Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.

Can exchange rates forecast commodity prices?

We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policy makers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in particular. We also explore the reverse relationship (commodity prices forecasting exchange rates) but find it to be notably less robust. We offer a theoretical resolution, based on the fact that exchange rates are strongly forward-looking, whereas commodity price fluctuations are typically more sensitive to short-term demand imbalances. © 2010 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Early versus delayed fixed dose combination abacavir/lamivudine/zidovudine in patients with HIV and tuberculosis in Tanzania.

Fixed dose combination abacavir/lamivudine/zidovudine (ABC/3TC/ZDV) among HIV-1 and tuberculosis (TB)-coinfected patients was evaluated and outcomes between early vs. delayed initiation were compared. In a randomized, pilot study conducted in the Kilimanjaro Region of Tanzania, HIV-infected inpatients with smear-positive TB and total lymphocyte count <1200/mm(3) were randomized to initiate ABC/3TC/ZDV either 2 (early) or 8 (delayed) weeks after commencing antituberculosis therapy and were followed for 104 weeks. Of 94 patients screened, 70 enrolled (41% female, median CD4 count 103 cells/mm(3)), and 33 in each group completed 104 weeks. Two deaths and 12 serious adverse events (SAEs) were observed in the early arm vs. one death, one clinical failure, and seven SAEs in the delayed arm (p = 0.6012 for time to first grade 3/4 event, SAE, or death). CD4 cell increases were +331 and +328 cells/mm(3), respectively. TB-immune reconstitution inflammatory syndromes (TB-IRIS) were not observed in any subject. Using intent-to-treat (ITT), missing = failure analyses, 74% (26/35) vs. 89% (31/35) randomized to early vs. delayed therapy had HIV RNA levels <400 copies/ml at 104 weeks (p = 0.2182) and 66% (23/35) vs. 74% (26/35), respectively, had HIV RNA levels <50 copies/ml (p = 0.6026). In an analysis in which switches from ABC/3TC/ZDV = failure, those receiving early therapy were less likely to be suppressed to <400 copies/ml [60% (21/35) vs. 86% (30/35), p = 0.030]. TB-IRIS was not observed among the 70 coinfected subjects beginning antiretroviral treatment. ABC/3TC/ZDV was well tolerated and resulted in steady immunologic improvement. Rates of virologic suppression were similar between early and delayed treatment strategies with triple nucleoside regimens when substitutions were allowed.