Volatility forecasting for risk management

Recent research has suggested that forecast evaluation on the basis of standard statistical loss functions could prefer models which are sub-optimal when used in a practical setting. This paper explores a number of statistical models for predicting the daily volatility of several key UK financial time series. The out-of-sample forecasting performance of various linear and GARCH-type models of volatility are compared with forecasts derived from a multivariate approach. The forecasts are evaluated using traditional metrics, such as mean squared error, and also by how adequately they perform in a modern risk management setting. We find that the relative accuracies of the various methods are highly sensitive to the measure used to evaluate them. Such results have implications for any econometric time series forecasts which are subsequently employed in financial decisionmaking.

Accounting for the economic risk, caused by variation in disease severity, in fungicide dose decisions: exemplified for Mycosphaerella graminicola on winter wheat

A method is presented to calculate economic optimum fungicide doses accounting for the risk-aversion of growers responding to variability in disease severity between crops. Simple dose-response and disease-yield loss functions are used to estimate net disease-related costs (fungicide cost, plus disease-induced yield loss) as a function of dose and untreated severity. With fairly general assumptions about the shapes of the probability distribution of disease severity and the other functions involved, we show that a choice of fungicide dose which minimises net costs on average across seasons results in occasional large net costs caused by inadequate control in high disease seasons. This may be unacceptable to a grower with limited capital. A risk-averse grower can choose to reduce the size and frequency of such losses by applying a higher dose as insurance. For example, a grower may decide to accept ‘high loss’ years one year in ten or one year in twenty (i.e. specifying a proportion of years in which disease severity and net costs will be above a specified level). Our analysis shows that taking into account disease severity variation and risk-aversion will usually increase the dose applied by an economically rational grower. The analysis is illustrated with data on septoria tritici leaf blotch of wheat caused by Mycosphaerella graminicola. Observations from untreated field plots at sites across England over three years were used to estimate the probability distribution of disease severities at mid-grain filling. In the absence of a fully reliable disease forecasting scheme, reducing the frequency of ‘high loss’ years requires substantially higher doses to be applied to all crops. Disease resistant cultivars reduce both the optimal dose at all levels of risk and the disease-related costs at all doses.

The importance of the volatility risk premium for volatility forecasting

In this paper, we study the role of the volatility risk premium for the forecasting performance of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility risk premium and implement this methodology using more than 20 years of options and futures data on three major energy markets. Using regression models and statistical loss functions, we find compelling evidence to suggest that the risk premium adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding holds for different choices of volatility estimators and competing time-series models, underlying the robustness of our results.

Laryngeal lesion in leprosy and the risk of aspiration

Leprosy affects the larynx, damaging its mucosa and sensory nerves and loss of sensation may result in aspiration of food and secretions. The laryngeal lesion may be insidious. Post-mortem studies showed bronchopneumonia that could have originated from aspiration. In patients with laryngeal symptoms, dysphagia or aspiration pneumonia loss of laryngeal sensation should be looked for.

Genetic and modifying factors that determine the risk of brain tumors

Some modifying factors may determine the risk of brain tumors. Until now, it could not be attempted to identify people at risk and also to improve significantly disease progression. Current therapy consists of surgical resection, followed by radiation therapy and chemotherapy. Despite of these treatments, the prognosis for patients is poor. In this review, we highlight general aspects concerning genetic alterations in brain tumors, namely astrocytomas, glioblastomas, oligodendrogliomas, medulloblastomas and ependymomas. The influence of these genetic alterations in patients' prognosis is discussed. Mutagen sensivity is associated with cancer risk. The convincing studies that linked DNA damages and DNA repair alterations with brain tumors are also described. Another important modifying factor is immunity. General immune response against cancer, tumor microenvironment and immune response, mechanisms of tumor escape, CNS tumor immunology, immune defects that impair anti-tumor systemic immunity in brain tumor patients and local immunosuppressive factors within CNS are also reviewed. New hope to treatment perspectives, as dendritic-cell-based vaccines is summarized too. Concluding, it seems well established that there is association between brain tumor risk and mutagen sensivity, which is highly heritable. Primary brain tumors cause depression in systemic host immunity; local immunosuppressive factors and immunological characteristics of tumor cells may explain the poor prognosis and DNA damages responses can alert immune system. However, it is necessary to clarify if individuals with both constitutional defects in immune functions and genetic instability have higher risk of developing brain tumors. Cytogenetic prospective studies and gene copy number variations analysis also must be performed in peripheral lymphocytes from brain tumor patients. © 2011 Bentham Science Publishers Ltd.

Panoramic radiography in the diagnosis of carotid artery atheromas and the associated risk factors

Atherosclerosis is a serious chronic disease, responsible for thousands of deaths worldwide and is characterized by thickening and loss of elasticity of the arterial walls, associated with the presence of atheromatous plaques. Various risk factors act directly on predisposition to the disease, among which the following are pointed out: diabetes mellitus, arterial hypertension and inadequate diet and eating habits. More recent researches have elucidated new risk factors acting in the development of this disease, such as, for example: periodontitis, chronic renal disease and menopause. The panoramic radiograph, commonly used in dental practice, makes it possible to see calcified atherosclerotic plaques that are eventually deposited in the carotid arteries. The aim of this review article was to emphasize the dentist's important role in the detection of carotid artery atheromas in panoramic radiographs and the immediate referral of patients affected by these calcifications to doctors. In addition, the study intended to guide the dentist, especially the dental radiologist, with regard to differential diagnosis, which should be made taking into consideration particularly the triticeal cartilage when it is calcified. © Henriques et al.

Oral contraceptives and the risk of thrombosis and atherosclerosis.

Oral contraceptives containing synthetic oestrogens have been used successfully as birth control for > 40 years and are currently prescribed to > 100 million women worldwide. Several new progestins have been introduced and the third generation of progestins has now been available for two decades. Oral contraceptives are prescribed over a prolonged period of time and therefore substantially impact on hormonal, metabolic and plasmatic functions. Oral contraceptives increase the risk for venous thrombosis and pulmonary embolism, particularly if associated with confounding factors, such as genetic predisposition, smoking, hypertension or obesity. The risk of developing coronary artery disease is also increased in users with cardiovascular risk factors. This article discusses mechanistic and clinical issues and reviews the need for novel approaches targeting the considerable side effects in order to reduce cardiovascular morbidity in women using oral contraceptives.

Influence of Gestational Age and Parental Education on Executive Functions of Children Born Very Preterm

Background: Children born very preterm (<32 weeks’ gestational age; VPT) and/or very low birth weight (<1500 g; VLBW) are at high risk of deficits in executive functions, namely inhibition, working memory, and shifting. Both, gestational age and socioeconomic factors, such as parental education, are known to influence executive functions, with children born at lower gestational age and with lower educated parents displaying worse executive skills. This study aimed to investigate if maternal and paternal education moderated the relationship between gestational age and executive functions in VPT/VLBW children aged 8-12 years. It was hypothesised that the disadvantageous effect of low gestational age could be buffered more easily in families with higher educational background. Methods: Sixty VPT/VLBW children born in the cohort of 1998-2003 were recruited. All children completed executive function tasks (inhibition, working memory, and shifting). Results: There was a significant dose-response-relationship between gestational age and inhibition, with children being born at earlier gestational age showing worse inhibition. However, neither maternal nor paternal education moderated the relationship between gestational age and executive functions significantly. Conclusion: children than parental education. The disadvantageous effect of low gestational age was equal in children with higher and lower educated parents. However, the impact of gestational age and parental education on executive functions may differ depending on the socioeconomic spectrum of the study sample.

Behavioral and psychosocial factors associated with sexual risk in a population of crack cocaine users

The purpose of this dissertation was to examine the relationship between key psychosocial and behavioral components of the Transtheoretical Model and the Theory of Reasoned Action for sexual risk reduction in a population of crack cocaine smokers and sex workers, not in drug treatment. ^ The first study examined the results of an analysis of the association between two principal constructs in the Transtheoretical Model, the processes of change and the stages of change for condom use, in a high risk population. In the analysis of variance for all respondents, the overall F-test revealed that people in different stages have different levels of experiential process use, F(3,317) = 17.79, p = 0.0001 and different levels of behavioral process use, F(3,317) = 28.59, p = .0001. For the experiential processes, there was a significant difference between the precontemplation/contemplation stage, and both the action, and maintenance, stages.^ The second study explored the relationship between the Theory of Reasoned Action “beliefs” and the stages-of-change in the same population. In the analysis of variance for all participants, the results indicate that people in different stages did value the positive beliefs differently, F(3,502) = 15.38, p = .0001 but did not value the negative beliefs differently, F(3,502) = 2.08, p = .10. ^ The third study explored differences in stage-of-change by gender, partner type drug use, and HIV status. Three discriminant functions emerged, with a combined χ2(12) = 139.57, p = <.0001. The loading matrix of correlations between predictors and discriminant functions demonstrate that the strongest predictor for distinguishing between the precontemplation/contemplation stage and the preparation, action, and maintenance stages (first function) is partner type (.962). The loadings on the second discriminant function suggest that once partner type has been accounted for, ever having HIV/AIDS (.935) was the best predictor for distinguishing between the first three stages and the maintenance stage. ^ These studies demonstrate that behavioral change theories can contribute important insight to researchers and program planners attempting to alter HIV risk behavior in high-risk populations. ^

Designer aminoglycosides prevent cochlear hair cell loss and hearing loss.

Bacterial infections represent a rapidly growing challenge to human health. Aminoglycosides are widely used broad-spectrum antibiotics, but they inflict permanent hearing loss in up to ~50% of patients by causing selective sensory hair cell loss. Here, we hypothesized that reducing aminoglycoside entry into hair cells via mechanotransducer channels would reduce ototoxicity, and therefore we synthesized 9 aminoglycosides with modifications based on biophysical properties of the hair cell mechanotransducer channel and interactions between aminoglycosides and the bacterial ribosome. Compared with the parent aminoglycoside sisomicin, all 9 derivatives displayed no or reduced ototoxicity, with the lead compound N1MS 17 times less ototoxic and with reduced penetration of hair cell mechanotransducer channels in rat cochlear cultures. Both N1MS and sisomicin suppressed growth of E. coli and K. pneumoniae, with N1MS exhibiting superior activity against extended spectrum β lactamase producers, despite diminished activity against P. aeruginosa and S. aureus. Moreover, systemic sisomicin treatment of mice resulted in 75% to 85% hair cell loss and profound hearing loss, whereas N1MS treatment preserved both hair cells and hearing. Finally, in mice with E. coli-infected bladders, systemic N1MS treatment eliminated bacteria from urinary tract tissues and serially collected urine samples, without compromising auditory and kidney functions. Together, our findings establish N1MS as a nonototoxic aminoglycoside and support targeted modification as a promising approach to generating nonototoxic antibiotics.

Serum amyloid A: high-density lipoproteins interaction and cardiovascular risk.

AIMS High-density lipoproteins (HDLs) are considered as anti-atherogenic. Recent experimental findings suggest that their biological properties can be modified in certain clinical conditions by accumulation of serum amyloid A (SAA). The effect of SAA on the association between HDL-cholesterol (HDL-C) and cardiovascular outcome remains unknown. METHODS AND RESULTS We examined the association of SAA and HDL-C with mortality in the Ludwigshafen Risk and Cardiovascular Health (LURIC) study, which included 3310 patients undergoing coronary angiography. To validate our findings, we analysed 1255 participants of the German Diabetes and Dialysis study (4D) and 4027 participants of the Cooperative Health Research in the Region of Augsburg (KORA) S4 study. In LURIC, SAA concentrations predicted all-cause and cardiovascular mortality. In patients with low SAA, higher HDL-C was associated with lower all-cause and cardiovascular mortality. In contrast, in patients with high SAA, higher HDL-C was associated with increased all-cause and cardiovascular mortality, indicating that SAA indeed modifies the beneficial properties of HDL. We complemented these clinical observations by in vitro experiments, in which SAA impaired vascular functions of HDL. We further derived a formula for the simple calculation of the amount of biologically 'effective' HDL-C based on measured HDL-C and SAA from the LURIC study. In 4D and KORA S4 studies, we found that measured HDL-C was not associated with clinical outcomes, whereas calculated 'effective' HDL-C significantly predicted better outcome. CONCLUSION The acute-phase protein SAA modifies the biological effects of HDL-C in several clinical conditions. The concomitant measurement of SAA is a simple, useful, and clinically applicable surrogate for the vascular functionality of HDL.

Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

Fluoride Concentrations In The Water Of Maringá, Brazil, Considering The Benefit/risk Balance Of Caries And Fluorosis.

Current Brazilian law regarding water fluoridation classification is dichotomous with respect to the risks of and benefits for oral diseases, and fluoride (F) concentrations less than 0.6 or above 0.8 mg F/L are considered outside the normal limits. Thus, the law does not consider that both caries and fluorosis are dependent on the dosage and duration of fluoride exposure because they are both chronic diseases. Therefore, this study evaluated the quality of water fluoridation in Maringá, PR, Brazil, considering a new classification for the concentration of F in water the supply, based on the anticaries benefit and risk of fluorosis (CECOL/USP, 2011). Water samples (n = 325) were collected monthly over one year from 28 distribution water networks: 20 from treatment plants and 8 from artesian wells. F concentrations were determined using a specific ion electrode. The average F concentration was 0.77 mg F/L (ppm F), ranging from 0.44 to 1.22 mg F/L. Considering all of the water samples analyzed, 83.7% of them presented from 0.55 to 0.84 mg F/L, and according to the new classification used, they would provide maximum anticaries benefit with a low risk of fluorosis. This percentage was lower (75.4%) in the water samples supplied from artesian wells than from those distributed by the treatment plant (86%). In conclusion, based on the new classification of water F concentrations, the quality of water fluoridation in Maringá is adequate and is within the range of the best balance between risk and benefit.

Prevalence and social distribution of risk factors for chronic noncommunicable diseases in Brazil

OBJETIVOS: Evaluar los factores de riesgo de enfermedades crónicas no transmisibles (ECNT) e identificar las desigualdades sociales relacionadas con su distribución en la población adulta brasileña.MÉTODOS: Se estudiaron los factores de riesgo de ECNT (entre ellos el consumo de tabaco, el sobrepeso y la obesidad, el bajo consumo de frutas y vegetales [BCFV], la insuficiente actividad física en el tiempo de ocio [IAFTO], el estilo de vida sedentario y el consumo excesivo de alcohol) en una muestra probabilística de 54369 adultos de 26 capitales estatales de Brasil y el Distrito Federal en 2006. Se utilizó el Sistema de Vigilancia de los Factores Protectores y de Riesgo para Enfermedades Crónicas No Transmisibles por Entrevistas Telefónicas (VIGITEL), un sistema de encuestas telefónicas asistido por computadora, y se calcularon las prevalencias ajustadas por la edad para las tendencias en cuanto al nivel educacional mediante la regresión de Poisson con modelos lineales. RESULTADOS: Los hombres informaron mayor consumo de tabaco, sobrepeso, BCFV, estilo de vida sedentario y consumo excesivo de alcohol que las mujeres, pero menos IAFTO. En los hombres, la educación se asoció con un mayor sobrepeso y un estilo de vida sedentario, pero con un menor consumo de tabaco, BCFV e IAFTO. En las mujeres, la educación se asoció con un menor consumo de tabaco, sobrepeso, obesidad, BCFV e IAFTO, pero aumentó el estilo de vida sedentario CONCLUSIONES: En Brasil, la prevalencia de factores de riesgo para ECNT (excepto IAFTO) es mayor en los hombres que en las mujeres. En ambos sexos, el nivel de educación influye en la prevalencia de los factores de riesgo para ECNT

Effect of protein intake on bone and muscle mass in the elderly

The aging process is frequently characterized by an involuntary loss of muscle (sarcopenia) and bone (osteoporosis) mass. Both chronic diseases are associated with decreased metabolic rate, increased risk of falls fracture, and, as a result, increased morbidity and loss of independence in the elderly. The quality and quantity of protein intake affects bone and muscle mass in several ways and there is evidence that increased essential amino acid or protein availability can enhance muscle protein synthesis and anabolism, as well as improve bone homeostasis in older subjects. A thorough evaluation of renal function is important, since renal function decreases with age. Finally, protein and calcium intake should be considered in the prevention or treatment of the chronic diseases osteoporosis and sarcopenia