A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models

Studies in search of a suitable experimental insect model for xenodiagnosis of hosts with Chagas' disease: 2 - Attempts to upgrade the reliability and the efficacy of xenodiagnosis in chronic Chagas' disease

In order to upgrade the reliability of xenodiagnosis, attention has been directed towards population dynamics of the parasite, with particular interest for the following factors: 1. Parasite density which by itself is not a research objective, but by giving an accurate portrayal of parasite development and multiplication, has been incorporated in screening of bugs for xenodiagnosis. 2. On the assumption that food availability might increase parasite density, bugs from xenodiagnosis have been refed at biweekly intervals on chicken blood. 3. Infectivity rates and positives harbouring large parasite yields were based on gut infections, in which the parasite population comprised of all developmental forms was more abundant and easier to detect than in fecal infections, thus minimizing the probability of recording false negatives. 4. Since parasite density, low in the first 15 days of infection, increases rapidly in the following 30 days, the interval of 45 days has been adopted for routine examination of bugs from xenodiagnosis. By following the enumerated measures, all aiming to reduce false negative cases, we are getting closer to a reliable xenodiagnostic procedure. Upgrading the efficacy of xenodiagnosis is also dependent on the xenodiagnostic agent. Of 9 investigated vector species, Panstrongylus megistus deserves top priority as a xenodiagnostic agent. Its extraordinary capability to support fast development and vigorous multiplication of the few parasites, ingested from the host with chronic Chagas' disease, has been revealed by the strikingly close infectivity rates of 91.2% vs. 96.4% among bugs engorged from the same host in the chronic and acute phase of the disease respectively (Table V), the latter comporting an estimated number of 12.3 x 10[raised to the power of 3] parasites in the circulation at the time of xenodiagnosis, as reported previously by the authors (1982).

The Export Base Model with a Supply-Side Stimulus to the Export Sector

Paper delivered at the Western Regional Science Association Annual Conference, Sedona, Arizona, February, 2010.

Negative investment in China: financing constraints and restructuring versus growth

This paper attempts to address a puzzle in China’s investment pattern: despite high aggregate investment and remarkable economic growth, negative net investment is commonly found at the microeconomic level. Using a large firm-level dataset, we test three hypotheses to explain the existence and extent of negative investment in each ownership group: what we term the efficiency (or restructuring) hypothesis, the (lack of) financing hypothesis, and the (slow) growth hypothesis. Our panel data probit estimations shows that negative investment by state-owned firms can be explained mainly by inefficiency: owing to over-investment or mis-investment in the past, these firms have had to restructure and to get rid of obsolete capital in the face of increasing competition and hardening budgets. The financing explanation holds for private firms, which have had to divest in order to raise capital. However, rapid economic growth weighs against both effects in all types of firms, with a larger impact for firms in the private and foreign sectors. A tobit model, estimated to examine the determinants of the amount of negative investment, yields similar conclusions.

Relations of the job demands-control-support model of job strain with personality attributes : a cross-cultural study in Switzerland and South Africa

Among the various work stress models, one of the most popular to date is the job demands-­‐control (JDC) model developed by Karasek (1979), which postulates that work-­‐related strain will be the highest under work conditions characterized by high demands and low autonomy. The absence of social support at work will further increase negative outcomes. However, this model does not apply equally to all individuals and to all cultures. In the following studies, we assessed work characteristics, personality traits, culture-­‐driven individual attributes, and work-­‐related health outcomes, through the administration of questionnaires. The samples consist of Swiss (n = 622) and South African (n = 879) service-­‐oriented employees (from health, finance, education and commerce sectors) and aged from 18 to 65 years old. Results generally confirm the universal contribution of high psychological demands, low decision latitude and low supervisor support at work, as well as high neuroticism predict the worse health outcomes among employees in both countries. Furthermore, low neuroticism plays a moderating role between psychological demands and burnout, while high openness and high conscientiousness each play a moderating role between decision latitude and burnout in South Africa. Results also reveal that culture-­‐driven individual attributes play a role in both countries, but in a unique manner and according to the ethnic group of belonging. Given that organizations are increasingly characterized with multicultural employees as well as increasingly adverse and complex job conditions, our results help in identifying more updated and refined dynamics that are key between the employee and the work environment in today's context. -- L'un des modèles sur le stress au travail des plus répandus est celui développé par Karasek (1979), qui postule qu'une mauvaise santé chez les employés résulte d'une combinaison de demandes psychologiques élevées, d'une latitude décisionnelle faible et de l'absence de soutien social au travail. Néanmoins, ce modèle ne s'applique pas de façon équivalente chez tous les individus et dans toutes les cultures. Dans les études présentées, nous avons mesuré les caractéristiques de travail, les traits de personnalité, les traits culturels et les effets lies à la santé à l'aide de questionnaires. L'échantillon provient de la Suisse (n = 622) et de l'Afrique du Sud (n = 879) et comprend des employés de domaines divers en lien avec le service (notamment des secteurs de la santé, finance, éducation et commerce) tous âgés entre 18 et 65 ans. Les résultats confirment l'universalité des effets directs des demandes au travail, la latitude décisionnelle faible, le soutien social faible provenant du supérieur hiérarchique, ainsi que le névrosisme élevé qui contribuent à un niveau de santé faible au travail, et ce, dans les deux pays. De plus, un niveau faible de névrosisme a un effet de modération entre les demandes au travail et l'épuisement professionnel, alors que l'ouverture élevée et le caractère consciencieux élevé modèrent la relation entre la latitude décisionnelle et l'épuisement professionnel en Afrique du Sud. Nous avons aussi trouvé que les traits culturels jouent un rôle dans les deux pays, mais de façon unique et en fonction du groupe ethnique d'appartenance. Sachant que les organisations sont de plus en plus caractérisées par des employés d'origine ethnique variées, et que les conditions de travail se complexifient, nos résultats contribuent à mieux comprendre les dynamiques entre l'employé et l'environnement de travail contemporain. personnalité, différences individuelles, comparaisons culturelles, culture, stress au travail, épuisement professionnel, santé des employés.

Prospective validation of the Pulmonary Embolism Severity Index. A clinical prognostic model for pulmonary embolism

Practice guidelines recommend outpatient care for selected patients with non-massive pulmonary embolism (PE), but fail to specify how these low-risk patients should be identified. Using data from U.S. patients, we previously derived the Pulmonary Embolism Severity Index (PESI), a prediction rule that risk stratifies patients with PE. We sought to validate the PESI in a European patient cohort. We prospectively validated the PESI in patients with PE diagnosed at six emergency departments in three European countries. We used baseline data for the rule's 11 prognostic variables to stratify patients into five risk classes (I-V) of increasing probability of mortality. The outcome was overall mortality at 90 days after presentation. To assess the accuracy of the PESI to predict mortality, we estimated the sensitivity, specificity, and predictive values for low- (risk classes I/II) versus higher-risk patients (risk classes III-V), and the discriminatory power using the area under the receiver operating characteristic (ROC) curve. Among 357 patients with PE, overall mortality was 5.9%, ranging from 0% in class I to 17.9% in class V. The 186 (52%) low-risk patients had an overall mortality of 1.1% (95% confidence interval [CI]: 0.1-3.8%) compared to 11.1% (95% CI: 6.8-16.8%) in the 171 (48%) higher-risk patients. The PESI had a high sensitivity (91%, 95% CI: 71-97%) and a negative predictive value (99%, 95% CI: 96-100%) for predicting mortality. The area under the ROC curve was 0.78 (95% CI: 0.70-0.86). The PESI reliably identifies patients with PE who are at low risk of death and who are potential candidates for outpatient care. The PESI may help physicians make more rational decisions about hospitalization for patients with PE.

Involvement of circulating CEA in liver metastases from colorectal cancers re-examined in a new experimental model.

Both experimental and clinical data show evidence of a correlation between elevated blood levels of carcinoembryonic antigen (CEA) and the development of liver metastases from colorectal carcinomas. However, a cause-effect relationship between these two observations has not been demonstrated. For this reason, we developed a new experimental model to evaluate the possible role of circulating CEA in the facilitation of liver metastases. A CEA-negative subclone from the human colon carcinoma cell line CO115 was transfected either with CEA-cDNA truncated at its 3' end by the deletion of 78 base pairs leading to the synthesis of a secreted form of CEA or with a full-length CEA-cDNA leading to the synthesis of the entire CEA molecule linked to the cell surface by a GPI anchor. Transfectants were selected either for their high CEA secretion (clone CO115-2C2 secreting up to 13 microg CEA per 10(6) cells within 72 h) or for their high CEA membrane expression (clone CO115-5F12 expressing up to 1 x 10(6) CEA molecules per cell). When grafted subcutaneously, CO115-2C2 cells gave rise to circulating CEA levels that were directly related to the tumour volume (from 100 to 1000 ng ml(-1) for tumours ranging from 100 to 1000 mm3), whereas no circulating CEA was detectable in CO115 and CO115-5F12 tumour-bearing mice. Three series of nude mice bearing a subcutaneous xenograft from either clone CO115-2C2 or the CO115-5F12 transfectant, or an untransfected CO115 xenograft, were further challenged for induction of experimental liver metastases by intrasplenic injection of three different CEA-expressing human colorectal carcinoma cell lines (LoVo, LS174T or CO112). The number and size of the liver metastases were shown to be independent of the circulating CEA levels induced by the subcutaneous CEA secreting clone (CO115-2C2), but they were directly related to the metastatic properties of the intrasplenically injected tumour cells.

Molecular detection and identification of zygomycetes species from paraffin-embedded tissues in a murine model of disseminated zygomycosis: a collaborative European Society of Clinical Microbiology and Infectious Diseases (ESCMID) Fungal Infection Study Group (EFISG) evaluation.

The present study was performed to assess the interlaboratory reproducibility of the molecular detection and identification of species of Zygomycetes from formalin-fixed paraffin-embedded kidney and brain tissues obtained from experimentally infected mice. Animals were infected with one of five species (Rhizopus oryzae, Rhizopus microsporus, Lichtheimia corymbifera, Rhizomucor pusillus, and Mucor circinelloides). Samples with 1, 10, or 30 slide cuts of the tissues were prepared from each paraffin block, the sample identities were blinded for analysis, and the samples were mailed to each of seven laboratories for the assessment of sensitivity. A protocol describing the extraction method and the PCR amplification procedure was provided. The internal transcribed spacer 1 (ITS1) region was amplified by PCR with the fungal universal primers ITS1 and ITS2 and sequenced. As negative results were obtained for 93% of the tissue specimens infected by M. circinelloides, the data for this species were excluded from the analysis. Positive PCR results were obtained for 93% (52/56), 89% (50/56), and 27% (15/56) of the samples with 30, 10, and 1 slide cuts, respectively. There were minor differences, depending on the organ tissue, fungal species, and laboratory. Correct species identification was possible for 100% (30 cuts), 98% (10 cuts), and 93% (1 cut) of the cases. With the protocol used in the present study, the interlaboratory reproducibility of ITS sequencing for the identification of major Zygomycetes species from formalin-fixed paraffin-embedded tissues can reach 100%, when enough material is available.

Macrophage Migration Inhibitory Factor Deficiency Is Associated With Impaired Killing of Gram-Negative Bacteria by Macrophages and Increased Susceptibility to Klebsiella pneumoniae Sepsis.

The cytokine macrophage migration inhibitory factor (MIF) is an important component of the early proinflammatory response of the innate immune system. However, the antimicrobial defense mechanisms mediated by MIF remain fairly mysterious. In the present study, we examined whether MIF controls bacterial uptake and clearance by professional phagocytes, using wild-type and MIF-deficient macrophages. MIF deficiency did not affect bacterial phagocytosis, but it strongly impaired the killing of gram-negative bacteria by macrophages and host defenses against gram-negative bacterial infection, as shown by increased mortality in a Klebsiella pneumonia model. Consistent with MIF's regulatory role of Toll-like 4 expression in macrophages, MIF-deficient cells stimulated with lipopolysaccharide or Escherichia coli exhibited reduced nuclear factor κB activity and tumor necrosis factor (TNF) production. Addition of recombinant MIF or TNF corrected the killing defect of MIF-deficient macrophages. Together, these data show that MIF is a key mediator of host responses against gram-negative bacteria, acting in part via a modulation of bacterial killing by macrophages.

A model for intra-familial distribution of an infectious disease (Chagas' disease)

A probabilistic model for intra-familial distribution of infectous disease is proposed and applied to the prevalence of positive serology for Trypanosoma cruzi infection in Northeastern Brazilian sample. This double with one tail excess model fits satisfactorily to the data and its interpretation says that around 51% of these 982 families are free of infection risk; among those that are at risk, 3% have a high risk (0.66), probably due to high domestic infestation of the vector bug; while 97% show a small risk (0.11), probably due to accidental, non-domestic transmission.

Water Reallocation in the Input-Output Model

Water reallocation between economic agents has been –and continues to be- the subject of a considerable amount of research. This paper proposes a method for evaluating how water is reallocated within the economy in response to changes in final demand and changes in the technical water needs of activities and consumers. The empirical application, which is for the Catalan economy, shows important asymmetries in the effects that exogenous inflows and changes in water technical requirements cause on water reallocation. In the process of water distribution, exogenous inflows mostly benefit agriculture and damage private consumers. On the other hand, increases in technical water requirements have negative effects on agriculture and positive effects on the other production activities. The results of the study suggest that agriculture is an important activity not only in terms of water distribution but also in terms of water reallocation due to changes in final demand and technical water needs. Keywords: Water reallocation, water distribution, exogenous shock, technical water needs.

Macroeconomic shocks and the business cycle: evidence from a structural factor model

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. Focusing on the four-shock specification, we identify, using sign restrictions, two non-policy shocks, demand and supply, and two policy shocks, monetary and fiscal. We obtain the following results. (ii) Both supply and demand shocks are important sources of fluctuations; supply prevails for GDP, while demand prevails for employment and inflation. (ii) Policy matters, Both monetary and fiscal policy shocks have sizeable effects on output and prices, with little evidence of crowding out; both monetary and fiscal authorities implement important systematic countercyclical policies reacting to demand shocks. (iii) Negative demand shocks have a large long-run positive effect on productivity, consistently with the Schumpeterian "cleansing" view of recessions.

Systemic modulation of peripheral eosinophilia (air pouch model) in Schistosoma mansoni infection

Schistosoma mansoni infection induces in their hosts a marked and sustained eosinophilia, which is influenced or modulated by complex mechanisms, that vary according to the phase of infection. To address this phenomenon, we used the air pouch (AP) model in control and infected Swiss webster mice, analyzing the cellular, tissue response and local expression of adhesion molecules [CD18 (beta 2-chain), CD44, ICAM-1 (CD54), L-selectin (CD62L), CD49d (alpha 4-chain), LFA1 (CD11a)]. Infected animals were studied at 3 (pre-oviposition phase), 7 (acute phase), and 14 (chronic phase) weeks after infection (5-6 mice/period of infection). Normal mice were age-matched. Results showed that after egg stimulation, compared with matched controls, the infected mice, at each point of infection, showed a lower eosinophil response in the acute (7 weeks) and chronic phase (14 weeks) of infection. However, when the infected mice were in pre-oviposition phase (3 weeks) their eosinophil response surpassed the control ones. In the AP wall of infected mice, a significant decrease in the expression of ICAM-1 and CD44 in fibroblastic-like cells and a reduction in the number of CD18 and CD11a in migratory cells were observed. The other adhesion molecules were negative or weakly expressed. The results indicated that in the air pouch model, in S. mansoni-infected mice: (1) eosinophil response is strikingly down-regulated, during the acute ovular phase; (2) in the pre-oviposition phase, in contrast, it occurs an up-regulatory modulation of eosinophil response, in which the mechanisms are completely unknown; (3) in the chronic phase of the infection, the down modulation of eosinophil response is less pronounced; 4) Down-regulation of adhesion molecules, specially of ICAM-1 appear to be associated with the lower eosinophil response.

EGFR signalling as a negative regulator of Notch1 gene transcription and function in proliferating keratinocytes and cancer.

The Notch1 gene has an important role in mammalian cell-fate decision and tumorigenesis. Upstream control mechanisms for transcription of this gene are still poorly understood. In a chemical genetics screen for small molecule activators of Notch signalling, we identified epidermal growth factor receptor (EGFR) as a key negative regulator of Notch1 gene expression in primary human keratinocytes, intact epidermis and skin squamous cell carcinomas (SCCs). The underlying mechanism for negative control of the Notch1 gene in human cells, as well as in a mouse model of EGFR-dependent skin carcinogenesis, involves transcriptional suppression of p53 by the EGFR effector c-Jun. Suppression of Notch signalling in cancer cells counteracts the differentiation-inducing effects of EGFR inhibitors while, at the same time, synergizing with these compounds in induction of apoptosis. Thus, our data reveal a key role of EGFR signalling in the negative regulation of Notch1 gene transcription, of potential relevance for combinatory approaches for cancer therapy.

Hard-wired heterogeneity in blood stem cells revealed using a dynamic regulatory network model.

MOTIVATION: Combinatorial interactions of transcription factors with cis-regulatory elements control the dynamic progression through successive cellular states and thus underpin all metazoan development. The construction of network models of cis-regulatory elements, therefore, has the potential to generate fundamental insights into cellular fate and differentiation. Haematopoiesis has long served as a model system to study mammalian differentiation, yet modelling based on experimentally informed cis-regulatory interactions has so far been restricted to pairs of interacting factors. Here, we have generated a Boolean network model based on detailed cis-regulatory functional data connecting 11 haematopoietic stem/progenitor cell (HSPC) regulator genes. RESULTS: Despite its apparent simplicity, the model exhibits surprisingly complex behaviour that we charted using strongly connected components and shortest-path analysis in its Boolean state space. This analysis of our model predicts that HSPCs display heterogeneous expression patterns and possess many intermediate states that can act as 'stepping stones' for the HSPC to achieve a final differentiated state. Importantly, an external perturbation or 'trigger' is required to exit the stem cell state, with distinct triggers characterizing maturation into the various different lineages. By focusing on intermediate states occurring during erythrocyte differentiation, from our model we predicted a novel negative regulation of Fli1 by Gata1, which we confirmed experimentally thus validating our model. In conclusion, we demonstrate that an advanced mammalian regulatory network model based on experimentally validated cis-regulatory interactions has allowed us to make novel, experimentally testable hypotheses about transcriptional mechanisms that control differentiation of mammalian stem cells. SUPPLEMENTARY INFORMATION: Supplementary data are available at Bioinformatics online.