Causality in crude oil prices

Crude oil markets witness growing disparity between the quality of crudes supplied and demanded in the market. The market share of low-quality crudes is increasing due to the depletion of old fields and increasing demand. This is unnerving the practitioners and affecting the relevance of the traditional benchmark crudes due to the lack of lower quality benchmarks (Montepeque, 2005). In this article, we apply Granger causality tests to study the price dependence of 32 crudes in order to establish which crudes drive other prices and which ones simply follow general market trends. Our results indicate that some of the old benchmarks are still relevant while others can be disregarded. Our results also interestingly show that the low-quality Mediterranean Russian Urals crude, introduced in the late 1990s, has emerged recently as a significant driver of global prices. © 2011 Taylor & Francis.

Causality in Europeanization Research: A Discursive Institutional Analytical Strategy

Discourse analysis as a methodology is perhaps not readily associated with substantive causality claims. At the same time the study of discourses is very much the study of conceptions of causal relations among a set, or sets, of agents. Within Europeanization research we have seen endeavours to develop discursive institutional analytical frameworks and something that comes close to the formulation of hypothesis on the effects of European Union (EU) policies and institutions on domestic change. Even if these efforts so far do not necessarily amount to substantive theories or claims of causality, it suggests that discourse analysis and the study of causality are by no means opposites. The study of Europeanization discourses may even be seen as an essential step in the move towards claims of causality in Europeanization research. This paper deals with the question of how we may move from the study of discursive causalities towards more substantive claims of causality between EU policy and institutional initiatives and domestic change.

Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations.

The present work proposes a Hypothesis Test to detect a shift in the variance of a series of independent normal observations using a statistic based on the p-values of the F distribution. Since the probability distribution function of this statistic is intractable, critical values were we estimated numerically through extensive simulation. A regression approach was used to simplify the quantile evaluation and extrapolation. The power of the test was simulated using Monte Carlo simulation, and the results were compared with the Chen test (1997) to prove its efficiency. Time series analysts might find the test useful to address homoscedasticity studies were at most one change might be involved.

Central bank intervention and exchange rate behaviour : empirical evidence for India

This paper examines the causal relationship between central bank intervention and exchange returns in India. Using monthly data from December 1997 to December 2011, the empirical results derived from the CCF approach of Cheung and Ng (1996) suggest that there is causality-in-variance from exchange rate returns to central bank intervention, but not vice versa. These findings are robust in the sense that they hold in cases where the returns were measured from either the spot rate or the forward rate. Therefore, the results of this paper suggest that the Indian central bank has intervened in the foreign exchange market to respond to exchange rate volatility, although the volatility has not been influenced by central bank intervention in the form of net purchases of foreign currency in the market.

Novel Statistical Methods in Quantitative Genetics : Modeling Genetic Variance for Quantitative Trait Loci Mapping and Genomic Evaluation

This thesis develops and evaluates statistical methods for different types of genetic analyses, including quantitative trait loci (QTL) analysis, genome-wide association study (GWAS), and genomic evaluation. The main contribution of the thesis is to provide novel insights in modeling genetic variance, especially via random effects models. In variance component QTL analysis, a full likelihood model accounting for uncertainty in the identity-by-descent (IBD) matrix was developed. It was found to be able to correctly adjust the bias in genetic variance component estimation and gain power in QTL mapping in terms of precision.  Double hierarchical generalized linear models, and a non-iterative simplified version, were implemented and applied to fit data of an entire genome. These whole genome models were shown to have good performance in both QTL mapping and genomic prediction. A re-analysis of a publicly available GWAS data set identified significant loci in Arabidopsis that control phenotypic variance instead of mean, which validated the idea of variance-controlling genes.  The works in the thesis are accompanied by R packages available online, including a general statistical tool for fitting random effects models (hglm), an efficient generalized ridge regression for high-dimensional data (bigRR), a double-layer mixed model for genomic data analysis (iQTL), a stochastic IBD matrix calculator (MCIBD), a computational interface for QTL mapping (qtl.outbred), and a GWAS analysis tool for mapping variance-controlling loci (vGWAS).

Inheritance beyond plain heritability : variance-controlling genes in Arabidopsis thaliana

The phenotypic effect of a gene is normally described by the mean-difference between alternative genotypes. A gene may, however, also influence the phenotype by causing a difference in variance between genotypes. Here, we reanalyze a publicly available Arabidopsis thaliana dataset [1] and show that genetic variance heterogeneity appears to be as common as normal additive effects on a genomewide scale. The study also develops theory to estimate the contributions of variance differences between genotypes to the phenotypic variance, and this is used to show that individual loci can explain more than 20% of the phenotypic variance. Two well-studied systems, cellular control of molybdenum level by the ion-transporter MOT1 and flowering-time regulation by the FRI-FLC expression network, and a novel association for Leaf serration are used to illustrate the contribution of major individual loci, expression pathways, and gene-by-environment interactions to the genetic variance heterogeneity.

Electroencephalogram based Causality Graph Analysis in Behavior Tasks of Parkinson’s Disease Patients

Electroencephalographic (EEG) signals of the human brains represent electrical activities for a number of channels recorded over a the scalp. The main purpose of this thesis is to investigate the interactions and causality of different parts of a brain using EEG signals recorded during a performance subjects of verbal fluency tasks. Subjects who have Parkinson's Disease (PD) have difficulties with mental tasks, such as switching between one behavior task and another. The behavior tasks include phonemic fluency, semantic fluency, category semantic fluency and reading fluency. This method uses verbal generation skills, activating different Broca's areas of the Brodmann's areas (BA44 and BA45). Advanced signal processing techniques are used in order to determine the activated frequency bands in the granger causality for verbal fluency tasks. The graph learning technique for channel strength is used to characterize the complex graph of Granger causality. Also, the support vector machine (SVM) method is used for training a classifier between two subjects with PD and two healthy controls. Neural data from the study was recorded at the Colorado Neurological Institute (CNI). The study reveals significant difference between PD subjects and healthy controls in terms of brain connectivities in the Broca's Area BA44 and BA45 corresponding to EEG electrodes. The results in this thesis also demonstrate the possibility to classify based on the flow of information and causality in the brain of verbal fluency tasks. These methods have the potential to be applied in the future to identify pathological information flow and causality of neurological diseases.

CMB in a box: Causal structure and the Fourier-Bessel expansion

This paper makes two points. First, we show that the line-of-sight solution to cosmic microwave anisotropies in Fourier space, even though formally defined for arbitrarily large wavelengths, leads to position-space solutions which only depend on the sources of anisotropies inside the past light cone of the observer. This foretold manifestation of causality in position (real) space happens order by order in a series expansion in powers of the visibility gamma = e(-mu), where mu is the optical depth to Thomson scattering. We show that the contributions of order gamma(N) to the cosmic microwave background (CMB) anisotropies are regulated by spacetime window functions which have support only inside the past light cone of the point of observation. Second, we show that the Fourier-Bessel expansion of the physical fields (including the temperature and polarization momenta) is an alternative to the usual Fourier basis as a framework to compute the anisotropies. The viability of the Fourier-Bessel series for treating the CMB is a consequence of the fact that the visibility function becomes exponentially small at redshifts z >> 10(3), effectively cutting off the past light cone and introducing a finite radius inside which initial conditions can affect physical observables measured at our position (x) over right arrow = 0 and time t(0). Hence, for each multipole l there is a discrete tower of momenta k(il) (not a continuum) which can affect physical observables, with the smallest momenta being k(1l) similar to l. The Fourier-Bessel modes take into account precisely the information from the sources of anisotropies that propagates from the initial value surface to the point of observation-no more, no less. We also show that the physical observables (the temperature and polarization maps), and hence the angular power spectra, are unaffected by that choice of basis. This implies that the Fourier-Bessel expansion is the optimal scheme with which one can compute CMB anisotropies.

Heart rate and arterial pressure variability in the experimental renovascular hypertension model in rats

This study was conducted in one kidney, one clip (1K1C) Goldblatt hypertensive rats to evaluate vascular and cardiac autonomic control using different approaches: 1) evaluation of the autonomic modulation of heart rate (HR) and systolic arterial pressure (SAP) by means of autoregressive power spectral analysis 2) assessment of the cardiac baroreflex sensitivity; and 3) double blockade with methylatropine and propranolol. The 1K1C group developed hypertension and tachycardia. The 1K1C group also presented reduction in variance as well as in LF (0.23 +/- 0.1 vs. 1.32 +/- 0.2 ms(2)) and HF (6.6 +/- 0.49 vs. 15.1 +/- 0.61 ms(2)) oscillations of pulse interval. Autoregressive spectral analysis of SAP showed that 1K1C rats had an increase in variance and LF band (13.3 +/- 2.7 vs. 7.4 +/- 1.01 mmHg(2)) in comparison with the sham group. The baroreflex gain was attenuated in the hypertensive 1K1C (- 1.83 +/- 0.05 bpm/mmHg) rats in comparison with normotensive sham (-3.23 +/- 0.06 bpm/MmHg) rats. The autonomic blockade caused an increase in the intrinsic HR and sympathetic predominance on the basal HR of 1K1C rats. Overall, these data indicate that the tachycardia observed in the 1K1C group may be attributed to intrinsic cardiac mechanisms (increased intrinsic heart rate) and to a shift in the sympathovagal balance towards cardiac sympathetic over-activity and vagal suppression associated to depressed baroreflex sensitivity. Finally, the increase in the LF components of SAP also suggests an increase in sympathetic activity to peripheral vessels. (c) 2008 Elsevier B.V. All rights reserved.

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche s habit persistence version of Lucas model we nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return.

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

The role of causal links in performance measurement models

Abstract Purpose: Several well-known managerial accounting performance measurement models rely on causal assumptions. Whilst users of the models express satisfaction and link them with improved organizational performance, academic research, of the realworld applications, shows few reliable statistical associations. This paper provides a discussion on the"problematic" of causality in a performance measurement setting. Design/methodology/approach: This is a conceptual study based on an analysis and synthesis of the literature from managerial accounting, organizational theory, strategic management and social scientific causal modelling. Findings: The analysis indicates that dynamic, complex and uncertain environments may challenge any reliance upon valid causal models. Due to cognitive limitations and judgmental biases, managers may fail to trace correct cause-and-effect understanding of the value creation in their organizations. However, even lacking this validity, causal models can support strategic learning and perform as organizational guides if they are able to mobilize managerial action. Research limitations/implications: Future research should highlight the characteristics necessary for elaboration of convincing and appealing causal models and the social process of their construction. Practical implications: Managers of organizations using causal models should be clear on the purposes of their particular models and their limitations. In particular, difficulties are observed in specifying detailed cause and effect relations and their potential for communicating and directing attention. They should therefore construct their models to suit the particular purpose envisaged. Originality/value: This paper provides an interdisciplinary and holistic view on the issue of causality in managerial accounting models.

The Moderating Effects of Appearance Commentary on the Relationship Between Weight Status and Physical Activity Participation in Female College Students

When looked at individually, overweight status and a higher frequency of negative appearance commentary (AC) are associated with lower physical activity (PA) levels. However, the combined effect has yet to be examined. The purpose of this study was to examine if the frequency of AC moderated the relationship between weight status and PA in college-aged females. No significant differences in PA levels (F(1,99)=2.41, p=.12) were found between the Never Overweight and Previously/Presently Overweight groups. Significant correlations existed for both negative AC (r=-.30, p=.00) and positive AC (r=.20, p=.05) with PA participation. AC did not significantly moderate the relationship between weight status and PA (F(2,95)=.65, p=.52, R2 adjusted=.13) as the interaction term did not account for any additional increase in variance (ΔR2=.01). Overall, AC frequency does not moderate the relationship between weight status and PA; other predictor variables should be explored.

Application of thermal ion-molecule reactions in tackling spectroscopic inferences in inductively coupled plasma mass spectrometry

Part I: Ultra-trace determination of vanadium in lake sediments: a performance comparison using O2, N20, and NH3 as reaction gases in ICP-DRC-MS Thermal ion-molecule reactions, targeting removal of specific spectroscopic interference problems, have become a powerful tool for method development in quadrupole based inductively coupled plasma mass spectrometry (ICP-MS) applications. A study was conducted to develop an accurate method for the determination of vanadium in lake sediment samples by ICP-MS, coupled with a dynamic reaction cell (DRC), using two differenvchemical resolution strategies: a) direct removal of interfering C10+ and b) vanadium oxidation to VO+. The performance of three reaction gases that are suitable for handling vanadium interference in the dynamic reaction cell was systematically studied and evaluated: ammonia for C10+ removal and oxygen and nitrous oxide for oxidation. Although it was able to produce comparable results for vanadium to those using oxygen and nitrous oxide, NH3 did not completely eliminate a matrix effect, caused by the presence of chloride, and required large scale dilutions (and a concomitant increase in variance) when the sample and/or the digestion medium contained large amounts of chloride. Among the three candidate reaction gases at their optimized Eonditions, creation of VO+ with oxygen gas delivered the best analyte sensitivity and the lowest detection limit (2.7 ng L-1). Vanadium results obtained from fourteen lake sediment samples and a certified reference material (CRM031-040-1), using two different analytelinterference separation strategies, suggested that the vanadium mono-oxidation offers advantageous performance over the conventional method using NH3 for ultra-trace vanadium determination by ICP-DRC-MS and can be readily employed in relevant environmental chemistry applications that deal with ultra-trace contaminants.Part II: Validation of a modified oxidation approach for the quantification of total arsenic and selenium in complex environmental matrices Spectroscopic interference problems of arsenic and selenium in ICP-MS practices were investigated in detail. Preliminary literature review suggested that oxygen could serve as an effective candidate reaction gas for analysis of the two elements in dynamic reaction cell coupled ICP-MS. An accurate method was developed for the determination of As and Se in complex environmental samples, based on a series of modifications on an oxidation approach for As and Se previously reported. Rhodium was used as internal standard in this study to help minimize non-spectral interferences such as instrumental drift. Using an oxygen gas flow slightly higher than 0.5 mL min-I, arsenic is converted to 75 AS160+ ion in an efficient manner whereas a potentially interfering ion, 91Zr+, is completely removed. Instead of using the most abundant Se isotope, 80Se, selenium was determined by a second most abundant isotope, 78Se, in the form of 78Se160. Upon careful selection of oxygen gas flow rate and optimization ofRPq value, previous isobaric threats caused by Zr and Mo were reduced to background levels whereas another potential atomic isobar, 96Ru+, became completely harmless to the new selenium analyte. The new method underwent a strict validation procedure where the recovery of a suitable certified reference material was examined and the obtained sample data were compared with those produced by a credible external laboratory who analyzed the same set of samples using a standardized HG-ICP-AES method. The validation results were satisfactory. The resultant limits of detection for arsenic and selenium were 5 ng L-1 and 60 ng L-1, respectively.

Mental health of internally displaced preschool children: a cross-sectional study conducted in Bogotá, Colombia

A causa de los conflictos armados, como el de Colombia, se han desplazado por la fuerza a millones de personas, entre ellas una importante parte de la población infantil. Este estudio tuvo como objetivo evaluar la salud mental de los niños desplazados internos en edad preescolar en Bogotá Colombia, e identificar los determinantes de la salud mental en estos niños. Métodos: Estudio transversal realizado entre 279 niños que asisten a cuatro jardines infantiles en un barrio marginal de Bogotá. La salud mental infantil se evaluó con el instrumento validado de Comportamiento Infantil (CBCL) 1,5-5 años, aplicados a padres y cuidadores. Se realizo un análisis univariado y multivariado de regresión logística para evaluar la asociación entre el desplazamiento y la salud mental de los niños y para identificar las relaciones con la salud mental en los niños desplazados. Resultados: los Niños desplazados (n = 90) se identificaron con más frecuencia sobre los puntos de corte límite para las escalas CBCL que los no desplazados (n = 189) (por ejemplo, problemas totales 46,7 vs 22,8%;p \ 0,001). La asociación entre el desplazamiento y la presencia de problemas CBCL totales se mantuvo después del ajuste por factores socio-demográficos (OR Ajustado 3.3 del 95%: 1,5; 6,9). Donde la salud mental del cuidador explica en parte la asociación. En los niños desplazados, la salud mental del cuidador (p \ 0,01) y el funcionamiento familiar (p \ 0,01) se asociaron independientemente con la salud mental de los niños. La exposición a eventos traumáticos y el apoyo social también se asociaron con la salud mental del niño, sin embargo, las asociaciones no fueron independientes. Conclusión: En este barrio marginal de Bogotá, los niños en edad preescolar registrados como desplazados internos presentan peor salud mental que los no desplazados. El funcionamiento familiar y la salud mental del cuidador fueron fuerte e independientemente asociados con la salud mental de los niños y niñas desplazados.