On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Acceptability of short term neo-adjuvant androgen deprivation in patients with locally advanced prostate cancer

Purpose: To determine the acceptability of short term neo-adjuvant maximal androgen deprivation (MAD) to patients treated with external beam radiation for locally advanced prostate cancer. Methods: Between 1996 and 2000, 818 patients with locally advanced, but non-metastatic, prostate cancer were entered into a randomised clinical trial (TROG 96.01), which compared radiation treatment alone with the same radiation treatment and 3 or 6 months neo-adjuvant MAD with goserelin and flutamide. Relevant symptoms, and how troublesome they were to the patient, were scored using a self-assessment questionnaire. This was completed by the patient at registration, and at specified times during and after treatment. Patients taking flutamide had liver function tests checked at regular intervals. Results: All patients have completed at least 12 months follow-up after treatment. Nearly all patients completed planned treatment with goserelin, but 27% of patients in the 6-month MAD treatment arm, and 20% in the 3-month arm, had to stop flutamide early. This was mainly due to altered liver function (up to 17% patients) and bowel side effects (up to 8% patients). However, although flutamide resulted in more bowel symptoms for patients on MAD, there was significant reduction in some urinary symptoms on this treatment. Acute bowel and urinary side effects at the end of radiation treatment were similar in all treatment arms. Side effect severity was unrelated to radiation target volume size, which was reduced by MAD, but symptomatology prior to any treatment was a powerful predictor. Of the 36% of patients who were sexually active before any treatment, the majority became inactive whilst on MAD. However, sexual activity at 12 months after radiation treatment was similar in all treatment arms, indicating that the effects of short term MAD on sexual function are reversible. Conclusion: Despite temporary effects on sexual activity, and compliance difficulties with flutamide, short-term neo-adjuvant MAD was not perceived by patients to be a major inconvenience. If neo-adjuvant MAD in the way tested can be demonstrated to lead to improved biochemical control and/or survival, then patients would view these therapeutic gains as worthwhile. Compliance with short-term goserelin was excellent, confirming that LH-RH analogues have a potential role in more long-term adjuvant treatment. However, for more protracted androgen deprivation, survival advantages and deleterious effects need to be assessed in parallel, in order to determine the optimal duration of treatment. (C) 2003 Elsevier Ireland Ltd. All fights reserved.

Development of a short-term model using petrophysical logging at Century Mine, North Queensland

Pasminco Century Mine has developed a geophysical logging system to provide new data for ore mining/grade control and the generation of Short Term Models for mine planning. Previous work indicated the applicability of petrophysical logging for lithology prediction, however, the automation of the method was not considered reliable enough for the development of a mining model. A test survey was undertaken using two diamond drilled control holes and eight percussion holes. All holes were logged with natural gamma, magnetic susceptibility and density. Calibration of the LogTrans auto-interpretation software using only natural gamma and magnetic susceptibility indicated that both lithology and stratigraphy could be predicted. Development of a capability to enforce stratigraphic order within LogTrans increased the reliability and accuracy of interpretations. After the completion of a feasibility program, Century Mine has invested in a dedicated logging vehicle to log blast holes as well as for use in in-fill drilling programs. Future refinement of the system may lead to the development of GPS controlled excavators for mining ore.

An adaptive neural-wavelet model for short term load forecasting

This paper proposed a novel model for short term load forecast in the competitive electricity market. The prior electricity demand data are treated as time series. The forecast model is based on wavelet multi-resolution decomposition by autocorrelation shell representation and neural networks (multilayer perceptrons, or MLPs) modeling of wavelet coefficients. To minimize the influence of noisy low level coefficients, we applied the practical Bayesian method Automatic Relevance Determination (ARD) model to choose the size of MLPs, which are then trained to provide forecasts. The individual wavelet domain forecasts are recombined to form the accurate overall forecast. The proposed method is tested using Queensland electricity demand data from the Australian National Electricity Market. (C) 2001 Elsevier Science B.V. All rights reserved.

Short-term beta-hydroxy-beta-methylbutyrate supplementation does not reduce symptoms of eccentric muscle damage

Purpose: We examined the effects of short-term beta -hydroxy-beta -methylbutyrate (HIM) supplementation on symptoms of muscle damage following an acute bout of eccentric exercise. Methods: Non-resistance trained subjects were randomly assigned to a HMB supplement group (HMB, 40mg/kg bodyweight/day, n = 8) or placebo group (CON, n = 9). Supplementation commenced 6 days prior to a bout of 24 maximal isokinetic eccentric contractions of the elbow flexors and continued throughout post-testing. Muscle soreness, upper arm girth, and torque measures were assessed pre-exercise, 15 min post-exercise, and 1, 2, 3, 4, 7, and 10 days post-exercise. Results: No pre-test differences between HMB and CON groups were identified, and both performed a similar amount of eccentric work during the main eccentric exercise bout (p > .05). HMB supplementation had no effect on swelling, muscle soreness, or torque following the damaging eccentric exercise bout (p > .05). Conclusion: Compared to a placebo condition, short-term supplementation with 40mg/kg bodyweight/day of HMB had no beneficial effect on a range of symptoms associated with eccentric muscle damage. If HMB can produce an ergogenic response, a longer pre-exercise supplementation period may be necessary.

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Short-term autocorrelation in Australian equities

This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation in individual stock returns. Preliminary results suggest this autocorrelation is economically significant, as two simple trading strategies based on the autocorrelation structure appear to yield large risk-adjusted returns. Further analysis, however, shows that these results are driven by the inclusion of small-capitalisation and low-priced stocks which are vulnerable to a number of market-microstructure-related problems. After revising the dataset to mitigate these problems, little evidence of economic significance remains.

Trends in the incidence, severity, and short-term outcome of stroke in Perth, Western Australia

Background and Purpose-This report describes trends in the key indices of cerebrovascular disease over 6 years from the end of the 1980s in a geographically defined segment of the city of Perth, Western Australia. Methods-Identical methods were used to find and assess all cases of suspected stroke in a population of approximately 134 000 residents in a triangular area of the northern suburbs of Perth. Case fatality was measured as vital status at 28 days after the onset of symptoms. Data for first-ever strokes and for all strokes for equivalent periods of 12 months in 1989-1990 and 1995-1996 were compared by age-standardized rates and proportions and Poisson regression. Results-There were 355 strokes in 328 patients and 251 first-ever strokes (71%) for 1989-1990 and 290 events in 281 patients and 213 first-ever strokes (73%) for 1995-1996. In Poisson models including age and period, overall trends in the incidence of both first-ever strokes (rate ratio = 0.75; 95% confidence limits, 0.63, 0.90) and all strokes (rate ratio = 0.73; 95% confidence limits, 0.62, 0.85) were obviously significant, but only the changes in men were independently significant. Case fatality did not change, and the balance between hemorrhagic and occlusive strokes in 1995-1996 was almost indistinguishable from that observed in 1989-1990. Conclusions-Our results, which are the only longitudinal population-based data available for Australia for key indices of stroke, suggest that it is a change in the frequency of stroke, rather than its outcome, that is chiefly responsible nationally for the fall in mortality from cerebrovascular disease.

The short-term effects of air pollution on daily mortality in four Australian cities

Objective: To examine the short-term health effects of air pollution on daily mortality in four Australian cities (Brisbane, Melbourne, Perth and Sydney), where more than 50% of Australians reside. Methods: The study used a similar protocol to APHEA2 (Air Pollution and Health: A European Approach) study and derived single-city and pooled estimates. Results: The results derived from the different approaches for the 1996-99 period showed consistent results for different statistical models used. There were significant effects on total mortality, (RR=1.0284 per 1 unit increase in nelphelometry [10(-4).m(-1)], RR=1.0011 per 1ppb increase in NO2), and on respiratory mortality (RR=1.0022 per 1ppb increase in O-2). No significant differences between cities were found, but the NO2 and particle effects may refer to the same impacts. Meta-analyses carried out for three cities yielded estimates for the increase in the daily total number of deaths of 0.2% (-0.8% to 1.2%) for a 10 mu g/m(3) increase in PM, concentration, and 0.9% (-0.7% to 2.5%) for a 10 mu g/m(3) increase in PM2.5 concentration. Conclusions: Air pollutants in Australian cities have significant effects on mortality.

The short-term effects of air pollution on hospital admissions in four Australian cities

Background. This paper examines the short-term health effects of air pollution on daily hospital admissions in Australian cities (those considered comprise more than 50% of the Australian population) for the period 1996-99. Methods: The study used a similar protocol to overseas studies and derived single city and pooled estimates using different statistical approaches to assess the accuracy of the results. Results: There was little difference between the results derived from the different statistical approaches for cardiovascular admissions, while in those for respiratory admissions there were differences. For three of the four cities (for the other the results were positive but not significant), fine particles (measured by nephelometry - bsp) and nitrogen dioxide (NO2) have a significant impact on cardiovascular admissions (for total cardiac admissions, RR=1.0856 for a one-unit increase in bsp (10(-4). m(-1)), RR=1.0023 for a 1 ppb increase in NO2). For three of the four cities (for the other, the results were negative and significant), fine particles, NO2 and ozone have a significant impact on respiratory admissions (for total elderly respiratory admissions, RR=1.0552 per 1 unit (10(-4).m(-1)) increase in bsp, RR=1.0027 per 1ppb increase in NO2, RR=10014 per 1 ppb increase in ozone for elderly asthma and COPD admissions). In all analyses the particle and NO2 impacts appear to be related. Conclusions: Similar to overseas studies, air pollution has an impact on hospital admissions in Australian cities, but there can be significant differences between cities.