Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

A cross-site, comparative effectiveness study of an integrated HIV and substance use treatment program.

Co-occurrence of HIV and substance abuse is associated with poor outcomes for HIV-related health and substance use. Integration of substance use and medical care holds promise for HIV patients, yet few integrated treatment models have been reported. Most of the reported models lack data on treatment outcomes in diverse settings. This study examined the substance use outcomes of an integrated treatment model for patients with both HIV and substance use at three different clinics. Sites differed by type and degree of integration, with one integrated academic medical center, one co-located academic medical center, and one co-located community health center. Participants (n=286) received integrated substance use and HIV treatment for 12 months and were interviewed at 6-month intervals. We used linear generalized estimating equation regression analysis to examine changes in Addiction Severity Index (ASI) alcohol and drug severity scores. To test whether our treatment was differentially effective across sites, we compared a full model including site by time point interaction terms to a reduced model including only site fixed effects. Alcohol severity scores decreased significantly at 6 and 12 months. Drug severity scores decreased significantly at 12 months. Once baseline severity variation was incorporated into the model, there was no evidence of variation in alcohol or drug score changes by site. Substance use outcomes did not differ by age, gender, income, or race. This integrated treatment model offers an option for treating diverse patients with HIV and substance use in a variety of clinic settings. Studies with control groups are needed to confirm these findings.

Real-Time Decision Making and Aggressive Behavior in Youth: A Heuristic Model of Response Evaluation and Decision (RED).

Considerable scientific and intervention attention has been paid to judgment and decision-making systems associated with aggressive behavior in youth. However, most empirical studies have investigated social-cognitive correlates of stable child and adolescent aggressiveness, and less is known about real-time decision making to engage in aggressive behavior. A model of real-time decision making must incorporate both impulsive actions and rational thought. The present paper advances a process model (response evaluation and decision; RED) of real-time behavioral judgments and decision making in aggressive youths with mathematic representations that may be used to quantify response strength. These components are a heuristic to describe decision making, though it is doubtful that individuals always mentally complete these steps. RED represents an organization of social-cognitive operations believed to be active during the response decision step of social information processing. The model posits that RED processes can be circumvented through impulsive responding. This article provides a description and integration of thoughtful, rational decision making and nonrational impulsivity in aggressive behavioral interactions.

A range-wide experiment to investigate nutrient and soil moisture interactions in loblolly pine plantations

© 2015 by the authors.The future climate of the southeastern USA is predicted to be warmer, drier and more variable in rainfall, which may increase drought frequency and intensity. Loblolly pine (Pinus taeda) is the most important commercial tree species in the world and is planted on ~11 million ha within its native range in the southeastern USA. A regional study was installed to evaluate effects of decreased rainfall and nutrient additions on loblolly pine plantation productivity and physiology. Four locations were established to capture the range-wide variability of soil and climate. Treatments were initiated in 2012 and consisted of a factorial combination of throughfall reduction (approximate 30% reduction) and fertilization (complete suite of nutrients). Tree and stand growth were measured at each site. Results after two growing seasons indicate a positive but variable response of fertilization on stand volume increment at all four sites and a negative effect of throughfall reduction at two sites. Data will be used to produce robust process model parameterizations useful for simulating loblolly pine growth and function under future, novel climate and management scenarios. The resulting improved models will provide support for developing management strategies to increase pine plantation productivity and carbon sequestration under a changing climate.

Test-pattern selection for screening small-delay defects in very-deep submicrometer integrated circuits

Timing-related defects are major contributors to test escapes and in-field reliability problems for very-deep submicrometer integrated circuits. Small delay variations induced by crosstalk, process variations, power-supply noise, as well as resistive opens and shorts can potentially cause timing failures in a design, thereby leading to quality and reliability concerns. We present a test-grading technique that uses the method of output deviations for screening small-delay defects (SDDs). A new gate-delay defect probability measure is defined to model delay variations for nanometer technologies. The proposed technique intelligently selects the best set of patterns for SDD detection from an n-detect pattern set generated using timing-unaware automatic test-pattern generation (ATPG). It offers significantly lower computational complexity and excites a larger number of long paths compared to a current generation commercial timing-aware ATPG tool. Our results also show that, for the same pattern count, the selected patterns provide more effective coverage ramp-up than timing-aware ATPG and a recent pattern-selection method for random SDDs potentially caused by resistive shorts, resistive opens, and process variations. © 2010 IEEE.

An integrated alcohol abuse and medical treatment model for patients with hepatitis C.

BACKGROUND: Patients with chronic hepatitis C virus (HCV) infection have high rates of alcohol consumption, which is associated with progression of fibrosis and lower response rates to HCV treatment. AIMS: This prospective cohort study examined the feasibility of a 24-week integrated alcohol and medical treatment to HCV-infected patients. METHODS: Patients were recruited from a hepatology clinic if they had an Alcohol Use Disorders Identification Test score >4 for women and >8 for men, suggesting hazardous alcohol consumption. The integrated model included patients receiving medical care and alcohol treatment within the same clinic. Alcohol treatment consisted of 6 months of group and individual therapy from an addictions specialist and consultation from a study team psychiatrist as needed. RESULTS: Sixty patients were initially enrolled, and 53 patients participated in treatment. The primary endpoint was the Addiction Severity Index (ASI) alcohol composite scores, which significantly decreased by 0.105 (41.7% reduction) between 0 and 3 months (P < 0.01) and by 0.128 (50.6% reduction) between 0 and 6 months (P < 0.01) after adjusting for covariates. Alcohol abstinence was reported by 40% of patients at 3 months and 44% at 6 months. Patients who did not become alcohol abstinent had reductions in their ASI alcohol composite scores from 0.298 at baseline to 0.219 (26.8% reduction) at 6 months (P = 0.08). CONCLUSION: This study demonstrated that an integrated model of alcohol treatment and medical care could be successfully implemented in a hepatology clinic with significant favorable impact on alcohol use and abstinence among patients with chronic HCV.

Safety-critical medical device development using the UPP2SF model translation tool

Software-based control of life-critical embedded systems has become increasingly complex, and to a large extent has come to determine the safety of the human being. For example, implantable cardiac pacemakers have over 80,000 lines of code which are responsible for maintaining the heart within safe operating limits. As firmware-related recalls accounted for over 41% of the 600,000 devices recalled in the last decade, there is a need for rigorous model-driven design tools to generate verified code from verified software models. To this effect, we have developed the UPP2SF model-translation tool, which facilitates automatic conversion of verified models (in UPPAAL) to models that may be simulated and tested (in Simulink/Stateflow). We describe the translation rules that ensure correct model conversion, applicable to a large class of models. We demonstrate how UPP2SF is used in themodel-driven design of a pacemaker whosemodel is (a) designed and verified in UPPAAL (using timed automata), (b) automatically translated to Stateflow for simulation-based testing, and then (c) automatically generated into modular code for hardware-level integration testing of timing-related errors. In addition, we show how UPP2SF may be used for worst-case execution time estimation early in the design stage. Using UPP2SF, we demonstrate the value of integrated end-to-end modeling, verification, code-generation and testing process for complex software-controlled embedded systems. © 2014 ACM.