Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

Forecasting US output growth using leading indicators: an appraisal using MIDAS models

We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple individual leading indicators in a parsimonious way and to directly exploit the information content of the monthly series to predict quarterly output growth. When we use real-time vintage data, the indicators are found to have significant predictive ability, and this is further enhanced by the use of monthly data on the quarter at the time the forecast is made

First announcements and real economic activity

The recent literature suggests that first announcements of real output growth in the US have predictive power for the future course of the economy while the actual value of output growth does not. We show that this need not point to a behavioural relationship, whereby agents respond to perceptions instead of the truth, but may instead simply be a by-product of the data revision process. The revisions to the initial estimates which define the final values of the observations are shown to be key in determining any relationship between first announcements and the future course of the economy.

Evaluation of milk compositional variables on coagulation properties using partial least squares

The aim of this study was to investigate the effects of numerous milk compositional factors on milk coagulation properties using Partial Least Squares (PLS). Milk from herds of Jersey and Holstein-Friesian cattle was collected across the year and blended (n=55), to maximize variation in composition and coagulation. The milk was analysed for casein, protein, fat, titratable acidity, lactose, Ca2+, urea content, micelles size, fat globule size, somatic cell count and pH. Milk coagulation properties were defined as coagulation time, curd firmness and curd firmness rate measured by a controlled strain rheometer. The models derived from PLS had higher predictive power than previous models demonstrating the value of measuring more milk components. In addition to the well-established relationships with casein and protein levels, CMS and fat globule size were found to have as strong impact on all of the three models. The study also found a positive impact of fat on milk coagulation properties and a strong relationship between lactose and curd firmness, and urea and curd firmness rate, all of which warrant further investigation due to current lack of knowledge of the underlying mechanism. These findings demonstrate the importance of using a wider range of milk compositional variable for the prediction of the milk coagulation properties, and hence as indicators of milk suitability for cheese making.

Effect of blending Jersey and Holstein-Friesian milk on Cheddar cheese processing, composition and quality

The aim of this study was to investigate the effects of numerous milk compositional factors on milk coagulation properties using Partial Least Squares (PLS). Milk from herds of Jersey and Holstein- Friesian cattle was collected across the year and blended (n=55), to maximise variation in composition and coagulation. The milk was analysed for casein, protein, fat, titratable acidity, lactose, Ca2+, urea content, micelles size, fat globule size, somatic cell count and pH. Milk coagulation properties were defined as coagulation time, curd firmness and curd firmness rate measured by a controlled strain rheometer. The models derived from PLS had higher predictive power than previous models demonstrating the value of measuring more milk components. In addition to the well-established relationships with casein and protein levels, CMS and fat globule size were found to have as strong impact on all of the three models. The study also found a positive impact of fat on milk coagulation properties and a strong relationship between lactose and curd firmness, and urea and curd firmness rate, all of which warrant further investigation due to current lack of knowledge of the underlying mechanism. These findings demonstrate the importance of using a wider range of milk compositional variables for the prediction of the milk coagulation properties, and hence as indicators of milk suitability for cheese making.

Internationalization motives: sell more, buy better, upgrade and escape

Purpose – The purpose of this the paper is to review the motives for internationalization to clarify previous arguments and provide a theory-driven classification. Design/methodology/approach – The authors build on behavioral economics and propose a classification of internationalization motives as the result of the interaction among two dimensions, an economics-driven exploitation of existing resources or exploration of new resources, and a psychology-driven search for better host country conditions or avoidance of poor home country conditions. Findings – These two dimensions result in four internationalization motives: sell more, in which the company exploits existing resources at home and obtains better host country conditions; buy better, in which the company exploits existing resources abroad and avoids poor home country conditions; upgrade, in which the company explores for new resources, and it obtains better host country conditions; and escape, in which the company explores for new resources and avoids poor home country conditions. Originality/value – This theory-driven classification provides predictive power for future analyses of internationalization motives.

Predicting fatty acid profiles in blood based on food intake and the FADS1 rs174546 SNP

SCOPE: A high intake of n-3 PUFA provides health benefits via changes in the n-6/n-3 ratio in blood. In addition to such dietary PUFAs, variants in the fatty acid desaturase 1 (FADS1) gene are also associated with altered PUFA profiles. METHODS AND RESULTS: We used mathematical modelling to predict levels of PUFA in whole blood, based on MHT and bolasso selected food items, anthropometric and lifestyle factors, and the rs174546 genotypes in FADS1 from 1,607 participants (Food4Me Study). The models were developed using data from the first reported time point (training set) and their predictive power was evaluated using data from the last reported time point (test set). Amongst other food items, fish, pizza, chicken and cereals were identified as being associated with the PUFA profiles. Using these food items and the rs174546 genotypes as predictors, models explained 26% to 43% of the variability in PUFA concentrations in the training set and 22% to 33% in the test set. CONCLUSIONS: Selecting food items using MHT is a valuable contribution to determine predictors, as our models' predictive power is higher compared to analogue studies. As unique feature, we additionally confirmed our models' power based on a test set.

Drift from the use of handheld knapsack pesticide sprayers in Boyacá (Colombian Andes)

Offsite pesticide losses in tropical mountainous regions have been little studied. One example is measuring pesticide drift soil deposition, which can support pesticide risk assessment for surface water, soil, bystanders, off target plants and fauna. This is considered a serious gap, given the evidence of pesticide-related poisoning in those regions. Empirical data of drift deposition of a pesticide surrogate, Uranine tracer, within one of the highest potato producing regions in Colombia, characterized by small plots and mountain orography, is presented. High drift values encountered in our study reflect the actual spray conditions using handled knapsack sprayers. Comparison between measured and predicted drift values using three existing empirical equations showed important underestimation. However, after their optimization based on measured drift information, the equations showed a strong predictive power for this study area and the study conditions. The most suitable curve to assess mean relative drift was the IMAG calculator after optimization.

Spatial patterns and environmental constraints on ecosystem services at a catchment scale

Improved understanding and prediction of the fundamental environmental controls on ecosystem service supply across the landscape will help to inform decisions made by policy makers and land-water managers. To evaluate this issue for a local catchment case study, we explored metrics and spatial patterns of service supply for water quality regulation, agriculture production, carbon storage, and biodiversity for the Macronutrient Conwy catchment. Methods included using ecosystem models such as LUCI and JULES, integration of national scale field survey datasets, earth observation products and plant trait databases, to produce finely resolved maps of species richness and primary production. Analyses were done with both 1x1 km gridded and subcatchment data. A common single gradient characterised catchment scale ecosystem services supply with agricultural production and carbon storage at opposing ends of the gradient as reported for a national-scale assessment. Species diversity was positively related to production due to the below national average productivity levels in the Conwy combined with the unimodal relationship between biodiversity and productivity at the national scale. In contrast to the national scale assessment, a strong reduction in water quality as production increased was observed in these low productive systems. Various soil variables were tested for their predictive power of ecosystem service supply. Soil carbon, nitrogen, their ratio and soil pH all had double the power of rainfall and altitude, each explaining around 45% of variation but soil pH is proposed as a potential metric for ecosystem service supply potential as it is a simple and practical metric which can be carried out in the field with crowd-sourcing technologies now available. The study emphasises the importance of considering multiple ecosystem services together due to the complexity of covariation at local and national scales, and the benefits of exploiting a wide range of metrics for each service to enhance data robustness.

Geographic Structure of Plasmodium vivax: Microsatellite Analysis of Parasite Populations from Sri Lanka, Myanmar, and Ethiopia

Genetic diversity and population structure of Plasmodium viva-V parasites call predict the origin and Spread of novel Variants Within a population enabling Population specific malaria control measures. We analyzed the genetic diversity and population Structure of 425 P. vivax isolates from Sri Lanka, Myanmar, and Ethiopia using 12 trinucleotide and tetranucleotide microsatellite markers. All three parasite populations were highly polymorphic with 3-44 alleles per locus. Approximately 65% were multiple-clone infections. Mean genetic diversity (H(E)) was 0.7517 in Ethiopia, 0.8450 in Myanmar, and 0.8610 in Sri Lanka. Significant linkage disequilibrium Was maintained. Population structure showed two clusters (Asian and African) according to geography and ancestry Strong clustering of outbreak isolates from Sri Lanka and Ethiopia was observed. Predictive power of ancestry using two-thirds of the isolates as a model identified 78.2% of isolates accurately as being African or Asian. Microsatellite analysis is a useful tool for mapping short-term outbreaks of malaria and for predicting ancestry.

Comparative molecular field analysis of a series of inhibitors of HIV-1 protease

Several protease inhibitors have reached the world market in the last fifteen years, dramatically improving the quality of life and life expectancy of millions of HIV-infected patients. In spite of the tremendous research efforts in this area, resistant HIV-1 variants are constantly decreasing the ability of the drugs to efficiently inhibit the enzyme. As a consequence, inhibitors with novel frameworks are necessary to circumvent resistance to chemotherapy. In the present work, we have created 3D QSAR models for a series of 82 HIV-1 protease inhibitors employing the comparative molecular field analysis (CoMFA) method. Significant correlation coefficients were obtained (q(2) = 0.82 and r(2) = 0.97), indicating the internal consistency of the best model, which was then used to evaluate an external test set containing 17 compounds. The predicted values were in good agreement with the experimental results, showing the robustness of the model and its substantial predictive power for untested compounds. The final QSAR model and the information gathered from the CoMFA contour maps should be useful for the design of novel anti-HIV agents with improved potency.

Fragment-guided approach to incorporating structural information into a CoMFA study: BACE-1 as an example

Alzheimer`s disease is an ultimately fatal neurodegenerative disease, and BACE-1 has become an attractive validated target for its therapy, with more than a hundred crystal structures deposited in the PDB. In the present study, we present a new methodology that integrates ligand-based methods with structural information derived from the receptor. 128 BACE-1 inhibitors recently disclosed by GlaxoSmithKline R&D were selected specifically because the crystal structures of 9 of these compounds complexed to BACE-1, as well as five closely related analogs, have been made available. A new fragment-guided approach was designed to incorporate this wealth of structural information into a CoMFA study, and the methodology was systematically compared to other popular approaches, such as docking, for generating a molecular alignment. The influence of the partial charges calculation method was also analyzed. Several consistent and predictive models are reported, including one with r (2) = 0.88, q (2) = 0.69 and r (pred) (2) = 0.72. The models obtained with the new methodology performed consistently better than those obtained by other methodologies, particularly in terms of external predictive power. The visual analyses of the contour maps in the context of the enzyme drew attention to a number of possible opportunities for the development of analogs with improved potency. These results suggest that 3D-QSAR studies may benefit from the additional structural information added by the presented methodology.

Pharmacogenetics of Warfarin: Development of a Dosing Algorithm for Brazilian Patients

A dosing algorithm including genetic (VKORC1 and CYP2C9 genotypes) and nongenetic factors (age, weight, therapeutic indication, and cotreatment with amiodarone or simvastatin) explained 51% of the variance in stable weekly warfarin doses in 390 patients attending an anticoagulant clinic in a Brazilian public hospital. The VKORC1 3673G>A genotype was the most important predictor of warfarin dose, with a partial R(2) value of 23.9%. Replacing the VKORC1 3673G>A genotype with VKORC1 diplotype did not increase the algorithm`s predictive power. We suggest that three other single-nucleotide polymorphisms (SNPs) (5808T>G, 6853G>C, and 9041G>A) that are in strong linkage disequilibrium (LD) with 3673G>A would be equally good predictors of the warfarin dose requirement. The algorithm`s predictive power was similar across the self-identified ""race/color"" subsets. ""Race/color"" was not associated with stable warfarin dose in the multiple regression model, although the required warfarin dose was significantly lower (P = 0.006) in white (29 +/- 13 mg/week, n = 196) than in black patients (35 +/- 15 mg/week, n = 76).

Relations between regulation, competition policy and consumer protection in telecommunications, electricity and water supply

The purpose of this article is to discuss the relations between regulation, competition policy and consumer protection these relations in three key sectors of Brazil’s infrastructure: telecommunications, electricity and water supply. A study of the literature points to two general principles. First, the need for consumer protection depends on the “degree of sovereignty” enjoyed by consumers, defined in terms of the cost of consumer organization, consumers’ ability to evaluate services, and the level of competition in each sector. Second, the less sovereignty consumers enjoy the more consumer protection institutions are involved with regulation agencies. The evidence for the Brazilian case apparently corroborates these points. In addition, it is important to stress that consumer complaints in regulated sectors seem to have increased more intensely than in others. The article is divided into three sections. Section 1 presents theoretical elements and aspects of the relations between regulation, competition policy and consumer protection evidenced by international experience. Section 2 analyzes the Brazilian experience and in particular the available statistics on consumer complaints about telecommunications, electricity and water supply, submitted to Fundação Procon-SP during the nineties. The last section points to possible configurations of the institutional relations between competition policy, regulation and consumer protection, showing how the existing configuration of these areas in the three infrastructure sectors discussed confirms that the theoretical framework proposed has reasonable predictive power.

“Ombro-cabeça-ombro”: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro

A partir de uma adaptação da metodologia de Osler e Chang (1995), este trabalho avalia, empiricamente, a lucratividade de estratégias de investimento baseadas na identificação do padrão gráfico de Análise Técnica Ombro-Cabeça-Ombro no mercado de ações brasileiro. Para isso, foram definidas diversas estratégias de investimento condicionais à identificação de padrões Ombro-Cabeça- Ombro (em suas formas padrão e invertida), por um algoritmo computadorizado, em séries diárias de preços de 47 ações no período de janeiro de 1994 a agosto de 2006. Para testar o poder de previsão de cada estratégia, foram construídos intervalos de confiança, a partir da técnica Bootstrap de inferência amostral, consistentes com a hipótese nula de que, baseado apenas em dados históricos, não é possível criar estratégias com retornos positivos. Mais especificamente, os retornos médios obtidos por cada estratégia nas séries de preços das ações, foram comparados àqueles obtidos pelas mesmas estratégias aplicadas a 1.000 séries de preços artificiais - para cada ação - geradas segundo dois modelos de preços de ações largamente utilizados: Random Walk e E-GARCH. De forma geral, os resultados encontrados mostram que é possível criar estratégias condicionais à realização dos padrões Ombro- Cabeça-Ombro com retornos positivos, indicando que esses padrões conseguem capturar nas séries históricas de preços de ações sinais a respeito da sua movimentação futura de preços, que não são explicados nem por um Random Walk e nem por um E-GARCH. No entanto, se levados em consideração os efeitos das taxas e dos custos de transação, dependendo das suas magnitudes, essas conclusões somente se mantêm para o padrão na sua forma invertida