Embedding theorems of function classes, IV

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Embedding theorems of function classes, II

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The period function of the generalized Lotka-Volterra centers

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Embedding theorems of function classes, I

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Are one factor logarithmic volatility models useful to fit the features of financial data? An application to microsoft data.

This paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.

Forecasting volatility using a continuous time model

This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the GARCH and ARFIMA models, especially when volatility seems to change pattern. We use ex-post volatility as a proxy of the realized volatility obtained from intraday data and the forecasts from the SV2F are calculated using the reprojection technique proposed by Gallant and Tauchen (1998).

On the choice of an exchange rate regime: target zones revisited

From the classical gold standard up to the current ERM2 arrangement of the European Union, target zones have been a widely used exchange regime in contemporary history. This paper presents a benchmark model that rationalizes the choice of target zones over the rest of regimes: the fixed rate, the free float and the managed float. It is shown that the monetary authority may gain efficiency by reducing volatility of both the exchange rate and the interest rate at the same time. Furthermore, the model is consistent with some known stylized facts in the empirical literature that previous models were not able to produce, namely, the positive relation between the exchange rate and the interest rate differential, the degree of non-linearity of the function linking the exchage rate to fundamentals and the shape of the exchange rate stochastic distribution.

The third order Melnikov function of a quadratic center under quadratic perturbation

We study quadratic perturbations of the integrable system (1+x)dH; where H =(x²+y²)=2: We prove that the first three Melnikov functions associated to the perturbed system give rise at most to three limit cycles.

Variational inequalities in Hilbert spaces with measures and optimal stopping problems

We study the existence theory for parabolic variational inequalities in weighted L2 spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for finite and infinite dimensional diffusions as a generalized solution of such a variational inequality. The weighted L2 setting allows us to cover some singular cases, such as optimal stopping for stochastic equations with degenerate diffusion coeficient. As an application of the theory, we consider the pricing of American-style contingent claims. Among others, we treat the cases of assets with stochastic volatility and with path-dependent payoffs.

Stock market volatility and learning

Introducing bounded rationality in a standard consumption-based asset pricing model with time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium, as in the habit model of Campbell and Cochrane (1999), but for lower risk aversion. This is obtained, even though our learning scheme introduces just one free parameter and we only consider learning schemes that imply small deviations from full rationality. The findings are robust to the learning rule used and other model features. What is key is that agents forecast future stock prices using past information on prices.

Effect on renal function of tenofovir co-administered with either efavirenz or boosted lopinavir or boosted atazanavir: the Swiss HIV Cohort Study

Reduced re'nal function has been reported with tenofovir disoproxil fumarate (TDF). It is not clear whether TDF co-administered with a boosted protease inhibitor (PI) leads to a greater decline in renal function than TDF co-administered with a non-nucleoside reverse transcriptase inhibitor (NNRTI).Methods: We selected ail antiretroviral therapy-naive patients in the Swiss HIV Cohort Study (SHCS) with calibrated or corrected serum creatinine measurements starting antiretroviral therapy with TDF and either efavirenz (EFV) or the ritonavir-boosted PIs, lopinavir (LPV/r) or atazanavir (ATV/r). As a measure of renal function, we used the Chronic Kidney Disease Epidemiology Collaboration (CKD-EPI) equation to estimate the glomerular filtration rate (eGFR). We calculated the difference in eGFR over time between two therapies using a marginal model for repeated measures. In weighted analyses, observations were weighted by the product of their point of treatment and censoring weights to adjust for differences both in the sort of patients starting each therapy and in the sort of patients remaining on each therapy over time.Results: By March 2011, 940 patients with at least one creatinine measurement on a first therapy with either TDF and EFV (n=484), TDF and LPVlr (n=269) or TDF and ATV/r (n=187) had been followed for a median of 1. 7, 1.2 and 1.3 years, respectively. Table 1 shows the difference in average estimated GFR (eGFR) over time since starting cART for two marginal models. The first model was not adjusted for potential confounders; the second mode! used weights to adjust for confounders. The results suggest a greater decline in renal function during the first 6 months if TDF is used with a PI rather than with an NNRTI, but no further difference between these therapies after the first 6 months. TDF and ATV/r may lead to a greater decline in the first 6 months than TDF and LPVlr.Conclusions: TDF co-administered with a boosted PI leads to a greater de cline in renal function over the first 6 months of therapy than TDF co-administered with an NNRTI; this decline may be worse with ATV/r than with LPV/r.

Altered NKG2D function in NK cells induced by chronic exposure to NKG2D ligand-expressing tumor cells.

NKG2D is an activation receptor that allows natural killer (NK) cells to detect diseased host cells. The engagement of NKG2D with corresponding ligand results in surface modulation of the receptor and reduced function upon subsequent receptor engagement. However, it is not clear whether in addition to modulation the NKG2D receptor complex and/or its signaling capacity is preserved. We show here that the prolonged encounter with tumor cell-bound, but not soluble, ligand can completely uncouple the NKG2D receptor from the intracellular mobilization of calcium and the exertion of cell-mediated cytolysis. However, cytolytic effector function is intact since NKG2D ligand-exposed NK cells can be activated via the Ly49D receptor. While NKG2D-dependent cytotoxicity is impaired, prolonged ligand exposure results in constitutive interferon gamma (IFNgamma) production, suggesting sustained signaling. The functional changes are associated with a reduced presence of the relevant signal transducing adaptors DNAX-activating protein of 10 kDa (DAP-10) and killer cell activating receptor-associated protein/DNAX-activating protein of 12 kDa (KARAP/DAP-12). That is likely the consequence of constitutive NKG2D engagement and signaling, since NKG2D function and adaptor expression is restored to normal when the stimulating tumor cells are removed. Thus, the chronic exposure to tumor cells expressing NKG2D ligand alters NKG2D signaling and may facilitate the evasion of tumor cells from NK cell reactions.

Differential effects of two anti-apo-cytochrome c-specific monoclonal antibodies on the function of apo-cytochrome c-specific murine T cell clones.

A murine monoclonal antibody (SJL 2-4) specific for the antigen apo-cytochrome c was shown to inhibit both antigen-induced proliferation and lymphokine secretion by an apo-cytochrome c-specific BALB/c helper T cell clone. The inhibition was specific because additional apo-cytochrome c-specific T cell clones were not inhibited by the same monoclonal antibody. Time course studies of the inhibition indicated that the initial 8 hr of contact between T cell clones and antigen-presenting cells were critical for activation of the T cell clones. Inhibition of T cell functions by antigen-specific antibodies appeared to correlate with the antibody-antigen binding constant because a second monoclonal antibody (Cyt-1-59), with identical specificity but with a lower affinity constant for apo-cytochrome c, had very little inhibitory effect on the proliferation or lymphokine secretion of apo-cytochrome c-specific T cell clones.

Structure-function relationships of the alpha1b-adrenergic receptor.

The alpha1b-adrenergic receptor (AR) is a member of the large superfamily of seven transmembrane domain (TMD) G protein-coupled receptors (GPCR). Combining site-directed mutagenesis of the alpha1b-AR with computational simulations of receptor dynamics, we have explored the conformational changes underlying the process of receptor activation, i.e. the transition between the inactive and active states. Our findings suggest that the structural constraint stabilizing the alpha1b-AR in the inactive form is a network of H-bonding interactions amongst conserved residues forming a polar pocket and R143 of the DRY sequence at the end of TMDIII. We have recently reported that point mutations of D142, of the DRY sequence and of A293 in the distal portion of the third intracellular loop resulted in ligand-independent (constitutive) activation of the alpha1b-AR. These constitutively activating mutations could induce perturbations resulting in the shift of R143 out of the polar pocket. The main role of R143 may be to mediate receptor activation by triggering the exposure of several basic amino acids of the intracellular loops towards the G protein. Our investigation has been extended also to the biochemical events involved in the desensitization process of alpha1b-AR. Our results indicate that immediately following agonist-induced activation, the alpha1b-AR can undergo rapid agonist-induced phosphorylation and desensitization. Different members of the G protein coupled receptor kinase family can play a role in agonist-induced regulation of the alpha1b-AR. In addition, constitutively active alpha1b-AR mutants display different phosphorylation and internalization features. The future goal is to further elucidate the molecular mechanism underlying the complex equilibrium between activation and inactivation of the alpha1b-AR and its regulation by pharmacological substances. These findings can help to elucidate the mechanism of action of various agents displaying properties of agonists or inverse agonists at the adrenergic system.