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.

A test of long memory hypothesis based on self-similarity

This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context of a conventional test of significance of the long memory parameter, and composite test procedure described that has the properties of known asymptotic size and consistency. The test is implemented using the bootstrap, with the distribution under the null hypothesis being approximated using a dependent-sample bootstrap technique to approximate short-run dependence following fractional differencing. The properties of the test are investigated in a set of Monte Carlo experiments. The procedure is illustrated by applications to exchange rate volatility and dividend growth series.

Investigation of field and diffusion time dependence of the diffusion-weighted signal at ultrahigh magnetic fields.

Over the last decade, there has been a significant increase in the number of high-magnetic-field MRI magnets. However, the exact effect of a high magnetic field strength (B0 ) on diffusion-weighted MR signals is not yet fully understood. The goal of this study was to investigate the influence of different high magnetic field strengths (9.4 T and 14.1 T) and diffusion times (9, 11, 13, 15, 17 and 24 ms) on the diffusion-weighted signal in rat brain white matter. At a short diffusion time (9 ms), fractional anisotropy values were found to be lower at 14.1 T than at 9.4 T, but this difference disappeared at longer diffusion times. A simple two-pool model was used to explain these findings. The model describes the white matter as a first hindered compartment (often associated with the extra-axonal space), characterized by a faster orthogonal diffusion and a lower fractional anisotropy, and a second restricted compartment (often associated with the intra-axonal space), characterized by a slower orthogonal diffusion (i.e. orthogonal to the axon direction) and a higher fractional anisotropy. Apparent T2 relaxation time measurements of the hindered and restricted pools were performed. The shortening of the pseudo-T2 value from the restricted compartment with B0 is likely to be more pronounced than the apparent T2 changes in the hindered compartment. This study suggests that the observed differences in diffusion tensor imaging parameters between the two magnetic field strengths at short diffusion time may be related to differences in the apparent T2 values between the pools. Copyright © 2013 John Wiley & Sons, Ltd.

Male dominance linked to size and age, but not to 'good genes' in brown trout (Salmo trutta).

BACKGROUND: Males that are successful in intra-sexual competition are often assumed to be of superior quality. In the mating system of most salmonid species, intensive dominance fights are common and the winners monopolise most mates and sire most offspring. We drew a random sample of mature male brown trout (Salmo trutta) from two wild populations and determined their dominance hierarchy or traits linked to dominance. The fish were then stripped and their sperm was used for in vitro fertilisations in two full-factorial breeding designs. We recorded embryo viability until hatching in both experiments, and juvenile survival during 20 months after release into a natural streamlet in the second experiment. Since offspring of brown trout get only genes from their fathers, we used offspring survival as a quality measure to test (i) whether males differ in their genetic quality, and if so, (ii) whether dominance or traits linked to dominance reveal 'good genes'. RESULTS: We found significant additive genetic variance on embryo survival, i.e. males differed in their genetic quality. Older, heavier and larger males were more successful in intra-sexual selection. However, neither dominance nor dominance indicators like body length, weight or age were significantly linked to genetic quality measured as embryo or juvenile survival. CONCLUSION: We found no evidence that females can improve their offspring's genetic viability by mating with large and dominant males. If there still were advantages of mating with dominant males, they may be linked to non-genetic benefits or to genetic advantages that are context dependent and therefore possibly not revealed under our experimental conditions - even if we found significant additive genetic variation for embryo viability under such conditions.

Deletion, insertion and translocation of DNA sequences contribute to chromosome size polimorphism in Plasmodium berghei

Extensive chromosome size polymorphism in Plasmodium berghei in vivo mitotic multiplication. Size differences between homologous chromosomes mainly involve rearrangements in the subtelomeric regions while internal chromosomal regions are more conserved. Size differences are almost exclusively due to differences in the copy number of a 2.3 kb subtelomeric repeat unit. Not only deletion of 2.3 kb repeats occurs, but addition of new copies of this repeat sometimes results in the formation of enlarged chromosomes. Even chromosomes which originally lack 2.3 kb repeats, can acquire these during mitotic multiplication. In one karyotype mutant, 2.3 kb repeats were inserted within one of the original telomeres of chromosome 4, creating an internal stretch oftelomeric repeats. Chromosome translocation can contribute to chromosome size polymorphism as well We found a karyotype mutant in which chromosome 7 with a size of about 1.4 Mb is translocated to chromosome 13/14 with a size of about 3 Mb, resulting in a rearranged chromosome, which was shown to contain a junction between internal DNA sequences of chromosome 13/14 and subtelomeric 2.3 kb repeats of chromosome 7. In this mutant a new chromosome of 1.4 Mb is present which consists of part of chromosome 13/14.

Immunoglobulin classes in aquatic mammals. Characterization by serologic cross-reactivity, molecular size and binding of human free secretory component.

On the basis of serologic cross-reactivity, three immunoglobulin classes homologous to human IgG, IgM and IgA were identified in two species of acquatic mammal representing the orders Cetacea (dolphin) and Pinnipedea (sea lion). Molecular size was estimated by sucrose density gradient ultracentrifugation and Sephadex G-200 chromatography, indicating a 7S IgG, 19S IgM and heterogeneous serum IgA. Human secretory component was readily bound to the IgM of both species and to an apparently lesser extent to the larger molecular size populations of IgA. No binding was observed with IgG. Several antisera specific for human γ-chains gave a single precipitin line with the sea lion IgG but when made to react with dolphin serum produced two lines, suggesting the presence of two different subclasses of IgG in this species.

Modelling dependence in a ratemaking procedure with multivariate Poisson regression models

When actuaries face with the problem of pricing an insurance contract that contains different types of coverage, such as a motor insurance or homeowner's insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have shown that there is a positive correlation between types of claim. Here we introduce different regression models in order to relax the independence assumption, including zero-inflated models to account for excess of zeros and overdispersion. These models have been largely ignored to multivariate Poisson date, mainly because of their computational di±culties. Bayesian inference based on MCMC helps to solve this problem (and also lets us derive, for several quantities of interest, posterior summaries to account for uncertainty). Finally, these models are applied to an automobile insurance claims database with three different types of claims. We analyse the consequences for pure and loaded premiums when the independence assumption is relaxed by using different multivariate Poisson regression models and their zero-inflated versions.

Comment on "Streaming potential dependence on water-content in Fontainebleau sand" by V. Allegre, L. Jouniaux, F. Lehmann and P. Sailhac

Allegre et al. recently presented new experimental data regarding the dependence of the streaming potential coupling coefficient with the saturation of the water phase. Such experiments are important to model the self-potential response associated with the flow of water in the vadose zone and the electroseismic/seismoelectric conversions in unsaturated porous media. However, the approach used to interpret the data is questionable and the conclusions reached by Allegre et al. likely incorrect

Redistributive taxation, public expenditure, and size of governent

We introduce a model of redistributive income taxation and public expenditure. This joint treatment permits analyzing the interdependencies between the two policies: one cannot be chosen independently of the other. Empirical evidence reveals that partisan confrontation essentially falls on expenditure policies rather than on income taxation. We examine the case in which the expenditure policy (or the size of government) is chosen by majority voting and income taxation is consistently adjusted. This adjustment consists of designing the income tax schedule that, given the expenditure policy, achieves consensus among the population. The model determines the consensus in- come tax schedule, the composition of public expenditure and the size of government. The main results are that inequality is negatively related to the size of government and to the pro-rich bias in public expenditure, and positively or negatively related to the marginal income tax, depending on substitutability between government supplied and market goods. These implications are validated using OECD data.

Inter-informant agreement and prevalence estimates for substance use disorders: direct interview versus family history method.

OBJECTIVES: Family studies typically use multiple sources of information on each individual including direct interviews and family history information. The aims of the present study were to: (1) assess agreement for diagnoses of specific substance use disorders between direct interviews and the family history method; (2) compare prevalence estimates according to the two methods; (3) test strategies to approximate prevalence estimates according to family history reports to those based on direct interviews; (4) determine covariates of inter-informant agreement; and (5) identify covariates that affect the likelihood of reporting disorders by informants. METHODS: Analyses were based on family study data which included 1621 distinct informant (first-degree relatives and spouses) - index subject pairs. RESULTS: Our main findings were: (1) inter-informant agreement was fair to good for all substance disorders, except for alcohol abuse; (2) the family history method underestimated the prevalence of drug but not alcohol use disorders; (3) lowering diagnostic thresholds for drug disorders and combining multiple family histories increased the accuracy of prevalence estimates for these disorders according to the family history method; (4) female sex of index subjects was associated with higher agreement for nearly all disorders; and (5) informants who themselves had a history of the same substance use disorder were more likely to report this disorder in their relatives, which entails the risk of overestimation of the size of familial aggregation. CONCLUSION: Our findings have important implications for the best-estimate procedure applied in family studies.

Level-wise node size distribution of randomly generated regular trees

"Vegeu el resum a l'inici del document del fitxer adjunt."

Adult maternal body size matters.

Comment on: Horta BL, Gigante DP, Osmond C, Barros FC, Victora CG. Intergenerational effect of weight gain in childhood on offspring birthweight. Int J Epidemiol. 2009 Jun;38(3):724-32. PMID: 19376883.

Life history correlates of adult size in the malaria vector Anopheles darlingi

Adult dry weights of laboratory-reared Anopheles darlingi were highly correlated with wing lengths, which were used to estimate size variation in natural populations of this species. Significant differences in mean wing lengths of females trapped at baits were detected among collections in the same week at one site, but not between three sites in Brazil and Boliva. Relatively higher variability of wing lengths, compared to collections of other Anopheles (Nyssorhynchus), and platykurtic size distributions in large, single-night collections suggested that An. darlingi females caught at baits emerged from heterogenous larval habitats. No relationship was detected between parous state and the body size of wild-caught females. Adult males and females of laboratory-reared An. darlingi did not differ in body size. This absence of sexual size dimorphism is rare among mosquitoes and has not been noted previously in the genus Anopheles.