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.

Cross-sectional and evolutive studies of schistosomiasis mansoni in untreated and mass treated endemic areas in the southeast and northeast of Brazil

Cross-sectional and evolutive studies on schistosomiasis mansoni were carried out before and after mass treatment in the endemic areas of Capitao Andrade and Padre Paraíso, state of Minas Gerais, Riachuelo, state of Sergipe, Alhandra, state of Paraíba, and Aliança, Alegre and Coroatá, lowland of the state of Maranhao, Brazil, in the last eighteen years. The studies included clinical and fecal examination by the Kato-Katz quantitative technique, skin testfor Schistosoma mansoni infection, evaluation of man-water contact and other epidemiological investigations such as infection rate and dynamic of the snail population. Results showed: (1) Higher prevalence of S. mansoni infection, greater egg load elimination and higher and earlier morbidity of the chronic froms of the disease in the southeast areas of Capitao Andrade and Padre Paraíso; (2) The incidence of hepatosplenic form is higher in some family clusters, in whites and mullattos in all the endemic areas but develop earlier in the southeast; (3) The prevalence and morbidity of schistosomiasis are decreasing both in the mass treated northeast and in the untreated southeast areas; (4) The mass treatment reduces rapidily the prevalence of the infection and the morbidity of the disease but can not control it because of the frequent reinfections due to the intensity of man-water contact.

Interleukin-28B polymorphisms, IP-10, viral load and age predict the outcome of therapy in genotype 1 hepatitis C virus under real-life conditions

Background and Aims: IL28B polymorphisms, interferon (IFN)-gamma inducible protein-10 (IP-10) levels and the homeostasis model assessment of insulin resistance (HOMA-IR) score have been reported to predict rapid (RVR) and sustained (SVR) virological response in chronic hepatitis C (CHC), but it is not known whether these factors represent independent, clinically useful predictors. The aim of the study was to assess factors (including IL28B polymorphisms, IP-10 levels and HOMA-IR score) independently predicting response to therapy in CHC under real life conditions.Methods: Multivariate analysis of factors predicting RVR and SVR in 280 consecutive, treatment-naive CHC patients treated with pegylated IFN alpha and ribavirin in a prospective multicenter study.Results: Independent predictors of RVR were HCV RNA < 400,000 IU/ml (OR11.37; 95% CI 3.03-42.6), rs12980275 AA (vs. AG/GG) (OR 7.09; 1.97-25.56) and IP-10 (OR 0.04; 0.003-0.56) in HCV genotype 1 patients and lower baseline γ-glutamyl-transferase levels (OR = 0.02; 0.0009-0.31) in HCV genotype 3 patients. Independent predictors of SVR were rs12980275 AA (OR 9.68; 3.44-27.18), age < 40 yrs (OR = 4.79; 1.50-15.34) and HCV RNA < 400,000 IU/ml (OR 2.74; 1.03-7.27) in HCV genotype 1 patients and rs12980275 AA (OR = 6.26; 1.98-19.74) and age < 40 yrs (OR 5.37; 1.54-18.75) in the 88 HCV genotype 1 patients without a RVR. RVR was by itself predictive of SVR in HCV genotype 1 patients (32 of 33, 97%; OR 33.0; 4.06-268.32) and the only independent predictor of SVR in HCV genotype 2 (OR 9.0, 1.72-46.99; p=0.009) or 3 patients (OR 7.8, 1.43-42.67; p=0.01).Conclusions: In HCV genotype 1 patients, IL28B polymorphisms, HCV RNA load and IP-10 independently predict RVR. The combination of IL28B polymorphisms, HCV RNA level and age may yield more accurate pretreatment prediction of SVR. HOMA-IR score is not associated with viral response.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.

Nash equilibrium strategies in discrete-time finite-horizon dynamic games with risk-and effort-averse players

The objective of this paper is to re-examine the risk-and effort attitude in the context of strategic dynamic interactions stated as a discrete-time finite-horizon Nash game. The analysis is based on the assumption that players are endogenously risk-and effort-averse. Each player is characterized by distinct risk-and effort-aversion types that are unknown to his opponent. The goal of the game is the optimal risk-and effort-sharing between the players. It generally depends on the individual strategies adopted and, implicitly, on the the players' types or characteristics.

In vitro growth of human urinary tract smooth muscle cells on laminin and collagen type I-coated membranes under static and dynamic conditions.

This study investigates in vitro growth of human urinary tract smooth muscle cells under static conditions and mechanical stimulation. The cells were cultured on collagen type I- and laminin-coated silicon membranes. Using a Flexcell device for mechanical stimulation, a cyclic strain of 0-20% was applied in a strain-stress-time model (stretch, 104 min relaxation, 15 s), imitating physiological bladder filling and voiding. Cell proliferation and alpha-actin, calponin, and caldesmon phenotype marker expression were analyzed. Nonstretched cells showed significant better growth on laminin during the first 8 days, thereafter becoming comparable to cells grown on collagen type I. Cyclic strain significantly reduced cell growth on both surfaces; however, better growth was observed on laminin. Neither the type of surface nor mechanical stimulation influenced the expression pattern of phenotype markers; alpha-actin was predominantly expressed. Coating with the extracellular matrix protein laminin improved in vitro growth of human urinary tract smooth muscle cells.

Dynamic of population-dynamics in a medically important snail species Lymnaea (Radix) Luteola (Lamarck)

The life-cycle parameters of the snail Lymnaea (Radix) luteola and the factors influencing the same have been studied under laboratory conditions. Ins each month, from July 1990 to June 1991, a batch of 100 zero-day old individual were considered for studies. The snails of April batch survived for 19.42 days while those in December batch survived for 87.45 days. The May batch individual though survived for 65.67 days gained maximum shell size (15.84 mm in length) and body weight (419.87 mg). All individuals of April batch died prior to attainment of sexual maturity. In the remaining 11 batches the snails became sexually mature between 32 and 53 days. At this stage, they were with varying shell lengths, 9.3 mm to 13,11 mm in respect to batches. The reproduction period varied from 1-67 days. An individual laid, on an average, 0,25 (March batch) to 443.67 (May batch) eggs in its life-span. A batch of such snails would leave 24312, 22520, 720268, 80408, 76067, 418165, 214, 9202, 0, 0, 2459386 and 127894 individuals at the end of 352nd day. Since the environmental conditions were almost similar the 'dynamic' of population dynamics seems to be involved with the 'strain' of the snail individuals of the batches concerned.

Dynamic calibration of our sense of time.

An accurate sense of time contributes to functions ranging from the perception and anticipation of sensory events to the production of coordinated movements. However, accumulating evidence demonstrates that time perception is subject to strong illusory distortion. In two experiments, we investigated whether the subjective speed of temporal perception is dependent on our visual environment. By presenting human observers with speed-altered movies of a crowded street scene, we modulated performance on subsequent production of "20s" elapsed intervals. Our results indicate that one's visual environment significantly contributes to calibrating our sense of time, independently of any modulation of arousal. This plasticity generates an assay for the integrity of our sense of time and its rehabilitation in clinical pathologies.

Sintonización dinámica de aplicaciones MPI

En la actualidad, la computación de altas prestaciones está siendo utilizada en multitud de campos científicos donde los distintos problemas estudiados se resuelven mediante aplicaciones paralelas/distribuidas. Estas aplicaciones requieren gran capacidad de cómputo, bien sea por la complejidad de los problemas o por la necesidad de solventar situaciones en tiempo real. Por lo tanto se debe aprovechar los recursos y altas capacidades computacionales de los sistemas paralelos en los que se ejecutan estas aplicaciones con el fin de obtener un buen rendimiento. Sin embargo, lograr este rendimiento en una aplicación ejecutándose en un sistema es una dura tarea que requiere un alto grado de experiencia, especialmente cuando se trata de aplicaciones que presentan un comportamiento dinámico o cuando se usan sistemas heterogéneos. En estos casos actualmente se plantea realizar una mejora de rendimiento automática y dinámica de las aplicaciones como mejor enfoque para el análisis del rendimiento. El presente trabajo de investigación se sitúa dentro de este ámbito de estudio y su objetivo principal es sintonizar dinámicamente mediante MATE (Monitoring, Analysis and Tuning Environment) una aplicación MPI empleada en computación de altas prestaciones que siga un paradigma Master/Worker. Las técnicas de sintonización integradas en MATE han sido desarrolladas a partir del estudio de un modelo de rendimiento que refleja los cuellos de botella propios de aplicaciones situadas bajo un paradigma Master/Worker: balanceo de carga y número de workers. La ejecución de la aplicación elegida bajo el control dinámico de MATE y de la estrategia de sintonización implementada ha permitido observar la adaptación del comportamiento de dicha aplicación a las condiciones actuales del sistema donde se ejecuta, obteniendo así una mejora de su rendimiento.

Quantitative real-time polymerase chain reaction for detection of adenovirus after T cell-replete hematopoietic cell transplantation: viral load as a marker for invasive disease.

BACKGROUND: The value of adenovirus plasma DNA detection as an indicator for adenovirus disease is unknown in the context of T cell-replete hematopoietic cell transplantation, of which adenovirus disease is an uncommon but serious complication. METHODS: Three groups of 62 T cell-replete hematopoietic cell transplant recipients were selected and tested for adenovirus in plasma by polymerase chain reaction. RESULTS: Adenovirus was detected in 21 (87.5%) of 24 patients with proven adenovirus disease (group 1), in 4 (21%) of 19 patients who shed adenovirus (group 2), and in 1 (10.5%) of 19 uninfected control patients. The maximum viral load was significantly higher in group 1 (median maximum viral load, 6.3x10(6) copies/mL; range, 0 to 1.0x10(9) copies/mL) than in group 2 (median maximum viral load, 0 copies/mL; range, 0 to 1.7x10(8) copies/mL; P<.001) and in group 3 (median maximum viral load, 0 copies/mL; range 0-40 copies/mL; P<.001). All patients in group 2 who developed adenoviremia had symptoms compatible with adenovirus disease (i.e., possible disease). A minimal plasma viral load of 10(3) copies/mL was detected in all patients with proven or possible disease. Adenoviremia was detectable at a median of 19.5 days (range, 8-48 days) and 24 days (range, 9-41 days) before death for patients with proven and possible adenovirus disease, respectively. CONCLUSION: Sustained or high-level adenoviremia appears to be a specific and sensitive indicator of adenovirus disease after T cell-replete hematopoietic cell transplantation. In the context of low prevalence of adenovirus disease, the use of polymerase chain reaction of plasma specimens to detect virus might be a valuable tool to identify and treat patients at risk for viral invasive disease.

Abrupt decrease in serum testosterone levels after an oral glucose load in men: implications for screening for hypogonadism.

OBJECTIVE: This study examines the physiological impact of a glucose load on serum testosterone (T) levels in men with varying glucose tolerance (GT). DESIGN: Cross-sectional study. PATIENTS AND METHODS: 74 men (19-74 years, mean 51·4 ± 1·4 years) underwent a standard 75-g oral glucose tolerance test with blood sampling at 0, 30, 60, 90 and 120 min. Fasting serum glucose, insulin, total T (and calculated free T), LH, SHBG, leptin and cortisol were measured. RESULTS: 57% of the men had normal GT, 30% had impaired GT and 13% had newly diagnosed type 2 diabetes. Glucose ingestion was associated with a 25% decrease in mean T levels (delta = -4·2 ± 0·3 nm, P < 0·0001). T levels remained suppressed at 120 min compared with baseline (13·7 ± 0·6 vs 16·5 ± 0·7 nm, P < 0·0001) and did not differ across GT or BMI. Of the 66 men with normal T levels at baseline, 10 (15%) had levels that decreased to the hypogonadal range (<9·7 nm) at one or more time points. SHBG, LH and cortisol levels were unchanged. Leptin levels decreased from baseline at all time points (P < 0·0001). CONCLUSIONS: Glucose ingestion induces a significant reduction in total and free T levels in men, which is similar across the spectrum of glucose tolerance. This decrease in T appears to be because of a direct testicular defect, but the absence of compensatory changes in LH suggests an additional central component. Men found to have low nonfasting T levels should be re-evaluated in the fasting state.

Encoding dysfunctions in a dynamic-static paradigm for visuospatial working memory in first-episode psychosis patients: a 2-year follow-up study.

Aim: To investigate static and dynamic visuospatial working memory (VSWM) processes in first-episode psychosis (FEP) patients and explore the validity of such measures as specific trait markers of schizophrenia. Methods: Twenty FEP patients and 20 age-, sex-, laterality- and education-matched controls carried out a dynamic and static VSWM paradigm. At 2-year follow up 13 patients met Diagnostic and Statistical Manual (of Mental Health Disorders) - Fourth Edition (DSM-IV) criteria for schizophrenia, 1 for bipolar disorder, 1 for brief psychotic episode and 5 for schizotypal personality disorder. Results: Compared with controls, the 20 FEP patients showed severe impairment in the dynamic VSWM condition but much less impairment in the static condition. No specific bias in stimulus selection was detected in the two tasks. Two-year follow-up evaluations suggested poorer baseline scores on the dynamic task clearly differentiated the 13 FEP patients who developed schizophrenia from the seven who did not. Conclusions: Results suggest deficits in VSWM in FEP patients. Specific exploratory analyses further suggest that deficit in monitoring-manipulation VSWM processes, especially involved in our dynamic VSWM task, can be a reliable marker of schizophrenia.