Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables

This paper assesses the impact of official central bank interventions (CBIs) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate fficial interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.

On a size-structured two-phase population model with infinite states-at-birth

In this work we introduce and analyze a linear size-structured population model with infinite states-at-birth. We model the dynamics of a population in which individuals have two distinct life-stages: an “active” phase when individuals grow, reproduce and die and a second “resting” phase when individuals only grow. Transition between these two phases depends on individuals’ size. First we show that the problem is governed by a positive quasicontractive semigroup on the biologically relevant state space. Then we investigate, in the framework of the spectral theory of linear operators, the asymptotic behavior of solutions of the model. We prove that the associated semigroup has, under biologically plausible assumptions, the property of asynchronous exponential growth.

The Optimal Degree of Monetary-Discretion in a New Keynesian Model with Private Information

This paper considers the optimal degree of discretion in monetary policy when the central bank conducts policy based on its private information about the state of the economy and is unable to commit. Society seeks to maximize social welfare by imposing restrictions on the central bank's actions over time, and the central bank takes these restrictions and the New Keynesian Phillips curve as constraints. By solving a dynamic mechanism design problem we find that it is optimal to grant "constrained discretion" to the central bank by imposing both upper and lower bounds on permissible inflation, and that these bounds must be set in a history-dependent way. The optimal degree of discretion varies over time with the severity of the time-inconsistency problem, and, although no discretion is optimal when the time-inconsistency problem is very severe, our numerical experiment suggests that no-discretion is a transient phenomenon, and that some discretion is granted eventually.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Rigorous derivation of a nonlinear diffusion equation as fast-reaction limit of a continuous coagulation-fragmentation model with diffusion

Weak solutions of the spatially inhomogeneous (diffusive) Aizenmann-Bak model of coagulation-breakup within a bounded domain with homogeneous Neumann boundary conditions are shown to converge, in the fast reaction limit, towards local equilibria determined by their mass. Moreover, this mass is the solution of a nonlinear diffusion equation whose nonlinearity depends on the (size-dependent) diffusion coefficient. Initial data are assumed to have integrable zero order moment and square integrable first order moment in size, and finite entropy. In contrast to our previous result [CDF2], we are able to show the convergence without assuming uniform bounds from above and below on the number density of clusters.

Understanding the low-temperature limitations to forest growth through calibration of a forest dynamics model with tree-ring data

The sensitivity of altitudinal and latitudinal tree-line ecotones to climate change, particularly that of temperature, has received much attention. To improve our understanding of the factors affecting tree-line position, we used the spatially explicit dynamic forest model TreeMig. Although well-suited because of its landscape dynamics functions, TreeMig features a parabolic temperature growth response curve, which has recently been questioned. and the species parameters are not specifically calibrated for cold temperatures. Our main goals were to improve the theoretical basis of the temperature growth response curve in the model and develop a method for deriving that curve's parameters from tree-ring data. We replaced the parabola with an asymptotic curve, calibrated for the main species at the subalpine (Swiss Alps: Pinus cembra, Larix decidua, Picea abies) and boreal (Fennoscandia: Pinus sylvestris, Betula pubescens, P. abies) tree-lines. After fitting new parameters, the growth curve matched observed tree-ring widths better. For the subalpine species, the minimum degree-day sum allowing, growth (kDDMin) was lowered by around 100 degree-days; in the case of Larix, the maximum potential ring-width was increased to 5.19 mm. At the boreal tree-line, the kDDMin for P. sylvestris was lowered by 210 degree-days and its maximum ring-width increased to 2.943 mm; for Betula (new in the model) kDDMin was set to 325 degree-days and the maximum ring-width to 2.51 mm; the values from the only boreal sample site for Picea were similar to the subalpine ones, so the same parameters were used. However, adjusting the growth response alone did not improve the model's output concerning species' distributions and their relative importance at tree-line. Minimum winter temperature (MinWiT, mean of the coldest winter month), which controls seedling establishment in TreeMig, proved more important for determining distribution. Picea, P. sylvestris and Betula did not previously have minimum winter temperature limits, so these values were set to the 95th percentile of each species' coldest MinWiT site (respectively -7, -11, -13). In a case study for the Alps, the original and newly calibrated versions of TreeMig were compared with biomass data from the National Forest Inventor), (NFI). Both models gave similar, reasonably realistic results. In conclusion, this method of deriving temperature responses from tree-rings works well. However, regeneration and its underlying factors seem more important for controlling species' distributions than previously thought. More research on regeneration ecology, especially at the upper limit of forests. is needed to improve predictions of tree-line responses to climate change further.

Candidate quality in a Downsian Model with a continuous policy space

This paper characterizes a mixed strategy Nash equilibrium in a one-dimensional Downsian model of two-candidate elections with a continuous policy space, where candidates are office motivated and one candidate enjoys a non-policy advantage over the other candidate. We assume that voters have quadratic preferences over policies and that their ideal points are drawn from a uniform distribution over the unit interval. In our equilibrium the advantaged candidate chooses the expected median voter with probability one and the disadvantaged candidate uses a mixed strategy that is symmetric around it. We show that this equilibrium exists if the number of voters is large enough relative to the size of the advantage.

Human Plasma-derived Polymeric IgA and IgM Antibodies Associate with Secretory Component to Yield Biologically Active Secretory-like Antibodies.

Immunotherapy with monoclonal and polyclonal immunoglobulin is successfully applied to improve many clinical conditions, including infection, autoimmune diseases, or immunodeficiency. Most immunoglobulin products, recombinant or plasma-derived, are based on IgG antibodies, whereas to date, the use of IgA for therapeutic application has remained anecdotal. In particular, purification or production of large quantities of secretory IgA (SIgA) for potential mucosal application has not been achieved. In this work, we sought to investigate whether polymeric IgA (pIgA) recovered from human plasma is able to associate with secretory component (SC) to generate SIgA-like molecules. We found that ∼15% of plasma pIgA carried J chain and displayed selective SC binding capacity either in a mixture with monomeric IgA (mIgA) or after purification. The recombinant SC associated covalently in a 1:1 stoichiometry with pIgA and with similar efficacy as colostrum-derived SC. In comparison with pIgA, the association with SC delayed degradation of SIgA by intestinal proteases. Similar results were obtained with plasma-derived IgM. In vitro, plasma-derived IgA and SIgA neutralized Shigella flexneri used as a model pathogen, resulting in a delay of bacteria-induced damage targeted to polarized Caco-2 cell monolayers. The sum of these novel data demonstrates that association of plasma-derived IgA or IgM with recombinant/colostrum-derived SC is feasible and yields SIgA- and SIgM-like molecules with similar biochemical and functional characteristics as mucosa-derived immunoglobulins.

How to use the standard model with own data?

In this work discuss the use of the standard model for the calculation of the solvency capital requirement (SCR) when the company aims to use the specific parameters of the model on the basis of the experience of its portfolio. In particular, this analysis focuses on the formula presented in the latest quantitative impact study (2010 CEIOPS) for non-life underwriting premium and reserve risk. One of the keys of the standard model for premium and reserves risk is the correlation matrix between lines of business. In this work we present how the correlation matrix between lines of business could be estimated from a quantitative perspective, as well as the possibility of using a credibility model for the estimation of the matrix of correlation between lines of business that merge qualitative and quantitative perspective.

Mitochondrial reactive oxygen species generation triggers inflammatory response and tissue injury associated with hepatic ischemia-reperfusion: Therapeutic potential of mitochondrially targeted antioxidants.

Mitochondrial reactive oxygen species generation has been implicated in the pathophysiology of ischemia-reperfusion (I/R) injury; however, its exact role and its spatial-temporal relationship with inflammation are elusive. Herein we explore the spatial-temporal relationship of oxidative/nitrative stress and inflammatory response during the course of hepatic I/R and the possible therapeutic potential of mitochondrial-targeted antioxidants, using a mouse model of segmental hepatic ischemia-reperfusion injury. Hepatic I/R was characterized by early (at 2h of reperfusion) mitochondrial injury, decreased complex I activity, increased oxidant generation in the liver or liver mitochondria, and profound hepatocellular injury/dysfunction with acute proinflammatory response (TNF-α, MIP-1α/CCL3, MIP-2/CXCL2) without inflammatory cell infiltration, followed by marked neutrophil infiltration and a more pronounced secondary wave of oxidative/nitrative stress in the liver (starting from 6h of reperfusion and peaking at 24h). Mitochondrially targeted antioxidants, MitoQ or Mito-CP, dose-dependently attenuated I/R-induced liver dysfunction, the early and delayed oxidative and nitrative stress response (HNE/carbonyl adducts, malondialdehyde, 8-OHdG, and 3-nitrotyrosine formation), and mitochondrial and histopathological injury/dysfunction, as well as delayed inflammatory cell infiltration and cell death. Mitochondrially generated oxidants play a central role in triggering the deleterious cascade of events associated with hepatic I/R, which may be targeted by novel antioxidants for therapeutic advantage.

Hippocampal sparing whole brain radiotherapy and simultaneously integrated boost with helical tomotherapy in patients with brain metastases

Materials/Methods: Four patients who underwent whole-brain radiotherapy (WBRT) and simultaneous integrated boost (SIB) between August 2010 and February 2011 were included to this study. Their age were 60, 61, 65, and 70 years. Primary diagnosis was infiltrative ductal breast cancer in two patients, sigmoid adenocarcinoma in one, and transitional bladder cancer in the other patient. All patients underwent cranial surgery but not all of the metastases were operated in 2 patients. All but one (five metastases) patient presented with single brain metastasis. In 2 of the 4 patients, hippocampus was spared contralaterally due to vicinity of the lesions to unilateral hippocampus. Planning irradiation dose was 30 Gy in 10 fractions for WBRT and 40 Gy in 10 fractions for SIB over two weeks in three patients. In one patient, WBRT and boost doses were 36Gy and 50.4 Gy in 18 fractions. Our maximum dose constraints for hippocampus and eyes were 10 and 20 Gy, respectively. All organs were contoured manually. Hippocampi were contoured according to published guidelines, and 5-mm margin expansion was used for hippocampal avoidance volume. All plans utilized a field width of 2.5 cm. Modulation factors ranged between 2 and 3.5. A pitch of 0,287 was used for all patients. All plans were evaluated according to conformity index (CI), homogeneity index (HI), target coverage (TC), and mean normalized total dose (NTDmean). An alpha/beta ratio of 2 was assumed for the hippocampus.Results: Median planning target volume (PTV) for metastases was 17.47 cc.Median hippocampal avoidance volume was 14.73 cc (range, 9.25-16.18 cc). Median average hippocampaldose was 11.84 Gy (range, 10.14-21.01 Gy). PTVs were fully covered with more than 95% of the prescribed dose for all patients. With a median follow-up time of 6 months (range, 3-9 months), all patients were alive without recurrent intracranial disease. To date, no neurocognitive decline reported in any of the patients.Conclusions: Preclinical evidence suggests that hippocampal sparing during cranial irradiation may mitigate neurocognitive decline. Using HT, we significantly reduced the mean dose to the hippocampus without jeopardizing coverage of metastases and whole brain.

A general continuous auction model with insiders

We analyse in a unified way how the presence of a trader with privilege information makes the market to be efficient when the release time is known. We establish a general relation between the problem of finding an equilibrium and the problem of enlargement of filtrations. We also consider the case where the time of announcement is random. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time.

Digital beamforming and moving target indication for future spaceborne synthetic aperture radar

During the last decade the interest on space-borne Synthetic Aperture Radars (SAR) for remote sensing applications has grown as testified by the number of recent and forthcoming missions as TerraSAR-X, RADARSAT-2, COSMO-kyMed, TanDEM-X and the Spanish SEOSAR/PAZ. In this sense, this thesis proposes to study and analyze the performance of the state-of-the-Art space-borne SAR systems, with modes able to provide Moving Target Indication capabilities (MTI), i.e. moving object detection and estimation. The research will focus on the MTI processing techniques as well as the architecture and/ or configuration of the SAR instrument, setting the limitations of the current systems with MTI capabilities, and proposing efficient solutions for the future missions. Two European projects, to which the Universitat Politècnica de Catalunya provides support, are an excellent framework for the research activities suggested in this thesis. NEWA project proposes a potential European space-borne radar system with MTI capabilities in order to fulfill the upcoming European security policies. This thesis will critically review the state-of-the-Art MTI processing techniques as well as the readiness and maturity level of the developed capabilities. For each one of the techniques a performance analysis will be carried out based on the available technologies, deriving a roadmap and identifying the different technological gaps. In line with this study a simulator tool will be developed in order to validate and evaluate different MTI techniques in the basis of a flexible space-borne radar configuration. The calibration of a SAR system is mandatory for the accurate formation of the SAR images and turns to be critical in the advanced operation modes as MTI. In this sense, the SEOSAR/PAZ project proposes the study and estimation of the radiometric budget. This thesis will also focus on an exhaustive analysis of the radiometric budget considering the current calibration concepts and their possible limitations. In the framework of this project a key point will be the study of the Dual Receive Antenna (DRA) mode, which provides MTI capabilities to the mission. An additional aspect under study is the applicability of the Digital Beamforming on multichannel and/or multistatic radar platforms, which conform potential solutions for the NEWA project with the aim to fully exploit its capability jointly with MTI techniques.

Candidate gene study of TRAIL and TRAIL receptors: association with response to interferon beta therapy in multiple sclerosis patients.

TRAIL and TRAIL Receptor genes have been implicated in Multiple Sclerosis pathology as well as in the response to IFN beta therapy. The objective of our study was to evaluate the association of these genes in relation to the age at disease onset (AAO) and to the clinical response upon IFN beta treatment in Spanish MS patients. We carried out a candidate gene study of TRAIL, TRAILR-1, TRAILR-2, TRAILR-3 and TRAILR-4 genes. A total of 54 SNPs were analysed in 509 MS patients under IFN beta treatment, and an additional cohort of 226 MS patients was used to validate the results. Associations of rs1047275 in TRAILR-2 and rs7011559 in TRAILR-4 genes with AAO under an additive model did not withstand Bonferroni correction. In contrast, patients with the TRAILR-1 rs20576-CC genotype showed a better clinical response to IFN beta therapy compared with patients carrying the A-allele (recessive model: p = 8.88×10(-4), pc = 0.048, OR = 0.30). This SNP resulted in a non synonymous substitution of Glutamic acid to Alanine in position 228 (E228A), a change previously associated with susceptibility to different cancer types and risk of metastases, suggesting a lack of functionality of TRAILR-1. In order to unravel how this amino acid change in TRAILR-1 would affect to death signal, we performed a molecular modelling with both alleles. Neither TRAIL binding sites in the receptor nor the expression levels of TRAILR-1 in peripheral blood mononuclear cell subsets (monocytes, CD4+ and CD8+ T cells) were modified, suggesting that this SNP may be altering the death signal by some other mechanism. These findings show a role for TRAILR-1 gene variations in the clinical outcome of IFN beta therapy that might have relevance as a biomarker to predict the response to IFN beta in MS.

Megazol and its bioisostere 4H-1,2,4-triazole: comparing the trypanocidal, cytotoxic and genotoxic activities and their in vitro and in silico interactions with the Trypanosoma brucei nitroreductase enzyme

Megazol (7) is a 5-nitroimidazole that is highly active against Trypanosoma cruzi and Trypanosoma brucei, as well as drug-resistant forms of trypanosomiasis. Compound 7 is not used clinically due to its mutagenic and genotoxic properties, but has been largely used as a lead compound. Here, we compared the activity of 7 with its 4H-1,2,4-triazole bioisostere (8) in bloodstream forms of T. brucei and T. cruzi and evaluated their activation by T. brucei type I nitroreductase (TbNTR) enzyme. We also analysed the cytotoxic and genotoxic effects of these compounds in whole human blood using Comet and fluorescein diacetate/ethidium bromide assays. Although the only difference between 7 and 8 is the substitution of sulphur (in the thiadiazole in 7) for nitrogen (in the triazole in 8), the results indicated that 8 had poorer antiparasitic activity than 7 and was not genotoxic, whereas 7 presented this effect. The determination of Vmax indicated that although 8 was metabolised more rapidly than 7, it bounds to the TbNTR with better affinity, resulting in equivalent kcat/KM values. Docking assays of 7 and 8 performed within the active site of a homology model of the TbNTR indicating that 8 had greater affinity than 7.