk factor in canine autoimmune diseases. An elevated risk was found for IMRD in dogs that carried the DLA-DRB1*00601/DQA1*005011/DQB1*02001 haplotype (OR = 2.0, 99% CI = 1.03-3.95, p = 0.01) and for ANA-positive IMRD dogs (OR = 2.3, 99% CI = 1.07-5.04, p-value 0.007). We also found that DLA-DRB1*01502/DQA*00601/DQB1*02301 haplotype was significantly associated with AD in NSDTRs (OR = 2.1, CI = 1.0-4.4, P = 0.044) and the DLA-DRB1*01501/DQA1*00601/DQB1*00301 haplotype with the CSK in GSDs (OR=2.67, CI=1.17-6.44, p= 0.02). In addition, we found that homozygosity for the risk haplotype increases the risk for each disease phenotype and that an overall homozygosity for the DLA region predisposes to CSK and AD. Our results have enabled the development of genetic tests to improve breeding practices by avoiding the production of puppies homozygous for risk haplotypes. We also performed the first successful GWAS for a complex disease in dogs. With less than 100 cases and 100 controls, we identified five risk loci for SLE-related disease and AD and found strong candidate genes involved in a novel T-cell activation pathway. We show that an inbred dog population has fewer risk factors, but each of them has a stronger genetic risk. Ongoing studies aim to identify the causative mutations and bring new knowledge to help diagnostics, treatment and understanding of the aetiology of SLE-related diseases.

Cystatin C, a measure of renal function, as prognostic risk marker in acute heart failure : Studies on the cardiorenal syndrome

Acute heart failure (AHF) is a complex syndrome associated with exceptionally high mortality. Still, characteristics and prognostic factors of contemporary AHF patients have been inadequately studied. Kidney function has emerged as a very powerful prognostic risk factor in cardiovascular disease. This is believed to be the consequence of an interaction between the heart and kidneys, also termed the cardiorenal syndrome, the mechanisms of which are not fully understood. Renal insufficiency is common in heart failure and of particular interest for predicting outcome in AHF. Cystatin C (CysC) is a marker of glomerular filtration rate with properties making it a prospective alternative to the currently used measure creatinine for assessment of renal function. The aim of this thesis is to characterize a representative cohort of patients hospitalized for AHF and to identify risk factors for poor outcome in AHF. In particular, the role of CysC as a marker of renal function is evaluated, including examination of the value of CysC as a predictor of mortality in AHF. The FINN-AKVA (Finnish Acute Heart Failure) study is a national prospective multicenter study conducted to investigate the clinical presentation, aetiology and treatment of, as well as concomitant diseases and outcome in, AHF. Patients hospitalized for AHF were enrolled in the FINN-AKVA study, and mortality was followed for 12 months. The mean age of patients with AHF is 75 years and they frequently have both cardiovascular and non-cardiovascular co-morbidities. The mortality after hospitalization for AHF is high, rising to 27% by 12 months. The present study shows that renal dysfunction is very common in AHF. CysC detects impaired renal function in forty percent of patients. Renal function, measured by CysC, is one of the strongest predictors of mortality independently of other prognostic risk markers, such as age, gender, co-morbidities and systolic blood pressure on admission. Moreover, in patients with normal creatinine values, elevated CysC is associated with a marked increase in mortality. Acute kidney injury, defined as an increase in CysC within 48 hours of hospital admission, occurs in a significant proportion of patients and is associated with increased short- and mid-term mortality. The results suggest that CysC can be used for risk stratification in AHF. Markers of inflammation are elevated both in heart failure and in chronic kidney disease, and inflammation is one of the mechanisms thought to mediate heart-kidney interactions in the cardiorenal syndrome. Inflammatory cytokines such as interleukin-6 (IL-6) and tumor necrosis factor-alpha (TNF-α) correlate very differently to markers of cardiac stress and renal function. In particular, TNF-α showed a robust correlation to CysC, but was not associated with levels of NT-proBNP, a marker of hemodynamic cardiac stress. Compared to CysC, the inflammatory markers were not strongly related to mortality in AHF. In conclusion, patients with AHF are elderly with multiple co-morbidities, and renal dysfunction is very common. CysC demonstrates good diagnostic properties both in identifying impaired renal function and acute kidney injury in patients with AHF. CysC, as a measure of renal function, is also a powerful prognostic marker in AHF. CysC shows promise as a marker for assessment of kidney function and risk stratification in patients hospitalized for AHF.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

Essays on Risk Modeling. Applications to Portfolio and Risk Management (summary section only)

In this thesis we deal with the concept of risk. The objective is to bring together and conclude on some normative information regarding quantitative portfolio management and risk assessment. The first essay concentrates on return dependency. We propose an algorithm for classifying markets into rising and falling. Given the algorithm, we derive a statistic: the Trend Switch Probability, for detection of long-term return dependency in the first moment. The empirical results suggest that the Trend Switch Probability is robust over various volatility specifications. The serial dependency in bear and bull markets behaves however differently. It is strongly positive in rising market whereas in bear markets it is closer to a random walk. Realized volatility, a technique for estimating volatility from high frequency data, is investigated in essays two and three. In the second essay we find, when measuring realized variance on a set of German stocks, that the second moment dependency structure is highly unstable and changes randomly. Results also suggest that volatility is non-stationary from time to time. In the third essay we examine the impact from market microstructure on the error between estimated realized volatility and the volatility of the underlying process. With simulation-based techniques we show that autocorrelation in returns leads to biased variance estimates and that lower sampling frequency and non-constant volatility increases the error variation between the estimated variance and the variance of the underlying process. From these essays we can conclude that volatility is not easily estimated, even from high frequency data. It is neither very well behaved in terms of stability nor dependency over time. Based on these observations, we would recommend the use of simple, transparent methods that are likely to be more robust over differing volatility regimes than models with a complex parameter universe. In analyzing long-term return dependency in the first moment we find that the Trend Switch Probability is a robust estimator. This is an interesting area for further research, with important implications for active asset allocation.

Essays on the Linkages Between Financial Markets, and Risk Asymmetries (summary section only)

During the last few decades there have been far going financial market deregulation, technical development, advances in information technology, and standardization of legislation between countries. As a result, one can expect that financial markets have grown more interlinked. The proper understanding of the cross-market linkages has implications for investment and risk management, diversification, asset pricing, and regulation. The purpose of this research is to assess the degree of price, return, and volatility linkages between both geographic markets and asset categories within one country, Finland. Another purpose is to analyze risk asymmetries, i.e., the tendency of equity risk to be higher after negative events than after positive events of equal magnitude. The analysis is conducted both with respect to total risk (volatility), and systematic risk (beta). The thesis consists of an introductory part and four essays. The first essay studies to which extent international stock prices comove. The degree of comovements is low, indicating benefits from international diversification. The second essay examines the degree to which the Finnish market is linked to the “world market”. The total risk is divided into two parts, one relating to world factors, and one relating to domestic factors. The impact of world factors has increased over time. After 1993, when foreign investors were allowed to freely invest in Finnish assets, the risk level has been higher than previously. This was also the case during the economic recession in the beginning of the 1990’s. The third essay focuses on the stock, bond, and money markets in Finland. According to a trading model, the degree of volatility linkages should be strong. However, the results contradict this. The linkages are surprisingly weak, even negative. The stock market is the most independent, while the money market is affected by events on the two other markets. The fourth essay concentrates on volatility and beta asymmetries. Contrary to many international studies there are only few cases of risk asymmetries. When they occur, they tend to be driven by the market-wide component rather than the portfolio specific element.