Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

Feasibility of using health data sources to inform product safety surveillance in Queensland : a report for the Queensland Injury Prevention Council

This report provides an evaluation of the current available evidence-base for identification and surveillance of product-related injuries in children in Queensland. While the focal population was children in Queensland, the identification of information needs and data sources for product safety surveillance has applicability nationally for all age groups. The report firstly summarises the data needs of product safety regulators regarding product-related injury in children, describing the current sources of information informing product safety policy and practice, and documenting the priority product surveillance areas affecting children which have been a focus over recent years in Queensland. Health data sources in Queensland which have the potential to inform product safety surveillance initiatives were evaluated in terms of their ability to address the information needs of product safety regulators. Patterns in product-related injuries in children were analysed using routinely available health data to identify areas for future intervention, and the patterns in product-related injuries in children identified in health data were compared to those identified by product safety regulators. Recommendations were made for information system improvements and improved access to and utilisation of health data for more proactive approaches to product safety surveillance in the future.

Loss of chance in medical negligence claims now a lost cause?

The question whether the loss of chance of a better medical outcome in cases of medical negligence should be recognised as actionable damage is ‘a question which has divided courts and commentators throughout the common law world.’ In April 2010, the High Court handed down its anticipated decision in the case of Tabet (by her Tutor Sheiban) v Gett (2010) 240 CLR 537. The issue considered by the court was whether the appellant could claim in negligence for the loss of a chance of a better medical outcome. This issue had not been considered by the High Court previously, the most relevant cases being Rufo v Hosking (2004) 61 NSWLR 678 and Gavalas v Singh (2001) 3 VLR 404. Claiming for a loss of chance in a personal injury action raises questions as to recognised damage and causation, and the members of the High Court considered both of these.

Preventing injuries on a state-wide basis : researchers and parliamentary committees are partners in turning injury prevention and safety research into practice and policy

Context: Parliamentary committees established in Westminster parliaments, such as Queensland, provide a cross-party structure that enables them to recommend policy and legislative changes that may otherwise be difficult for one party to recommend. The overall parliamentary committee process tends to be more cooperative and less adversarial than the main chamber of parliament and, as a result, this process permits parliamentary committees to make recommendations more on the available research evidence and less on political or party considerations. Objectives: This paper considers the contributions that parliamentary committees in Queensland have made in the past in the areas of road safety, drug use as well as organ and tissue donation. The paper also discusses the importance of researchers actively engaging with parliamentary committees to ensure the best evidence based policy outcomes. Key messages: In the past, parliamentary committees have successfully facilitated important safety changes with many committee recommendations based on research results. In order to maximise the benefits of the parliamentary committee process it is essential that researchers inform committees about their work and become key stakeholders in the inquiry process. Researchers can keep committees informed by making submissions to their inquiries, responding to requests for information and appearing as witnesses at public hearings. Researchers should emphasise the key findings and implications of their research as well as considering the jurisdictional implications and political consequences. It is important that researchers understand the differences between lobbying and providing informed recommendations when interacting with committees. Discussion and conclusions: Parliamentary committees in Queensland have successfully assisted in the introduction of evidence based policy and legislation. In order to present best practice recommendations, committees rely on the evidence presented to them including the results of researchers. Actively engaging with parliamentary committees will help researchers to turn their results into practice with a corresponding decrease in injuries and fatalities. Developing an understanding of parliamentary committees, and the typical inquiry process used by these committees, will help researchers to present their research results in a manner that will encourage the adoption of their ideas by parliamentary committees, the presentation of these results as recommendations within the report and the subsequent enactment of the committee’s recommendations by the government.

Inferior field loss increases rate of falls in older adults with glaucoma

PURPOSE: To examine the visual predictors of falls and injurious falls among older adults with glaucoma. METHODS: Prospective falls data were collected for 71 community-dwelling adults with primary open-angle glaucoma, mean age 73.9 ± 5.7 years, for one year using monthly falls diaries. Baseline assessment of central visual function included high-contrast visual acuity and Pelli-Robson contrast sensitivity. Binocular integrated visual fields were derived from monocular Humphrey Field Analyser plots. Rate ratios (RR) for falls and injurious falls with 95% confidence intervals (CIs) were based on negative binomial regression models. RESULTS: During the one year follow-up, 31 (44%) participants experienced at least one fall and 22 (31%) experienced falls that resulted in an injury. Greater visual impairment was associated with increased falls rate, independent of age and gender. In a multivariate model, more extensive field loss in the inferior region was associated with higher rate of falls (RR 1.57, 95%CI 1.06, 2.32) and falls with injury (RR 1.80, 95%CI 1.12, 2.98), adjusted for all other vision measures and potential confounding factors. Visual acuity, contrast sensitivity, and superior field loss were not associated with the rate of falls; topical beta-blocker use was also not associated with increased falls risk. CONCLUSIONS: Falls are common among older adults with glaucoma and occur more frequently in those with greater visual impairment, particularly in the inferior field region. This finding highlights the importance of the inferior visual field region in falls risk and assists in identifying older adults with glaucoma at risk of future falls, for whom potential interventions should be targeted. KEY WORDS: glaucoma, visual field, visual impairment, falls, injury

Psycho-markers of weight loss. The roles of TFEQ Disinhibition and Restraint in exercise-induced weight management

Eating behaviour traits, namely Disinhibition and Restraint, have the potential to exert an effect on food intake and energy balance. The effectiveness of exercise as a method of weight management could be influenced by these traits. Fifty eight overweight and obese participants completed 12-weeks of supervised exercise. Each participant was prescribed supervised exercise based on an expenditure of 500 kcal/session, 5 d/week for 12-weeks. Following 12-weeks of exercise there was a significant reduction in mean body weight (-3.26 ± 3.63 kg), fat mass (FM: -3.26 ± 2.64 kg), BMI (-1.16 ± 1.17 kg/m2)and waist circumference (WC: -5.0 ± 3.23 cm). Regression analyses revealed a higher baseline Disinhibition score was associated with a greater reduction in BMI and WC, while Internal Disinhibition was associated with a larger decrease in weight, %FM and WC. Neither baseline Restraint or Hunger were associated with any of the anthropometric markers at baseline or after 12-weeks. Furthermore, after 12-weeks of exercise, a decrease in Disinhibition and increase in Restraint were associated with a greater reduction in WC, whereas only Restraint was associated with a decrease in weight. Post-hoc analysis of the sub-factors revealed a decrease in External Disinhibition and increase in Flexible Restraint were associated with weight loss. However, an increase in Rigid Restraint was associated with a reduction in %FM and WC. These findings suggest that exercise-induced weight loss is more marked in individuals with a high level of Disinhibition. These data demonstrate the important roles that Disinhibition and Restraint play in the relationship between exercise and energy balance.

Problems with a great idea : referral by prehospital emergency services to a community-based falls-prevention service

Background and aim Falls are the leading cause of injury in older adults. Identifying people at risk before they experience a serious fall requiring hospitalisation allows an opportunity to intervene earlier and potentially reduce further falls and subsequent healthcare costs. The purpose of this project was to develop a referral pathway to a community falls-prevention team for older people who had experienced a fall attended by a paramedic service and who were not transported to hospital. It was also hypothesised that providing intervention to this group of clients would reduce future falls-related ambulance call-outs, emergency department presentations and hospital admissions. Methods An education package, referral pathway and follow-up procedures were developed. Both services had regular meetings, and work shadowing with the paramedics was also trialled to encourage more referrals. A range of demographic and other outcome measures were collected to compare people referred through the paramedic pathway and through traditional pathways. Results Internal data from the Queensland Ambulance Service indicated that there were approximately six falls per week by community-dwelling older persons in the eligible service catchment area (south west Brisbane metropolitan area) who were attended to by Queensland Ambulance Service paramedics, but not transported to hospital during the 2-year study period (2008–2009). Of the potential 638 eligible patients, only 17 (2.6%) were referred for a falls assessment. Conclusion Although this pilot programme had support from all levels of management as well as from the service providers, it did not translate into actual referrals. Several explanations are provided for these preliminary findings.

Community beliefs about intentional injury and responsibility for prevention

Community beliefs related to intentional injury inflicted by others were examined in a population-based telephone survey (n= 1032) in Queensland, Australia. Young adults 18-24 years were nominated as the most likely to be intentionally injured. 89.1% of respondents nominating this group believed that the injury incidents occur in alcohol environments. Though respondents from this age group also identified 18-24 yo as most likely to be intentionally injured, this was at a significantly lower level than did parents or 25-64 yo respondents. Responsibility for preventing injuries was placed on proprietors of licensed premises, schools and parents/family of the victim for alcohol, school and home environments respectively. Beliefs were aligned with prevalence data on intentional injury demonstrating a high level of awareness in the community about likely victims and situations where intentional injuries occur. Interventions could target families of young adults to capitalize on high levels of awareness about young adult vulnerability.

Associations between parenting behaviours and feeding beliefs of first-time Australian mothers in the NOURISH obesity prevention trial

Purpose: Parenting style and early feeding practices have been linked to child intake, eating behaviour and weight status. The purpose of this study was to examine associations between general maternal parenting behaviours and feeding beliefs in Australian mothers of 11-17 month-old children. Methods: This cross-sectional analysis included 223 first-time mothers and their children (49% male, mean age 14 [sd 1] months) enrolled in the control group of the NOURISH trial. Mothers self-reported their feeding beliefs and parenting behaviours (overprotection, irritability, warmth, autonomy-encouraging) using modified questions from the Infant Feeding Questionnaire (Baughcum, 2001) and the Longitudinal Study of Australian Children. Multiple regression analyses were conducted, using feeding beliefs (four factors) as dependent and parenting behaviours as independent variables while adjusting for child gender, age, weight-for-age z-score and maternal age, education level, feeding mode (breast vs. non-breast), and perception of own pre-pregnancy and child weight status. Results/Findings: Two of four parenting behaviours were significantly associated with feeding beliefs. Maternal warmth was inversely associated with concerns that the child would become underweight (β=-0.156, p=0.022) and positively associated with mothers’ awareness of child’s hunger/satiety cues (β=0.303, p<0.001). Mothers’ overprotection was positively associated with concerns that the child would become underweight (β=0.213, p=0.001); become overweight (β=0.174, p=0.005); and mother’s responsive feeding (β=0.135, p=0.057). Weight-for-age z-score, mothers’ perception of their child and own weight status, education, feeding mode, and child’s age were significant covariates. Conclusions: Feeding occurs within the broader parenting context. Improving early feeding beliefs and practices may require addressing mother’s approaches to parenting, especially warmth and overprotection.

Age-related loss of brain volume and T2 relaxation time in youth with type 1 diabetes

OBJECTIVE: Childhood-onset type 1 diabetes is associated with neurocognitive deficits, but there is limited evidence to date regarding associated neuroanatomical brain changes and their relationship to illness variables such as age at disease onset. This report examines age-related changes in volume and T2 relaxation time (a fundamental parameter of magnetic resonance imaging that reflects tissue health) across the whole brain. RESEARCH DESIGN AND METHODS: Type 1 diabetes, N = 79 (mean age 20.32 ± 4.24 years), and healthy control participants, N = 50 (mean age 20.53 ± 3.60 years). There were no substantial group differences on socioeconomic status, sex ratio, or intelligence quotient. RESULTS: Regression analyses revealed a negative correlation between age and brain changes, with decreasing gray matter volume and T2 relaxation time with age in multiple brain regions in the type 1 diabetes group. In comparison, the age-related decline in the control group was small. Examination of the interaction of group and age confirmed a group difference (type 1 diabetes vs. control) in the relationship between age and brain volume/T2 relaxation time. CONCLUSIONS: We demonstrated an interaction between age and group in predicting brain volumes and T2 relaxation time such that there was a decline in these outcomes in type 1 diabetic participants that was much less evident in control subjects. Findings suggest the neurodevelopmental pathways of youth with type 1 diabetes have diverged from those of their healthy peers by late adolescence and early adulthood but the explanation for this phenomenon remains to be clarified.

A process evaluation of a comprehensive school based injury prevention program

A process evaluation enables understanding of critical issues that can inform the improved, ongoing implementation of an intervention program. This study describes the process evaluation of a comprehensive, multi-level injury prevention program for adolescents. The program targets change in injury associated with violence, transport and alcohol risks and incorporates two primary elements: an 8-week, teacher delivered attitude and behaviour change curriculum for Grade 8 students; and a professional development program for teachers on school level methods of protection, focusing on strategies to increase students’ connectedness to school.

Reducing aggression on our roads : testing a comprehensive model of aggressive driving

Background: Trauma resulting from traffic crashes poses a significant problem in highly motorised countries. Over a million people worldwide are killed annually and 50 million are critically injured as a result of traffic collisions. In Australia, road crashes cost an average of $17 billion annually in personal loss of income and quality of life, organisational losses in productivity and workplace quality, and health care costs. Driver aggression has been identified as a key factor contributing to crashes, and many motorists report experiencing mild forms of aggression (e.g., rude gestures, horn honking). However despite this concern, driver aggression has received relatively little attention in empirical research, and existing research has been hampered by a number of methodological and conceptual shortcomings. Specifically, there has been substantial disagreement regarding what constitutes aggressive driving and a failure to examine both the situational factors and the emotional and cognitive processes underlying driver aggression. To enhance current understanding of aggressive driving, a model of driver aggression that highlights the cognitive and emotional processes at play in aggressive driving incidents is proposed. Aims: The research aims to improve current understanding of the complex nature of driver aggression by testing and refining a model of aggressive driving that incorporates the person-related and situational factors and the cognitive and emotional appraisal processes fundamental to driver aggression. In doing so, the research will assist to provide a clear definition of what constitutes aggressive driving, assist to identify on-road incidents that trigger driver aggression, and identify the emotional and cognitive appraisal processes that underlie driver aggression. Methods: The research involves three studies. Firstly, to contextualise the model and explore the cognitive and emotional aspects of driver aggression, a diary-based study using self-reports of aggressive driving events will be conducted with a general population of drivers. This data will be supplemented by in-depth follow-up interviews with a sub-sample of participants. Secondly, to test generalisability of the model, a large sample of drivers will be asked to respond to video-based scenarios depicting driving contexts derived from incidents identified in Study 1 as inciting aggression. Finally, to further operationalise and test the model an advanced driving simulator will be used with sample of drivers. These drivers will be exposed to various driving scenarios that would be expected to trigger negative emotional responses. Results: Work on the project has commenced and progress on the first study will be reported.

Cultural challenges to secondary prevention: Implications for Saudi women

Like other highly developed countries, cardiovascular disease (CVD) and coronary heart disease (CHD) are major health problems in Saudi Arabia. The aetiology of cardiovascular disease (CVD) burden within the Saudi population is similar to Western countries with atherosclerosis, hypertension, ischemic heart disease and diabetes highly prevalent with the main risk factors being smoking, obesity and inactivity. There are differences between Saudi men and women in epidemiology, risk factors and health service provision for CHD. These sex and gender based factors are important in considering the health and well-being of Saudi women. Currently, there is limited focus on the cardiovascular health of Saudi women. The aim of this paper is to examine culturally specific issues for Saudi women and the implications for secondary prevention.