Non-homogeneous volatility correlations in the bivariate multifractal model

In this paper, we consider an extension of the recently proposed bivariate Markov-switching multifractal model of Calvet, Fisher, and Thompson [2006. "Volatility Comovement: A Multifrequency Approach." Journal of Econometrics {131}: 179-215]. In particular, we allow correlations between volatility components to be non-homogeneous with two different parameters governing the volatility correlations at high and low frequencies. Specification tests confirm the added explanatory value of this specification. In order to explore its practical performance, we apply the model for computing value-at-risk statistics for different classes of financial assets and compare the results with the baseline, homogeneous bivariate multifractal model and the bivariate DCC-GARCH of Engle [2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models." Journal of Business & Economic Statistics 20 (3): 339-350]. As it turns out, the multifractal model with heterogeneous volatility correlations provides more reliable results than both the homogeneous benchmark and the DCC-GARCH model. © 2014 Taylor & Francis.

Peri-gondwanan permian correlations : the meso-tethyan margins

Correlations of the Permian sequences for sixteen regions of north eastern Gondwana during the Permian are presented in this review. These correlations are compared with Permian sequences of the Australian continent. Broad conclusions on palaeoclimatic change and tectonic events are summarised for six time intervals of the Permian Period.

The Asselian-Sakmarian-early Artinskian time interval indicates a change from cold to temperate depositional environments. Glacial deposits and low diversity Gondwanan marine faunas are succeeded by younger, warmer water, clastic and bioclastic sequences with moderately diverse marine faunas. Deposition of these sequences is occasionally associated with basaltic volcanism and initial rifting of the peripheral northern Gondwanan margin.

During the Late Artinskian-Kungurian (including Early Ufimian) time interval, climate amelioration occurred with the onset of carbonate deposition in several Cimmerian terranes. Basaltic volcanism in several terranes is indicative of significant rifting and the opening of the Meso-Tethys.

The Roadian (Late Ufimian) and Wordian-Capitanian (including Kazanian-Midian) time intervals were characterised by widespread, subtropical, marine carbonate depositional sequences. These occurred throughout the Cimmerian blocks as they drifted northward and on the more northerly parts of the Meso-Tethyan southern margin. These transgressive sequences may rest on significant unconformity surfaces. Equivalent carbonate units are known in the offshore and subsurface sequences of western Australia. Andesitic, convergent plate margin volcanism and volcaniclastic sequences are present in eastern Australia.

The Wuchiapingian time slice is characterised by widespread marine transgressions which extended into the north western basins of Australia.

The Changhsingian time slice is represented by relatively minor marine transgressive events in the Trans-Himalaya with the Selong section of Tibet being probably the most complete Permo-Triassic sequence for the southern margin of the Meso-Tethys.

Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization

We examine numerical performance of various methods of calculation of the Conditional Value-at-risk (CVaR), and portfolio optimization with respect to this risk measure. We concentrate on the method proposed by Rockafellar and Uryasev in (Rockafellar, R.T. and Uryasev, S., 2000, Optimization of conditional value-at-risk. Journal of Risk, 2, 21-41), which converts this problem to that of convex optimization. We compare the use of linear programming techniques against a non-smooth optimization method of the discrete gradient, and establish the supremacy of the latter. We show that non-smooth optimization can be used efficiently for large portfolio optimization, and also examine parallel execution of this method on computer clusters.

The ultrasound appearance of the patellar tendon attachment to the tibia in young athletes is conditional on gender and pubertal stage

This cross-sectional study investigated the imaging appearance of the previous termpatellarnext term tendon attachment to the tibia in young male and female tennis players of different ages and pubertal status. Forty-four competitive young players, who had been playing tennis at least for 2 years, were recruited from a tennis school and local tennis clubs. All subjects had bilateral ultrasound imaging of the previous termpatellarnext term tendon attachment to the tibia. Standard anthropometric measurements, pubertal status and injury history were recorded. Ultrasound appearance of the previous termpatellarnext term tendon attachment was categorised into three stages: cartilage attachment, insertional cartilage and mature attachment. Cartilage attachment was more prevalent in boys (32%) and extended further into puberty (until Tanner stage 4) compared to girls (6% and Tanner stage 1). Tendons with Osgood–Schlatter Disease symptoms (n = 3) did not have a cartilage attachment. Imaging appearance commonly seen in young active athletes, consistent with a clinical diagnosis of OSD, was more common in boys and in the pre- and peri-pubertal stages.

Parametric conditional frailty models for recurrent cardiovascular events in the lipid study

Background Analysis of recurrent event data is frequently needed in clinical and epidemiological studies. An important issue in such analysis is how to account for the dependence of the events in an individual and any unobserved heterogeneity of the event propensity across individuals.Methods We applied a number of conditional frailty and nonfrailty models in an analysis involving recurrent myocardial infarction events in the Long-Term Intervention with Pravastatin in Ischaemic Disease study. A multiple variable risk prediction model was developed for both males and females. Results A Weibull model with a gamma frailty term fitted the data better than other frailty models for each gender. Among nonfrailty models the stratified survival model fitted the data best for each gender. The relative risk estimated by the elapsed time model was close to that estimated by the gap time model. We found that a cholesterol-lowering drug, pravastatin (the intervention being tested in the trial) had significant protective effect against the occurrence of myocardial infarction in men (HR¼0.71, 95% CI0.60–0.83). However, the treatment effect was not significant in women due to smaller sample size (HR¼0.75, 95% CI 0.51–1.10). There were no significant interactions between the treatment effect and each recurrent MI event (p¼0.24 for men and p¼0.55 for women). The risk of developing an MI event for a male who had an MI event during follow-up was about 3.4 (95% CI 2.6–4.4) times the risk compared with those who did not have an MI event. The corresponding relative risk for a female was about 7.8 (95% CI 4.4–13.6). Limitations The number of female patients was relatively small compared with their male counterparts, which may result in low statistical power to find real differences in the effect of treatment and other potential risk factors.Conclusions The conditional frailty model suggested that after accounting for all the risk factors in the model, there was still unmeasured heterogeneity of the risk for myocardial infarction, indicating the effect of subject-specific risk factors. These risk prediction models can be used to classify cardiovascular disease patients into different risk categories and may be useful for the most effective targeting of preventive therapies for cardiovascular disease.

A conditional probability approach to risk assessment for child sexual offenders with different classes of victim

Specific scales were developed for discriminating child sexual offenders with different classes of victim. The project demonstrates a method of individualising scores on actuarial risk assessment measured in a way that makes them more meaningful for those involved in decision-making about individual child sexual offenders. At present, the only quantifiable approach to specific decision-making relies on a general prediction of future behaviour, based on group data. The Bayesian approach is one method that can be used to assist decision-makers to use this information in ways that lead to the more appropriate management of risk. Ultimately, the better management of known child sexual offenders will lead to fewer offences and a reduction in the number of children who lives are profoundly affected by sexual victimisation.