The forward and the equity premium puzzles: two symptoms of the same illness?

The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under weak assumptions on the behavior of the pricing kernel, we characterize the potential bias that is present in the regressions where the FPP is observed and we identify the necessary and sufficient conditions that the pricing kernel has to satisfy to account for the predictability of exchange rate movements. Next, we estimate the pricing kernel applying two methods: i) one, du.e to Araújo et aI. (2005), that exploits the fact that the pricing kernel is a serial correlation common feature of asset prices, and ii) a traditional principal component analysis used as a procedure 1;0 generate a statistical factor modeI. Then, using on the sample and out of the sample exercises, we are able to show that the same kernel that explains the Equity Premi um Puzzle (EPP) accounts for the FPP in all our data sets. This suggests that the quest for an economic mo deI that generates a pricing kernel which solves the EPP may double its prize by simultaneously accounting for the FPP.

Residual-based Inference for Common Nonlinear Features

This paper investigates common nonlinear features in multivariate nonlinear autore-gressive models via testing the estimated residuals. A Wald-type test is proposed and itis asymptotically Chi-squared distributed. Simulation studies are given to examine thefinite-sample properties of the proposed test.

PAX6 aniridia and interhemispheric brain anomalies.

PURPOSE: To report the clinical and genetic study of patients with autosomal dominant aniridia. METHODS: We studied ten patients with aniridia from three families of Egyptian origin. All patients underwent full ophthalmologic, general and neurological examination, and blood drawing. Cerebral magnetic resonance imaging was performed in the index case of each family. Genomic DNA was prepared from venous leukocytes, and direct sequencing of all the exons and intron-exon junctions of the Paired Box gene 6 (PAX6) was performed after PCR amplification. Phenotype description, including ophthalmic and cerebral anomalies, mutation detection in PAX6 and phenotype-genotype correlation was acquired. RESULTS: Common features observed in the three families included absence of iris tissue, corneal pannus with different degrees of severity, and foveal hypoplasia with severely reduced visual acuity. In Families 2 and 3, additional findings, such as lens dislocation, lens opacities or polar cataract, and glaucoma, were observed. We identified two novel (c.170-174delTGGGC [p.L57fs17] and c.475delC [p.R159fs47]) and one known (c.718C>T [p.R240X]) PAX6 mutations in the affected members of the three families. Systemic and neurological examination was normal in all ten affected patients. Cerebral magnetic resonance imaging showed absence of the pineal gland in all three index patients. Severe hypoplasia of the brain anterior commissure was associated with the p.L57fs17 mutation, absence of the posterior commissure with p.R159fs47, and optic chiasma atrophy and almost complete agenesis of the corpus callosum with p.R240X. CONCLUSIONS: We identified two novel PAX6 mutations in families with severe aniridia. In addition to common phenotype of aniridia and despite normal neurological examination, absence of the pineal gland and interhemispheric brain anomalies were observed in all three index patients. The heterogeneity of PAX6 mutations and brain anomalies are highlighted. This report emphasizes the association between aniridia and brain anomalies with or without functional impact, such as neurodevelopment delay or auditory dysfunction.

Subtelomeric deletion of chromosome 10p15.3: clinical findings and molecular cytogenetic characterization.

We describe 19 unrelated individuals with submicroscopic deletions involving 10p15.3 characterized by chromosomal microarray (CMA). Interestingly, to our knowledge, only two individuals with isolated, submicroscopic 10p15.3 deletion have been reported to date; however, only limited clinical information is available for these probands and the deleted region has not been molecularly mapped. Comprehensive clinical history was obtained for 12 of the 19 individuals described in this study. Common features among these 12 individuals include: cognitive/behavioral/developmental differences (11/11), speech delay/language disorder (10/10), motor delay (10/10), craniofacial dysmorphism (9/12), hypotonia (7/11), brain anomalies (4/6) and seizures (3/7). Parental studies were performed for nine of the 19 individuals; the 10p15.3 deletion was de novo in seven of the probands, not maternally inherited in one proband and inherited from an apparently affected mother in one proband. Molecular mapping of the 19 individuals reported in this study has identified two genes, ZMYND11 (OMIM 608668) and DIP2C (OMIM 611380; UCSC Genome Browser), mapping within 10p15.3 which are most commonly deleted. Although no single gene has been identified which is deleted in all 19 individuals studied, the deleted region in all but one individual includes ZMYND11 and the deleted region in all but one other individual includes DIP2C. There is not a clearly identifiable phenotypic difference between these two individuals and the size of the deleted region does not generally predict clinical features. Little is currently known about these genes complicating a direct genotype/phenotype correlation at this time. These data however, suggest that ZMYND11 and/or DIP2C haploinsufficiency contributes to the clinical features associated with 10p15 deletions in probands described in this study.

Explaining the Persistence of Commodity Prices

This paper extends the Competitive Storage Model by incorporating prominent features of the production process and financial markets. A major limitation of this basic model is that it cannot successfully explain the degree of serial correlation observed in actual data. The proposed extensions build on the observation that in order to generate a high degree of price persistence, a model must incorporate features such that agents are willing to hold stocks more often than predicted by the basic model. We therefore allow unique characteristics of the production and trading mechanisms to provide the required incentives. Specifically, the proposed models introduce (i) gestation lags in production with heteroskedastic supply shocks, (ii) multiperiod forward contracts, and (iii) a convenience return to inventory holding. The rational expectations solutions for twelve commodities are numerically solved. Simulations are then employed to assess the effects of the above extensions on the time series properties of commodity prices. Results indicate that each of the features above partially account for the persistence and occasional spikes observed in actual data. Evidence is presented that the precautionary demand for stocks might play a substantial role in the dynamics of commodity prices.

Estimating interchannel observation-error correlations for IASI radiance data in the Met Office system

The optimal utilisation of hyper-spectral satellite observations in numerical weather prediction is often inhibited by incorrectly assuming independent interchannel observation errors. However, in order to represent these observation-error covariance structures, an accurate knowledge of the true variances and correlations is needed. This structure is likely to vary with observation type and assimilation system. The work in this article presents the initial results for the estimation of IASI interchannel observation-error correlations when the data are processed in the Met Office one-dimensional (1D-Var) and four-dimensional (4D-Var) variational assimilation systems. The method used to calculate the observation errors is a post-analysis diagnostic which utilises the background and analysis departures from the two systems. The results show significant differences in the source and structure of the observation errors when processed in the two different assimilation systems, but also highlight some common features. When the observations are processed in 1D-Var, the diagnosed error variances are approximately half the size of the error variances used in the current operational system and are very close in size to the instrument noise, suggesting that this is the main source of error. The errors contain no consistent correlations, with the exception of a handful of spectrally close channels. When the observations are processed in 4D-Var, we again find that the observation errors are being overestimated operationally, but the overestimation is significantly larger for many channels. In contrast to 1D-Var, the diagnosed error variances are often larger than the instrument noise in 4D-Var. It is postulated that horizontal errors of representation, not seen in 1D-Var, are a significant contributor to the overall error here. Finally, observation errors diagnosed from 4D-Var are found to contain strong, consistent correlation structures for channels sensitive to water vapour and surface properties.

Climatic impacts of fresh water hosing under Last Glacial Maximum conditions: a multi-model study

Fresh water hosing simulations, in which a fresh water flux is imposed in the North Atlantic to force fluctuations of the Atlantic Meridional Overturning Circulation, have been routinely performed, first to study the climatic signature of different states of this circulation, then, under present or future conditions, to investigate the potential impact of a partial melting of the Greenland ice sheet. The most compelling examples of climatic changes potentially related to AMOC abrupt variations, however, are found in high resolution palaeo-records from around the globe for the last glacial period. To study those more specifically, more and more fresh water hosing experiments have been performed under glacial conditions in the recent years. Here we compare an ensemble constituted by 11 such simulations run with 6 different climate models. All simulations follow a slightly different design, but are sufficiently close in their design to be compared. They all study the impact of a fresh water hosing imposed in the extra-tropical North Atlantic. Common features in the model responses to hosing are the cooling over the North Atlantic, extending along the sub-tropical gyre in the tropical North Atlantic, the southward shift of the Atlantic ITCZ and the weakening of the African and Indian monsoons. On the other hand, the expression of the bipolar see-saw, i.e., warming in the Southern Hemisphere, differs from model to model, with some restricting it to the South Atlantic and specific regions of the southern ocean while others simulate a widespread southern ocean warming. The relationships between the features common to most models, i.e., climate changes over the north and tropical Atlantic, African and Asian monsoon regions, are further quantified. These suggest a tight correlation between the temperature and precipitation changes over the extra-tropical North Atlantic, but different pathways for the teleconnections between the AMOC/North Atlantic region and the African and Indian monsoon regions.

Constructing common-factor portfolios

In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic properties of the usual factor transformations, although some new interesting properties are further attached to them. Some theoretical advantages are shown to be present. Also, their practical importance is confirmed in two applications: the performance of common-factor portfolios are shown to be superior to that of asset returns and factors commonly employed in the finance literature.

Compartilhamento de recursos por duas espécies de peixes nectobentônicas de riachos na bacia do rio Cachoeira (BA)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Microarray analysis of autoimmune diseases by machine learning procedures

—Microarray-based global gene expression profiling, with the use of sophisticated statistical algorithms is providing new insights into the pathogenesis of autoimmune diseases. We have applied a novel statistical technique for gene selection based on machine learning approaches to analyze microarray expression data gathered from patients with systemic lupus erythematosus (SLE) and primary antiphospholipid syndrome (PAPS), two autoimmune diseases of unknown genetic origin that share many common features. The methodology included a combination of three data discretization policies, a consensus gene selection method, and a multivariate correlation measurement. A set of 150 genes was found to discriminate SLE and PAPS patients from healthy individuals. Statistical validations demonstrate the relevance of this gene set from an univariate and multivariate perspective. Moreover, functional characterization of these genes identified an interferon-regulated gene signature, consistent with previous reports. It also revealed the existence of other regulatory pathways, including those regulated by PTEN, TNF, and BCL-2, which are altered in SLE and PAPS. Remarkably, a significant number of these genes carry E2F binding motifs in their promoters, projecting a role for E2F in the regulation of autoimmunity.

Visual Manifestations of Primary Metaphors Through Mise-en-scène Techniques

Grady distinguishes two main types of metaphor in order to provide a solution in the controversies stemming from the conceptual theory of metaphor: correlation-based metaphors and resemblance metaphors. In “correlation-based metaphors”, the source domain is sensory-motor, while the target domain is not. On the contrary, “resemblance metaphors” are originated by a physical or conceptual perception which is common in both domains, by the association of concepts with common features. Primary metaphors are the minimal units of correlation-based metaphors; they are inherent in human nature and the result of the nature of our brain, our body and the world that we inhabit. We acquire them automatically and we cannot avoid them. Furthermore, as corporal experiences are universal, so are primary metaphors. In this paper, I will argue that primary metaphors manifest themselves visually through scene-setting techniques such as composition, framing, camera movement or lighting. Film-makers can use the different aspects of mise-en-scène metaphorically in order to express abstract notions like evil, importance, control, relationship or confusion. Such visual manifestations, as also occurs with their verbal equivalents, frequently go unnoticed or have been used so often that they have become clichés. But the important thing to bear in mind is that their origin lies in a primary metaphor and due to this origin these kinds of film-making strategies have been so expressively successful.

Reserva extrativista Acaú-Goiana: tragédia comum ou decisão coletiva?

In recent years we have observed, in Brazil, the expansion of democratic spaces, providing the use of participatory management strategies in common-pool areas. However, the existence of a co-management model does not guarantee its practice, neither that it will prevent the depletion of common features characterizing the tragedy proposed by Hardin. In this work we analysed the management of Acaú-Goiana RESEX which is located in the cities of Acaú (PB) and Goiana (PE), eight years after its legal creation. We evaluated how much the users of RESEX possess information (even if non formalized) regarding the common use of area and whether they exhibit collectivist values. We used as an interpretative tool the facilitators principles of common resource management (PGRC) identified by Elinor Ostrom and the questionnaire of human values proposed by Schwartz. The human values questionnaire was applied to 240 individuals, half beneficiary and the other half non-beneficiary, only the beneficiaries were submitted to the questionnaire of PGRC. Interviews were conducted in the period of May to September 2014. We tested three hypotheses: 1) The degree of dependence from RESEX resources will play an important role on indirect knowledge of the PGRC; 2) the inclusion of individuals in a communal area (RESEX) increases collectivists values; 3) higher collectivist value rates increases knowledge of PGRC. To this end, we defined levels of socio-economic dependence of RESEX resources, knowledge of PGRC and individual values. GLM statistic analysis of mean comparison and correlation were employed. Our results showed that the knowledge on six of the seven items analyzed in the basic principles (PGRC) is still low. The extended land area and the high number of users may be exerting a detrimental effect on the development of a co-management. Contrary to expected, it was not the dependency who influenced knowledge on the PGRC, but the time spent in contact with the RESEX. This indicates that direct contact with the environment, not the dependence of it, that raises awareness about PGRC. According to our hypothesis, individuals with collectivist values showed greater knowledge of PGRC and reduced hours of work within the RESEX, indicating a greater tendency of individuals refrain their use of the common resource. Individualistic values correlated with less knowledge of a PGRC. Among the beneficiaries, individuals with higher individualistic values had higher monthly income, while among non-beneficiaries there was no such correlation, demonstrating the economic advantages of individualism (free-riding) in situations of non-private use of resources. Our data emphasize the importance of guiding the main actors in the development of a co-participatory management in the direction of the basic principles, and to develop collectivist values among users of a common good can raise awareness of these principles.

Gene Expression Noise in Spatial Patterning: hunchback Promoter Structure Affects Noise Amplitude and Distribution in Drosophila Segmentation

Positional information in developing embryos is specified by spatial gradients of transcriptional regulators. One of the classic systems for studying this is the activation of the hunchback (hb) gene in early fruit fly (Drosophila) segmentation by the maternally-derived gradient of the Bicoid (Bcd) protein. Gene regulation is subject to intrinsic noise which can produce variable expression. This variability must be constrained in the highly reproducible and coordinated events of development. We identify means by which noise is controlled during gene expression by characterizing the dependence of hb mRNA and protein output noise on hb promoter structure and transcriptional dynamics. We use a stochastic model of the hb promoter in which the number and strength of Bcd and Hb (self-regulatory) binding sites can be varied. Model parameters are fit to data from WT embryos, the self-regulation mutant hb(14F), and lacZ reporter constructs using different portions of the hb promoter. We have corroborated model noise predictions experimentally. The results indicate that WT (self-regulatory) Hb output noise is predominantly dependent on the transcription and translation dynamics of its own expression, rather than on Bcd fluctuations. The constructs and mutant, which lack self-regulation, indicate that the multiple Bcd binding sites in the hb promoter (and their strengths) also play a role in buffering noise. The model is robust to the variation in Bcd binding site number across a number of fly species. This study identifies particular ways in which promoter structure and regulatory dynamics reduce hb output noise. Insofar as many of these are common features of genes (e. g. multiple regulatory sites, cooperativity, self-feedback), the current results contribute to the general understanding of the reproducibility and determinacy of spatial patterning in early development.

The impact of the subtropical South Atlantic SST on South American precipitation

The Community Climate Model (CCM3) from the National Center for Atmospheric Research (NCAR) is used to investigate the effect of the South Atlantic sea surface temperature (SST) anomalies on interannual to decadal variability of South American precipitation. Two ensembles composed of multidecadal simulations forced with monthly SST data from the Hadley Centre for the period 1949 to 2001 are analysed. A statistical treatment based on signal-to-noise ratio and Empirical Orthogonal Functions (EOF) is applied to the ensembles in order to reduce the internal variability among the integrations. The ensemble treatment shows a spatial and temporal dependence of reproducibility. High degree of reproducibility is found in the tropics while the extratropics is apparently less reproducible. Austral autumn (MAM) and spring (SON) precipitation appears to be more reproducible over the South America-South Atlantic region than the summer (DJF) and winter (JJA) rainfall. While the Inter-tropical Convergence Zone (ITCZ) region is dominated by external variance, the South Atlantic Convergence Zone (SACZ) over South America is predominantly determined by internal variance, which makes it a difficult phenomenon to predict. Alternatively, the SACZ over western South Atlantic appears to be more sensitive to the subtropical SST anomalies than over the continent. An attempt is made to separate the atmospheric response forced by the South Atlantic SST anomalies from that associated with the El Nino - Southern Oscillation (ENSO). Results show that both the South Atlantic and Pacific SSTs modulate the intensity and position of the SACZ during DJF. Particularly, the subtropical South Atlantic SSTs are more important than ENSO in determining the position of the SACZ over the southeast Brazilian coast during DJF. On the other hand, the ENSO signal seems to influence the intensity of the SACZ not only in DJF but especially its oceanic branch during MAM. Both local and remote influences, however, are confounded by the large internal variance in the region. During MAM and JJA, the South Atlantic SST anomalies affect the magnitude and the meridional displacement of the ITCZ. In JJA, the ENSO has relatively little influence on the interannual variability of the simulated rainfall. During SON, however, the ENSO seems to counteract the effect of the subtropical South Atlantic SST variations on convection over South America.

Gene and genotypic diversity of Phytophthora cinnamomi in South Africa and Australia revealed by DNA polymorphisms

Phytophthora cinnamomi isolates from South Africa and Australia were compared to assess genetic differentiation between the two populations. These two populations were analysed for levels of phenotypic diversity using random amplified polymorphic DNAs (RAPDs) and gene and genotypic diversity using restriction fragment length polymorphisms (RFLPs). Sixteen RAPD markers from four decanucleotide Operon primers and 34 RFLP alleles from 15 putative loci were used. A few isolates from Papua New Guinea known to posses alleles different from Australian isolates were also included for comparative purposes. South African and Australian P. cinnamomi populations were almost identical with an extremely low level of genetic distance between them (D-m = 0.003). Common features for the two populations include shared alleles, low levels of phenotypic/genotypic diversity, high clonality, and low observed and expected levels of heterozygosity. Furthermore, relatively high levels of genetic differentiation between mating type populations (D-m South Africa = 0.020 and D-m Australia = 0.025 respectively), negative fixation indices, and significant deviations from Hardy-Weinberg equilibrium, all provided evidence for the lack of frequent sexual reproduction in both populations. The data strongly suggest that both the South African and Australian P. cinnamomi populations are introduced.