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.

Sleep structure and cardiometabolic disorders in the general population : the Hypnolaus study

Objectives: Previous studies using subjective assessments have reported associations between sleep quantity and quality and cardiometabolic disorders, but little is known regarding the associ-ations with objective sleep characteristics. The purpose of this study was to evaluate the association between objective sleep measure sand metabolic syndrome (MS), hypertension, diabetes and obesity. Methods: 2162 subjects (51.2% women, mean age 58,11.1) from the general population were evaluated for hypertension,diabetes, overweight/obesity and MS, and underwent a full polysom-nography (PSG). PSG measured variables included: Total sleep time(TST), percentage and time spent in slow wave sleep (SWS) and in rapid eye movement (REM) sleep, sleep efficiency and arousal index(ArI) Results: In univariate analyses, MS was associated with decreased TST, SWS, REM sleep, sleep efficiency and increased ArI. After adjustment for age, gender, smoking, alcohol, physical activity, drugsthat affect sleep and depression, the ArI remained significantly higher, but the difference disappeared in subjects without significant sleep disordered breathing (SDB). Differences in sleep structure were also found according to the presence or absence of hypertension, diabetes and overweight/obesity in univariate analysis. However, these differences were attenuated after multivariate adjustment and after excluding subjects with significant SDB. Conclusions: In this population-based sample we found significant associations between sleep structure and MS, hypertension, diabetes and obesity. However, these associations were cancelled after multivariate adjustment. We conclude that normal variations in sleep contribute little if any to MS and associated disorders.

Structure and diversity of endoparasitic infracommunities and the trophic level of Pseudoplatystoma corruscans and Schizodon borelli (Osteichthyes) of the high Paraná river

One hundred and ten specimens of Pseudoplatystoma corruscans (Pimelodidae) and 582 specimens of Schizodon borelli (Anostomidae) collected in the high Paraná River were analyzed. On necropsy 74% of P. corruscans were found to be parasitized; proteocephalidean cestodes presented the greatest number. With regard to S. borelli, the percentage of parasitism reached 19.42% and the nematode Cucullanus pinnai was the most abundant. The absence of correlation between the endoparasitic diversity and the standard length of the two host species indicates that each one presents homogeneity in alimentary behaviour during all its life time, permiting the uniform recruitment of the same species of endoparasites during all its ontogenetic development. Independence of diversity values in relation to sex of P. corruscans and S. borelli evidences that the ecological relationships are similar between males and females in these species. Both host's infrapopulations presented a typical overdispersed pattern of distribution with isolationist characteristics.

Whole body protein metabolism and resting energy expenditure in pregnant Gambian women.

Whole body protein metabolism and resting energy expenditure (REE) were measured at 11, 23, and 33 wk of pregnancy in nine pregnant (not malnourished) Gambian women and in eight matched nonpregnant nonlactating (NPNL) matched controls. Rates of whole body nitrogen flux, protein synthesis, and protein breakdown were determined in the fed state from the level of isotope enrichment of urinary urea and ammonia during a period of 9 h after a single oral dose of [15N]glycine. At regular intervals, REE was measured by indirect calorimetry (hood system). Based on the arithmetic end-product average of values obtained with urea and ammonia, a significant increase in whole body protein synthesis was observed during the second trimester (5.8 +/- 0.4 g.kg-1.day-1) relative to values obtained both for the NPNL controls (4.5 +/- 0.3 g.kg-1.day-1) and those during the first trimester (4.7 +/- 0.3 g.kg-1.day-1). There was a significant rise in REE during the third trimester both in the preprandial and postprandial states. No correlation was found between REE after meal ingestion and the rate of whole body protein synthesis.

Protein intake and exercise for optimal muscle function with aging: recommendations from the ESPEN Expert Group.

The aging process is associated with gradual and progressive loss of muscle mass along with lowered strength and physical endurance. This condition, sarcopenia, has been widely observed with aging in sedentary adults. Regular aerobic and resistance exercise programs have been shown to counteract most aspects of sarcopenia. In addition, good nutrition, especially adequate protein and energy intake, can help limit and treat age-related declines in muscle mass, strength, and functional abilities. Protein nutrition in combination with exercise is considered optimal for maintaining muscle function. With the goal of providing recommendations for health care professionals to help older adults sustain muscle strength and function into older age, the European Society for Clinical Nutrition and Metabolism (ESPEN) hosted a Workshop on Protein Requirements in the Elderly, held in Dubrovnik on November 24 and 25, 2013. Based on the evidence presented and discussed, the following recommendations are made (a) for healthy older people, the diet should provide at least 1.0-1.2 g protein/kg body weight/day, (b) for older people who are malnourished or at risk of malnutrition because they have acute or chronic illness, the diet should provide 1.2-1.5 g protein/kg body weight/day, with even higher intake for individuals with severe illness or injury, and (c) daily physical activity or exercise (resistance training, aerobic exercise) should be undertaken by all older people, for as long as possible.

Orthogonal higher order structure and confirmatory factor analysis of the French Wechsler Adult Intelligence Scale (WAIS-III).

According to the most widely accepted Cattell-Horn-Carroll (CHC) model of intelligence measurement, each subtest score of the Wechsler Intelligence Scale for Adults (3rd ed.; WAIS-III) should reflect both 1st- and 2nd-order factors (i.e., 4 or 5 broad abilities and 1 general factor). To disentangle the contribution of each factor, we applied a Schmid-Leiman orthogonalization transformation (SLT) to the standardization data published in the French technical manual for the WAIS-III. Results showed that the general factor accounted for 63% of the common variance and that the specific contributions of the 1st-order factors were weak (4.7%-15.9%). We also addressed this issue by using confirmatory factor analysis. Results indicated that the bifactor model (with 1st-order group and general factors) better fit the data than did the traditional higher order structure. Models based on the CHC framework were also tested. Results indicated that a higher order CHC model showed a better fit than did the classical 4-factor model; however, the WAIS bifactor structure was the most adequate. We recommend that users do not discount the Full Scale IQ when interpreting the index scores of the WAIS-III because the general factor accounts for the bulk of the common variance in the French WAIS-III. The 4 index scores cannot be considered to reflect only broad ability because they include a strong contribution of the general factor.

Age structure and abundance in populations of muscoid flies from a poultry facility in Southeast Brazil

Muscina stabulans, M. domestica, Chrysomya putoria, C. megacephala and Stomoxys calcitrans were the most abundant muscoid flies captured in a poultry facility in southeastern Brazil. We examined the gonadotrophic profiles of the females caught at different sites and different times and found that Mu. stabulans and M. domestica, the predominant species, presented similar gonadotrophic profiles only when captured on the manure under the cages, but very different and sometimes opposite gonadotrophic profiles when sampled from wooden posts, vegetation or electric cords. We also determined sex ratios and relative abundance for these two species and found significant differences between them. More than 50% of the females of both species of Chrysomya captured on manure carried eggs or exhibited signs of recent oviposition. The vast majority of S. calcitrans presented ovaries with eggs or signs of recent oviposition. A small proportion of them had ovaries in the recent emerged condition. Our data on ovarian stages, sex ratio and relative abundance allowed us to associate different gonadotrophic profiles with each site and characterize each site as a resting, ovipositing or mating site.

Population genetic structure and demography analysis in palinurus elephas populations from atlantic and mediterranean waters

Report for the scientific sojourn at the University of Reading, United Kingdom, from January until May 2008. The main objectives have been firstly to infer population structure and parameters in demographic models using a total of 13 microsatellite loci for genotyping approximately 30 individuals per population in 10 Palinurus elephas populations both from Mediterranean and Atlantic waters. Secondly, developing statistical methods to identify discrepant loci, possibly under selection and implement those methods using the R software environment. It is important to consider that the calculation of the probability distribution of the demographic and mutational parameters for a full genetic data set is numerically difficult for complex demographic history (Stephens 2003). The Approximate Bayesian Computation (ABC), based on summary statistics to infer posterior distributions of variable parameters without explicit likelihood calculations, can surmount this difficulty. This would allow to gather information on different demographic prior values (i.e. effective population sizes, migration rate, microsatellite mutation rate, mutational processes) and assay the sensitivity of inferences to demographic priors by assuming different priors.

Variants of the Plasmodium vivax circumsporozoite protein (VK210 and VK247) in Colombian isolates

Phenotypic diversity has been described in the central repeated region of the circumsporozoite protein (CSP) from Plasmodium vivax. Two sequences VK210 (common) and VK247 (variant) have been found widely distributed in P. vivax isolates from several malaria endemic areas around the world. A third protein variant called P. vivax-like showing a sequence similar to the simian parasite P. simio-ovale has also been described. Here, using an immunofluorescent test and specific monoclonal antibodies, we assessed the presence of two of these protein variants (VK210 and VK247) in laboratory produced sporozoite. Both sequences were found in parasite isolates coming from different geographic regions of Colombia. Interestingly, sporozoites carrying the VK247 sequence were more frequently produced in Anopheles albimanus than sporozoites with the VK210 sequence. This difference in sporozoites production was statistically significant (p <0.05, Kruskal-Wallis); not correlation was found with parameters as the total number of parasites or gametocytes in blood from human donors used to feed mosquitoes. Previous studies in the same region have shown a higher prevalence of anti-VK210 antibodies which in theory may suggest their role in blocking the development of sporozoites carrying the CSP VK210 sequence.

Intergenic and external transcribed spacers of ribosomal RNA genes in lizard-infecting Leishmania: molecular structure and phylogenetic relationship to mammal-infecting Leishmania in the subgenus Leishmania (Leishmania)

To establish the relationships of the lizard- and mammal-infecting Leishmania, we characterized the intergenic spacer region of ribosomal RNA genes from L. tarentolae and L. hoogstraali. The organization of these regions is similar to those of other eukaryotes. The intergenic spacer region was approximately 4 kb in L. tarentolae and 5.5 kb in L. hoogstraali. The size difference was due to a greater number of 63-bp repetitive elements in the latter species. This region also contained another element, repeated twice, that had an inverted octanucleotide with the potential to form a stem-loop structure that could be involved in transcription termination or processing events. The ribosomal RNA gene localization showed a distinct pattern with one chromosomal band (2.2 Mb) for L. tarentolae and two (1.5 and 1.3 Mb) for L. hoogstraali. The study also showed sequence differences in the external transcribed region that could be used to distinguish lizard Leishmania from the mammalian Leishmania. The intergenic spacer region structure features found among Leishmania species indicated that lizard and mammalian Leishmania are closely related and support the inclusion of lizard-infecting species into the subgenus Sauroleishmania proposed by Saf'janova in 1982.

Ubiquitin-mediated protein degradation and methylation-induced gene silencing cooperate in the inactivation of the INK4/ARF locus in Burkitt lymphoma cell lines.

Burkitt lymphoma is one of the most aggressive tumors affecting humans. Together with the characteristic chromosomal translocation that constitutively activates the c-Myc oncogene, alterations in cellular tumor suppressor pathways are additionally required in order to allow the cells to overcome anti-oncogenic barriers and proliferate in an uncontrolled manner. The INK4a/ARF locus on chromosome 9p21 is considered a safeguard locus since it encodes the two important tumor suppressor proteins, p14 (ARF) and p16 (INK4a) . By regulating the p53 and Rb pathways p14 (ARF) and p16 (INK4a) respectively act as pro-apoptotic and cell cycle inhibitor proteins. The importance of the INK4a/ARF locus has been well documented in several human tumors as well as in Burkitt lymphoma. Although the mechanisms responsible for the transcriptional regulation of the INK4a/ARF locus have been thoroughly characterized, less is known about its posttranscriptional control. In this study we found that p16 (INK4a) and p14 (Arf) are concurrently inactivated in a panel of BL cell lines. We demonstrate that along with the epigenetic silencing of the p16INK4a gene, the complete inactivation of the locus is achieved by the improper turnover of INK4/ARF proteins by the ubiquitin-proteasome system (UPS), as the proteasome inhibitor MG-132 blocks p14 (ARF) degradation and induces a dramatic stabilization of the p16 (INK4a ) protein. We establish that the simultaneous deregulation of both DNA methylation patterns and the ubiquitin-dependent proteolysis system is required to completely inactive the INK4/ARF locus, opening new prospects for the understanding and treatment of Burkitt lymphoma.

Red blood cell structure and dynamics explored with digital holographic microspcopy

Digital holographic microscopy (DHM) is a technique that allows obtaining, from a single recorded hologram, quantitative phase image of living cell with interferometric accuracy. Specifically the optical phase shift induced by the specimen on the transmitted wave front can be regarded as a powerful endogenous contrast agent, depending on both the thickness and the refractive index of the sample. Thanks to a decoupling procedure cell thickness and intracellular refractive index can be measured separately. Consequently, Mean corpuscular volume (MCV) and mean corpuscular hemoglobin concentration (MCHC), two highly relevant clinical parameters, have been measured non-invasively at a single cell level. The DHM nanometric axial and microsecond temporal sensitivities have permitted to measure the red blood cell membrane fluctuations (CMF) on the whole cell surface. ©2009 COPYRIGHT SPIE--The International Society for Optical Engineering.

Disorders of pupillary structure and function.

Neurologists are frequently consulted because of a pupillary abnormality. An unequal size of the pupils, an unusual shape, white colored pupils, or a poorly reactive pupil are common reasons for referral. A directed history and careful observation of the iris and pupil movements can bear out ocular pathology such as congenital or structural anomalies as the cause of abnormal pupils. Thereafter, it is important to evaluate the neurologic causes of anisocoria and poor pupil function. The first part of this article emphasizes pupillary abnormalities frequently encountered in infants and children and discusses some of the more common acquired iris structural defects. The second part focuses on evaluation of lesions in the neural pathways that result in pupillary dysfunction, with particular attention to those conditions having neurologic, systemic, or visual implications.