Evaluating forecasts from SETAR models of exchange rates

We consider the forecasting performance of two SETAR exchange rate models proposed by Kräger and Kugler [J. Int. Money Fin. 12 (1993) 195]. Assuming that the models are good approximations to the data generating process, we show that whether the non-linearities inherent in the data can be exploited to forecast better than a random walk depends on both how forecast accuracy is assessed and on the ‘state of nature’. Evaluation based on traditional measures, such as (root) mean squared forecast errors, may mask the superiority of the non-linear models. Generalized impulse response functions are also calculated as a means of portraying the asymmetric response to shocks implied by such models.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

Testing for non-linearity in daily sterling exchange rates

A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day. Irrefutable evidence of non-linearity is shown in many of the series, but most of this dependence can apparently be explained by reference to the GARCH family of models. It is suggested that the literature in this area has reached an impasse, with the presence of ARCH effects clearly demonstrated in a large number of papers, but with the tests for non-linearity which are currently available being unable to classify any additional non-linear structure.

Global-scale climate impact functions: the relationship between climate forcing and impact

Although there is a strong policy interest in the impacts of climate change corresponding to different degrees of climate change, there is so far little consistent empirical evidence of the relationship between climate forcing and impact. This is because the vast majority of impact assessments use emissions-based scenarios with associated socio-economic assumptions, and it is not feasible to infer impacts at other temperature changes by interpolation. This paper presents an assessment of the global-scale impacts of climate change in 2050 corresponding to defined increases in global mean temperature, using spatially-explicit impacts models representing impacts in the water resources, river flooding, coastal, agriculture, ecosystem and built environment sectors. Pattern-scaling is used to construct climate scenarios associated with specific changes in global mean surface temperature, and a relationship between temperature and sea level used to construct sea level rise scenarios. Climate scenarios are constructed from 21 climate models to give an indication of the uncertainty between forcing and response. The analysis shows that there is considerable uncertainty in the impacts associated with a given increase in global mean temperature, due largely to uncertainty in the projected regional change in precipitation. This has important policy implications. There is evidence for some sectors of a non-linear relationship between global mean temperature change and impact, due to the changing relative importance of temperature and precipitation change. In the socio-economic sectors considered here, the relationships are reasonably consistent between socio-economic scenarios if impacts are expressed in proportional terms, but there can be large differences in absolute terms. There are a number of caveats with the approach, including the use of pattern-scaling to construct scenarios, the use of one impacts model per sector, and the sensitivity of the shape of the relationships between forcing and response to the definition of the impact indicator.

Calibration of structure in a distributed forecasting model for a semiarid flash flood: dynamic surface storage and channel roughness

Flash floods pose a significant danger for life and property. Unfortunately, in arid and semiarid environment the runoff generation shows a complex non-linear behavior with a strong spatial and temporal non-uniformity. As a result, the predictions made by physically-based simulations in semiarid areas are subject to great uncertainty, and a failure in the predictive behavior of existing models is common. Thus better descriptions of physical processes at the watershed scale need to be incorporated into the hydrological model structures. For example, terrain relief has been systematically considered static in flood modelling at the watershed scale. Here, we show that the integrated effect of small distributed relief variations originated through concurrent hydrological processes within a storm event was significant on the watershed scale hydrograph. We model these observations by introducing dynamic formulations of two relief-related parameters at diverse scales: maximum depression storage, and roughness coefficient in channels. In the final (a posteriori) model structure these parameters are allowed to be both time-constant or time-varying. The case under study is a convective storm in a semiarid Mediterranean watershed with ephemeral channels and high agricultural pressures (the Rambla del Albujón watershed; 556 km 2 ), which showed a complex multi-peak response. First, to obtain quasi-sensible simulations in the (a priori) model with time-constant relief-related parameters, a spatially distributed parameterization was strictly required. Second, a generalized likelihood uncertainty estimation (GLUE) inference applied to the improved model structure, and conditioned to observed nested hydrographs, showed that accounting for dynamic relief-related parameters led to improved simulations. The discussion is finally broadened by considering the use of the calibrated model both to analyze the sensitivity of the watershed to storm motion and to attempt the flood forecasting of a stratiform event with highly different behavior.

The APOB insertion/deletion polymorphism (rs17240441) influences postprandial lipaemia in healthy adults

BACKGROUND: Apolipoprotein (apo)B is the structural apoprotein of intestinally- and liver- derived lipoproteins and plays an important role in the transport of triacylglycerol (TAG) and cholesterol. Previous studies have examined the association between the APOB insertion/deletion (ins/del) polymorphism (rs17240441) and postprandial lipaemia in response to a single meal; however the findings have been inconsistent with studies often underpowered to detect genotype-lipaemia associations, focused mainly on men, or with limited postprandial characterisation of participants. In the present study, using a novel sequential test meal protocol which more closely mimics habitual eating patterns, we investigated the impact of APOB ins/del polymorphism on postprandial TAG, non-esterified fatty acids, glucose and insulin levels in healthy adults. FINDINGS: Healthy participants (n = 147) consumed a standard test breakfast (0 min; 49 g fat) and lunch (330 min; 29 g fat), with blood samples collected before (fasting) and on 11 subsequent occasions until 480 min after the test breakfast. The ins/ins homozygotes had higher fasting total cholesterol, LDL-cholesterol, TAG, insulin and HOMA-IR and lower HDL-cholesterol than del/del homozygotes (P < 0.017). A higher area under the time response curve (AUC) was evident for the postprandial TAG (P < 0.001) and insulin (P = 0.032) responses in the ins/ins homozygotes relative to the del/del homozygotes, where the genotype explained 35% and 7% of the variation in the TAG and insulin AUCs, respectively. CONCLUSIONS: In summary, our findings indicate that the APOB ins/del polymorphism is likely to be an important genetic determinant of the large inter-individual variability in the postprandial TAG and insulin responses to dietary fat intake.

Carotenoids but not flavonoids are associated with improvements in spatial working memory in younger adults in a flavonoid-rich v. -poor fruit and vegetable intervention study

Findings from animal studies suggest that components of fruit and vegetables (F&V) may protect against, and even reverse, age-related decline(1,2) in aspects of cognitive functioning such as spatial working memory (SWM). Human subjects in vivo and in vitro studies indicate that anti-inflammatory, anti-oxidant and cell-signalling properties of flavonoids and carotenoids, non-nutrient components of F&V, may underpin this protective effect(3–5). The Flavonoid University of Reading Study (FLAVURS), designed to explore the dose-response relationship between dietary F&V flavonoids and CVD, enabled the investigation of such an association with SWM. FLAVURS is an 18-week parallel three-arm randomised controlled dietary intervention trial with four time points, measured at 6-weekly intervals from baseline. Low F&V consumers at risk of CVD aged 26–70 years were randomly assigned to high flavonoid (HF), low flavonoid (LF) or control group. F&V intake increased by two daily 80 g portions every 6 weeks, with either HF or LF F&V, in addition to each participant's habitual diet, while controls maintained their habitual diet. At each visit, participants completed a cognitive test battery with SWM as the primary outcome. The HF group showed significantly higher levels of urinary flavonoids than LF or controls at 12 weeks (P<0.001) as expected, but surprisingly only higher levels than LF at 18 weeks (P<0.01). The LF group showed higher levels of plasma carotenoids than the other groups at 18 weeks (P<0.001). No group differences were found for SWM overall, however, age-group sub-analyses (26–50 and 51–70 years of age) showed differences from 0 to 18 weeks for younger adults, with LF improving significantly more than the other two groups on SWM (P<0.05). As nutritional absorption is known to decrease with age, separate stepwise regressions were performed on the two age groups irrespective of dietary group, with urinary flavonoids and plasma carotenoids as predictors. For younger adults, improved SWM performance from 0 to 18 weeks was associated with higher carotenoid levels, β=0.28, t(55)=2.10, P<0.05, accounting for 7.5% of the variance, R2=0.075, F(1,54)=4.41, P=0.040. For older adults, no between-group SWM differences were found. Findings suggest that F&V-based flavonoids and carotenoids may provide benefits for cognitive function, and that carotenoids in particular may improve cognitive performance in SWM. Given that these benefits were restricted to younger adults, future work is needed to test the reliability of this finding, as well as determine the mechanisms by which age-dependent differences in F&V responsiveness occur.

Dual drive series actuator

Industrial robotic manipulators can be found in most factories today. Their tasks are accomplished through actively moving, placing and assembling parts. This movement is facilitated by actuators that apply a torque in response to a command signal. The presence of friction and possibly backlash have instigated the development of sophisticated compensation and control methods in order to achieve the desired performance may that be accurate motion tracking, fast movement or in fact contact with the environment. This thesis presents a dual drive actuator design that is capable of physically linearising friction and hence eliminating the need for complex compensation algorithms. A number of mathematical models are derived that allow for the simulation of the actuator dynamics. The actuator may be constructed using geared dc motors, in which case the benefits of torque magnification is retained whilst the increased non-linear friction effects are also linearised. An additional benefit of the actuator is the high quality, low latency output position signal provided by the differencing of the two drive positions. Due to this and the linearised nature of friction, the actuator is well suited for low velocity, stop-start applications, micro-manipulation and even in hard-contact tasks. There are, however, disadvantages to its design. When idle, the device uses power whilst many other, single drive actuators do not. Also the complexity of the models mean that parameterisation is difficult. Management of start-up conditions still pose a challenge.