Quantiles of the Realized Stock-Bond Correlation

Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi…ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent …financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi…cations: C22; G01; G11; G12

The correlation between inbreeding and fitness: does allele size matter?

The availability of highly polymorphic genetic markers, in particular microsatellites, has made it possible to test the effect of inbreeding on fitness in the field and in the absence of pedigree information. It has been suggested that the squared difference in allele size at a locus (d(2)) might be a better indicator of the level of inbreeding than is heterozygosity. Using an elegant new analytical model, Tsitrone et al. now put this idea to the test, and to rest.

Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

. Phenotype/genotype correlation associated with a novel nonsense Glu20stop mutation in the Rp2 gene in a three-generation family with x-linked retinitis pigmentosa

Purpose: To assess the phenotype of patients in a large 3 generation Swiss family with X-linked retinitis pigmentosa (XLRP) due to a novel nonsense mutation Glu20stop in RP2 gene and to correlate with the genotype. Methods: 6 affected patients (1 male, 5 females, age range: 23 - 73 years) were assessed with a complete ophthalmologic examination. All had fundus autofluorescence images, standardised electroretinography, Goldmann visual fields and Optical Coherence Tomography. In addition, medical records of 2 affected male patients were reviewed. Blood sample was taken for molecular analysis. Results: The male patients were severely affected at a young age with early macular involvement. The youngest 23 y old male had also high myopia and vision of less than 0.05 according to Snellen EDTRS chart bilaterally. All 5 female carriers had some degree of rod-cone dystrophy, but no macular involvement. The visual acuity was 1.0 in the younger carriers, while the 73 years old had VA of 0.5. Two females had mild myopia (range -0.75 to -2) and one had anisometropia of 3.5D, with the more severely affected eye being myopic. Three out of 5 female carriers had optic nerve drusen. Conclusions: We report a novel Glu20stop mutation in RP2 gene, which is a rare cause of XLRP. Our description of severe phenotype in male patients with high myopia and early macular atrophy confirms previous reports. Unlike previous reports, all our female carriers had RP, but not macular involvement or high myopia. The identifiable phenotype for RP2-XLRP aids in clinical diagnosis and targeted genetic screening.

Monitoring of vaccine-specific gamma interferon induction in genital mucosa of mice by real-time reverse transcription-PCR.

Monitoring of T-cell responses in genital mucosa has remained a major challenge because of the absence of lymphoid aggregates and the low abundance of T cells. Here we have adapted to genital tissue a sensitive real-time reverse transcription-PCR (TaqMan) method to measure induction of gamma interferon (IFN-gamma) mRNA transcription after 3 h of antigen-specific activation of CD8 T cells. For this purpose, we vaccinated C57BL/6 mice subcutaneously with human papillomavirus type 16 L1 virus-like particles and monitored the induction of CD8 T cells specific to the L1(165-173) H-2D(b)-restricted epitope. Comparison of the responses induced in peripheral blood mononuclear cells and lymph nodes (LN) by L1-specific IFN-gamma enzyme-linked immunospot assay and TaqMan determination of the relative increase in L1-specific IFN-gamma mRNA induction normalized to the content of CD8b mRNA showed a significant correlation, despite the difference in the readouts. Most of the cervicovaginal tissues could be analyzed by the TaqMan method if normalization to glyceraldehyde-3-phosphate dehydrogenase mRNA was used and a significant L1-specific IFN-gamma induction was found in one-third of the immunized mice. This local response did not correlate with the immune responses measured in the periphery, with the exception of the sacral LN, an LN draining the genital mucosa, where a significant correlation was found. Our data show that the TaqMan method is sensitive enough to detect antigen-specific CD8 T-cell responses in the genital mucosa of individual mice, and this may contribute to elaborate effective vaccines against genital pathogens.

Solitary fibrous tumor of the lateral ventricle: CT appearances and pathologic correlation with follow-up.

Intracranial solitary fibrous tumors are rare, and intraventricular fibrous tumors are even more unusual. We report a case of solitary fibrous tumor in the region of trigone and body of the left lateral ventricle and discuss the clinical presentation, CT characteristics, and histopathologic features with 1-year follow-up. We speculate that the tumor arose from the perivascular connective tissue of the choroid plexus.

Multiplex real-time PCR for the diagnosis of malaria: correlation with microscopy.

Malaria is generally diagnosed by microscopy and rapid antigen testing. Molecular methods become more widely used. In the present study, the contribution of a quantitative multiplex malaria PCR was investigated. We assessed: (i) the agreement between PCR-based identification and microscopy and (ii) the correlation between the parasite load as determined by quantitative PCR and by microscopy. For 83 patients positive by microscopy for Plasmodium spp., the first EDTA-blood sample was tested by multiplex PCR to confirm smear-based species identification. Parasite load was assessed daily using both microscopy and PCR. Among the 83 patients tested, one was positive by microscopy only and 82 were positive by microscopy and PCR. Agreement between microscopy and PCR for the identification at the species level was 89% (73/82). Six of the nine discordant results corresponded to co-infections by two or three species and were attributed to inaccurate morphological identification of mixed cases. The parasite load generally decreased rapidly after treatment had been started, with similar decay curves being obtained using both microscopy and PCR. Our PCR proved especially useful for identifying mixed infections. The quantification obtained by PCR closely correlated with microscopy-based quantification and could be useful for monitoring treatment efficacy, at least in clinical trials.

Beurling-Landau densities of weighted Fekete sets and correlation kernel estimates

Vegeu el resum a l'inici del document del fitxer adjunt.

Bone mineral density (BMD), micro-architecture estimation (TBS) and vertebral fracture assessment (VFA) extracted from a single DXA device in combination with clinical risk factors improve significantly the identification of women at high risk of fracture

Introduction: Osteoporosis (OP) is a systemic skeletal disease characterized by a low bone mineral density (BMD) and a micro-architectural (MA) deterioration. Clinical risk factors (CRF) are often used as a MA approximation. MA is yet evaluable in daily practice by the Trabecular Bone Score (TBS) measure. TBS is a novel grey-level texture measurement reflecting bone micro-architecture based on the use of experimental variograms of 2D projection images. TBS is very simple to obtain, by reanalyzing a lumbar DXA-scan. TBS has proven to have diagnosis and prognosis value, partially independent of CRF and BMD. The aim of the OsteoLaus cohort is to combine in daily practice the CRF and the information given by DXA (BMD, TBS and vertebral fracture assessment (VFA)) to better identify women at high fracture risk. Method: The OsteoLaus cohort (1400 women 50 to 80 years living in Lausanne, Switzerland) started in 2010. This study is derived from the cohort COLAUS who started in Lausanne in 2003. The main goals of COLAUS is to obtain information on the epidemiology and genetic determinants of cardiovascular risk in 6700 men and women. CRF for OP, bone ultrasound of the heel, lumbar spine and hip BMD, VFA by DXA and MA evaluation by TBS are recorded in OsteoLaus. Preliminary results are reported. Results: We included 631 women: mean age 67.4±6.7 y, BMI 26.1±4.6, mean lumbar spine BMD 0.943±0.168 (T-score -1.4 SD), TBS 1.271±0.103. As expected, correlation between BMD and site matched TBS is low (r2=0.16). Prevalence of VFx grade 2/3, major OP Fx and all OP Fx is 8.4%, 17.0% and 26.0% respectively. Age- and BMI-adjusted ORs (per SD decrease) are 1.8 (1.2- 2.5), 1.6 (1.2-2.1), 1.3 (1.1-1.6) for BMD for the different categories of fractures and 2.0 (1.4-3.0), 1.9 (1.4-2.5), 1.4 (1.1-1.7) for TBS respectively. Only 32 to 37% of women with OP Fx have a BMD < -2.5 SD or a TBS < 1.200. If we combine a BMD < -2.5 SD or a TBS < 1.200, 54 to 60% of women with an osteoporotic Fx are identified. Conclusion: As in the already published studies, these preliminary results confirm the partial independence between BMD and TBS. More importantly, a combination of TBS subsequent to BMD increases significantly the identification of women with prevalent OP Fx which would have been miss-classified by BMD alone. For the first time we are able to have complementary information about fracture (VFA), density (BMD), micro- and macro architecture (TBS & HAS) from a simple, low ionizing radiation and cheap device: DXA. Such complementary information is very useful for the patient in the daily practice and moreover will likely have an impact on cost effectiveness analysis.

Intel·ligència artificial aplicada a un joc beat'em up en 2D

Creació d'un joc del tipus Arcade beat'em up en 2D utilitzant escenaris amb una certa profunditat de moviment i dotant als personatges no jugadors i altres objectes d'Intel·ligència Artificial de manera que el seu comportament no sigui sempre lineal i aprofitant-ho per afegir nivells de dificultat.

Different epitopes of the LACK protein are recognized by V beta 4 V alpha 8 CD4+ T cells in H-2b and H-2d mice susceptible to Leishmania major.

After inoculation of Leishmania major, a rapid production of IL-4 by LACK-specific CD4+ T cells has been shown to drive Th2 cell development in susceptible mice i.e. BALB/c and C57BL/6 mice rendered susceptible by neutralization of IFN-gamma at the onset of infection. Here, we showed that peptide AA 156-173 induced an early IL-4 mRNA expression not only in BALB/c mice but also in resistant B10.D2 mice when IFN-gamma is neutralized. Epitope mapping of LACK protein demonstrated that peptide containing AA 293-305 induced early IL-4 mRNA transcripts in susceptible H-2b mice i.e. BALB/b and resistant C57BL/6 mice when IFN-gamma is neutralized. Stringently, the early IL-4 response to the H-2d (AA 156-173) or the H-2b (AA 293-305) epitopes occurred in V beta 4 V alpha 8 CD4+ T cells from either H-2d or H-2b susceptible mice, respectively.

Lack of Correlation between Seminal and Plasma HIV-1 Viral Loads is Associated with CD4T Cell Depletion in Therapy-naïve HIV-1+ Patients

The present study was conducted to investigate a possible correlation between plasma (PVL) and seminal viral load (SVL) on treatment-naïve HIV-1-infected patients in Vitória, ES, Brazil. We also evaluated whether the progressive immunosuppression associated with HIV disease (as evidenced by declining CD4 T cell counts) has any impact on the correlation between PVL and SVL HIV-1. Viral load on paired blood and semen samples from 56 consecutive treatment-naïve patients were evaluated and compared to CD4 cell counts. Viral load and T cell counts (cells/µl) were determined by NASBA and by flow cytometry, respectively. Overall, a strong positive correlation between PVL and SVL (rho = 0.438, p = 0.001) was observed. However, when patients were grouped according to their CD4 counts, this correlation was only significant among patients with CD4 counts > 200 cells/µl. Results presented here demonstrate the existence of a strong correlation between PVL and SVL on patients with CD4 cell counts > 200 cells/µl, suggesting that this association may correlate with disease progression.

Imaging Properties of MS Lesions Correlate with Attention Deficits in Early Multiple Sclerosis

Introduction: Cognitive impairment affects 40-65% of multiple sclerosis (MS) patients, often since early stages of the disease (relapsing remitting MS, RRMS). Frequently affected functions are memory, attention or executive abilities but the most sensitive measure of cognitive deficits in early MS is the information processing speed (Amato, 2008). MRI has been extensively exploited to investigate the substrate of cognitive dysfunction in MS but the underlying physiopathological mechanisms remain unclear. White matter lesion load, whole-brain atrophy and cortical lesions' number play a role but correlations are in some cases modest (Rovaris, 2006; Calabrese, 2009). In this study, we aimed at characterizing and correlating the T1 relaxation times of cortical and sub-cortical lesions with cognitive deficits detected by neuropsychological tests in a group of very early RR MS patients. Methods: Ten female patients with very early RRMS (age: 31.6 ±4.7y; disease duration: 3.8 ±1.9y; EDSS disability score: 1.8 ±0.4) and 10 age- and gender-matched healthy volunteers (mean age: 31.2 ±5.8y) were included in the study. All participants underwent the following neuropsychological tests: Rao's Brief Repeatable Battery of Neuropsychological tests (BRB-N), Stockings of Cambridge, Trail Making Test (TMT, part A and B), Boston Naming Test, Hooper Visual Organization Test and copy of the Rey-Osterrieth Complex Figure. Within 2 weeks from neuropsychological assessment, participants underwent brain MRI at 3T (Magnetom Trio a Tim System, Siemens, Germany) using a 32-channel head coil. The imaging protocol included 3D sequences with 1x1x1.2 mm3 resolution and 256x256x160 matrix, except for axial 2D-FLAIR: -DIR (T2-weighted, suppressing both WM and CSF; Pouwels, 2006) -MPRAGE (T1-weighted; Mugler, 1991) -MP2RAGE (T1-weighted with T1 maps; Marques, 2010) -FLAIR SPACE (only for patient 4-10, T2-weighted; Mugler, 2001) -2D Axial FLAIR (0.9x0.9x2.5 mm3, 256x256x44 matrix). Lesions were identified by one experienced neurologist and radiologist using all contrasts, manually contoured and assigned to regional locations (cortical or sub-cortical). Lesion number, volume and T1 relaxation time were calculated for lesions in each contrast and in a merged mask representing the union of the lesions from all contrasts. T1 relaxation times of lesions were normalized with the mean T1 value in corresponding control regions of the healthy subjects. Statistical analysis was performed using GraphPad InStat software. Cognitive scores were compared between patients and controls with paired t-tests; p values ≤ 0.05 were considered significant. Spearmann correlation tests were performed between the cognitive tests, which differed significantly between patients and controls, and lesions' i) number ii) volume iii) T1 relaxation time iv) disease duration and v) years of study. Results: Cortical and sub-cortical lesions count, T1 values and volume are reported in Table 1 (A and B). All early RRMS patients showed cortical lesions (CLs) and the majority consisted of CLs type I (lesions with a cortical component extending to the sub-cortical tissue). The rest of cortical lesions were characterized as type II (intra-cortical lesions). No type III/IV lesions (large sub-pial lesions) were detected. RRMS patients were slightly less educated (13.5±2.5y vs. 16.3±1.8y of study, p=0.02) than the controls. Signs of cortical dysfunction (i.e. impaired learning, language, visuo-spatial skills or gnosis) were rare in all patients. However, patients showed on average lower scores on measures of visual attention and information processing speed (TMT-part A: p=0.01; TMT-part B: p=0.006; PASAT-included in the BRB-N: p=0.04). The T1 relaxation values of CLs type I negatively correlated with the TMT-part A score (r=0.78, p<0.01). The correlations of TMT-part B score and PASAT score with T1 relaxation time of lesions as well and the correlation between TMT-part A, TMT-part B and PASAT score with lesions' i) number ii) volume iii) disease duration and iv) years of study did not reach significance. In order to preclude possible influences from partial volume effects on the T1 values, the correlation between lesion volume and T1 value of CLs type I was calculated; no correlation was found, suggesting that partial volume effects did not affect the statistics. Conclusions: The present pilot study reports for the first time the presence and the T1 characteristics at 3 T of cortical lesions in very early RRMS (< 6 y disease duration). It also shows that CLS type I represents the most frequent cortical lesion type in this cohort of RRMS patients. In addition, it reveals a negative correlation between the attentional test TMT-part A and the T1 properties of cortical lesions type I. In other words, lower attention deficits are concomitant with longer T1-relaxation time in cortical lesions. In respect to this last finding, it could be speculated that long relaxation time correspond to a certain degree of tissue loss that is enough to stimulate compensatory mechanisms. This hypothesis is in line with previous fMRI studies showing functional compensatory mechanisms to help maintaining normal or sub-normal attention performances in RR MS patients (Penner, 2003).

Correlation of male genital filaments and female spermathecal ducts in New World sand flies of the Lutzomyia intermedia species complex (Diptera: Psychodidae, Phlebotominae)

The lengths of the male genital filaments and female spermathecal ducts were measured in phlebotomine sand flies of the Lutzomyia intermedia species complex and the ratios between these characters calculated. Ratios for L. intermedia s. s. from Northeast vs Southeast Brazil (Espírito Santo and Minas Gerais), Espírito Santo/Minas Gerais vs Rio de Janeiro/São Paulo and L. intermedia vs L. neivai were significantly different at P < 0.1, 0.05 and 0.01 respectively when compared using ANOVA. The spermathecal ducts and genital filaments of L. intermedia were significantly longer than those of L. neivai (P < 0.01) and could be used to differentiate these species. The taxonomic and biological significance of these differences is discussed.