Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

Cloning and characterization of a novel human gene related to vascular endothelial growth factor

This paper describes the cloning and characterization of a new member of the vascular endothelial growth factor (VEGF) gene family, which we have designated VRF for VEGF-related-factor. Sequencing of cDNAs from a human fetal brain library and RT-PCR products from normal and tumor tissue cDNA pools indicate two alternatively spliced messages with open reading frames of 621 and 564 bp, respectively. The predicted proteins differ at their carboxyl ends resulting from a shift in the open reading frame. Both isoforms show strong homology to VEGF at their amino termini, but only the shorter isoform maintains homology to VEGF at its carboxyl terminus and conserves all 16 cysteine residues of VEGF165. Similarity comparisons of this isoform revealed overall protein identity of 48% and conservative substitution of 69% with VEGF189. VRF is predicted to contain a signal peptide, suggesting that it may be a secreted factor. The VRF gene maps to the D11S750 locus at chromosome band 11q13, and the protein coding region, spanning approximately 5 kb, is comprised of 8 exons that range in size from 36 to 431 bp. Exons 6 and 7 are contiguous and the two isoforms of VRF arise through alternate splicing of exon 6. VRF appears to be ubiquitously expressed as two transcripts of 2.0 and 5.5 kb; the level of expression is similar among normal and malignant tissues.

Targeting mutant fibroblast growth factor receptors in cancer

Fibroblast growth factor receptors (FGFRs) play diverse roles in the control of cell proliferation, cell differentiation, angiogenesis and development. Activating the mutations of FGFRs in the germline has long been known to cause a variety of skeletal developmental disorders, but it is only recently that a similar spectrum of somatic FGFR mutations has been associated with human cancers. Many of these somatic mutations are gain-of-function and oncogenic and create dependencies in tumor cell lines harboring such mutations. A combination of knockdown studies and pharmaceutical inhibition in preclinical models has further substantiated genomically altered FGFR as a therapeutic target in cancer, and the oncology community is responding with clinical trials evaluating multikinase inhibitors with anti-FGFR activity and a new generation of specific pan-FGFR inhibitors.