Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

The marginal willingness-to-pay for attributes of a hypothetical HIV vaccine

This paper estimates the marginal willingness-to-pay for attributes of a hypothetical HIV vaccine using discrete choice modeling. We use primary data from 326 respondents from Bangkok and Chiang Mai, Thailand, in 2008–2009, selected using purposive, venue-based sampling across two strata. Participants completed a structured questionnaire and full rank discrete choice modeling task administered using computer-assisted personal interviewing. The choice experiment was used to rank eight hypothetical HIV vaccine scenarios, with each scenario comprising seven attributes (including cost) each of which had two levels. The data were analyzed in two alternative specifications: (1) best-worst; and (2) full-rank, using logit likelihood functions estimated with custom routines in Gauss matrix programming language. In the full-rank specification, all vaccine attributes are significant predictors of probability of vaccine choice. The biomedical attributes of the hypothetical HIV vaccine (efficacy, absence of VISP, absence of side effects, and duration of effect) are the most important attributes for HIV vaccine choice. On average respondents are more than twice as likely to accept a vaccine with 99% efficacy, than a vaccine with 50% efficacy. This translates to a willingness to pay US$383 more for a high efficacy vaccine compared with the low efficacy vaccine. Knowledge of the relative importance of determinants of HIV vaccine acceptability is important to ensure the success of future vaccination programs. Future acceptability studies of hypothetical HIV vaccines should use more finely grained biomedical attributes, and could also improve the external validity of results by including more levels of the cost attribute.

Efficient Marginal Likelihood Computation for Gaussian Process Regression

In a Bayesian learning setting, the posterior distribution of a predictive model arises from a trade-off between its prior distribution and the conditional likelihood of observed data. Such distribution functions usually rely on additional hyperparameters which need to be tuned in order to achieve optimum predictive performance; this operation can be efficiently performed in an Empirical Bayes fashion by maximizing the posterior marginal likelihood of the observed data. Since the score function of this optimization problem is in general characterized by the presence of local optima, it is necessary to resort to global optimization strategies, which require a large number of function evaluations. Given that the evaluation is usually computationally intensive and badly scaled with respect to the dataset size, the maximum number of observations that can be treated simultaneously is quite limited. In this paper, we consider the case of hyperparameter tuning in Gaussian process regression. A straightforward implementation of the posterior log-likelihood for this model requires O(N^3) operations for every iteration of the optimization procedure, where N is the number of examples in the input dataset. We derive a novel set of identities that allow, after an initial overhead of O(N^3), the evaluation of the score function, as well as the Jacobian and Hessian matrices, in O(N) operations. We prove how the proposed identities, that follow from the eigendecomposition of the kernel matrix, yield a reduction of several orders of magnitude in the computation time for the hyperparameter optimization problem. Notably, the proposed solution provides computational advantages even with respect to state of the art approximations that rely on sparse kernel matrices.

Cognitive inhibition and interference in dissociative indentity disorder: the effects of anxiety on specific executive functions:The effects of anxiety on specific executive functions

Using an experimentally based, computer-presented task, this study assessed cognitive inhibition and interference in individuals from the dissociative identity disorder (DID; n=12), generalized anxiety disorder (GAD; n=12) and non-clinical (n=12) populations. Participants were assessed in a neutral and emotionally negative (anxiety provoking) context, manipulated by experimental instructions and word stimuli. The DID sample displayed effective cognitive inhibition in the neutral but not the anxious context. The GAD sample displayed the opposite findings. However, the interaction between group and context failed to reach significance. There was no indication of an attentional bias to non-schema specific negative words in any sample. Results are discussed in terms of the potential benefit of weakened cognitive inhibition during anxious arousal in dissociative individuals.

BRCA1 Functions as a Differential Modulator of Chemotherapy-induced Apoptosis

We have evaluated the role played by BRCA1 in mediating the phenotypic response to a range of chemotherapeutic agents commonly used in cancer treatment. Here we provide evidence that BRCA1 functions as a differential mediator of chemotherapy-induced apoptosis. Specifically, we demonstrate that BRCA1 mediates sensitivity to apoptosis induced by antimicrotubule agents but conversely induces resistance to DNA-damaging agents. These data are supported by a variety of experimental models including cells with inducible expression of BRCA1, siRNA-mediated inactivation of endogenous BRCA1, and reconstitution of BRCA1-deficient cells with wild-type BRCA1. Most notably we demonstrate that BRCA1 induces a 10–1000-fold increase in resistance to a range of DNA-damaging agents, in particular those that give rise to double-strand breaks such as etoposide or bleomycin. In contrast, BRCA1 induces a >1000-fold increase in sensitivity to the spindle poisons, paclitaxel and vinorelbine. Fluorescence-activated cell sorter analysis demonstrated that BRCA1 mediates G2/M arrest in response to both antimicrotubule and DNA-damaging agents. However, poly(ADP-ribose) polymerase and caspase-3 cleavage assays indicate that the differential effect mediated by BRCA1 in response to these agents occurs through the inhibition or induction of apoptosis. Therefore, our data suggest that BRCA1 acts as a differential modulator of apoptosis depending on the nature of the cellular insult.

Computing Zeros of Analytic Functions in the Complex Plane without using Derivatives

A new approach to evaluating all multiple complex roots of analytical function f(z) confined to the specified rectangular domain of complex plane has been developed and implemented in Fortran code. Generally f (z), despite being holomorphic function, does not have a closed analytical form thereby inhibiting explicit evaluation of its derivatives. The latter constraint poses a major challenge to implementation of the robust numerical algorithm. This work is at the instrumental level and provides an enabling tool for solving a broad class of eigenvalue problems and polynomial approximations.