A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.

An examination of the effects of government purchases in an open economy

This paper examines the effects of permanent and transitory changes in government purchases in the context of a model of a small open economy that produces and consumes both traded and nontraded goods. The model incorporates an equilibrium interpretation of the business cycle that emphasizes the responsiveness of agents to intertemporal relative price changes. It is demonstrated that transitory increases in government purchases lead to an appreciation of the real exchange rate and an ambiguous change (although a likely worsening) in the current account, while permanent increases have an ambiguous impact on the real exchange rate and no effect on the current account. When agents do not know whether a given increase in government purchases is permanent or transitory the effect is a weighted average of these separate effects. The weights depend on the relative variances of the transitory and permanent components of government purchases. © 1985.

Water exchange rates of water-soluble manganese(III) porphyrins of therapeutical potential.

The activation parameters and the rate constants of the water-exchange reactions of Mn(III)TE-2-PyP(5+) (meso-tetrakis(N-ethylpyridinium-2-yl)porphyrin) as cationic, Mn(III)TnHex-2-PyP(5+) (meso-tetrakis(N-n-hexylpyridinium-2-yl)porphyrin) as sterically shielded cationic, and Mn(III)TSPP(3-) (meso-tetrakis(4-sulfonatophenyl)porphyrin) as anionic manganese(iii) porphyrins were determined from the temperature dependence of (17)O NMR relaxation rates. The rate constants at 298 K were obtained as 4.12 x 10(6) s(-1), 5.73 x 10(6) s(-1), and 2.74 x 10(7) s(-1), respectively. On the basis of the determined entropies of activation, an interchange-dissociative mechanism (I(d)) was proposed for the cationic complexes (DeltaS(double dagger) = approximately 0 J mol(-1) K(-1)) whereas a limiting dissociative mechanism (D) was proposed for Mn(III)TSPP(3-) complex (DeltaS(double dagger) = +79 J mol(-1) K(-1)). The obtained water exchange rate of Mn(III)TSPP(3-) corresponded well to the previously assumed value used by Koenig et al. (S. H. Koenig, R. D. Brown and M. Spiller, Magn. Reson. Med., 1987, 4, 52-260) to simulate the (1)H NMRD curves, therefore the measured value supports the theory developed for explaining the anomalous relaxivity of Mn(III)TSPP(3-) complex. A magnitude of the obtained water-exchange rate constants further confirms the suggested inner sphere electron transfer mechanism for the reactions of the two positively charged Mn(iii) porphyrins with the various biologically important oxygen and nitrogen reactive species. Due to the high biological and clinical relevance of the reactions that occur at the metal site of the studied Mn(iii) porphyrins, the determination of water exchange rates advanced our insight into their efficacy and mechanism of action, and in turn should impact their further development for both diagnostic (imaging) and therapeutic purposes.

Radiotherapy Treatment Assessment using DCE-MRI

Abstract

The goal of modern radiotherapy is to precisely deliver a prescribed radiation dose to delineated target volumes that contain a significant amount of tumor cells while sparing the surrounding healthy tissues/organs. Precise delineation of treatment and avoidance volumes is the key for the precision radiation therapy. In recent years, considerable clinical and research efforts have been devoted to integrate MRI into radiotherapy workflow motivated by the superior soft tissue contrast and functional imaging possibility. Dynamic contrast-enhanced MRI (DCE-MRI) is a noninvasive technique that measures properties of tissue microvasculature. Its sensitivity to radiation-induced vascular pharmacokinetic (PK) changes has been preliminary demonstrated. In spite of its great potential, two major challenges have limited DCE-MRI’s clinical application in radiotherapy assessment: the technical limitations of accurate DCE-MRI imaging implementation and the need of novel DCE-MRI data analysis methods for richer functional heterogeneity information.

This study aims at improving current DCE-MRI techniques and developing new DCE-MRI analysis methods for particular radiotherapy assessment. Thus, the study is naturally divided into two parts. The first part focuses on DCE-MRI temporal resolution as one of the key DCE-MRI technical factors, and some improvements regarding DCE-MRI temporal resolution are proposed; the second part explores the potential value of image heterogeneity analysis and multiple PK model combination for therapeutic response assessment, and several novel DCE-MRI data analysis methods are developed.

I. Improvement of DCE-MRI temporal resolution. First, the feasibility of improving DCE-MRI temporal resolution via image undersampling was studied. Specifically, a novel MR image iterative reconstruction algorithm was studied for DCE-MRI reconstruction. This algorithm was built on the recently developed compress sensing (CS) theory. By utilizing a limited k-space acquisition with shorter imaging time, images can be reconstructed in an iterative fashion under the regularization of a newly proposed total generalized variation (TGV) penalty term. In the retrospective study of brain radiosurgery patient DCE-MRI scans under IRB-approval, the clinically obtained image data was selected as reference data, and the simulated accelerated k-space acquisition was generated via undersampling the reference image full k-space with designed sampling grids. Two undersampling strategies were proposed: 1) a radial multi-ray grid with a special angular distribution was adopted to sample each slice of the full k-space; 2) a Cartesian random sampling grid series with spatiotemporal constraints from adjacent frames was adopted to sample the dynamic k-space series at a slice location. Two sets of PK parameters’ maps were generated from the undersampled data and from the fully-sampled data, respectively. Multiple quantitative measurements and statistical studies were performed to evaluate the accuracy of PK maps generated from the undersampled data in reference to the PK maps generated from the fully-sampled data. Results showed that at a simulated acceleration factor of four, PK maps could be faithfully calculated from the DCE images that were reconstructed using undersampled data, and no statistically significant differences were found between the regional PK mean values from undersampled and fully-sampled data sets. DCE-MRI acceleration using the investigated image reconstruction method has been suggested as feasible and promising.

Second, for high temporal resolution DCE-MRI, a new PK model fitting method was developed to solve PK parameters for better calculation accuracy and efficiency. This method is based on a derivative-based deformation of the commonly used Tofts PK model, which is presented as an integrative expression. This method also includes an advanced Kolmogorov-Zurbenko (KZ) filter to remove the potential noise effect in data and solve the PK parameter as a linear problem in matrix format. In the computer simulation study, PK parameters representing typical intracranial values were selected as references to simulated DCE-MRI data for different temporal resolution and different data noise level. Results showed that at both high temporal resolutions (<1s) and clinically feasible temporal resolution (~5s), this new method was able to calculate PK parameters more accurate than the current calculation methods at clinically relevant noise levels; at high temporal resolutions, the calculation efficiency of this new method was superior to current methods in an order of 102. In a retrospective of clinical brain DCE-MRI scans, the PK maps derived from the proposed method were comparable with the results from current methods. Based on these results, it can be concluded that this new method can be used for accurate and efficient PK model fitting for high temporal resolution DCE-MRI.

II. Development of DCE-MRI analysis methods for therapeutic response assessment. This part aims at methodology developments in two approaches. The first one is to develop model-free analysis method for DCE-MRI functional heterogeneity evaluation. This approach is inspired by the rationale that radiotherapy-induced functional change could be heterogeneous across the treatment area. The first effort was spent on a translational investigation of classic fractal dimension theory for DCE-MRI therapeutic response assessment. In a small-animal anti-angiogenesis drug therapy experiment, the randomly assigned treatment/control groups received multiple fraction treatments with one pre-treatment and multiple post-treatment high spatiotemporal DCE-MRI scans. In the post-treatment scan two weeks after the start, the investigated Rényi dimensions of the classic PK rate constant map demonstrated significant differences between the treatment and the control groups; when Rényi dimensions were adopted for treatment/control group classification, the achieved accuracy was higher than the accuracy from using conventional PK parameter statistics. Following this pilot work, two novel texture analysis methods were proposed. First, a new technique called Gray Level Local Power Matrix (GLLPM) was developed. It intends to solve the lack of temporal information and poor calculation efficiency of the commonly used Gray Level Co-Occurrence Matrix (GLCOM) techniques. In the same small animal experiment, the dynamic curves of Haralick texture features derived from the GLLPM had an overall better performance than the corresponding curves derived from current GLCOM techniques in treatment/control separation and classification. The second developed method is dynamic Fractal Signature Dissimilarity (FSD) analysis. Inspired by the classic fractal dimension theory, this method measures the dynamics of tumor heterogeneity during the contrast agent uptake in a quantitative fashion on DCE images. In the small animal experiment mentioned before, the selected parameters from dynamic FSD analysis showed significant differences between treatment/control groups as early as after 1 treatment fraction; in contrast, metrics from conventional PK analysis showed significant differences only after 3 treatment fractions. When using dynamic FSD parameters, the treatment/control group classification after 1st treatment fraction was improved than using conventional PK statistics. These results suggest the promising application of this novel method for capturing early therapeutic response.

The second approach of developing novel DCE-MRI methods is to combine PK information from multiple PK models. Currently, the classic Tofts model or its alternative version has been widely adopted for DCE-MRI analysis as a gold-standard approach for therapeutic response assessment. Previously, a shutter-speed (SS) model was proposed to incorporate transcytolemmal water exchange effect into contrast agent concentration quantification. In spite of richer biological assumption, its application in therapeutic response assessment is limited. It might be intriguing to combine the information from the SS model and from the classic Tofts model to explore potential new biological information for treatment assessment. The feasibility of this idea was investigated in the same small animal experiment. The SS model was compared against the Tofts model for therapeutic response assessment using PK parameter regional mean value comparison. Based on the modeled transcytolemmal water exchange rate, a biological subvolume was proposed and was automatically identified using histogram analysis. Within the biological subvolume, the PK rate constant derived from the SS model were proved to be superior to the one from Tofts model in treatment/control separation and classification. Furthermore, novel biomarkers were designed to integrate PK rate constants from these two models. When being evaluated in the biological subvolume, this biomarker was able to reflect significant treatment/control difference in both post-treatment evaluation. These results confirm the potential value of SS model as well as its combination with Tofts model for therapeutic response assessment.

In summary, this study addressed two problems of DCE-MRI application in radiotherapy assessment. In the first part, a method of accelerating DCE-MRI acquisition for better temporal resolution was investigated, and a novel PK model fitting algorithm was proposed for high temporal resolution DCE-MRI. In the second part, two model-free texture analysis methods and a multiple-model analysis method were developed for DCE-MRI therapeutic response assessment. The presented works could benefit the future DCE-MRI routine clinical application in radiotherapy assessment.

Bridging the Scale Gap from Leaf to Canopy in Biosphere-Atmosphere Gas and Particle Exchanges

Terrestrial ecosystems, occupying more than 25% of the Earth's surface, can serve as

`biological valves' in regulating the anthropogenic emissions of atmospheric aerosol

particles and greenhouse gases (GHGs) as responses to their surrounding environments.

While the signicance of quantifying the exchange rates of GHGs and atmospheric

aerosol particles between the terrestrial biosphere and the atmosphere is

hardly questioned in many scientic elds, the progress in improving model predictability,

data interpretation or the combination of the two remains impeded by

the lack of precise framework elucidating their dynamic transport processes over a

wide range of spatiotemporal scales. The diculty in developing prognostic modeling

tools to quantify the source or sink strength of these atmospheric substances

can be further magnied by the fact that the climate system is also sensitive to the

feedback from terrestrial ecosystems forming the so-called `feedback cycle'. Hence,

the emergent need is to reduce uncertainties when assessing this complex and dynamic

feedback cycle that is necessary to support the decisions of mitigation and

adaptation policies associated with human activities (e.g., anthropogenic emission

controls and land use managements) under current and future climate regimes.

With the goal to improve the predictions for the biosphere-atmosphere exchange

of biologically active gases and atmospheric aerosol particles, the main focus of this

dissertation is on revising and up-scaling the biotic and abiotic transport processes

from leaf to canopy scales. The validity of previous modeling studies in determining

iv

the exchange rate of gases and particles is evaluated with detailed descriptions of their

limitations. Mechanistic-based modeling approaches along with empirical studies

across dierent scales are employed to rene the mathematical descriptions of surface

conductance responsible for gas and particle exchanges as commonly adopted by all

operational models. Specically, how variation in horizontal leaf area density within

the vegetated medium, leaf size and leaf microroughness impact the aerodynamic attributes

and thereby the ultrane particle collection eciency at the leaf/branch scale

is explored using wind tunnel experiments with interpretations by a porous media

model and a scaling analysis. A multi-layered and size-resolved second-order closure

model combined with particle

uxes and concentration measurements within and

above a forest is used to explore the particle transport processes within the canopy

sub-layer and the partitioning of particle deposition onto canopy medium and forest

oor. For gases, a modeling framework accounting for the leaf-level boundary layer

eects on the stomatal pathway for gas exchange is proposed and combined with sap

ux measurements in a wind tunnel to assess how leaf-level transpiration varies with

increasing wind speed. How exogenous environmental conditions and endogenous

soil-root-stem-leaf hydraulic and eco-physiological properties impact the above- and

below-ground water dynamics in the soil-plant system and shape plant responses

to droughts is assessed by a porous media model that accommodates the transient

water

ow within the plant vascular system and is coupled with the aforementioned

leaf-level gas exchange model and soil-root interaction model. It should be noted

that tackling all aspects of potential issues causing uncertainties in forecasting the

feedback cycle between terrestrial ecosystem and the climate is unrealistic in a single

dissertation but further research questions and opportunities based on the foundation

derived from this dissertation are also brie

y discussed.

Using Helix-coil Models to Study Protein Unfolded States

An abstract of a thesis devoted to using helix-coil models to study unfolded states.\\

Research on polypeptide unfolded states has received much more attention in the last decade or so than it has in the past. Unfolded states are thought to be implicated in various

misfolding diseases and likely play crucial roles in protein folding equilibria and folding rates. Structural characterization of unfolded states has proven to be

much more difficult than the now well established practice of determining the structures of folded proteins. This is largely because many core assumptions underlying

folded structure determination methods are invalid for unfolded states. This has led to a dearth of knowledge concerning the nature of unfolded state conformational

distributions. While many aspects of unfolded state structure are not well known, there does exist a significant body of work stretching back half a century that

has been focused on structural characterization of marginally stable polypeptide systems. This body of work represents an extensive collection of experimental

data and biophysical models associated with describing helix-coil equilibria in polypeptide systems. Much of the work on unfolded states in the last decade has not been devoted

specifically to the improvement of our understanding of helix-coil equilibria, which arguably is the most well characterized of the various conformational equilibria

that likely contribute to unfolded state conformational distributions. This thesis seeks to provide a deeper investigation of helix-coil equilibria using modern

statistical data analysis and biophysical modeling techniques. The studies contained within seek to provide deeper insights and new perspectives on what we presumably

know very well about protein unfolded states. \\

Chapter 1 gives an overview of recent and historical work on studying protein unfolded states. The study of helix-coil equilibria is placed in the context

of the general field of unfolded state research and the basics of helix-coil models are introduced.\\

Chapter 2 introduces the newest incarnation of a sophisticated helix-coil model. State of the art modern statistical techniques are employed to estimate the energies

of various physical interactions that serve to influence helix-coil equilibria. A new Bayesian model selection approach is utilized to test many long-standing

hypotheses concerning the physical nature of the helix-coil transition. Some assumptions made in previous models are shown to be invalid and the new model

exhibits greatly improved predictive performance relative to its predecessor. \\

Chapter 3 introduces a new statistical model that can be used to interpret amide exchange measurements. As amide exchange can serve as a probe for residue-specific

properties of helix-coil ensembles, the new model provides a novel and robust method to use these types of measurements to characterize helix-coil ensembles experimentally

and test the position-specific predictions of helix-coil models. The statistical model is shown to perform exceedingly better than the most commonly used

method for interpreting amide exchange data. The estimates of the model obtained from amide exchange measurements on an example helical peptide

also show a remarkable consistency with the predictions of the helix-coil model. \\

Chapter 4 involves a study of helix-coil ensembles through the enumeration of helix-coil configurations. Aside from providing new insights into helix-coil ensembles,

this chapter also introduces a new method by which helix-coil models can be extended to calculate new types of observables. Future work on this approach could potentially

allow helix-coil models to move into use domains that were previously inaccessible and reserved for other types of unfolded state models that were introduced in chapter 1.