Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities

This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results in Barndorff-Nielsen and Shephard (2002a), are both easy to implement and highly accurate in empirically realistic situations. On properly accounting for the measurement errors in the volatility forecast evaluations reported in Andersen, Bollerslev, Diebold and Labys (2003), the adjustments result in markedly higher estimates for the true degree of return-volatility predictability.

Isolated greater tuberosity fractures of the proximal humerus : validation and clinical implications for a new radiologic measurement method and classification

Pre-publication drafts are reproduced with permission and copyright © 2013 of the Journal of Orthopaedic Trauma [Mutch J, Rouleau DM, Laflamme GY, Hagemeister N. Accurate Measurement of Greater Tuberosity Displacement without Computed Tomography: Validation of a method on Plain Radiography to guide Surgical Treatment. J Orthop Trauma. 2013 Nov 21: Epub ahead of print.] and copyright © 2014 of the British Editorial Society of Bone and Joint Surgery [Mutch JAJ, Laflamme GY, Hagemeister N, Cikes A, Rouleau DM. A new morphologic classification for greater tuberosity fractures of the proximal humerus: validation and clinical Implications. Bone Joint J 2014;96-B:In press.]

Methods to Estimate Dynamic Stochastic General Equilibrium Models

This paper employs the one-sector Real Business Cycle model as a testing ground for four different procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1 ) Maximum Likelihood, with and without measurement errors and incorporating Bayesian priors, 2) Generalized Method of Moments, 3) Simulated Method of Moments, and 4) Indirect Inference. Monte Carlo analysis indicates that all procedures deliver reasonably good estimates under the null hypothesis. However, there are substantial differences in statistical and computational efficiency in the small samples currently available to estimate DSGE models. GMM and SMM appear to be more robust to misspecification than the alternative procedures. The implications of the stochastic singularity of DSGE models for each estimation method are fully discussed.

Les attentes, la satisfaction et la qualité de vie des édentés suite à une réhabilitation par mise en charge immédiate d'une prothèse totale reliée à deux implants non jumelés : une étude pilote expérimentale

Problématique : La majorité des études publiées sur la réhabilitation par mise en charge immédiate de deux implants non jumelés avec une prothèse totale mandibulaire de recouvrement n’ont rapporté que des mesures cliniques objectives et très peu ont évalué les mesures centrées sur le patient, et ce, avec des erreurs de mesure. Aucune étude n’a évalué les attentes des patients vis-à-vis d'un tel protocole. Objectifs : Évaluer les attentes, le niveau de satisfaction ainsi que la qualité de vie reliée à la santé bucco-dentaire des édentés complets suite à un protocole de mise en charge immédiate. Méthodologie : Cet essai clinique de phase 1 utilise un design pré-post afin d’évaluer les mesures centrées sur le patient. Dix-huit individus, complètement édentés et âgés en moyenne de 62,39 ± 7,65 ans, ont reçu une prothèse totale mandibulaire de recouvrement sur deux implants non jumelés suite à un protocole de mise en charge immédiate, conjointement à une prothèse totale conventionnelle maxillaire. Un instrument adapté pour mesurer leurs attentes à l’aide d’échelles visuelles analogues, le questionnaire « McGill Denture Satisfaction Instrument » ainsi que le questionnaire OHIP-20 ont été remis aux patients avant de procéder aux traitements (T0), ainsi qu’aux rendez-vous de suivi à 2 semaines (T1), 1 mois (T2) et 4 mois (T3). De plus, l’inventaire de personnalité révisé (NÉO PI-R) ainsi qu’un questionnaire sociodémographique ont été remplis par les participants. Les « change scores » ont été calculés puis des tests non paramétriques et des analyses de variances en mesures répétées suivies de comparaisons par paires ont été utilisés afin d’analyser les données recueillies. La taille d’effet a été estimée. Résultats : Les participants avaient différentes attentes par rapport à la mise en charge immédiate. Certains s’attendaient à un effet positif à court terme par rapport à leur apparence esthétique (83,3 %) et à leur vie sociale (55,7 %), alors que d’autres avaient des craintes envers leur confort (5,6 %), leur habileté à mastiquer (11,1 %) et à nettoyer leur prothèse inférieure (11,1 %). À 4 mois, le protocole de mise en charge immédiate avait rencontré la majorité des attentes des patients par rapport à l’esthétique (94.4 %), la mastication (83.3 %), la phonétique (61.1 %), le confort (94.4 %), l’hygiène (88.9 %) et leur vie sociale (88.9 %). Une amélioration statistiquement significative de la satisfaction en générale, du confort, de l’esthétique, de la stabilité de la prothèse inférieure et de l’habileté à mastiquer a été notée à 2 semaines (p<0,001). Également, les comparaisons par paires ont révélé une diminution statistiquement significative du score total de l’OHIP-20 (p < 0,001) de même que la majorité des domaines de l’OHIP (p < 0.01), sauf pour l’handicap social qui n’a diminué significativement qu’après 1 mois (p = 0.01). Ces changements (pour la satisfaction et la qualité de vie) sont restés stables au cours des suivis subséquents. Indépendamment des traits de personnalité et des variables sociodémographiques, le protocole immédiat a satisfait 94,4 % des participants et a amélioré leur qualité de vie avec une large magnitude d’effet (d = 1.9; p < 0.001). Bien que deux patients aient perdu des implants au cours du traitement, 100 % des participants étaient d’accord pour recommander cette procédure à leurs pairs. Conclusions: Le protocole de mise en charge immédiate semble satisfaire les patients quelles que soient leurs attentes. Le protocole MCI peut améliorer, à court terme, la qualité de vie des patients totalement édentés. Les résultats prometteurs de la phase 1 devraient être corroborés lors de la 2e phase de cette étude.

Reliability of a quantitative clinical posture assessment tool among persons with idiopathic scoliosis

Objective To determine overall, test–retest and inter-rater reliability of posture indices among persons with idiopathic scoliosis. Design A reliability study using two raters and two test sessions. Setting Tertiary care paediatric centre. Participants Seventy participants aged between 10 and 20 years with different types of idiopathic scoliosis (Cobb angle 15 to 60°) were recruited from the scoliosis clinic. Main outcome measures Based on the XY co-ordinates of natural reference points (e.g. eyes) as well as markers placed on several anatomical landmarks, 32 angular and linear posture indices taken from digital photographs in the standing position were calculated from a specially developed software program. Generalisability theory served to estimate the reliability and standard error of measurement (SEM) for the overall, test–retest and inter-rater designs. Bland and Altman's method was also used to document agreement between sessions and raters. Results In the random design, dependability coefficients demonstrated a moderate level of reliability for six posture indices (ϕ = 0.51 to 0.72) and a good level of reliability for 26 posture indices out of 32 (ϕ ≥ 0.79). Error attributable to marker placement was negligible for most indices. Limits of agreement and SEM values were larger for shoulder protraction, trunk list, Q angle, cervical lordosis and scoliosis angles. The most reproducible indices were waist angles and knee valgus and varus. Conclusions Posture can be assessed in a global fashion from photographs in persons with idiopathic scoliosis. Despite the good reliability of marker placement, other studies are needed to minimise measurement errors in order to provide a suitable tool for monitoring change in posture over time.

The Measurement of Diversity

The notion of diversity is an issue that is of relevance in several contexts. For example, the biodiversity of a given ecological environment and the diversity of the options available to a decision maker have attracted some attention in recent research. This paper provides an axiomatic approach to the measurement of diversity. We characterize two nested classes of ordinal measures of diversity and an important member of these classes. We prove that the latter special case is equivalent to a diversity ordering proposed by Weitzman.

Similarity of Options and the Measurement of Diversity

This paper analyzes the measurement of the diversity of sets based on the dissimilarity of the objects contained in the set. We discuss axiomatic approaches to diversity measurement and examine the considerations underlying the application of specific measures. Our focus is on descriptive issues: rather than assuming a specific ethical position or restricting attention to properties that are appealing in specific applications, we address the foundations of the measurement issue as such in the context of diversity.

The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation

This note investigates the adequacy of the finite-sample approximation provided by the Functional Central Limit Theorem (FCLT) when the errors are allowed to be dependent. We compare the distribution of the scaled partial sums of some data with the distribution of the Wiener process to which it converges. Our setup is purposely very simple in that it considers data generated from an ARMA(1,1) process. Yet, this is sufficient to bring out interesting conclusions about the particular elements which cause the approximations to be inadequate in even quite large sample sizes.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Bone mineral density measurement and osteoporosis treatment after a fragility fracture in older adults: regional variation and determinants of use in Quebec

Affiliation: Pierre Dagenais : Hôpital Maisonneuve-Rosemont, Faculté de médecine, Université de Montréal