Selectivity and timing performance of UK investment trusts

This study examines the selectivity and timing performance of 218 UK investment trusts over the period July 1981 to June 2009. We estimate the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models augmented with the size, value, and momentum factors, either under the OLS method adjusted with the Newey-West procedure or under the GARCH(1,1)-in-mean method following the specification of Glosten et al. (1993; hereafter GJR-GARCH-M). We find that the OLS method provides little evidence in favour of the selectivity and timing ability, consistent with previous studies. Interestingly, the GJR-GARCH-M method reverses this result, showing some relatively strong evidence on favourable selectivity ability, particularly for international funds, as well as favourable timing ability, particularly for domestic funds. We conclude that the GJR-GARCH-M method performs better in evaluating fund performance compared with the OLS method and the non-parametric approach, as it essentially accounts for the time-varying characteristics of factor loadings and hence obtains more reliable results, in particular, when the high frequency data, such as the daily returns, are used in the analysis. Our results are robust to various in-sample and out-of-sample tests and have valuable implications for practitioners in making their asset allocation decisions across different fund styles. © 2012 Elsevier B.V.

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

Eulerian-Lagrangian definition of coarse bed-load transport: Theory and verification with low-cost inertial measurement units

Fluvial sediment transport is controlled by hydraulics, sediment properties and arrangement, and flow history across a range of time scales. This physical complexity has led to ambiguous definition of the reference frame (Lagrangian or Eulerian) in which sediment transport is analysed. A general Eulerian-Lagrangian approach accounts for inertial characteristics of particles in a Lagrangian (particle fixed) frame, and for the hydrodynamics in an independent Eulerian frame. The necessary Eulerian-Lagrangian transformations are simplified under the assumption of an ideal Inertial Measurement Unit (IMU), rigidly attached at the centre of the mass of a sediment particle. Real, commercially available IMU sensors can provide high frequency data on accelerations and angular velocities (hence forces and energy) experienced by grains during entrainment and motion, if adequately customized. IMUs are subjected to significant error accu- mulation but they can be used for statistical parametrisation of an Eulerian-Lagrangian model, for coarse sediment particles and over the temporal scale of individual entrainment events. In this thesis an Eulerian-Lagrangian model is introduced and evaluated experimentally. Absolute inertial accelerations were recorded at a 4 Hz frequency from a spherical instrumented particle (111 mm diameter and 2383 kg/m3 density) in a series of entrainment threshold experiments on a fixed idealised bed. The grain-top inertial acceleration entrainment threshold was approximated at 44 and 51 mg for slopes 0.026 and 0.037 respectively. The saddle inertial acceleration entrainment threshold was at 32 and 25 mg for slopes 0.044 and 0.057 respectively. For the evaluation of the complete Eulerian-Lagrangian model two prototype sensors are presented: an idealised (spherical) with a diameter of 90 mm and an ellipsoidal with axes 100, 70 and 30 mm. Both are instrumented with a complete IMU, capable of sampling 3D inertial accelerations and 3D angular velocities at 50 Hz. After signal analysis, the results can be used to parametrize sediment movement but they do not contain positional information. The two sensors (spherical and ellipsoidal) were tested in a series of entrainment experiments, similar to the evaluation of the 111 mm prototype, for a slope of 0.02. The spherical sensor entrained at discharges of 24.8 ± 1.8 l/s while the same threshold for the ellipsoidal sensor was 45.2 ± 2.2 l/s. Kinetic energy calculations were used to quantify the particle-bed energy exchange under fluvial (discharge at 30 l/s) and non-fluvial conditions. All the experiments suggest that the effect of the inertial characteristics of coarse sediments on their motion is comparable to the effect hydrodynamic forces. The coupling of IMU sensors with advanced telemetric systems can lead to the tracking of Lagrangian particle trajectories, at a frequency and accuracy that will permit the testing of diffusion/dispersion models across the range of particle diameters.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.

Essays in Financial Econometrics

The first paper sheds light on the informational content of high frequency data and daily data. I assess the economic value of the two family models comparing their performance in forecasting asset volatility through the Value at Risk metric. In running the comparison this paper introduces two key assumptions: jumps in prices and leverage effect in volatility dynamics. Findings suggest that high frequency data models do not exhibit a superior performance over daily data models. In the second paper, building on Majewski et al. (2015), I propose an affine-discrete time model, labeled VARG-J, which is characterized by a multifactor volatility specification. In the VARG-J model volatility experiences periods of extreme movements through a jump factor modeled as an Autoregressive Gamma Zero process. The estimation under historical measure is done by quasi-maximum likelihood and the Extended Kalman Filter. This strategy allows to filter out both volatility factors introducing a measurement equation that relates the Realized Volatility to latent volatility. The risk premia parameters are calibrated using call options written on S&P500 Index. The results clearly illustrate the important contribution of the jump factor in the pricing performance of options and the economic significance of the volatility jump risk premia. In the third paper, I analyze whether there is empirical evidence of contagion at the bank level, measuring the direction and the size of contagion transmission between European markets. In order to understand and quantify the contagion transmission on banking market, I estimate the econometric model by Aït-Sahalia et al. (2015) in which contagion is defined as the within and between countries transmission of shocks and asset returns are directly modeled as a Hawkes jump diffusion process. The empirical analysis indicates that there is a clear evidence of contagion from Greece to European countries as well as self-contagion in all countries.

Bacterial communities and biogeochemical transformations of iron and sulfur in a high saltmarsh soil profile

Microbial community structure in saltmarsh soils is stratified by depth and availability of electron acceptors for respiration. However, the majority of the microbial species that are involved in the biogeochemical transformations of iron (Fe) and sulfur (S) in such environments are not known. Here we examined the structure of bacterial communities in a high saltmarsh soil profile and discuss their potential relationship with the geochemistry of Fe and S. Our data showed that the soil horizons Ag (oxic-suboxic), Bg (suboxic), Cri (anoxic with low concentration of pyrite Fe) and Cr-2 (anoxic with high concentrations of pyrite Fe) have distinct geochemical and microbiological characteristics. In general, total S concentration increased with depth and was correlated with the presence of pyrite Fe. Soluble + exchangable-Fe, pyrite Fe and acid volatile sulfide Fe concentrations also increased with depth, whereas ascorbate extractable-Fe concentrations decreased. The occurrence of reduced forms of Fe in the horizon Ag and oxidized Fe in horizon Cr-2 suggests that the typical redox zonation, common to several marine sediments, does not occur in the saltmarsh soil profile studied. Overall, the bacterial community structure in the horizon Ag and Cr-2 shared low levels of similarity, as compared to their adjacent horizons, Bg and Cr-1, respectively. The phylogenetic analyses of bacterial 16S rRNA gene sequences from clone libraries showed that the predominant phylotypes in horizon Ag were related to Alphaproteobacteria and Bacteroidetes. In contrast, the most abundant phylotypes in horizon Cr-2 were related to Deltaproteo-bacteria, Chloroflexi, Deferribacteres and Nitrospira. The high frequency of sequences with low levels of similarity to known bacterial species in horizons Ag and Cr-2 indicates that the bacterial communities in both horizons are dominated by novel bacterial species. (c) 2008 Elsevier Ltd. All rights reserved.

Effects of restricted cochlear lesions in adult cats on the frequency organization of the inferior colliculus

Restricted cochlear lesions in adult animals result in plastic changes in the representation of the lesioned cochlea, and thus in the frequency map, in the contralateral auditory cortex and thalamus. To examine the contribution of subthalamic changes to this reorganization, the effects of unilateral mechanical cochlear lesions on the frequency organization of the central nucleus of the inferior colliculus (ICC) were examined in adult cats. Lesions typically resulted in a broad high-frequency hearing loss extending from a frequency in the range 15-22 kHz. After recovery periods of 2.5-18 months, the frequency organization of ICC contralateral to the lesioned cochlea was determined separately for the onset and late components of multiunit responses to tone-burst stimuli. For the late response component in all but one penetration through the ICC, and for the onset response component in more than half of the penetrations, changes in frequency organization in the lesion projection zone were explicable as the residue of prelesion responses. In half of the penetrations exhibiting nonresidue type changes in onset-response frequency organization, the changes appeared to reflect the unmasking of normally inhibited inputs. In the other half it was unclear whether the changes reflected unmasking or a dynamic process of reorganization. Thus, most of the observed changes were explicable as passive consequences of the lesion, and there was limited evidence for plasticity in the ICC. The implications of the data with respect to the primary locus of the changes and to the manner in which they contribute to thalamocortical reorganization are considered. (C) 2003 Wiley-Liss, Inc.

A naturalistic study of the word frequency effect in episodic recognition

In order to separate the effects of experience from other characteristics of word frequency (e.g., orthographic distinctiveness), computer science and psychology students rated their experience with computer science technical items and nontechnical items from a wide range of word frequencies prior to being tested for recognition memory of the rated items. For nontechnical items, there was a curvilinear relationship between recognition accuracy and word frequency for both groups of students. The usual superiority of low-frequency words was demonstrated and high-frequency words were recognized least well. For technical items, a similar curvilinear relationship was evident for the psychology students, but for the computer science students, recognition accuracy was inversely related to word frequency. The ratings data showed that subjective experience rather than background word frequency was the better predictor of recognition accuracy.

High and Low Frequency TENS Reduce Postoperative Pain Intensity After Laparoscopic Tubal Ligation A Randomized Controlled Trial

Background: Transcutaneous electrical nerve stimulation (TENS) is an effective adjunctive therapy for postoperative pain; however, effects of different frequencies Of stimulation have not been systematically investigated. Laparoscopic sterilization (LS) causes significant pain in the early postoperative period and requires substantial postoperative medication. Therefore, we studied the effects of TENS on postoperative pain after LS through placement of Yoon fallopian rings in a prospective, randomized, double-blinded, and placebo-controlled study. Methods: Sixty-four patients undergoing LS for uterine tube ligation were randomly allocated to receive either active TENS or placebo TENS. Postoperative pain was evaluated using a standard I I-point numeric rating scale and the McGill Pain Questionnaire (MPQ)-pain rating index and number of words chosen. Both high frequency (100 Hz) and low frequency (4 Hz) TENS, at strong, but comfortable sensory intensity, were applied for 20 minutes through 4 electrodes placed around the surgical incision immediately after Surgery. Pain was assessed before and after application of TENS when patients were at postanesthesia care unit (PACU). Results: Both high and low frequency TENS significantly decreased postoperative pain intensity when compared with before administration of TENS using the numeric rating scale (P = 0.001), pain rating index (P = 0.001), and number of words chosen (P 0.001) compared with placebo TENS (P = 0.001). TENS in combination with standard pharmacologic analgesic treatment was efficacious for postoperative pain relief after LS. Conclusions: We recommend regular use of multimodal therapy with TENS and analgesic drugs after LS with placement of Yoon rings.

Frequency of myocarditis in cases of fatal meningococcal infection in children: observations on 31 cases studied at autopsy

The frequency of myocarditis associated with meningococcal disease in children was reported only in two autopsied series (United States and South Africa). Here we report the frequency of associated myocarditis in 31 children who died of meningoccal infection at Hospital Infantil N.S. da Glória in Vitória, Espirito Santo State, Brazil. The diagnosis was confirmed by isolation of Neisseria meningitidis . At least three sections of fragments of both atria and ventricles were studied using the Dallas Criteria for the morphologic diagnosis of myocarditis. The mean age was 47.6 ± 39.8 months and the mean survival time after the onset of symptoms was 46.1 ± 26.5h (12-112h). Myocarditis was present in 13 (41.9%) patients, being of minimal severity in 11 cases and of moderate severity in 2 cases. There were no cases with severe diffuse myocarditis. The frequency of myocarditis was not influenced by sex, presence of meningitis, survival time after the onset of symptoms or use of vasoactive drugs. The frequency of myocarditis reported here was intermediate between the values reported in the only two case series published in the literature (57% in the United States and 27% in South Africa). Although our data confirm the high frequency of myocaditis in meningoccal disease, further investigations are necessary to elucidate the contribution of myocarditis to myocardial dysfunction observed in cases of meningococcal infection in children.

Gender differences in cardiovascular risk factors in HIV infected patients on antiretroviral therapy: Data from the Spanish Coronator study.

Purpose: HIV-infected patients present an increased cardiovascular risk (CVR) of multifactorial origin, usually lower in women than in men. Information by gender about prevalence of modifiable risk factors is scarce. Methods: Coronator is a cross-sectional survey of a representative sample of HIV-infected patients on ART within 10 hospitals across Spain in 2011. Variables include sociodemographics, CVR factors and 10-year CV disease risk estimation (Regicor: Framingham score adapted to the Spanish population). Results: We included 860 patients (76.3% male) with no history of CVD. Median age 45.6 years; 84.1% were Spaniards; 29.9% women were IDUs. Median time since HIV diagnosis for men and women was 10 and 13 years (p=0.001), 28% had an AIDS diagnosis. Median CD4 cell count was 596 cells/mm3, 88% had undetectable viral load. Median time on ART was 91 and 108 months (p=0.017). There was a family history of early CVD in 113 men (17.9%) and 41 women (20.6%). Classical CVR factors are described in the table. Median (IQR) Regicor Score was 3% (2-5) for men and 2% (1-3) for women (p=0.000), and the proportion of subjects with mid-high risk (>5%) was 26.1% for men and 9.4% for women (p=0.000). Conclusions: In this population of HIV-infected patients, women have lower cardiovascular risk than men, partly due to higher levels of HDL cholesterol. Of note is the high frequency of smoking, abdominal obesity and sedentary lifestyle in our population. (Table Presented).

Updating the geographical distribution and frequency of Aedes albopictus in Brazil with remarks regarding its range in the Americas

The geographical distribution of Aedes albopictus in Brazil was updated according to the data recorded across the country over the last eight years. Countrywide house indexes (HI) for Ae. albopictus in urban and suburban areas were described for the first time using a sample of Brazilian municipalities. This mosquito is currently present in at least 59% of the Brazilian municipalities and in 24 of the 27 federal units (i.e., 26 states and the Federal District). In 34 Brazilian municipalities, the HI values for Ae. albopictus were higher than those recorded for Ae. aegypti, reaching figures as high as HI = 7.72 in the Southeast Region. Remarks regarding the current range of this mosquito species in the Americas are also presented. Nineteen American countries are currently infested and few mainland American countries have not confirmed the occurrence of Ae. albopictus. The large distribution and high frequency of Ae. albopictus in the Americas may become a critical factor in the spread of arboviruses like chikungunya in the new world.

Flexible social organization and high incidence of drifting in the sweat bee, Halictus scabiosae.

The very diverse social systems of sweat bees make them interesting models to study social evolution. Here we focus on the dispersal behaviour and social organization of Halictus scabiosae, a common yet poorly known species of Europe. By combining field observations and genetic data, we show that females have multiple reproductive strategies, which generates a large diversity in the social structure of nests. A detailed microsatellite analysis of 60 nests revealed that 55% of the nests contained the offspring of a single female, whereas the rest had more complex social structures, with three clear cases of multiple females reproducing in the same nest and frequent occurrence of unrelated individuals. Drifting among nests was surprisingly common, as 16% of the 122 nests in the overall sample and 44% of the nests with complex social structure contained females that had genotypes consistent with being full-sisters of females sampled in other nests of the population. Drifters originated from nests with an above-average productivity and were unrelated to their nestmates, suggesting that drifting might be a strategy to avoid competition among related females. The sex-specific comparison of genetic differentiation indicated that dispersal was male-biased, which would reinforce local resource competition among females. The pattern of genetic differentiation among populations was consistent with a dynamic process of patch colonization and extinction, as expected from the unstable, anthropogenic habitat of this species. Overall, our data show that H. scabiosae varies greatly in dispersal behaviour and social organization. The surprisingly high frequency of drifters echoes recent findings in wasps and bees, calling for further investigation of the adaptive basis of drifting in the social insects.

Chemical labelling of oyster shells used for time-calibrated high-resolution Mg/Ca ratios: A tool for estimation of past seasonal temperature variations

The geochemical compositions of biogenic carbonates are increasingly used for palaeoenvironmental reconstructions. The skeletal delta O-18 temperature relationship is dependent on water salinity, so many recent studies have focused on the Mg/Ca and Sr/Ca ratios because those ratios in water do not change significantly on short time scales. Thus, those elemental ratios are considered to be good palaeotemperature proxies in many biominerals, although their use remains ambiguous in bivalve shells. Here, we present the high-resolution Mg/Ca ratios of two modern species of juvenile and adult oyster shells, Crassostrea gigas and Ostrea edulis. These specimens were grown in controlled conditions for over one year in two different locations. In situ monthly Mn-marking of the shells has been used for day calibration. The daily Mg/Ca.ratios in the shell have been measured with an electron microprobe. The high frequency Mg/Ca variation of all specimens displays good synchronism with lunar cycles, suggesting that tides strongly influence the incorporation of Mg/Ca into the shells. Highly significant correlation coefficients (0.70<R<0.83, p<0.0001) between the Mg/Ca ratios and the seawater temperature are obtained only for juvenile C. gigas samples, while metabolic control of Mg/Ca incorporation and lower shell growth rates preclude the use of the Mg/Ca ratio in adult shells as a palaeothermometer. Data from three juvenile C. gigas shells from the two study sites are selected to establish a relationship: T = 3.77Mg/Ca + 1.88, where T is in degrees C and Mg/Ca in mmol/mol. (c) 2012 Elsevier B.V. All rights reserved.

Limited genetic diversity and high differentiation among the remnant adder (Vipera berus) populations in the Swiss and French Jura Mountains

Although the adder (Vipera berus) has a large distribution area, this species is particularly threatened in Western Europe due to high habitat fragmentation and human persecution. We developed 13 new microsatellite markers in order to evaluate population structure and genetic diversity in the Swiss and French Jura Mountains, where the species is limited to only a few scattered populations. We found that V. berus exhibits a considerable genetic differentiation among populations (global F-ST = 0.269), even if these are not geographically isolated. Moreover, the genetic diversity within populations in the Jura Mountains and in the less perturbed Swiss Alps is significantly lower than in other French populations, possibly due to post-glacial recolonisation processes. Finally, in order to minimize losses of genetic diversities within isolated populations, suggestions for the conservation of this species in fragmented habitats are proposed.