The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model.

We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is an arbitrary function of the conditional variance. For monthly S&P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect, as documented by others. Moreover, the shape of these relationships seems to be relatively stable over time.

Efficient estimation using the characteristic function : theory and applications with high frequency data

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The role of ubiquitination and deubiquitination in the regulation of BRCA1 function during genotoxic stress

BRCA1 est un suppresseur de tumeur majeur jouant un rôle dans la transcription, la réparation de l’ADN et le maintien de la stabilité génomique. En effet, des mutations dans le gène BRCA1 augmentent considerablement le risque de cancers du sein et de l’ovaire. BRCA1 a été en majorité caractérisé pour son rôle dans la réparation de l’ADN par la voie de recombinaison homologue (HR) en présence de bris double brins, par example, induits par l’irradiation gamma (IR). Cependant, la fonction de BRCA1 dans d’autres voies de réparation de l’ADN, comme la réparation par excision de nucléotides (NER) ou par excision de base (BER), demeurent toutefois obscures. Il est donc important de comprendre la régulation de BRCA1 en présence d’agents génotoxiques comme le méthyle méthanesulfonate (MMS) ou l’UV, qui promouvoient le BER et le NER respectivement. Nos observations suggèrent que BRCA1 est dégradée par le protéasome après traitement avec le MMS ou les UV, et non avec l’IR. Par ailleurs, cette dégradation semble compromettre le recrutement de Rad51, suggérant que la voie de HR est inhibée. Nos résultats suggèrent que la HR est inhibée afin d’éviter l’activation simultanée de multiples voies de réparation. Nous avons aussi observé que la dégradation BRCA1 est réversible et que la restauration des niveaux de BRCA1 coïncide avec le recrutement de Rad51 aux sites de dommages. Cela suggère que la HR est réactivée tardivement par les bris double brins générés suite à l’effondrement des fourches de réplication. Ayant observé que BRCA1 est hautement régulé par l’ubiquitination et est ciblé par le protéasome pour dégradation, nous avons émis une hypothèse que BRCA1 est régulé par des déubiquitinases. Cela amène à caractériser plus en profondeur par un criblage en déplétant les déubiquitinases individuellement par RNAi et en observant leur effet sur le recrutement de BRCA1 et des protéines reliées à cette voie. Un criblage préliminaire nous a permi d’identifié candidats potentiels tel que BAP1, CXORF53, DUB3, OTUB1 et USP36.

Balance function following cochlear implantation

Imbalance is a risk of cochlear implantation. This is particularly important in patients receiving bilateral implants, who are often children. 25 adult and pediatric patients undergoing cochlear implantation were tested pre-operatively and post-operatively using tests of balance function. Results showed moderate losses in some test paradigms following implantation in the patient group as a whole. While changes in balance function due to cochlear implantation are not uncommon, their practical effect on function may be minor.

Production risk, pesticide use and GM crop technology in South Africa

Technology involving genetic modification of crops has the potential to make a contribution to rural poverty reduction in many developing countries. Thus far, pesticide-producing Bacillus thuringensis (Bt) varieties of cotton have been the main GM crops under cultivation in developing nations. Several studies have evaluated the farm-level performance of Bt varieties in comparison to conventional ones by estimating production technology, and have mostly found Bt technology to be very successful in raising output and/or reducing pesticide input. However, the production risk properties of this technology have not been studied, although they are likely to be important to risk-averse smallholders. This study investigates the output risk aspects of Bt technology by estimating two 'flexible risk' production function models allowing technology to independently affect the mean and higher moments of output. The first is the popular Just-Pope model and the second is a more general 'damage control' flexible risk model. The models are applied to cross-sectional data on South African smallholders, some of whom used Bt varieties. The results show no evidence that a 'risk-reduction' claim can be made for Bt technology. Indeed, there is some evidence to support the notion that the technology increases output risk, implying that simple (expected) profit computations used in past evaluations may overstate true benefits.

Modelling risk perception and trust in food safety information within the theory of planned behaviour

This study suggests a statistical strategy for explaining how food purchasing intentions are influenced by different levels of risk perception and trust in food safety information. The modelling process is based on Ajzen's Theory of Planned Behaviour and includes trust and risk perception as additional explanatory factors. Interaction and endogeneity across these determinants is explored through a system of simultaneous equations, while the SPARTA equation is estimated through an ordered probit model. Furthermore, parameters are allowed to vary as a function of socio-demographic variables. The application explores chicken purchasing intentions both in a standard situation and conditional to an hypothetical salmonella scare. Data were collected through a nationally representative UK wide survey of 533 UK respondents in face-to-face, in-home interviews. Empirical findings show that interactions exist among the determinants of planned behaviour and socio-demographic variables improve the model's performance. Attitudes emerge as the key determinant of intention to purchase chicken, while trust in food safety information provided by media reduces the likelihood to purchase. (C) 2006 Elsevier Ltd. All rights reserved.

Output risk aspects of genetically modified crop technology in South Africa

Technology involving genetic modification of crops has the potential to make a contribution to rural poverty reduction in many developing countries. Thus far, insecticide-producing 'Bt' varieties of cotton have been the main GM crops under cultivation in developing nations. Several studies have evaluated the farm-level performance of Bt varieties in comparison to conventional ones by estimating production technology, and have mostly found Bt technology to be very successful in raising output and/or reducing insecticide input. However, the production risk properties of this technology have not been studied, although they are likely to be important to risk-averse smallholders. This study investigates the output risk aspects of Bt technology using a three-year farm-level dataset on smallholder cotton production in Makhathini flats, Kwa-Zulu Natal, South Africa. Stochastic dominance and stochastic production function estimation methods are used to examine the risk properties of the two technologies. Results indicate that Bt technology increases output risk by being most effective when crop growth conditions are good, but being less effective when conditions are less favourable. However, in spite of its risk increasing effect, the mean output performance of Bt cotton is good enough to make it preferable to conventional technology even for risk-averse smallholders.

Production risk, pesticide use and GM crop technology in South Africa

Technology involving genetic modification of crops has the potential to make a contribution to rural poverty reduction in many developing countries. Thus far, pesticide-producing Bacillus thuringensis (Bt) varieties of cotton have been the main GM crops under cultivation in developing nations. Several studies have evaluated the farm-level performance of Bt varieties in comparison to conventional ones by estimating production technology, and have mostly found Bt technology to be very successful in raising output and/or reducing pesticide input. However, the production risk properties of this technology have not been studied, although they are likely to be important to risk-averse smallholders. This study investigates the output risk aspects of Bt technology by estimating two 'flexible risk' production function models allowing technology to independently affect the mean and higher moments of output. The first is the popular Just-Pope model and the second is a more general 'damage control' flexible risk model. The models are applied to cross-sectional data on South African smallholders, some of whom used Bt varieties. The results show no evidence that a 'risk-reduction' claim can be made for Bt technology. Indeed, there is some evidence to support the notion that the technology increases output risk, implying that simple (expected) profit computations used in past evaluations may overstate true benefits.

Action following the discovery of a global association between the whole genome and adverse event risk in a clinical drug-development programme

Observation of adverse drug reactions during drug development can cause closure of the whole programme. However, if association between the genotype and the risk of an adverse event is discovered, then it might suffice to exclude patients of certain genotypes from future recruitment. Various sequential and non-sequential procedures are available to identify an association between the whole genome, or at least a portion of it, and the incidence of adverse events. In this paper we start with a suspected association between the genotype and the risk of an adverse event and suppose that the genetic subgroups with elevated risk can be identified. Our focus is determination of whether the patients identified as being at risk should be excluded from further studies of the drug. We propose using a utility function to? determine the appropriate action, taking into account the relative costs of suffering an adverse reaction and of failing to alleviate the patient's disease. Two illustrative examples are presented, one comparing patients who suffer from an adverse event with contemporary patients who do not, and the other making use of a reference control group. We also illustrate two classification methods, LASSO and CART, for identifying patients at risk, but we stress that any appropriate classification method could be used in conjunction with the proposed utility function. Our emphasis is on determining the action to take rather than on providing definitive evidence of an association. Copyright (C) 2008 John Wiley & Sons, Ltd.

Increased apoptosis in first trimester extravillous trophoblasts from pregnancies at higher risk of developing preeclampsia

Preeclampsia complicates 5 to 10% of pregnancies and is a leading cause of maternal and fetal mortality and morbidity. Although the cause is unknown, inadequate invasion and remodeling of maternal uterine arteries by extravillous trophoblasts (EVTs) in the first trimester is a common feature. Uterine spiral artery resistance as detected by Doppler ultrasound is commonly used in the second trimester to identify pregnancies destined to develop preeclampsia. Correlation between high uterine resistance and the failure of trophoblast invasion has been reported as early as 12 weeks. However, the reason for this failure has not been established. Understanding the processes involved would significantly improve our diagnostic potential. In this study, we correlated increased first trimester uterine artery resistance with a biological abnormality in trophoblast function. EVTs derived from high-resistance pregnancies were more sensitive to apoptotic stimuli than those from normal-resistance pregnancies. Survival of EVTs from high-resistance pregnancies could be increased by nitric oxide, whereas inhibition of nitric oxide in cells from normal-resistance pregnancies increased apoptotic sensitivity. This predates the onset of symptoms by several weeks and provides evidence for a mechanism responsible for the incomplete uterine vessel remodeling and the differences in artery resistance between preeclamptic and normal pregnancies.

Assembling spatially explicit landscape models of pollen and spore dispersal by wind for risk assessment

Models of windblown pollen or spore movement are required to predict gene flow from genetically modified (GM) crops and the spread of fungal diseases. We suggest a simple form for a function describing the distance moved by a pollen grain or fungal spore, for use in generic models of dispersal. The function has power-law behaviour over sub-continental distances. We show that air-borne dispersal of rapeseed pollen in two experiments was inconsistent with an exponential model, but was fitted by power-law models, implying a large contribution from distant fields to the catches observed. After allowance for this 'background' by applying Fourier transforms to deconvolve the mixture of distant and local sources, the data were best fit by power-laws with exponents between 1.5 and 2. We also demonstrate that for a simple model of area sources, the median dispersal distance is a function of field radius and that measurement from the source edge can be misleading. Using an inverse-square dispersal distribution deduced from the experimental data and the distribution of rapeseed fields deduced by remote sensing, we successfully predict observed rapeseed pollen density in the city centres of Derby and Leicester (UK).

The role of polyphenolic compounds in the diet as inhibitors of platelet function

Platelets play a substantial role in cardiovascular disease, and for many years there has been a search for dietary components that are able to inhibit platelet function and therefore decrease the risk of cardiovascular disease. Platelets can be inhibited by alcohol, dietary fats and some antioxidants, including a group of compounds, the polyphenols, found in fruits and vegetables. A number of these compounds have been shown to inhibit platelet function both in vitro and in vivo. In the present study the effects of the hydroxycinnamates and the flavonoid quercetin on platelet activation and cell signalling in vitro were investigated. The hydroxycinnamates inhibited platelet function, although not at levels that can be achieved in human plasma by dietary intervention. However, quercetin inhibited platelet aggregation at levels lower than those previously reported. Quercetin was also found to inhibit intracellular Ca mobilisation and whole-cell tyrosine protein phosphorylation in platelets, which are both processes essential for platelet activation. The effect of polyphenols on platelet aggregation in vivo was also investigated. Twenty subjects followed a low-polyphenol diet for 3 d before and also during supplementation. All subjects were supplemented with a polyphenol-rich meal every lunchtime for 5 d. Platelet aggregation and plasma flavonols were measured at baseline and after 5 d of dietary supplementation. Total plasma flavonoids increased significantly after the dietary intervention period (P = 0.001). However, no significant changes in ex vivo platelet aggregation were observed. Further investigation of the effects of individual polyphenolic compounds on platelet function, both in vitro and in vivo, is required in order to elucidate their role in the relationship between diet and the risk of cardiovascular disease.

Dietary synbiotics reduce cancer risk factors in polypectomized and colon cancer patients

Background: Animal studies suggest that prebiotics and probiotics exert protective effects against tumor development in the colon, but human data supporting this suggestion are weak. Objective: The objective was to verify whether the prebiotic concept (selective interaction with colonic flora of nondigested carbohydrates) as induced by a synbiotic preparation-oligofructose-enriched inulin (SYN1) + Lactobacillus rhamnosus GG (LGG) and Bifidobacterium lactis Bb12 (BB12)-is able to reduce the risk of colon cancer in humans. Design: The 12-wk randomized, double-blind, placebo-controlled trial of a synbiotic food composed of the prebiotic SYN1 and probiotics LGG and BB12 was conducted in 37 colon cancer patients and 43 polypectomized patients. Fecal and blood samples were obtained before, during, and after the intervention, and colorectal biopsy samples were obtained before and after the intervention. The effect of synbiotic consumption on a battery of intermediate biomarkers for colon cancer was examined. Results: Synbiotic intervention resulted in significant changes in fecal flora: Bifidobacterium and Lactobacillus increased and Clostridium perfringens decreased. The intervention significantly reduced colorectal proliferation and the capacity of fecal water to induce necrosis in colonic cells and improve epithelial barrier function in polypectomized patients. Genotoxicity assays of colonic biopsy samples indicated a decreased exposure to genotoxins in polypectomized patients at the end of the intervention period. Synbiotic consumption prevented an increased secretion of interleukin 2 by peripheral blood mononuclear cells in the polypectomized patients and increased the production of interferon gamma in the cancer patients. Conclusions: Several colorectal cancer biomarkers can be altered favorably by synbiotic intervention.

Green tea (Camellia sinensis) catechins and vascular function

The health benefits of green tea (Camellia sinensis) catechins are becoming increasingly recognised. Amongst the proposed benefits are the maintenance of endothelial function and vascular homeostasis and an associated reduction in atherogenesis and CVD risk. The mounting evidence for the influential effect of green tea catechins on vascular function from epidemiological, human intervention and animal studies is subject to review together with exploration of the potential mechanistic pathways involved. Epigallocatechin-3-gallate, one of the most abundant and widely studied catechin found in green tea, will be prominent in the present review. Since there is a substantial inconsistency in the published data with regards to the impact of green tea catechins on vascular function, evaluation and interpretation of the inter- and intra-study variability is included. In conclusion, a positive effect of green tea catechins on vascular function is becoming apparent. Further studies in animal and cell models using physiological concentrations of catechins and their metabolites are warranted in order to gain some insight into the physiology and molecular basis of the observed beneficial effects.

Effect of fecal water on an in vitro model of colonic mucosal barrier function

Fecal water (FW) has been shown to exert, in cultured cells, cytotoxic and genotoxic effects that have implications for colorectal cancer (CRC) risk. We have investigated a further biological activity of FW, namely, the ability to affect gap junctions in CACO2 cell monolayers as an index of mucosal barrier function, which is known to be disrupted in cancer. FW samples fi-om healthy, free-living, European subjects that were divided into two broad age groups, adult (40 +/- 9.7 yr; n = 53) and elderly (76 +/- 7.5 yr; n = 55) were tested for effects on gap junction using the transepithelial resistance (TER) assay. Overall, treatment of CACO2 cells with FW samples fi-om adults increased TER (+ 4 %), whereas FW from elderly subjects decreased TER (-5%); the difference between the two groups was significant (P < 0.05). We also measured several components of FW potentially associated with modulation of TER, namely, short-chain fatty acid (SCFA) and ammonia. SCFAs (propionic, acetic, and n-butyric) were significantly lower in the elderly population (-30%, -35%, and -21%, respectively, all P pound 0.01). We consider that FW modulation of in vitro epithelial barrier function is a potentially useful noninvasive biomarker, but it requires further validation to establish its relationship to CRC risk.