An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not available to examine spillover effects, “generated regressors” may be used to construct both Financial ETF futures and Energy ETF futures. The purpose of the paper is to investigate the covolatility spillovers within and across the US energy and financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model, namely Diagonal BEKK. The daily data used are from 1998/12/23 to 2016/4/22. The data set is analyzed in its entirety, and also subdivided into three subset time periods. The empirical results show there is a significant relationship between the Financial ETF and Energy ETF in the spot and futures markets. Therefore, financial and energy ETFs are suitable for constructing a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes.

An ethnopharmacological and historical analysis of “Dictamnus”, a European traditional herbal medicine

Ethnopharmacological relevance and background: “Dictamnus” was a popular name for a group of medicinal herbaceous plant species of the Rutaceae and Lamiaceae, which since the 4th century have been used for gynaecological problems and other illnesses BCE and still appear in numerous ethnobotanical records. Aims: This research has as four overarching aims: Determining the historical evolution of medical preparations labelled “Dictamnus” and the different factors affecting this long-standing herbal tradition. Deciphering and differentiating those medicinal uses of “Dictamnus” which strictly correspond to Dictamnus (Rutaceae), from those of Origanum dictamnus and other Lamiaceae species. Quantitatively assessing the dependence from herbal books, and pharmaceutical tradition, of modern Dictamnus ethnobotanical records. Determining whether differences between Western and Eastern Europe exist with regards to the Dictamnus albus uses in ethnopharmacology and ethnomedicine. Methods: An exhaustive review of herbals, classical pharmacopoeias, ethnobotanical and ethnopharmacological literature was conducted. Systematic analysis of uses reported which were standardized according to International Classification of Diseases – 10 and multivariate analysis using factorial, hierarchical and neighbour joining methods was undertaken. Results and discussion: The popular concept “Dictamnus” includes Origanum dictamnus L., Ballota pseudodictamnus (L.) Benth. and B. acetabulosa (L.) Benth. (Lamiaceae), as well as Dictamnus albus L. and D. hispanicus Webb ex Willk. (Rutaceae), with 86 different types of uses. Between 1000 and 1700 CE numerous complex preparations with “Dictamnus” were used in the treatment of 35 different pathologies. On biogeographical grounds the widespread D. albus is a far more likely prototypical “Dictamnus” than the Cretan endemic Origanum dictamnus. However both form integral parts of the “Dictamnus” complex. Evidence exists for a sufficiently long and coherent tradition for D. albus and D. hispanicus, use to treat 47 different categories of diseases. Conclusions: This approach is a model for understanding the cultural history of plants and their role as resources for health care. “Dictamnus” shows how transmission of traditional knowledge about materia medica, over 26 centuries, represents remarkable levels of development and innovation. All this lead us to call attention to D. albus and D. hispanicus which are highly promising as potential herbal drug leads. The next steps of research should be to systematically analyse phytochemical, pharmacological and clinical evidence and to develop safety, pharmacology and toxicology profiles of the traditional preparations.

Health-related quality of life and determinant factors in celiac disease. A population-based analysis of adult patients in Spain

Background: Celiac disease (CD) has a negative impact on the health-related quality of life (HRQL) of affected patients. Although HRQL and its determinants have been examined in Spanish CD patients specifically recruited in hospital settings, these aspects of CD have not been assessed among the general Spanish population. Methods: An observational, transversal study of a non-randomized, representative sample of adult celiac patients throughout all of Spain's Autonomous Regions. Subjects were recruited through celiac patient associations. A Spanish version of the self-administered Celiac Disease-Quality of Life (CD-QOL) questionnaire was used. Determinant factors of HRQL were assessed with the aid of multivariate analysis to control for confounding factors. Results: We analyzed the responses provided by 1,230 patients, 1,092 (89.2%) of whom were women. The overall mean value for the CD-QOL index was 56.3 ± 18.27 points. The dimension that obtained the most points was dysphoria, with 81.3 ± 19.56 points, followed by limitations with 52.3 ± 23.43 points; health problems, with 51.6 ± 26.08 points, and inadequate treatment, with 36.1 ± 21.18 points. Patient age and sex, along with time to diagnosis, and length of time on a gluten-free diet were all independent determinant factors of certain dimensions of HRQL: women aged 31 to 40 expressed poorer HRQL while time to diagnosis and length of time on a gluten-free diet were determinant factors for better HRQL scores. Conclusions: The HRQL of adult Spanish celiac subjects is moderate, improving with the length of time patients remain on a gluten-free diet.

THAID : a sequential analysis program for the analysis of nominal scale dependent variables /

Bibliography: p. 46.

Multivariate QTL linkage analysis suggests a QTL for platelet count on chromosome 19q

Platelet count is a highly heritable trait with genetic factors responsible for around 80% of the phenotypic variance. We measured platelet count longitudinally in 327 monozygotic and 418 dizygotic twin pairs at 12, 14 and 16 years of age. We also performed a genome-wide linkage scan of these twins and their families in an attempt to localize QTLs that influenced variation in platelet concentrations. Suggestive linkage was observed on chromosome 19q13.13-19q13.31 at 12 (LOD=2.12, P=0.0009), 14 (LOD=2.23, P=0.0007) and 16 (LOD=1.01, P=0.016) years of age and multivariate analysis of counts at all three ages increased the LOD to 2.59 (P=0.0003). A possible candidate in this region is the gene for glycoprotein VI, a receptor involved in platelet aggregation. Smaller linkage peaks were also seen at 2p, 5p, 5q, 10p and 15q. There was little evidence for linkage to the chromosomal regions containing the genes for thrombopoietin (3q27) and the thrombopoietin receptor (1q34), suggesting that polymorphisms in these genes do not contribute substantially to variation in platelet count between healthy individuals.

A vulnerability analysis of the temperate forests of south central Chile A vulnerability analysis of the temperate forests of south central Chile. Biological Conservation, 122 2005: 9-21.

Areas of the landscape that are priorities for conservation should be those that are both vulnerable to threatening processes and that if lost or degraded, will result in conservation targets being compromised. While much attention is directed towards understanding the patterns of biodiversity, much less is given to determining the areas of the landscape most vulnerable to threats. We assessed the relative vulnerability of remaining areas of native forest to conversion to plantations in the ecologically significant temperate rainforest region of south central Chile. The area of the study region is 4.2 million ha and the extent of plantations is approximately 200000 ha. First, the spatial distribution of native forest conversion to plantations was determined. The variables related to the spatial distribution of this threatening process were identified through the development of a classification tree and the generation of a multivariate. spatially explicit, statistical model. The model of native forest conversion explained 43% of the deviance and the discrimination ability of the model was high. Predictions were made of where native forest conversion is likely to occur in the future. Due to patterns of climate, topography, soils and proximity to infrastructure and towns, remaining forest areas differ in their relative risk of being converted to plantations. Another factor that may increase the vulnerability of remaining native forest in a subset of the study region is the proposed construction of a highway. We found that 90% of the area of existing plantations within this region is within 2.5 km of roads. When the predictions of native forest conversion were recalculated accounting for the construction of this highway, it was found that: approximately 27000 ha of native forest had an increased probability of conversion. The areas of native forest identified to be vulnerable to conversion are outside of the existing reserve network. (C) 2004 Elsevier Ltd. All tights reserved.

Multivariate monitoring of a biological wastewater treatment process: a case study at Melbourne Water's Western Treatment Plant

Biological wastewater treatment is a complex, multivariate process, in which a number of physical and biological processes occur simultaneously. In this study, principal component analysis (PCA) and parallel factor analysis (PARAFAC) were used to profile and characterise Lagoon 115E, a multistage biological lagoon treatment system at Melbourne Water's Western Treatment Plant (WTP) in Melbourne, Australia. In this study, the objective was to increase our understanding of the multivariate processes taking place in the lagoon. The data used in the study span a 7-year period during which samples were collected as often as weekly from the ponds of Lagoon 115E and subjected to analysis. The resulting database, involving 19 chemical and physical variables, was studied using the multivariate data analysis methods PCA and PARAFAC. With these methods, alterations in the state of the wastewater due to intrinsic and extrinsic factors could be discerned. The methods were effective in illustrating and visually representing the complex purification stages and cyclic changes occurring along the lagoon system. The two methods proved complementary, with each having its own beneficial features. (C) 2003 Elsevier B.V. All rights reserved.

Cluster analysis of high-dimensional data: A case study

Normal mixture models are often used to cluster continuous data. However, conventional approaches for fitting these models will have problems in producing nonsingular estimates of the component-covariance matrices when the dimension of the observations is large relative to the number of observations. In this case, methods such as principal components analysis (PCA) and the mixture of factor analyzers model can be adopted to avoid these estimation problems. We examine these approaches applied to the Cabernet wine data set of Ashenfelter (1999), considering the clustering of both the wines and the judges, and comparing our results with another analysis. The mixture of factor analyzers model proves particularly effective in clustering the wines, accurately classifying many of the wines by location.

Lymphoproliferative disease of the ocular adnexa: A clinical and pathologic study with statistical analysis of 69 patients

Purpose: To evaluate the clinical features, treatment, and outcomes of a cohort of patients with ocular adnexal lymphoproliferative disease classified according to the World Health Organization modification of the Revised European-American Classification of Lymphoid neoplasms and to perform a robust statistical analysis of these data. Methods: Sixty-nine cases of ocular adnexal lymphoproliferative disease, seen in a tertiary referral center from 1992 to 2003, were included in the study. Lesions were classified by using the World Health Organization modification of the Revised European-American Classification of Lymphoid neoplasms classification. Outcome variables included disease-specific Survival, relapse-free survival, local control, and distant control. Results: Stage IV disease at presentation, aggressive lymphoma histology, the presence of prior or concurrent systemic lymphoma at presentation, and bilateral adnexal disease were significant predictors for reduced disease-specific survival, local control, and distant control. Multivariate analysis found that aggressive histology and bilateral adnexal disease had significantly reduced disease-specific Survival. Conclusions: The typical presentation of adnexal lymphoproliferative disease is with a painless mass, swelling, or proptosis; however, pain and inflammation occurred in 20% and 30% of patients, respectively. Stage at presentation, tumor histology, primary or secondary status, and whether the process was unilateral or bilateral were significant variables for disease outcome. In this study, distant spread of lymphoma was lower in patients who received greater than 20 Gy of orbital radiotherapy.

Analysis of population pharmacokinetic data using NONMEM and WinBUGS

The aim of this report is to describe the use of WinBUGS for two datasets that arise from typical population pharmacokinetic studies. The first dataset relates to gentamicin concentration-time data that arose as part of routine clinical care of 55 neonates. The second dataset incorporated data from 96 patients receiving enoxaparin. Both datasets were originally analyzed by using NONMEM. In the first instance, although NONMEM provided reasonable estimates of the fixed effects parameters it was unable to provide satisfactory estimates of the between-subject variance. In the second instance, the use of NONMEM resulted in the development of a successful model, albeit with limited available information on the between-subject variability of the pharmacokinetic parameters. WinBUGS was used to develop a model for both of these datasets. Model comparison for the enoxaparin dataset was performed by using the posterior distribution of the log-likelihood and a posterior predictive check. The use of WinBUGS supported the same structural models tried in NONMEM. For the gentamicin dataset a one-compartment model with intravenous infusion was developed, and the population parameters including the full between-subject variance-covariance matrix were available. Analysis of the enoxaparin dataset supported a two compartment model as superior to the one-compartment model, based on the posterior predictive check. Again, the full between-subject variance-covariance matrix parameters were available. Fully Bayesian approaches using MCMC methods, via WinBUGS, can offer added value for analysis of population pharmacokinetic data.

Analysis of lipoproteins using 2D diffusion-edited NMR spectroscopy and multi-way chemometrics

This study represents the first application of multi-way calibration by N-PLS and multi-way curve resolution by PARAFAC to 2D diffusion-edited H-1 NMR spectra. The aim of the analysis was to evaluate the potential for quantification of lipoprotein main- and subtractions in human plasma samples. Multi-way N-PLS calibrations relating the methyl and methylene peaks of lipoprotein lipids to concentrations of the four main lipoprotein fractions as well as 11 subfractions were developed with high correlations (R = 0.75-0.98). Furthermore, a PARAFAC model with four chemically meaningful components was calculated from the 2D diffusion-edited spectra of the methylene peak of lipids. Although the four extracted PARAFAC components represent molecules of sizes that correspond to the four main fractions of lipoproteins, the corresponding concentrations of the four PARAFAC components proved not to be correlated to the reference concentrations of these four fractions in the plasma samples as determined by ultracentrifugation. These results indicate that NMR provides complementary information on the classification of lipoprotein fractions compared to ultracentrifugation. (C) 2004 Elsevier B.V. All rights reserved.

Longitudinal Genetic Analysis of Plasma Lipids

The consensus from published studies is that plasma lipids are each influenced by genetic factors, and that this contributes to genetic variation in risk of cardiovascular disease. Heritability estimates for lipids and lipoproteins are in the range .48 to .87, when measured once per study participant. However, this ignores the confounding effects of biological variation measurement error and ageing, and a truer assessment of genetic effects on cardiovascular risk may be obtained from analysis of longitudinal twin or family data. We have analyzed information on plasma high-density lipoprotein (HDL) and low-density lipoprotein (LDL) cholesterol, and triglycerides, from 415 adult twins who provided blood on two to five occasions over 10 to 17 years. Multivariate modeling of genetic and environmental contributions to variation within and across occasions was used to assess the extent to which genetic and environmental factors have long-term effects on plasma lipids. Results indicated that more than one genetic factor influenced HDL and LDL components of cholesterol, and triglycerides over time in all studies. Nonshared environmental factors did not have significant long-term effects except for HDL. We conclude that when heritability of lipid risk factors is estimated on only one occasion, the existence of biological variation and measurement errors leads to underestimation of the importance of genetic factors as a cause of variation in long-term risk within the population. In addition our data suggest that different genes may affect the risk profile at different ages.

Block GTM: Incorporating prior knowledge of covariance structure in data visualisation

Visualising data for exploratory analysis is a big challenge in scientific and engineering domains where there is a need to gain insight into the structure and distribution of the data. Typically, visualisation methods like principal component analysis and multi-dimensional scaling are used, but it is difficult to incorporate prior knowledge about structure of the data into the analysis. In this technical report we discuss a complementary approach based on an extension of a well known non-linear probabilistic model, the Generative Topographic Mapping. We show that by including prior information of the covariance structure into the model, we are able to improve both the data visualisation and the model fit.

A multivariate examination of the relationship between strategic planning and organisational performance

Strategic planning and more specifically, the impact of strategic planning on organisational performance has been the subject of significant academic interest since the early 1970's. However, despite the significant amount of previous work examining the relationship between strategic planning and organisational performance, a comprehensive literature review identified a number of areas where contributions to the domain of study could be made. In overview, the main areas for further study identified from the literature review were a) a further examination of both the dimensionality and conceptualisation of strategic planning and organisational performance and b) a further, multivariate, examination of the relationship between strategic planning and performance, to capture the newly identified dimensionality. In addition to the previously identified strategic planning and organisational performance constructs, a comprehensive literature based assessment was undertaken and five main areas were identified for further examination, these were a) organisational b) comprehensive strategic choice, c) the quality of strategic options generated, d) political behavior and e) implementation success. From this, a conceptual model incorporating a set of hypotheses to be tested was formulated. In order to test the conceptual model specified and also the stated hypotheses, data gathering was undertaken. The quantitative phase of the research involved a mail survey of senior managers in medium to large UK based organisations, of which a total of 366 fully useable responses were received. Following rigorous individual construct validity and reliability testing, the complete conceptual model was tested using latent variable path analysis. The results for the individual hypotheses and also the complete conceptual model were most encouraging. The findings, theoretical and managerial implications, limitations and directions for future research are discussed.

Correlating liposomal adjuvant characteristics to in-vivo cell-mediated immunity using a novel Mycobacterium tuberculosis fusion protein:a multivariate analysis study

Objective In this study, we have used a chemometrics-based method to correlate key liposomal adjuvant attributes with in-vivo immune responses based on multivariate analysis. Methods The liposomal adjuvant composed of the cationic lipid dimethyldioctadecylammonium bromide (DDA) and trehalose 6,6-dibehenate (TDB) was modified with 1,2-distearoyl-sn-glycero-3-phosphocholine at a range of mol% ratios, and the main liposomal characteristics (liposome size and zeta potential) was measured along with their immunological performance as an adjuvant for the novel, postexposure fusion tuberculosis vaccine, Ag85B-ESAT-6-Rv2660c (H56 vaccine). Partial least square regression analysis was applied to correlate and cluster liposomal adjuvants particle characteristics with in-vivo derived immunological performances (IgG, IgG1, IgG2b, spleen proliferation, IL-2, IL-5, IL-6, IL-10, IFN-γ). Key findings While a range of factors varied in the formulations, decreasing the 1,2-distearoyl-sn-glycero-3-phosphocholine content (and subsequent zeta potential) together built the strongest variables in the model. Enhanced DDA and TDB content (and subsequent zeta potential) stimulated a response skewed towards a cell mediated immunity, with the model identifying correlations with IFN-γ, IL-2 and IL-6. Conclusion This study demonstrates the application of chemometrics-based correlations and clustering, which can inform liposomal adjuvant design.