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.

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

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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.

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.

Correlating the end-Triassic mass extinction and flood basalt volcanism at the 100 ka level

New high-precision U/Pb geochronology from volcanic ashes shows that the Triassic-Jurassic boundary and end-Triassic biological crisis from two independent marine stratigraphic sections correlate with the onset of terrestrial flood volcanism in the Central Atlantic Magmatic Province to <150 ka. This narrows the correlation between volcanism and mass extinction by an order of magnitude for any such catastrophe in Earth history. We also show that a concomitant drop and rise in sea level and negative delta C-13 spike in the very latest Triassic occurred locally in <290 ka. Such rapid sea-level fluctuations on a global scale require that global cooling and glaciation were closely associated with the end-Triassic extinction and potentially driven by Central Atlantic Magmatic Province volcanism.

Stratigraphic significance of siliceous microfossils collected during Nautiperc dives (Off Peru, 5°-6° S)

The geological evolution of the northern Peru convergent margin can be traced using samples collected during deep-sea dives of the submersible Nautile. In the Paita area (5 degrees-6 degrees S), the sedimentary sequence was intensively sampled along the main scarp of the middle slope area. It consists of Upper Miocene (7-9 Ma) to Pleistocene siltstone, sandstone and rare dolostone. The age distribution of these samples is the basis for a new geologic interpretation of the multichannel seismic line CDP3. Siliceous microfossils (both diatoms and radiolarians) show influence of both cold and temperate waters (local species mixed with upwelling ones). Diatom assemblages studied from the NP1-13 and NP1-15 dives bear a strong resemblance to assemblages from the Pisco Formation of southern Peru. Micropaleontological data from siliceous microfossils, provide evidence for two main unconformities, one is at the base of the Quaternary sequence and the other corresponds to a hiatus of 1 Myr, separating the Upper Miocene (7-8 Ma) sediments from uppermost Miocene (5-6 Ma) sediments. During the past 400 kyr, a wide rollover fold developed in the middle slope area associated with a major seaward dipping detachment fault. A catastrophic debris avalanche occurred as the result of an oversteepening of the landward flank of the rollover fold. The gravity failure of the slope, recognized by SeaBEAM and hydrosweep mapping, displaced enough material to produce a destructive tsunami which occurred 13.8 +/- 2.7 kyr ago.

Antibiotic-dependent correlation between drug-induced killing and loss of luminescence in Streptococcus gordonii expressing luciferase.

Measuring antibiotic-induced killing relies on time-consuming biological tests. The firefly luciferase gene (luc) was successfully used as a reporter gene to assess antibiotic efficacy rapidly in slow-growing Mycobacterium tuberculosis. We tested whether luc expression could also provide a rapid evaluation of bactericidal drugs in Streptococcus gordonii. The suicide vectors pFW5luc and a modified version of pJDC9 carrying a promoterless luc gene were used to construct transcriptional-fusion mutants. One mutant susceptible to penicillin-induced killing (LMI2) and three penicillin-tolerant derivatives (LMI103, LMI104, and LMI105) producing luciferase under independent streptococcal promoters were tested. The correlation between antibiotic-induced killing and luminescence was determined with mechanistically unrelated drugs. Chloramphenicol (20 times the MIC) inhibited bacterial growth. In parallel, luciferase stopped increasing and remained stable, as determined by luminescence and Western blots. Ciprofloxacin (200 times the MIC) rapidly killed 1.5 log10 CFU/ml in 2-4 hr. Luminescence decreased simultaneously by 10-fold. In contrast, penicillin (200 times the MIC) gave discordant results. Although killing was slow (&lt; or = 0.5 log10 CFU/ml in 2 hr), luminescence dropped abruptly by 50-100-times in the same time. Inactivating penicillin with penicillinase restored luminescence, irrespective of viable counts. This was not due to altered luciferase expression or stability, suggesting some kind of post-translational modification. Luciferase shares homology with aminoacyl-tRNA synthetase and acyl-CoA ligase, which might be regulated by macromolecule synthesis and hence affected in penicillin-inhibited cells. Because of resemblance, luciferase might be down-regulated simultaneously. Luminescence cannot be universally used to predict antibiotic-induced killing. Thus, introducing reporter enzymes sharing mechanistic similarities with normal metabolic reactions might reveal other effects than those expected.