The importance of the volatility risk premium for volatility forecasting

In this paper, we study the role of the volatility risk premium for the forecasting performance of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility risk premium and implement this methodology using more than 20 years of options and futures data on three major energy markets. Using regression models and statistical loss functions, we find compelling evidence to suggest that the risk premium adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding holds for different choices of volatility estimators and competing time-series models, underlying the robustness of our results.

Association of vitamin D status with arterial blood pressure and hypertension risk: a mendelian randomisation study

BACKGROUND: Low plasma 25-hydroxyvitamin D (25[OH]D) concentration is associated with high arterial blood pressure and hypertension risk, but whether this association is causal is unknown. We used a mendelian randomisation approach to test whether 25(OH)D concentration is causally associated with blood pressure and hypertension risk. METHODS: In this mendelian randomisation study, we generated an allele score (25[OH]D synthesis score) based on variants of genes that affect 25(OH)D synthesis or substrate availability (CYP2R1 and DHCR7), which we used as a proxy for 25(OH)D concentration. We meta-analysed data for up to 108 173 individuals from 35 studies in the D-CarDia collaboration to investigate associations between the allele score and blood pressure measurements. We complemented these analyses with previously published summary statistics from the International Consortium on Blood Pressure (ICBP), the Cohorts for Heart and Aging Research in Genomic Epidemiology (CHARGE) consortium, and the Global Blood Pressure Genetics (Global BPGen) consortium. FINDINGS: In phenotypic analyses (up to n=49 363), increased 25(OH)D concentration was associated with decreased systolic blood pressure (β per 10% increase, -0·12 mm Hg, 95% CI -0·20 to -0·04; p=0·003) and reduced odds of hypertension (odds ratio [OR] 0·98, 95% CI 0·97-0·99; p=0·0003), but not with decreased diastolic blood pressure (β per 10% increase, -0·02 mm Hg, -0·08 to 0·03; p=0·37). In meta-analyses in which we combined data from D-CarDia and the ICBP (n=146 581, after exclusion of overlapping studies), each 25(OH)D-increasing allele of the synthesis score was associated with a change of -0·10 mm Hg in systolic blood pressure (-0·21 to -0·0001; p=0·0498) and a change of -0·08 mm Hg in diastolic blood pressure (-0·15 to -0·02; p=0·01). When D-CarDia and consortia data for hypertension were meta-analysed together (n=142 255), the synthesis score was associated with a reduced odds of hypertension (OR per allele, 0·98, 0·96-0·99; p=0·001). In instrumental variable analysis, each 10% increase in genetically instrumented 25(OH)D concentration was associated with a change of -0·29 mm Hg in diastolic blood pressure (-0·52 to -0·07; p=0·01), a change of -0·37 mm Hg in systolic blood pressure (-0·73 to 0·003; p=0·052), and an 8·1% decreased odds of hypertension (OR 0·92, 0·87-0·97; p=0·002). INTERPRETATION: Increased plasma concentrations of 25(OH)D might reduce the risk of hypertension. This finding warrants further investigation in an independent, similarly powered study.

The use of culture-independent tools to characterize bacteria in endo-tracheal aspirates from pre-term infants at risk of bronchopulmonary dysplasia

Although premature infants are increasingly surviving the neonatal period, up to one-third develop bronchopulmonary dysplasia (BPD). Despite evidence that bacterial colonization of the neonatal respiratory tract by certain bacteria may be a risk factor in BPD development, little is known about the role these bacteria play. The aim of this study was to investigate the use of culture-independent molecular profiling methodologies to identify potential etiological agents in neonatal airway secretions. This study used terminal restriction fragment length polymorphism (T-RFLP) and clone sequence analyses to characterize bacterial species in endo-tracheal (ET) aspirates from eight intubated pre-term infants. A wide range of different bacteria was identified in the samples. Forty-seven T-RF band lengths were resolved in the sample set, with a range of 0-15 separate species in each patient. Clone sequence analyses confirmed the identity of individual species detected by T-RFLP. We speculate that the identification of known opportunistic pathogens including S. aureus, Enterobacter sp., Moraxella catarrhalis, Pseudomonas aeruginosa and Streptococcus sp., within the airways of pre-term infants, might be causally related to the subsequent development of BPD. Further, we suggest that culture-independent techniques, such as T-RFLP, hold important potential for the characterization of neonatal conditions, such as BPD.

Association between sucrose intake and risk of overweight and obesity in a prospective sub-cohort of EPIC-Norfolk

Objective: The objective of this study was to investigate associations between sugar intake and overweight using dietary biomarkers in the Norfolk cohort of the European Prospective Investigation into Cancer and Nutrition (EPIC-Norfolk). Design: Prospective cohort study Setting: European Prospective Investigation into Cancer in Norfolk (EPIC-Norfolk) in the UK, recruitment between 1993 and 1997. Subjects: 1734 participants (39 – 77 years). Sucrose intake was assessed using 7-day diaries. Baseline spot urine samples were analysed for sucrose by GC-MS. Sucrose concentration adjusted by specific gravity was used as biomarker for intake. Regression analyses were used to investigate associations between sucrose intake and risk of BMI > 25 kg/m2 after three years of follow-up. Results: After three years of follow-up, mean BMI was 26.8 kg/m2. Self-reported sucrose intake was significantly positively associated with biomarker. Associations between biomarker and BMI were positive (β=0.25; 95% CI: 0.08; 0.43), while they were inverse when using self-reported dietary data (β=-1.40; 95% CI: -1.81; -0.99). Age- and sex-adjusted OR for BMI > 25 kg/m2 in participants in the fifth vs. first quintile was 1.54 (95% CI: 1.12; 2.12; pTrend=0.003,) when using biomarker and 0.56 (95% CI: 0.40; 0.77; pTrend<0.001) with self-reported dietary data. Conclusions: Our results suggest that sucrose measured by objective biomarker but not self-reported sucrose intake is positively associated with body mass index. Future studies should consider use of objective biomarkers of sucrose intake.

Associations between flavan-3-ol intake and CVD risk in the Norfolk cohort of the European Prospective Investigation into Cancer (EPIC-Norfolk)

Background: Dietary intervention studies suggest that flavan-3-ol intake can improve vascular function and reduce the risk of cardiovascular diseases (CVD). However, results from prospective studies failed to show a consistent beneficial effect. Objective: To investigate associations between flavan-3-ol intake and CVD risk in the Norfolk arm of the European Prospective Investigation into Cancer and Nutrition (EPIC-Norfolk). Design: Data was available from 24,885 (11,252 men; 13,633 women) participants, recruited between 1993 and 1997 into the EPIC-Norfolk study. Flavan-3-ol intake was assessed using 7-day food diaries and the FLAVIOLA Flavanol Food Composition database. Missing data for plasma cholesterol and vitamin C were imputed using multiple imputation. Associations between flavan-3-ol intake and blood pressure at baseline were determined using linear regression models. Associations with CVD risk were estimated using Cox regression analyses. Results: Median intake of total flavan-3-ols was 1034 mg/d (range: 0 – 8531 mg/d) for men and 970 mg/d (0 – 6695 mg/d) for women, median intake of flavan-3-ol monomers was 233 mg/d (0 – 3248 mg/d) for men and 217 (0 – 2712 mg/d) for women. There were no consistent associations between flavan-3-ol monomer intake and baseline systolic and diastolic blood pressure (BP). After 286,147 person-years of follow up, there were 8463 cardio-vascular events and 1987 CVD related deaths; no consistent association between flavan-3-ol intake and CVD risk (HR 0.93, 95% CI:0.87; 1.00; Q1 vs Q5) or mortality was observed (HR 0.93, 95% CI: 0.84; 1.04). Conclusions: Flavan-3-ol intake in EPIC-Norfolk is not sufficient to achieve a statistically significant reduction in CVD risk.

GRID and docking analyses reveal a molecular basis for flavonoid inhibition of src-family kinase activity

Flavonoids reduce cardiovascular disease risk through anti-inflammatory, anti-coagulant and anti-platelet actions. One key flavonoid inhibitory mechanism is blocking kinase activity that drives these processes. Flavonoids attenuate activities of kinases including phosphoinositide-3-kinase (PI3K), Fyn, Lyn, Src, Syk, PKC, PIM1/2, ERK, JNK, and PKA. X-ray crystallographic analyses of kinase-flavonoid complexes show that flavonoid ring systems and their hydroxyl substitutions are important structural features for their binding to kinases. A clearer understanding of structural interactions of flavonoids with kinases is necessary to allow construction of more potent and selective counterparts. We examined flavonoid (quercetin, apigenin and catechin) interactions with Src-family kinases (Lyn, Fyn and Hck) applying the Sybyl docking algorithm and GRID. A homology model (Lyn) was used in our analyses to demonstrate that high quality predicted kinase structures are suitable for flavonoid computational studies. Our docking results revealed potential hydrogen bond contacts between flavonoid hydroxyls and kinase catalytic site residues. Identification of plausible contacts indicated that quercetin formed the most energetically stable interactions, apigenin lacked hydroxyl groups necessary for important contacts, and the non-planar structure of catechin could not support predicted hydrogen bonding patterns. GRID analysis using a hydroxyl functional group supported docking results. Based on these findings, we predicted that quercetin would inhibit activities of Src-family kinases with greater potency than apigenin and catechin. We validated this prediction using in vitro kinase assays. We conclude that our study can be used as a basis to construct virtual flavonoid interaction libraries to guide drug discovery using these compounds as molecular templates.

Population-Based Multicentric Survey of Hepatitis B Infection and Risk Factor Differences among Three Regions in Brazil

This multicentric population-based study in Brazil is the first national effort to estimate the prevalence of hepatitis B (HBV) and risk factors in the capital cities of the Northeast. Central-West, and Federal Districts (2004-2005). Random multistage cluster sampling was used to select persons 13-69 years of age. Markers for HBV were tested by enzyme-linked immunosorbent assay. The HBV genotypes were determined by sequencing hepatitis B surface antigen (HBsAg). Multivariate analyses and simple catalytic model were performed. Overall. 7,881 persons were inculded < 70% were not vaccinated. Positivity for HBsAg was less than 1% among non-vaccinated persons and genotypes A, D, and F co-circulated. The incidence of infection increased with age with similar force of infection in all regions. Males and persons having initiated sexual activity were associated with HBV infection in the two settings: healthcare jobs and prior hospitalization were risk factors in the Federal District. Our survey classified these regions as areas with HBV endemicity and highlighted the risk factors differences among the settings.

Prevalence and risk factors of radiographic vertebral fracture in Brazilian community-dwelling elderly

The prevalence and risk factors of radiographic vertebral fracture were determined among Brazilian community-dwelling elderly. Vertebral fractures were a common condition in this elderly population, and lower hip bone mineral density was a significant risk factor for vertebral fractures in both genders. The aim of the study was to estimate the prevalence of radiographic vertebral fracture and investigate factors associated with this condition in Brazilian community-dwelling elderly. This cross-sectional study included 943 elderly subjects (561 women and 382 men) living in So Paulo, Brazil. Thoracic and lumbar spine radiographs were obtained, and vertebral fractures were evaluated using Genant`s semiquantitative method. Bone mineral density (BMD) was measured by dual X-ray absorptiometry, and bone biochemical markers were also evaluated. Female and male subjects were analyzed independently, and each gender was divided into two groups based on whether vertebral fractures were present. The prevalence of vertebral fracture was 27.5% (95% CI 23.8-31.1) in women and 31.8% in men (95% CI 27.1-36.5) (P = 0.116). Cox regression analyses using variables that were significant in the univariate analysis showed that age (prevalence ratio = 1.03, 95% CI 1.01-1.06; p = 0.019) and total femur BMD (PR = 0.27, 95% CI 0.08-0.98; p = 0.048) were independent factors in predicting vertebral fracture for the female group. In the male group, Cox regression analyses demonstrated that femoral neck BMD (PR = 0.26, 95% CI 0.07-0.98; p = 0.046) was an independent parameter in predicting vertebral fractures. Our results suggest that radiographic vertebral fractures are common in Brazilian community-dwelling elderly and that a low hip BMD was an important risk factor for this condition in both genders. Age was also significantly correlated with the presence of vertebral fractures in women.

Population and Computational Analysis of the MGEA6 P521A Variation as a Risk Factor for Familial Idiopathic Basal Ganglia Calcification (Fahr`s Disease)

Familial idiopathic basal ganglia calcification, also known as ""Fahr`s disease"" (FD), is a neuropsychiatric disorder with autosomal dominant pattern of inheritance and characterized by symmetric basal ganglia calcifications and, occasionally, other brain regions. Currently, there are three loci linked to this devastating disease. The first one (IBGC1) is located in 14q11.2-21.3 and the other two have been identified in 2q37 (IBGC2) and 8p21.1-q11.13 (IBGC3). Further studies identified a heterozygous variation (rs36060072) which consists in the change of the cytosine to guanine located at MGEA6/CTAGE5 gene, present in all of the affected large American family linked to IBGC1. This missense substitution, which induces changes of a proline to alanine at the 521 position (P521A), in a proline-rich and highly conserved protein domain was considered a rare variation, with a minor allele frequency (MAF) of 0.0058 at the US population. Considering that the population frequency of a given variation is an indirect indicative of potential pathogenicity, we screened 200 chromosomes in a random control set of Brazilian samples and in two nuclear families, comparing with our previous analysis in a US population. In addition, we accomplished analyses through bioinformatics programs to predict the pathogenicity of such variation. Our genetic screen found no P521A carriers. Polling these data together with the previous study in the USA, we have now a MAF of 0.0036, showing that this mutation is very rare. On the other hand, the bioinformatics analysis provided conflicting findings. There are currently various candidate genes and loci that could be involved with the underlying molecular basis of FD etiology, and other groups suggested the possible role played by genes in 2q37, related to calcium metabolism, and at chromosome 8 (NRG1 and SNTG1). Additional mutagenesis and in vivo studies are necessary to confirm the pathogenicity for variation in the P521A MGEA6.

Multilocus Analyses of Seven Candidate Genes Suggest Interacting Pathways for Obesity-Related Traits in Brazilian Populations

We investigated whether variants in major candidate genes for food intake and body weight regulation contribute to obesity-related traits under a multilocus perspective. We studied 375 Brazilian subjects from partially isolated African-derived populations (quilombos). Seven variants displaying conflicting results in previous reports and supposedly implicated in the susceptibility of obesity-related phenotypes were investigated: beta(2)-adrenergic receptor (ADRB2) (Arg16Gly), insulin induced gene 2 (INSIG2) (rs7566605), leptin (LEP) (A19G), LEP receptor (LEPR) (Gln223Arg), perilipin (PLIN) (6209T > C), peroxisome proliferator-activated receptor-gamma (PPARG) (Pro12Ala), and resistin (RETN) (-420C > G). Regression models as well as generalized multifactor dimensionality reduction (GMDR) were employed to test the contribution of individual effects and higher-order interactions to BMI and waist-hip ratio (WHR) variation and risk of overweight/obesity. The best multilocus association signal identified in the quilombos was further examined in an independent sample of 334 Brazilian subjects of European ancestry. In quilombos, only the PPARG polymorphism displayed significant individual effects (WHR variation, P = 0.028). No association was observed either with the risk of overweight/obesity (BMI >= 25 kg/m(2)), risk of obesity alone (BMI >= 30 kg/m(2)) or BMI variation. However, GMDR analyses revealed an interaction between the LEPR and ADRB2 polymorphisms (P = 0.009) as well as a third-order effect involving the latter two variants plus INSIG2 (P = 0.034) with overweight/obesity. Assessment of the LEPR-ADRB2 interaction in the second sample indicated a marginally significant association (P = 0.0724), which was further verified to be limited to men (P = 0.0118). Together, our findings suggest evidence for a two-locus interaction between the LEPR Gln223Arg and ADRB2 Arg16Gly variants in the risk of overweight/obesity, and highlight further the importance of multilocus effects in the genetic component of obesity.

Condoms and Healthcare professionals : Risk-behavior and attitudes towards condom use

Alarming S.T.I’s percentages and low condom use motivated this research. Healthcare professional’s risk-behavior and attitudes towards risk-behavior were reviewed. Three hypotheses, aimed to test whether healthcare professionals working with S.T.I’s should have a different attitude, knowledge and behavior to condom use compared to healthcare professionals that did not work with S.T.I’s. Ninety-five participants working at a hospital in middle-Sweden answered a questionnaire, based on the Swedish UNGKAB09 research. Mann-Whitney analyses showed no significant difference between the two groups on knowledge, attitude and behavior. A high percentage of steady relationships, high homogeneity between groups as well the same attitudes and intentions could have been a reliability problem. The collected data was however interesting as a base for further research

Cathepsin S as a biomarker of low-grade inflammation, insulin resistance, and cardiometabolic disease risk

Cathepsin S is a protease important in major histocompatibility complex (MHC) class II antigen presentation and also in degrading the extracellular matrix. Studies, most of them experimental, have shown that cathepsin S is involved in different pathological conditions such as obesity, inflammation, atherosclerosis, diabetes, and cancer.    The overall hypothesis of this report is that high levels of circulating cathepsin S, is a biomarker that reflects pathology induced by inflammation and obesity. The overall aim of this report was to investigate possible associations between circulating cathepsin S, inflammation, glucometabolic disturbance, and its associated diseases in the community. As cathepsin S appears to be a novel risk marker for several pathological conditions, we also wanted to examine the effect of dietary intervention on circulating cathepsin S concentrations.    This thesis is based on data from three community-based cohorts, the Uppsala longitudinal study of adult men (ULSAM), the prospective investigation of the vasculature in Uppsala seniors (PIVUS), and a post-hoc study from the randomized controlled NORDIET trial.    In the first study, we identified a cross-sectional positive association between serum cathepsin S and two markers of cytokine-mediated inflammation, CRP and IL-6. These associations were similar in non-obese individuals. In longitudinal analyses, higher cathepsin S at baseline was associated with higher CRP and IL-6 levels after six years of follow-up. In the second study, we identified a cross-sectional association between increased serum levels of cathepsin S and reduced insulin sensitivity. These associations were similar in non-obese individuals. No significant association was observed between cathepsin S and insulin secretion. In longitudinal analysis, higher cathepsin S levels were associated with an increased risk of developing diabetes during the six-year follow-up. In the third study, we found that higher serum levels of cathepsin S were associated with increased mortality risk. Moreover, in the ULSAM cohort, serum cathepsin S was independently associated with cause-specific mortality from cardiovascular disease and cancer. In the fourth study, we identified that adherence to an ad libitum healthy Nordic diet for 6 weeks slightly decreased the levels of plasma cathepsin S in normal or marginally overweight individuals, relative to the control group. Changes in circulating cathepsin S concentrations were correlated with changes in body weight, LDL-C, and total cholesterol.    Conclusion: This thesis shows that circulating cathepsin S is a biomarker that independently reflects inflammation, insulin resistance, the risk of developing diabetes, and mortality risk. Furthermore, a Nordic diet moderately reduced cathepsin S levels in normal-weight and overweight men and women. This effect may be partially mediated by diet-induced weight loss and possibly by reduced LDL-C concentrations. 

Diabetes e estrutura ventricular esquerda em afro-americanos : questões metodológicas em esudos epidemiológicos e dados do estudo ERIC (The Atherosclerosis Risk in Communities

Hipertrofia ventricular esquerda é um importante fator de risco em doença cardiovascular e pode ser responsável por parte do elevado risco cardiovascular associado a diabetes. Apesar de que o estresse hemodinâmico seja classicamente indicado como causa da injúria miocárdica que leva ao remodelamento, a injúria associada aos fatores neuro-humorais e a sinalização celular através da ativação imuno-inflamatória também desempenham um papel, acompanhando os mecanismos recentemente descritos na síndrome metabólica, particularmente na obesidade, onde a ativação do sistema imune inato leva a uma resposta inadequada crônica mediada por citocinas em diversos sistemas corpóreos. A ecocardiografia tem sido usada para identificar anormalidades da estrutura cardíaca, porém, variações metodológicas e os diversos ajustes para os determinantes da massa ventricular como idade, sexo, tamanho corporal e outros correlatos clínicos são motivo de debate, assim como a definição dos estados de anormalidade, tanto para hipertrofia ventricular esquerda, como para outras medidas da estrutura ventricular. Em uma amostra populacional de 1479 Afro- Americanos do Estudo ARIC, investigamos de forma estratificada e multivariada as associações independentes entre diabetes e as alterações estruturais do ventrículo esquerdo, definidas por hipertrofia ventricular, aumento da espessura relativa e padrões geométricos anormais. Encontramos prevalências elevadas dea alterações estruturais nos indivíduos com diabetes. Diabetes associou-se com hipertrofia ventricular em ambos os sexos e com espessura parietal aumentada e padrões geométricos anormais nas mulheres. Na maior parte dos modelos, as associações com diabetes foram minimizadas com os ajustes para obesidade, sugerindo que o impacto da obesidade sobre as alterações estruturais vistas em diabetes pode ser mediado por fatores outros do que a hiperglicemia. Essas novas evidências estão em sintonia com o conhecimento contemporâneo descrito.

Evidence on the relationship between incentives and exogenous risk

Theoretical models on moral hazard provide competing predictions on the incentive-risk relationship. These predictions are derived under the assumptions of homogeneous agents and exogenous risk. However, the existing empirical evidence does not account for risk-aversion heterogeneity and risk endogeneity. This paper uses a well-built database on tenancy contracts to address these issues. Detailed information on cropping activities is used to measure the exogenous risk. Risk-aversion heterogeneity and other self-selection problems are addressed through a portfolio schedule and a subsample of farmers who simultaneously own and sharecrop different farms. This controlled exercise finds a direct relation between incentives and exogenous risk.

A simple approach to integrate the ecotoxicological and chemical data for the establishment of environmental risk levels

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)