Modelling world investment markets using threshold conditional correlation models

In this paper we propose a parsimonious regime-switching approach to model the correlations between assets, the threshold conditional correlation (TCC) model. This method allows the dynamics of the correlations to change from one state (or regime) to another as a function of observable transition variables. Our model is similar in spirit to Silvennoinen and Teräsvirta (2009) and Pelletier (2006) but with the appealing feature that it does not suffer from the course of dimensionality. In particular, estimation of the parameters of the TCC involves a simple grid search procedure. In addition, it is easy to guarantee a positive definite correlation matrix because the TCC estimator is given by the sample correlation matrix, which is positive definite by construction. The methodology is illustrated by evaluating the behaviour of international equities, govenrment bonds and major exchange rates, first separately and then jointly. We also test and allow for different parts in the correlation matrix to be governed by different transition variables. For this, we estimate a multi-threshold TCC specification. Further, we evaluate the economic performance of the TCC model against a constant conditional correlation (CCC) estimator using a Diebold-Mariano type test. We conclude that threshold correlation modelling gives rise to a significant reduction in portfolio´s variance.

Complete DNA sequence of Kuraishia capsulata illustrates novel genomic features among budding yeasts (Saccharomycotina)

The numerous yeast genome sequences presently available provide a rich source of information for functional as well as evolutionary genomics but unequally cover the large phylogenetic diversity of extant yeasts. We present here the complete sequence of the nuclear genome of the haploid-type strain of Kuraishia capsulata (CBS1993(T)), a nitrate-assimilating Saccharomycetales of uncertain taxonomy, isolated from tunnels of insect larvae underneath coniferous barks and characterized by its copious production of extracellular polysaccharides. The sequence is composed of seven scaffolds, one per chromosome, totaling 11.4 Mb and containing 6,029 protein-coding genes, ~13.5% of which being interrupted by introns. This GC-rich yeast genome (45.7%) appears phylogenetically related with the few other nitrate-assimilating yeasts sequenced so far, Ogataea polymorpha, O. parapolymorpha, and Dekkera bruxellensis, with which it shares a very reduced number of tRNA genes, a novel tRNA sparing strategy, and a common nitrate assimilation cluster, three specific features to this group of yeasts. Centromeres were recognized in GC-poor troughs of each scaffold. The strain bears MAT alpha genes at a single MAT locus and presents a significant degree of conservation with Saccharomyces cerevisiae genes, suggesting that it can perform sexual cycles in nature, although genes involved in meiosis were not all recognized. The complete absence of conservation of synteny between K. capsulata and any other yeast genome described so far, including the three other nitrate-assimilating species, validates the interest of this species for long-range evolutionary genomic studies among Saccharomycotina yeasts.

Comparative genomics of emerging pathogens in the Candida glabrata clade

BACKGROUND: Candida glabrata follows C. albicans as the second or third most prevalent cause of candidemia worldwide. These two pathogenic yeasts are distantly related, C. glabrata being part of the Nakaseomyces, a group more closely related to Saccharomyces cerevisiae. Although C. glabrata was thought to be the only pathogenic Nakaseomyces, two new pathogens have recently been described within this group: C. nivariensis and C. bracarensis. To gain insight into the genomic changes underlying the emergence of virulence, we sequenced the genomes of these two, and three other non-pathogenic Nakaseomyces, and compared them to other sequenced yeasts. RESULTS: Our results indicate that the two new pathogens are more closely related to the non-pathogenic N. delphensis than to C. glabrata. We uncover duplications and accelerated evolution that specifically affected genes in the lineage preceding the group containing N. delphensis and the three pathogens, which may provide clues to the higher propensity of this group to infect humans. Finally, the number of Epa-like adhesins is specifically enriched in the pathogens, particularly in C. glabrata. CONCLUSIONS: Remarkably, some features thought to be the result of adaptation of C. glabrata to a pathogenic lifestyle, are present throughout the Nakaseomyces, indicating these are rather ancient adaptations to other environments. Phylogeny suggests that human pathogenesis evolved several times, independently within the clade. The expansion of the EPA gene family in pathogens establishes an evolutionary link between adhesion and virulence phenotypes. Our analyses thus shed light onto the relationships between virulence and the recent genomic changes that occurred within the Nakaseomyces.