Gold and the Stock Market: 3 Essays on Gold Investments

This thesis gives an overview of the history of gold per se, of gold as an investment good and offers some institutional details about gold and other precious metal markets. The goal of this study is to investigate the role of gold as a store of value and hedge against negative market movements in turbulent times. I investigate gold’s ability to act as a safe haven during periods of financial stress by employing instrumental variable techniques that allow for time varying conditional covariance. I find broad evidence supporting the view that gold acts as an anchor of stability during market downturns. During periods of high uncertainty and low stock market returns, gold tends to have higher than average excess returns. The effectiveness of gold as a safe haven is enhanced during periods of extreme crises: the largest peaks are observed during the global financial crises of 2007-2009 and, in particular, during the Lehman default (October 2008). A further goal of this thesis is to investigate whether gold provides protection from tail risk. I address the issue of asymmetric precious metal behavior conditioned to stock market performance and provide empirical evidence about the contribution of gold to a portfolio’s systematic skewness and kurtosis. I find that gold has positive coskewness with the market portfolio when the market is skewed to the left. Moreover, gold shows low cokurtosis with the market returns during volatile periods. I therefore show that gold is a desirable investment good to risk averse investors, since it tends to decrease the probability of experiencing extreme bad outcomes, and the magnitude of losses in case such events occur. Gold thus bears very important and under-researched characteristics as an asset class per se, which this thesis contributed to address and unveil.

Essays in Macroecometrics: methodological aspects and empirical applications

In the first chapter, I develop a panel no-cointegration test which extends Pesaran, Shin and Smith (2001)'s bounds test to the panel framework by considering the individual regressions in a Seemingly Unrelated Regression (SUR) system. This allows to take into account unobserved common factors that contemporaneously affect all the units of the panel and provides, at the same time, unit-specific test statistics. Moreover, the approach is particularly suited when the number of individuals of the panel is small relatively to the number of time series observations. I develop the algorithm to implement the test and I use Monte Carlo simulation to analyze the properties of the test. The small sample properties of the test are remarkable, compared to its single equation counterpart. I illustrate the use of the test through a test of Purchasing Power Parity in a panel of EU15 countries. In the second chapter of my PhD thesis, I verify the Expectation Hypothesis of the Term Structure in the repurchasing agreements (repo) market with a new testing approach. I consider an "inexact" formulation of the EHTS, which models a time-varying component in the risk premia and I treat the interest rates as a non-stationary cointegrated system. The effect of the heteroskedasticity is controlled by means of testing procedures (bootstrap and heteroskedasticity correction) which are robust to variance and covariance shifts over time. I fi#nd that the long-run implications of EHTS are verified. A rolling window analysis clarifies that the EHTS is only rejected in periods of turbulence of #financial markets. The third chapter introduces the Stata command "bootrank" which implements the bootstrap likelihood ratio rank test algorithm developed by Cavaliere et al. (2012). The command is illustrated through an empirical application on the term structure of interest rates in the US.

Methodological issues in quantifying the magnitude of the tuberculosis problem in a prison population

SETTING: Correctional settings and remand prisons. OBJECTIVE: To critically discuss calculations for epidemiological indicators of the tuberculosis (TB) burden in prisons and to provide recommendations to improve study comparability. METHODS: A hypothetical data set illustrates issues in determining incidence and prevalence. The appropriate calculation of the incidence rate is presented and problems arising from cross-sectional surveys are clarifi ed. RESULTS: Cases recognized during the fi rst 3 months should be classifi ed as prevalent at entry and excluded from any incidence rate calculation. The numerator for the incidence rate includes persons detected as having developed TB during a specifi ed period of time subsequent to the initial 3 months. The denominator is persontime at risk from 3 months onward to the end point (TB or end of the observation period). Preferably, entry time, exit time and event time are known for each inmate to determine person-time at risk. Failing that, an approximation consists of the sum of monthly head counts, excluding prevalent cases and those persons no longer at risk from both the numerator and the denominator. CONCLUSIONS: The varying durations of inmate incarceration in prisons pose challenges for quantifying the magnitude of the TB problem in the inmate population. Recommendations are made to measure incidence and prevalence.

Patient-related risk factors leading to aseptic stem loosening in total hip arthroplasty: a case-control study of 5,035 patients

BACKGROUND: We hypothesized that certain patient characteristics have different effects on the risk of early stem loosening in total hip arthroplasty (THA). We therefore conducted a case-control study using register-database records with the aim of identifying patient-specific risk factors associated with radiographic signs of aseptic loosening of the femoral component in THA. METHOD: Data were derived from a multinational European registry and were collected over a period of 25 years. 725 cases with radiographic signs of stem loosening were identified and matched to 4,310 controls without any signs of loosening. Matching criteria were type of implant, size of head, date of operation, center of primary intervention, and follow-up time. The risk factors analyzed were age at operation, sex, diagnosis and previous ipsilateral operations, height, weight, body mass index and mobility based on the Charnley classification. RESULTS: Women showed significantly lower risk of radiographic loosening than men (odds ratio (OR) 0.64). Age was also a strong factor: risk decreased by 1.8% for each additional year of age at the time of surgery. Height and weight were not associated with risk of loosening. A higher body mass index, however, increased the risk of stem loosening to a significant extent (OR 1.03) per additional unit of BMI. Charnley Class B, indicating restricted mobility, was associated with lower risk of loosening (OR 0.78). INTERPRETATION: An increased activity level, as seen in younger patients and those with unrestricted mobility, is an important factor in the etiology of stem loosening. If combined with high BMI, the risk of stem loosening within 10 years is even higher. A younger person should not be denied the benefits of a total hip arthroplasty but must accept that the risk of future failure is increased.

Modeling multilevel sleep transitional data via Poisson log-linear multilevel models

This paper proposes Poisson log-linear multilevel models to investigate population variability in sleep state transition rates. We specifically propose a Bayesian Poisson regression model that is more flexible, scalable to larger studies, and easily fit than other attempts in the literature. We further use hierarchical random effects to account for pairings of individuals and repeated measures within those individuals, as comparing diseased to non-diseased subjects while minimizing bias is of epidemiologic importance. We estimate essentially non-parametric piecewise constant hazards and smooth them, and allow for time varying covariates and segment of the night comparisons. The Bayesian Poisson regression is justified through a re-derivation of a classical algebraic likelihood equivalence of Poisson regression with a log(time) offset and survival regression assuming piecewise constant hazards. This relationship allows us to synthesize two methods currently used to analyze sleep transition phenomena: stratified multi-state proportional hazards models and log-linear models with GEE for transition counts. An example data set from the Sleep Heart Health Study is analyzed.

CA15-3 and alkaline phosphatase as predictors for breast cancer recurrence: a combined analysis of seven International Breast Cancer Study Group trials

BACKGROUND: We evaluated the ability of CA15-3 and alkaline phosphatase (ALP) to predict breast cancer recurrence. PATIENTS AND METHODS: Data from seven International Breast Cancer Study Group trials were combined. The primary end point was relapse-free survival (RFS) (time from randomization to first breast cancer recurrence), and analyses included 3953 patients with one or more CA15-3 and ALP measurement during their RFS period. CA15-3 was considered abnormal if >30 U/ml or >50% higher than the first value recorded; ALP was recorded as normal, abnormal, or equivocal. Cox proportional hazards models with a time-varying indicator for abnormal CA15-3 and/or ALP were utilized. RESULTS: Overall, 784 patients (20%) had a recurrence, before which 274 (35%) had one or more abnormal CA15-3 and 35 (4%) had one or more abnormal ALP. Risk of recurrence increased by 30% for patients with abnormal CA15-3 [hazard ratio (HR) = 1.30; P = 0.0005], and by 4% for those with abnormal ALP (HR = 1.04; P = 0.82). Recurrence risk was greatest for patients with either (HR = 2.40; P < 0.0001) and with both (HR = 4.69; P < 0.0001) biomarkers abnormal. ALP better predicted liver recurrence. CONCLUSIONS: CA15-3 was better able to predict breast cancer recurrence than ALP, but use of both biomarkers together provided a better early indicator of recurrence. Whether routine use of these biomarkers improves overall survival remains an open question.

Accounting for baseline differences and measurement error in the analysis of change over time

If change over time is compared in several groups, it is important to take into account baseline values so that the comparison is carried out under the same preconditions. As the observed baseline measurements are distorted by measurement error, it may not be sufficient to include them as covariate. By fitting a longitudinal mixed-effects model to all data including the baseline observations and subsequently calculating the expected change conditional on the underlying baseline value, a solution to this problem has been provided recently so that groups with the same baseline characteristics can be compared. In this article, we present an extended approach where a broader set of models can be used. Specifically, it is possible to include any desired set of interactions between the time variable and the other covariates, and also, time-dependent covariates can be included. Additionally, we extend the method to adjust for baseline measurement error of other time-varying covariates. We apply the methodology to data from the Swiss HIV Cohort Study to address the question if a joint infection with HIV-1 and hepatitis C virus leads to a slower increase of CD4 lymphocyte counts over time after the start of antiretroviral therapy.

Non-AIDS defining cancers in the D:A:D Study - time trends and predictors of survival: a cohort study

Background Non-AIDS defining cancers (NADC) are an important cause of morbidity and mortality in HIV-positive individuals. Using data from a large international cohort of HIV-positive individuals, we described the incidence of NADC from 2004–2010, and described subsequent mortality and predictors of these. Methods Individuals were followed from 1st January 2004/enrolment in study, until the earliest of a new NADC, 1st February 2010, death or six months after the patient’s last visit. Incidence rates were estimated for each year of follow-up, overall and stratified by gender, age and mode of HIV acquisition. Cumulative risk of mortality following NADC diagnosis was summarised using Kaplan-Meier methods, with follow-up for these analyses from the date of NADC diagnosis until the patient’s death, 1st February 2010 or 6 months after the patient’s last visit. Factors associated with mortality following NADC diagnosis were identified using multivariable Cox proportional hazards regression. Results Over 176,775 person-years (PY), 880 (2.1%) patients developed a new NADC (incidence: 4.98/1000PY [95% confidence interval 4.65, 5.31]). Over a third of these patients (327, 37.2%) had died by 1st February 2010. Time trends for lung cancer, anal cancer and Hodgkin’s lymphoma were broadly consistent. Kaplan-Meier cumulative mortality estimates at 1, 3 and 5 years after NADC diagnosis were 28.2% [95% CI 25.1-31.2], 42.0% [38.2-45.8] and 47.3% [42.4-52.2], respectively. Significant predictors of poorer survival after diagnosis of NADC were lung cancer (compared to other cancer types), male gender, non-white ethnicity, and smoking status. Later year of diagnosis and higher CD4 count at NADC diagnosis were associated with improved survival. The incidence of NADC remained stable over the period 2004–2010 in this large observational cohort. Conclusions The prognosis after diagnosis of NADC, in particular lung cancer and disseminated cancer, is poor but has improved somewhat over time. Modifiable risk factors, such as smoking and low CD4 counts, were associated with mortality following a diagnosis of NADC.

Statin therapy and long-term adverse limb outcomes in patients with peripheral artery disease: insights from the REACH registry

AIMS Due to a high burden of systemic cardiovascular events, current guidelines recommend the use of statins in all patients with peripheral artery disease (PAD). We sought to study the impact of statin use on limb prognosis in patients with symptomatic PAD enrolled in the international REACH registry. METHODS Statin use was assessed at study enrolment, as well as a time-varying covariate. Rates of the primary adverse limb outcome (worsening claudication/new episode of critical limb ischaemia, new percutaneous/surgical revascularization, or amputation) at 4 years and the composite of cardiovascular death/myocardial infarction/stroke were compared among statin users vs. non-users. RESULTS A total of 5861 patients with symptomatic PAD were included. Statin use at baseline was 62.2%. Patients who were on statins had a significantly lower risk of the primary adverse limb outcome at 4 years when compared with those who were not taking statins [22.0 vs. 26.2%; hazard ratio (HR), 0.82; 95% confidence interval (CI), 0.72-0.92; P = 0.0013]. Results were similar when statin use was considered as a time-dependent variable (P = 0.018) and on propensity analysis (P < 0.0001). The composite of cardiovascular death/myocardial infarction/stroke was similarly reduced (HR, 0.83; 95% CI, 0.73-0.96; P = 0.01). CONCLUSION Among patients with PAD in the REACH registry, statin use was associated with an ∼18% lower rate of adverse limb outcomes, including worsening symptoms, peripheral revascularization, and ischaemic amputations. These findings suggest that statin therapy not only reduces the risk of adverse cardiovascular events, but also favourably affects limb prognosis in patients with PAD.

Comparative effectiveness of immediate antiretroviral therapy versus CD4-based initiation in HIV-positive individuals in high-income countries: observational cohort study.

BACKGROUND Recommendations have differed nationally and internationally with respect to the best time to start antiretroviral therapy (ART). We compared effectiveness of three strategies for initiation of ART in high-income countries for HIV-positive individuals who do not have AIDS: immediate initiation, initiation at a CD4 count less than 500 cells per μL, and initiation at a CD4 count less than 350 cells per μL. METHODS We used data from the HIV-CAUSAL Collaboration of cohort studies in Europe and the USA. We included 55 826 individuals aged 18 years or older who were diagnosed with HIV-1 infection between January, 2000, and September, 2013, had not started ART, did not have AIDS, and had CD4 count and HIV-RNA viral load measurements within 6 months of HIV diagnosis. We estimated relative risks of death and of death or AIDS-defining illness, mean survival time, the proportion of individuals in need of ART, and the proportion of individuals with HIV-RNA viral load less than 50 copies per mL, as would have been recorded under each ART initiation strategy after 7 years of HIV diagnosis. We used the parametric g-formula to adjust for baseline and time-varying confounders. FINDINGS Median CD4 count at diagnosis of HIV infection was 376 cells per μL (IQR 222-551). Compared with immediate initiation, the estimated relative risk of death was 1·02 (95% CI 1·01-1·02) when ART was started at a CD4 count less than 500 cells per μL, and 1·06 (1·04-1·08) with initiation at a CD4 count less than 350 cells per μL. Corresponding estimates for death or AIDS-defining illness were 1·06 (1·06-1·07) and 1·20 (1·17-1·23), respectively. Compared with immediate initiation, the mean survival time at 7 years with a strategy of initiation at a CD4 count less than 500 cells per μL was 2 days shorter (95% CI 1-2) and at a CD4 count less than 350 cells per μL was 5 days shorter (4-6). 7 years after diagnosis of HIV, 100%, 98·7% (95% CI 98·6-98·7), and 92·6% (92·2-92·9) of individuals would have been in need of ART with immediate initiation, initiation at a CD4 count less than 500 cells per μL, and initiation at a CD4 count less than 350 cells per μL, respectively. Corresponding proportions of individuals with HIV-RNA viral load less than 50 copies per mL at 7 years were 87·3% (87·3-88·6), 87·4% (87·4-88·6), and 83·8% (83·6-84·9). INTERPRETATION The benefits of immediate initiation of ART, such as prolonged survival and AIDS-free survival and increased virological suppression, were small in this high-income setting with relatively low CD4 count at HIV diagnosis. The estimated beneficial effect on AIDS is less than in recently reported randomised trials. Increasing rates of HIV testing might be as important as a policy of early initiation of ART. FUNDING National Institutes of Health.

Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?

Exchange rate movements affect exports in two ways -- its depreciation and its variability (risk). A depreciation raises exports, but the associated exchange rate risk could offset that positive effect. The present paper investigates the net effect for eight Asian countries using a dynamic conditional correlation bivariate GARCH-M model that simultaneously estimates time varying correlation and exchange rate risk. Depreciation encourages exports, as expected, for most countries, but its contribution to export growth is weak. Exchange rate risk contributes to export growth in Malaysia and the Philippines, leading to positive net effects. Exchange rate risk generates a negative effect for six of the countries, resulting in a negative net effect in Indonesia, Japan, Singapore, Taiwan and a zero net effect in Korea and Thailand. Since the negative effect of exchange rate risk may offset, or even dominate, positive contributions from depreciation, policy makers need to reduce exchange rate fluctuation along with and possibly before efforts to depreciate the currency.

Time-frequency characterization of a sound propagation channel as an educational tool

This paper discusses the use of sound waves to illustrate multipath radio propagation concepts. Specifically, a procedure is presented to measure the time-varying frequency response of the channel. This helps demonstrate how a propagation channel can be characterized in time and frequency, and provides visualizations of the concepts of coherence time and coherence bandwidth. The measurements are very simple to carry out, and the required equipment is easily available. The proposed method can be useful for wireless or mobile communication courses.

Time-Frequency based Feature Selection for Discrimination of non stationary Biosignals.

This research proposes a generic methodology for dimensionality reduction upon time-frequency representations applied to the classification of different types of biosignals. The methodology directly deals with the highly redundant and irrelevant data contained in these representations, combining a first stage of irrelevant data removal by variable selection, with a second stage of redundancy reduction using methods based on linear transformations. The study addresses two techniques that provided a similar performance: the first one is based on the selection of a set of the most relevant time?frequency points, whereas the second one selects the most relevant frequency bands. The first methodology needs a lower quantity of components, leading to a lower feature space; but the second improves the capture of the time-varying dynamics of the signal, and therefore provides a more stable performance. In order to evaluate the generalization capabilities of the methodology proposed it has been applied to two types of biosignals with different kinds of non-stationary behaviors: electroencephalographic and phonocardiographic biosignals. Even when these two databases contain samples with different degrees of complexity and a wide variety of characterizing patterns, the results demonstrate a good accuracy for the detection of pathologies, over 98%.The results open the possibility to extrapolate the methodology to the study of other biosignals.

A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems

n this work, a mathematical unifying framework for designing new fault detection schemes in nonlinear stochastic continuous-time dynamical systems is developed. These schemes are based on a stochastic process, called the residual, which reflects the system behavior and whose changes are to be detected. A quickest detection scheme for the residual is proposed, which is based on the computed likelihood ratios for time-varying statistical changes in the Ornstein–Uhlenbeck process. Several expressions are provided, depending on a priori knowledge of the fault, which can be employed in a proposed CUSUM-type approximated scheme. This general setting gathers different existing fault detection schemes within a unifying framework, and allows for the definition of new ones. A comparative simulation example illustrates the behavior of the proposed schemes.

Control of a Teleoperation System by State Convergence with Variable Time Delay

In this paper, we propose a novel control scheme for bilateral teleoperation of n degree-of-freedom (DOF) nonlinear robotic systems with time-varying communication delay. We consider that the human operator contains a constant force on the local manipulator. The local and remote manipulators are coupled using state convergence control scheme. By choosing a Lyapunov-Krasovskii functional, we show that the local-remote teleoperation system is asymptotically stable. It is also shown that, in the case of reliable communication protocols, the proposed scheme guarantees that the remote manipulator tracks the delayed trajectory of the local manipulator. The time delay of communication channel is assumed to be unknown and randomly time varying, but the upper bounds of the delay interval and the derivative of the delay are assumed to be known.