957 resultados para Multivariate volatility models


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Previous experimental models suggest that vitamin E may ameliorate periodontitis. However, epidemiologic studies show inconsistent evidence in supporting this plausible association. We aimed to investigate the association between serum α-tocopherol (αT) and γ-tocopherol (γT) and periodontitis in a large cross-sectional US population. This study included 4708 participants in the 1999–2001 NHANES. Serum tocopherols were measured by HPLC and values were adjusted by total cholesterol (TC). Periodontal status was assessed by mean clinical attachment loss (CAL) and probing pocket depth (PPD). Total periodontitis (TPD) was defined as the sum of mild, moderate, and severe periodontitis. All measurements were performed by NHANES. Means ± SDs of serum αT:TC ratio from low to high quartiles were 4.0 ± 0.4, 4.8 ± 0.2, 5.7 ± 0.4, and 9.1 ± 2.7 μmol/mmol. In multivariate regression models, αT:TC quartiles were inversely associated with mean CAL (P-trend = 0.06), mean PPD (P-trend < 0.001), and TPD (P-trend < 0.001) overall. Adjusted mean differences (95% CIs) between the first and fourth quartile of αT:TC were 0.12 mm (0.03, 0.20; P-difference = 0.005) for mean CAL and 0.12 mm (0.06, 0.17; P < 0.001) for mean PPD, whereas corresponding OR for TPD was 1.65 (95% CI: 1.26, 2.16; P-difference = 0.001). In a dose-response analysis, a clear inverse association between αT:TC and mean CAL, mean PPD, and TPD was observed among participants with relatively low αT:TC. No differences were seen in participants with higher αT:TC ratios. Participants with γT:TC ratio in the interquartile range showed a significantly lower mean PPD than those in the highest quartile. A nonlinear inverse association was observed between serum αT and severity of periodontitis, which was restricted to adults with normal but relatively low αT status. These findings warrant further confirmation in longitudinal or intervention settings.

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Objectives: To explore socioeconomic differences in four cardiovascular disease risk factors (overweight/obesity, smoking, hypertension, height) among manufacturing employees in the Republic of Ireland (ROI). Methods: Cross-sectional analysis of 850 manufacturing employees aged 18–64 years. Education and job position served as socioeconomic indicators. Group-specific differences in prevalence were assessed with the Chi-squared test. Multivariate regression models were explored if education and job position were independent predictors of the CVD risk factors. Cochran–Armitage test for trend was used to assess the presence of a social gradient. Results: A social gradient was found across educational levels for smoking and height. Employees with the highest education were less likely to smoke compared to the least educated employees (OR 0.2, [95% CI 0.1–0.4]; p b 0.001). Lower educational attainment was associated with a reduction in mean height. Non-linear differences were found in both educational level and job position for obesity/overweight. Managers were more than twice as likely to be overweight or obese relative to those employees in the lowest job position (OR 2.4 [95% CI 1.3–4.6]; p = 0.008). Conclusion: Socioeconomic inequalities in height, smoking and overweight/obesity were highlighted within a sub-section of the working population in ROI.

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Contexte: La douleur chronique non cancéreuse (DCNC) génère des retombées économiques et sociétales importantes. L’identification des patients à risque élevé d’être de grands utilisateurs de soins de santé pourrait être d’une grande utilité; en améliorant leur prise en charge, il serait éventuellement possible de réduire leurs coûts de soins de santé. Objectif: Identifier les facteurs prédictifs bio-psycho-sociaux des grands utilisateurs de soins de santé chez les patients souffrant de DCNC et suivis en soins de première ligne. Méthodologie: Des patients souffrant d’une DCNC modérée à sévère depuis au moins six mois et bénéficiant une ordonnance valide d’un analgésique par un médecin de famille ont été recrutés dans des pharmacies communautaires du territoire du Réseau universitaire intégré de santé (RUIS), de l’Université de Montréal entre Mai 2009 et Janvier 2010. Ce dernier est composé des six régions suivantes : Mauricie et centre du Québec, Laval, Montréal, Laurentides, Lanaudière et Montérégie. Les caractéristiques bio-psycho-sociales des participants ont été documentées à l’aide d’un questionnaire écrit et d’une entrevue téléphonique au moment du recrutement. Les coûts directs de santé ont été estimés à partir des soins et des services de santé reçus au cours de l’année précédant et suivant le recrutement et identifiés à partir de la base de données de la Régie d’Assurance maladie du Québec, RAMQ (assureur publique de la province du Québec). Ces coûts incluaient ceux des hospitalisations reliées à la douleur, des visites à l’urgence, des soins ambulatoires et de la médication prescrite pour le traitement de la douleur et la gestion des effets secondaires des analgésiques. Les grands utilisateurs des soins de santé ont été définis comme étant ceux faisant partie du quartile le plus élevé de coûts directs annuels en soins de santé dans l’année suivant le recrutement. Des modèles de régression logistique multivariés et le critère d’information d’Akaike ont permis d’identifier les facteurs prédictifs des coûts directs élevés en soins de santé. Résultats: Le coût direct annuel médian en soins de santé chez les grands utilisateurs de soins de santé (63 patients) était de 7 627 CAD et de 1 554 CAD pour les utilisateurs réguliers (188 patients). Le modèle prédictif final du risque d’être un grand utilisateur de soins de santé incluait la douleur localisée au niveau des membres inférieurs (OR = 3,03; 95% CI: 1,20 - 7,65), la réduction de la capacité fonctionnelle liée à la douleur (OR = 1,24; 95% CI: 1,03 - 1,48) et les coûts directs en soins de santé dans l’année précédente (OR = 17,67; 95% CI: 7,90 - 39,48). Les variables «sexe», «comorbidité», «dépression» et «attitude envers la guérison médicale» étaient également retenues dans le modèle prédictif final. Conclusion: Les patients souffrant d’une DCNC au niveau des membres inférieurs et présentant une détérioration de la capacité fonctionnelle liée à la douleur comptent parmi ceux les plus susceptibles d’être de grands utilisateurs de soins et de services. Le coût direct en soins de santé dans l’année précédente était également un facteur prédictif important. Améliorer la prise en charge chez cette catégorie de patients pourrait influencer favorablement leur état de santé et par conséquent les coûts assumés par le système de santé.

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Recent studies have shown that cancer risk related to overweight and obesity is mediated by time and might be better approximated by using life years lived with excess weight. In this study we aimed to assess the impact of overweight duration and intensity in older adults on the risk of developing different forms of cancer. Study participants from seven European and one US cohort study with two or more weight assessments during follow-up were included (n = 329,576). Trajectories of body mass index (BMI) across ages were estimated using a quadratic growth model; overweight duration (BMI ≥ 25) and cumulative weighted overweight years were calculated. In multivariate Cox models and random effects analyses, a longer duration of overweight was significantly associated with the incidence of obesity-related cancer [overall hazard ratio (HR) per 10-year increment: 1.36; 95 % CI 1.12-1.60], but also increased the risk of postmenopausal breast and colorectal cancer. Additionally accounting for the degree of overweight further increased the risk of obesity-related cancer. Risks associated with a longer overweight duration were higher in men than in women and were attenuated by smoking. For postmenopausal breast cancer, increased risks were confined to women who never used hormone therapy. Overall, 8.4 % of all obesity-related cancers could be attributed to overweight at any age. These findings provide further insights into the role of overweight duration in the etiology of cancer and indicate that weight control is relevant at all ages. This knowledge is vital for the development of effective and targeted cancer prevention strategies.

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This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

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Purpose: The purpose of this paper is to analyse differences in the drivers of firm innovation performance across sectors. The literature often makes the assumption that firms in different sectors differ in their propensity to innovate but not in the drivers of innovation. The authors empirically assess whether this assumption is accurate through a series of econometric estimations and tests. Design/methodology/approach: The data used are derived from the Irish Community Innovation Survey 2004-2006. A series of multivariate probit models are estimated and the resulting coefficients are tested for parameter stability across sectors using likelihood ratio tests. Findings: The results indicate that there is a strong degree of heterogeneity in the drivers of innovation across sectors. The determinants of process, organisational, new to firm and new to market innovation varies across sectors suggesting that the pooling of sectors in an innovation production function may lead to biased inferences. Research limitations/implications: The implications of the results are that innovation policies targeted at stimulating innovation need to be tailored to particular industries. One size fits all policies would seem inappropriate given the large degree of heterogeneity observed across the drivers of innovation in different sectors. Originality/value: The value of this paper is that it provides an empirical test as to whether it is suitable to group sectoral data when estimating innovation production functions. Most papers simply include sectoral dummies, implying that only the propensity to innovate differs across sectors and that the slope of the coefficient estimates are in fact consistent across sectors.

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Understanding how biodiversity spatially distribute over both the short term and long term, and what factors are affecting the distribution, are critical for modeling the spatial pattern of biodiversity as well as for promoting effective conservation planning and practices. This dissertation aims to examine factors that influence short-term and long-term avian distribution from the geographical sciences perspective. The research develops landscape level habitat metrics to characterize forest height heterogeneity and examines their efficacies in modelling avian richness at the continental scale. Two types of novel vegetation-height-structured habitat metrics are created based on second order texture algorithms and the concepts of patch-based habitat metrics. I correlate the height-structured metrics with the richness of different forest guilds, and also examine their efficacies in multivariate richness models. The results suggest that height heterogeneity, beyond canopy height alone, supplements habitat characterization and richness models of two forest bird guilds. The metrics and models derived in this study demonstrate practical examples of utilizing three-dimensional vegetation data for improved characterization of spatial patterns in species richness. The second and the third projects focus on analyzing centroids of avian distributions, and testing hypotheses regarding the direction and speed of these shifts. I first showcase the usefulness of centroids analysis for characterizing the distribution changes of a few case study species. Applying the centroid method on 57 permanent resident bird species, I show that multi-directional distribution shifts occurred in large number of studied species. I also demonstrate, plain birds are not shifting their distribution faster than mountain birds, contrary to the prediction based on climate change velocity hypothesis. By modelling the abundance change rate at regional level, I show that extreme climate events and precipitation measures associate closely with some of the long-term distribution shifts. This dissertation improves our understanding on bird habitat characterization for species richness modelling, and expands our knowledge on how avian populations shifted their ranges in North America responding to changing environments in the past four decades. The results provide an important scientific foundation for more accurate predictive species distribution modeling in future.

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The routine analysis for quantization of organic acids and sugars are generally slow methods that involve the use and preparation of several reagents, require trained professional, the availability of special equipment and is expensive. In this context, it has been increasing investment in research whose purpose is the development of substitutive methods to reference, which are faster, cheap and simple, and infrared spectroscopy have been highlighted in this regard. The present study developed multivariate calibration models for the simultaneous and quantitative determination of ascorbic acid, citric, malic and tartaric and sugars sucrose, glucose and fructose, and soluble solids in juices and fruit nectars and classification models for ACP. We used methods of spectroscopy in the near infrared (Near Infrared, NIR) in association with the method regression of partial least squares (PLS). Were used 42 samples between juices and fruit nectars commercially available in local shops. For the construction of the models were performed with reference analysis using high-performance liquid chromatography (HPLC) and refractometry for the analysis of soluble solids. Subsequently, the acquisition of the spectra was done in triplicate, in the spectral range 12500 to 4000 cm-1. The best models were applied to the quantification of analytes in study on natural juices and juice samples produced in the Paraná Southwest Region. The juices used in the application of the models also underwent physical and chemical analysis. Validation of chromatographic methodology has shown satisfactory results, since the external calibration curve obtained R-square value (R2) above 0.98 and coefficient of variation (%CV) for intermediate precision and repeatability below 8.83%. Through the Principal Component Analysis (PCA) was possible to separate samples of juices into two major groups, grape and apple and tangerine and orange, while for nectars groups separated guava and grape, and pineapple and apple. Different validation methods, and pre-processes that were used separately and in combination, were obtained with multivariate calibration models with average forecast square error (RMSEP) and cross validation (RMSECV) errors below 1.33 and 1.53 g.100 mL-1, respectively and R2 above 0.771, except for malic acid. The physicochemical analysis enabled the characterization of drinks, including the pH working range (variation of 2.83 to 5.79) and acidity within the parameters Regulation for each flavor. Regression models have demonstrated the possibility of determining both ascorbic acids, citric, malic and tartaric with successfully, besides sucrose, glucose and fructose by means of only a spectrum, suggesting that the models are economically viable for quality control and product standardization in the fruit juice and nectars processing industry.

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Contexte: La douleur chronique non cancéreuse (DCNC) génère des retombées économiques et sociétales importantes. L’identification des patients à risque élevé d’être de grands utilisateurs de soins de santé pourrait être d’une grande utilité; en améliorant leur prise en charge, il serait éventuellement possible de réduire leurs coûts de soins de santé. Objectif: Identifier les facteurs prédictifs bio-psycho-sociaux des grands utilisateurs de soins de santé chez les patients souffrant de DCNC et suivis en soins de première ligne. Méthodologie: Des patients souffrant d’une DCNC modérée à sévère depuis au moins six mois et bénéficiant une ordonnance valide d’un analgésique par un médecin de famille ont été recrutés dans des pharmacies communautaires du territoire du Réseau universitaire intégré de santé (RUIS), de l’Université de Montréal entre Mai 2009 et Janvier 2010. Ce dernier est composé des six régions suivantes : Mauricie et centre du Québec, Laval, Montréal, Laurentides, Lanaudière et Montérégie. Les caractéristiques bio-psycho-sociales des participants ont été documentées à l’aide d’un questionnaire écrit et d’une entrevue téléphonique au moment du recrutement. Les coûts directs de santé ont été estimés à partir des soins et des services de santé reçus au cours de l’année précédant et suivant le recrutement et identifiés à partir de la base de données de la Régie d’Assurance maladie du Québec, RAMQ (assureur publique de la province du Québec). Ces coûts incluaient ceux des hospitalisations reliées à la douleur, des visites à l’urgence, des soins ambulatoires et de la médication prescrite pour le traitement de la douleur et la gestion des effets secondaires des analgésiques. Les grands utilisateurs des soins de santé ont été définis comme étant ceux faisant partie du quartile le plus élevé de coûts directs annuels en soins de santé dans l’année suivant le recrutement. Des modèles de régression logistique multivariés et le critère d’information d’Akaike ont permis d’identifier les facteurs prédictifs des coûts directs élevés en soins de santé. Résultats: Le coût direct annuel médian en soins de santé chez les grands utilisateurs de soins de santé (63 patients) était de 7 627 CAD et de 1 554 CAD pour les utilisateurs réguliers (188 patients). Le modèle prédictif final du risque d’être un grand utilisateur de soins de santé incluait la douleur localisée au niveau des membres inférieurs (OR = 3,03; 95% CI: 1,20 - 7,65), la réduction de la capacité fonctionnelle liée à la douleur (OR = 1,24; 95% CI: 1,03 - 1,48) et les coûts directs en soins de santé dans l’année précédente (OR = 17,67; 95% CI: 7,90 - 39,48). Les variables «sexe», «comorbidité», «dépression» et «attitude envers la guérison médicale» étaient également retenues dans le modèle prédictif final. Conclusion: Les patients souffrant d’une DCNC au niveau des membres inférieurs et présentant une détérioration de la capacité fonctionnelle liée à la douleur comptent parmi ceux les plus susceptibles d’être de grands utilisateurs de soins et de services. Le coût direct en soins de santé dans l’année précédente était également un facteur prédictif important. Améliorer la prise en charge chez cette catégorie de patients pourrait influencer favorablement leur état de santé et par conséquent les coûts assumés par le système de santé.

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This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

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We provide a comprehensive study of out-of-sample forecasts for the EUR/USD exchange rate based on multivariate macroeconomic models and forecast combinations. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations, in particular those based on principal components of forecasts, help to improve over benchmark trading strategies, although the excess return per unit of deviation is limited.

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Recent empirical and conceptual papers have highlighted the potential for metabolism to act as a proximate mechanism for behavior that could explain animal personality (consistency over time). Under this hypothesis, individuals with consistently high levels of behavioral activity should also have high resting metabolic rate (RMR) as it can reflect capacity to process food and generate energy. We tested for the predicted positive covariance between RMR and three behaviors that differ in energy demands in 30 male guppies, using multivariate mixed models; we repeatedly measured their activity (10 times each), courtship displays (nine times), voracity (10 times), and metabolism (four-times). Resting metabolic rate (measured overnight in respirometry trials) did not consistently differ among males, whereas initial peak metabolism measured during those same trials (R = 0.42), and all behaviors were repeatable (R = 0.33–0.51). RMR declined over time suggesting habituation to the protocol, whereas peak metabolism did not. Initial peak metabolism was negatively correlated with courtship display intensity, and voracity was positively correlated with activity, but all other among-individual correlations were not significant. We conclude that RMR does not provide a proximate explanation for consistent individual differences in behavior in male guppies, and therefore the potential for independent evolution of these physiological and behavioral traits seems possible. Finally, we identify peak metabolism as a potential measure of the stress response to confinement, which highlights the value of considering various aspects of metabolic rates recording during respirometry trials.

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Methicillin-resistant Staphylococcus Aureus (MRSA) is a pathogen that continues to be of major concern in hospitals. We develop models and computational schemes based on observed weekly incidence data to estimate MRSA transmission parameters. We extend the deterministic model of McBryde, Pettitt, and McElwain (2007, Journal of Theoretical Biology 245, 470–481) involving an underlying population of MRSA colonized patients and health-care workers that describes, among other processes, transmission between uncolonized patients and colonized health-care workers and vice versa. We develop new bivariate and trivariate Markov models to include incidence so that estimated transmission rates can be based directly on new colonizations rather than indirectly on prevalence. Imperfect sensitivity of pathogen detection is modeled using a hidden Markov process. The advantages of our approach include (i) a discrete valued assumption for the number of colonized health-care workers, (ii) two transmission parameters can be incorporated into the likelihood, (iii) the likelihood depends on the number of new cases to improve precision of inference, (iv) individual patient records are not required, and (v) the possibility of imperfect detection of colonization is incorporated. We compare our approach with that used by McBryde et al. (2007) based on an approximation that eliminates the health-care workers from the model, uses Markov chain Monte Carlo and individual patient data. We apply these models to MRSA colonization data collected in a small intensive care unit at the Princess Alexandra Hospital, Brisbane, Australia.

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Forecasts generated by time series models traditionally place greater weight on more recent observations. This paper develops an alternative semi-parametric method for forecasting that does not rely on this convention and applies it to the problem of forecasting asset return volatility. In this approach, a forecast is a weighted average of historical volatility, with the greatest weight given to periods that exhibit similar market conditions to the time at which the forecast is being formed. Weighting is determined by comparing short-term trends in volatility across time (as a measure of market conditions) by means of a multivariate kernel scheme. It is found that the semi-parametric method produces forecasts that are significantly more accurate than a number of competing approaches at both short and long forecast horizons.