Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.

Nash equilibrium strategies in discrete-time finite-horizon dynamic games with risk-and effort-averse players

The objective of this paper is to re-examine the risk-and effort attitude in the context of strategic dynamic interactions stated as a discrete-time finite-horizon Nash game. The analysis is based on the assumption that players are endogenously risk-and effort-averse. Each player is characterized by distinct risk-and effort-aversion types that are unknown to his opponent. The goal of the game is the optimal risk-and effort-sharing between the players. It generally depends on the individual strategies adopted and, implicitly, on the the players' types or characteristics.

In vitro growth of human urinary tract smooth muscle cells on laminin and collagen type I-coated membranes under static and dynamic conditions.

This study investigates in vitro growth of human urinary tract smooth muscle cells under static conditions and mechanical stimulation. The cells were cultured on collagen type I- and laminin-coated silicon membranes. Using a Flexcell device for mechanical stimulation, a cyclic strain of 0-20% was applied in a strain-stress-time model (stretch, 104 min relaxation, 15 s), imitating physiological bladder filling and voiding. Cell proliferation and alpha-actin, calponin, and caldesmon phenotype marker expression were analyzed. Nonstretched cells showed significant better growth on laminin during the first 8 days, thereafter becoming comparable to cells grown on collagen type I. Cyclic strain significantly reduced cell growth on both surfaces; however, better growth was observed on laminin. Neither the type of surface nor mechanical stimulation influenced the expression pattern of phenotype markers; alpha-actin was predominantly expressed. Coating with the extracellular matrix protein laminin improved in vitro growth of human urinary tract smooth muscle cells.

Dynamic of population-dynamics in a medically important snail species Lymnaea (Radix) Luteola (Lamarck)

The life-cycle parameters of the snail Lymnaea (Radix) luteola and the factors influencing the same have been studied under laboratory conditions. Ins each month, from July 1990 to June 1991, a batch of 100 zero-day old individual were considered for studies. The snails of April batch survived for 19.42 days while those in December batch survived for 87.45 days. The May batch individual though survived for 65.67 days gained maximum shell size (15.84 mm in length) and body weight (419.87 mg). All individuals of April batch died prior to attainment of sexual maturity. In the remaining 11 batches the snails became sexually mature between 32 and 53 days. At this stage, they were with varying shell lengths, 9.3 mm to 13,11 mm in respect to batches. The reproduction period varied from 1-67 days. An individual laid, on an average, 0,25 (March batch) to 443.67 (May batch) eggs in its life-span. A batch of such snails would leave 24312, 22520, 720268, 80408, 76067, 418165, 214, 9202, 0, 0, 2459386 and 127894 individuals at the end of 352nd day. Since the environmental conditions were almost similar the 'dynamic' of population dynamics seems to be involved with the 'strain' of the snail individuals of the batches concerned.

Iron supplementation for unexplained fatigue in non-anaemic women: double blind randomised placebo controlled trial.

OBJECTIVE: To determine the subjective response to iron therapy in non-anaemic women with unexplained fatigue. DESIGN: Double blind randomised placebo controlled trial. SETTING: Academic primary care centre and eight general practices in western Switzerland. PARTICIPANTS: 144 women aged 18 to 55, assigned to either oral ferrous sulphate (80 mg/day of elemental iron daily; n=75) or placebo (n=69) for four weeks. MAIN OUTCOME MEASURES: Level of fatigue, measured by a 10 point visual analogue scale. RESULTS: 136 (94%) women completed the study. Most had a low serum ferritin concentration; <or= 20 microg/l in 69 (51%) women. Mean age, haemoglobin concentration, serum ferritin concentration, level of fatigue, depression, and anxiety were similar in both groups at baseline. Both groups were also similar for compliance and dropout rates. The level of fatigue after one month decreased by -1.82/6.37 points (29%) in the iron group compared with -0.85/6.46 points (13%) in the placebo group (difference 0.95 points, 95% confidence interval 0.32 to 1.62; P=0.004). Subgroups analysis showed that only women with ferritin concentrations <or= 50 microg/l improved with oral supplementation. CONCLUSION: Non-anaemic women with unexplained fatigue may benefit from iron supplementation. The effect may be restricted to women with low or borderline serum ferritin concentrations.

INTERCELLULAR AND SYSTEM-LEVEL ASPECTS OF THE METABOLIC INTERACTIONS BETWEEN NEURONS AND GLIA

Quand on parle de l'acide lactique (aussi connu sous le nom de lactate) une des premières choses qui vient à l'esprit, c'est son implication en cas d'intense activité musculaire. Sa production pendant une activité physique prolongée est associée avec la sensation de fatigue. Il n'est donc pas étonnant que cette molécule ait été longtemps considérée comme un résidu du métabolisme, possiblement toxique et donc à éliminer. En fait, il a été découvert que le lactate joue un rôle prépondérant dans le métabolisme grâce à son fort potentiel énergétique. Le cerveau, en particulier les neurones qui le composent, est un organe très gourmand en énergie. Récemment, il a été démontré que les astrocytes, cellules du cerveau faisant partie de la famille des cellules gliales, utilisent le glucose pour produire du lactate comme source d'énergie et le distribue aux neurones de manière adaptée à leur activité. Cette découverte a renouvelé l'intérêt scientifique pour le lactate. Aujourd'hui, plusieurs études ont démontré l'implication du lactate dans d'autres fonctions de la physiologie cérébrale. Dans le cadre de notre étude, nous nous sommes intéressés au rapport entre neurones et astrocytes avec une attention particulière pour le rôle du lactate. Nous avons découvert que le lactate possède la capacité de modifier la communication entre les neurones. Nous avons aussi décrypté le mécanisme grâce auquel le lactate agit, qui est basé sur un récepteur présent à la surface des neurones. Cette étude montre une fonction jusque-là insoupçonnée du lactate qui a un fort impact sur la compréhension de la relation entre neurones et astrocytes. - Relatively to its volume, the brain uses a large amount of glucose as energy source. Furthermore, a tight link exists between the level of synaptic activity and the consumption of energy equivalents. Astrocytes have been shown to play a central role in the regulation of this so-called neurometabolic coupling. They are thought to deliver the metabolic substrate lactate to neurons in register to glutamatergic activity. The astrocytic uptake of glutamate, released in the synaptic cleft, is the trigger signal that activates an intracellular cascade of events that leads to the production and release of lactate from astrocytes. The main goal of this thesis work was to obtain detailed information on the metabolic and functional interplay between neurons and astrocytes, in particular on the influence of lactate besides its metabolic effects. To gain access to both spatial and temporal aspects of these dynamic interactions, we used optical microscopy associated with specific fluorescent indicators, as well as electrophysiology. In the first part of this thesis, we show that lactate decreases spontaneous neuronal, activity in a concentration-dependent manner and independently of its metabolism. We further identified a receptor-mediated pathway underlying this modulatory action of lactate. This finding constituted a novel mechanism for the modulation of neuronal transmission by lactate. In the second part, we have undergone a characterization of a new pharmacological tool, a high affinity glutamate transporter inhibitor. The finality of this study was to investigate the detailed pharmacological properties of the compound to optimize its use as a suppressor of glutamate signal from neuron to astrocytes. In conclusion, both studies have implications not only for the understanding of the metabolic cooperation between neurons and astrocytes, but also in the context of the glial modulation of neuronal activity. - Par rapport à son volume, le cerveau utilise une quantité massive de glucose comme source d'énergie. De plus, la consommation d'équivalents énergétiques est étroitement liée au niveau d'activité synaptique. Il a été montré que dans ce couplage neurométabolique, un rôle central est joué par les astrocytes. Ces cellules fournissent le lactate, un substrat métabolique, aux neurones de manière adaptée à leur activité glutamatergique. Plus précisément, le glutamate libéré dans la fente synaptique par les neurones, est récupéré par les astrocytes et déclenche ainsi une cascade d'événements intracellulaires qui conduit à la production et libération de lactate. Les travaux de cette thèse ont visé à étudier la relation métabolique et fonctionnelle entre neurones et astrocytes, avec une attention particulière pour des rôles que pourrait avoir le lactate au-delà de sa fonction métabolique. Pour étudier les aspects spatio-temporels de ces interactions dynamiques, nous avons utilisé à la fois la microscopie optique associée à des indicateurs fluorescents spécifiques, ainsi que l'électrophysiologie. Dans la première partie de cette thèse, nous montrons que le lactate diminue l'activité neuronale spontanée de façon concentration-dépendante et indépendamment de son métabolisme. Nous avons identifié l'implication d'un récepteur neuronal au lactate qui sous-tend ce mécanisme de régulation. La découverte de cette signalisation via le lactate constitue un mode d'interaction supplémentaire et nouveau entre neurones et astrocytes. Dans la deuxième partie, nous avons caractérisé un outil pharmacologique, un inhibiteur des transporteurs du glutamate à haute affinité. Le but de cette étude était d'obtenir un agent pharmacologique capable d'interrompre spécifiquement le signal médié par le glutamate entre neurones et astrocytes pouvant permettre de mieux comprendre leur relation. En conclusion, ces études ont une implication non seulement pour la compréhension de la coopération entre neurones et astrocytes mais aussi dans le contexte de la modulation de l'activité neuronale par les cellules gliales.

Dynamic calibration of our sense of time.

An accurate sense of time contributes to functions ranging from the perception and anticipation of sensory events to the production of coordinated movements. However, accumulating evidence demonstrates that time perception is subject to strong illusory distortion. In two experiments, we investigated whether the subjective speed of temporal perception is dependent on our visual environment. By presenting human observers with speed-altered movies of a crowded street scene, we modulated performance on subsequent production of "20s" elapsed intervals. Our results indicate that one's visual environment significantly contributes to calibrating our sense of time, independently of any modulation of arousal. This plasticity generates an assay for the integrity of our sense of time and its rehabilitation in clinical pathologies.

Encoding dysfunctions in a dynamic-static paradigm for visuospatial working memory in first-episode psychosis patients: a 2-year follow-up study.

Aim: To investigate static and dynamic visuospatial working memory (VSWM) processes in first-episode psychosis (FEP) patients and explore the validity of such measures as specific trait markers of schizophrenia. Methods: Twenty FEP patients and 20 age-, sex-, laterality- and education-matched controls carried out a dynamic and static VSWM paradigm. At 2-year follow up 13 patients met Diagnostic and Statistical Manual (of Mental Health Disorders) - Fourth Edition (DSM-IV) criteria for schizophrenia, 1 for bipolar disorder, 1 for brief psychotic episode and 5 for schizotypal personality disorder. Results: Compared with controls, the 20 FEP patients showed severe impairment in the dynamic VSWM condition but much less impairment in the static condition. No specific bias in stimulus selection was detected in the two tasks. Two-year follow-up evaluations suggested poorer baseline scores on the dynamic task clearly differentiated the 13 FEP patients who developed schizophrenia from the seven who did not. Conclusions: Results suggest deficits in VSWM in FEP patients. Specific exploratory analyses further suggest that deficit in monitoring-manipulation VSWM processes, especially involved in our dynamic VSWM task, can be a reliable marker of schizophrenia.

Signaling in Dynamic Contests: Some Impossibility Results

General signaling results in dynamic Tullock contests have been missing for long. The reason is the tractability of the problems. In this paper, an uninformed contestant with valuation vx competes against an informed opponent with valuation, either high vh or low vl. We show that; (i) When the hierarchy of valuations is vh ≥ vx ≥ vl, there is no pooling. Sandbagging is too costly for the high type. (ii) When the order of valuations is vx ≥ vh ≥ vl, there is no separation if vh and vl are close. Sandbagging is cheap due to the proximity of valuations. However, if vh and vx are close, there is no pooling. First period cost of pooling is high. (iii) For valuations satisfying vh ≥ vl ≥ vx, there is no separation if vh and vl are close. Bluffing in the first period is cheap for the low valuation type. Conversely, if vx and vl are close there is no pooling. Bluffing in the first stage is too costly. JEL: C72, C73, D44, D82. KEYWORDS: Signaling, Dynamic Contests, Non-existence, Sandbag Pooling, Bluff Pooling, Separating

Obedience-disobedience dynamic and the role of responsibility

Obedience has been thoroughly studied in social psychology, both in its positive and negative aspects. Nevertheless, in these empirical studies disobedience has been considered to be the opposite of obedience and indeed its negation. Instead, some recent studies suggest that if obedience to authority is important in ensuring the continuity of social and group life, disobedience is crucial, under some circumstances, in stopping the authority relationship from degenerating into an authoritarian relationship. In this perspective, disobedience may be conceived of as a protest undermining the legitimacy of authority, or else it can represent an instrument of the community for controlling the legitimacy of the authority's demands, becoming a factor safeguarding against authoritarianism. The aim of the present study was to empirically verify the dynamics existing between disobedience and obedience. The results show that people who attach importance to both obedience and disobedience in the relationship between the individual and society recognize the importance of democratic values and consider themselves responsible for the defence of human rights. Instead, people who only recognize the value of obedience and consider disobedience as a threat to the status quo are more authoritarian, individualistic people.

A dynamic assessment of medication-taking behavior during pregnancy and postpartum: should cART adherence be reinforced during postpartum?

This study compared adherence (persistence and execution) during pregnancy and postpartum in HIV-positive women having taken part in the adherence-enhancing program of the Community Pharmacy of the Department of Ambulatory Care and Community Medicine in Lausanne between 2004 and 2012. This interdisciplinary program combined electronic drug monitoring and semi-structured, repeated motivational interviews. This was a retrospective, observational study. Observation period spread over from first adherence visit after last menstruation until 6 months after childbirth. Medication-taking was recorded by electronic drug monitoring. Socio-demographic and delivery data were collected from Swiss HIV Cohort database. Adherence data, barriers and facilitators were collected from pharmacy database. Electronic data were reconciled with pill-count and interview notes in order to include reported pocket-doses. Execution was analyzed over 3-day periods by a mixed effect logistic model, separating time before and after childbirth. This model allowed us to estimate different time slopes for both periods and to show a sudden fall associated with childbirth. Twenty-five pregnant women were included. Median age was 29 (IQR: 26.5, 32.0), women were in majority black (n_17,68%) and took a cART combining protease and nucleoside reverse transcriptase inhibitors (n_24,96%). Eleven women (44%) were ART-naı¨ve at the beginning of pregnancy. Twenty women (80%) were included in the program because of pregnancy. Women were included at all stages of pregnancy. Six women (24%) stopped the program during pregnancy, 3 (12%) at delivery, 4 (16%) during postpartum and 12 (48%) stayed in program at the end of observation time. Median number of visits was 4 (3.0, 6.3) during pregnancy and 3 (0.8, 6.0) during postpartum. Execution was continuously high during pregnancy, low at beginning of postpartum and increased gradually during the 6 months of postpartum. Major barriers to adherence were medication adverse events and difficulties in daily routine. Facilitators were motivation for promoting child-health and social support. The dramatic drop and very slow increase in cART adherence during postpartum might result in viral rebound and drug resistance. Although much attention is devoted to pregnant women, interdisciplinary care should also be provided to women in the community during first trimester of postpartum to support them in sustaining cART adherence.

Hyperpolarizing gases via dynamic nuclear polarization and sublimation.

A high throughput method was designed to produce hyperpolarized gases by combining low-temperature dynamic nuclear polarization with a sublimation procedure. It is illustrated by applications to 129Xe nuclear magnetic resonance in xenon gas, leading to a signal enhancement of 3 to 4 orders of magnitude compared to the room-temperature thermal equilibrium signal at 7.05 T.