Moderate to vigorous physical activity and sedentary time and cardiometabolic risk factors in children and adolescents.

CONTEXT: Sparse data exist on the combined associations between physical activity and sedentary time with cardiometabolic risk factors in healthy children. OBJECTIVE: To examine the independent and combined associations between objectively measured time in moderate- to vigorous-intensity physical activity (MVPA) and sedentary time with cardiometabolic risk factors. DESIGN, SETTING, AND PARTICIPANTS: Pooled data from 14 studies between 1998 and 2009 comprising 20 871 children (aged 4-18 years) from the International Children's Accelerometry Database. Time spent in MVPA and sedentary time were measured using accelerometry after reanalyzing raw data. The independent associations between time in MVPA and sedentary time, with outcomes, were examined using meta-analysis. Participants were stratified by tertiles of MVPA and sedentary time. MAIN OUTCOME MEASURES: Waist circumference, systolic blood pressure, fasting triglycerides, high-density lipoprotein cholesterol, and insulin. RESULTS: Times (mean [SD] min/d) accumulated by children in MVPA and being sedentary were 30 (21) and 354 (96), respectively. Time in MVPA was significantly associated with all cardiometabolic outcomes independent of sex, age, monitor wear time, time spent sedentary, and waist circumference (when not the outcome). Sedentary time was not associated with any outcome independent of time in MVPA. In the combined analyses, higher levels of MVPA were associated with better cardiometabolic risk factors across tertiles of sedentary time. The differences in outcomes between higher and lower MVPA were greater with lower sedentary time. Mean differences in waist circumference between the bottom and top tertiles of MVPA were 5.6 cm (95% CI, 4.8-6.4 cm) for high sedentary time and 3.6 cm (95% CI, 2.8-4.3 cm) for low sedentary time. Mean differences in systolic blood pressure for high and low sedentary time were 0.7 mm Hg (95% CI, -0.07 to 1.6) and 2.5 mm Hg (95% CI, 1.7-3.3), and for high-density lipoprotein cholesterol, differences were -2.6 mg/dL (95% CI, -1.4 to -3.9) and -4.5 mg/dL (95% CI, -3.3 to -5.6), respectively. Geometric mean differences for insulin and triglycerides showed similar variation. Those in the top tertile of MVPA accumulated more than 35 minutes per day in this intensity level compared with fewer than 18 minutes per day for those in the bottom tertile. In prospective analyses (N = 6413 at 2.1 years' follow-up), MVPA and sedentary time were not associated with waist circumference at follow-up, but a higher waist circumference at baseline was associated with higher amounts of sedentary time at follow-up. CONCLUSION: Higher MVPA time by children and adolescents was associated with better cardiometabolic risk factors regardless of the amount of sedentary time.

Three essays on liquidity risk

Preface In this thesis we study several questions related to transaction data measured at an individual level. The questions are addressed in three essays that will constitute this thesis. In the first essay we use tick-by-tick data to estimate non-parametrically the jump process of 37 big stocks traded on the Paris Stock Exchange, and of the CAC 40 index. We separate the total daily returns in three components (trading continuous, trading jump, and overnight), and we characterize each one of them. We estimate at the individual and index levels the contribution of each return component to the total daily variability. For the index, the contribution of jumps is smaller and it is compensated by the larger contribution of overnight returns. We test formally that individual stocks jump more frequently than the index, and that they do not respond independently to the arrive of news. Finally, we find that daily jumps are larger when their arrival rates are larger. At the contemporaneous level there is a strong negative correlation between the jump frequency and the trading activity measures. The second essay study the general properties of the trade- and volume-duration processes for two stocks traded on the Paris Stock Exchange. These two stocks correspond to a very illiquid stock and to a relatively liquid stock. We estimate a class of autoregressive gamma process with conditional distribution from the family of non-central gamma (up to a scale factor). This process was introduced by Gouriéroux and Jasiak and it is known as Autoregressive gamma process. We also evaluate the ability of the process to fit the data. For this purpose we use the Diebold, Gunther and Tay (1998) test; and the capacity of the model to reproduce the moments of the observed data, and the empirical serial correlation and the partial serial correlation functions. We establish that the model describes correctly the trade duration process of illiquid stocks, but have problems to adjust correctly the trade duration process of liquid stocks which present long-memory characteristics. When the model is adjusted to volume duration, it successfully fit the data. In the third essay we study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We distinguish the case of parameters which are constant through the day from time-varying ones. An optimization problem incorporating this realistic microstructure model is presented and solved. Our model endogenizes the number of trades required before the position is liquidated. A comparative static exercise demonstrates the realism of our model. We find that a sell decision taken in the morning will be liquidated by the early afternoon. If price impacts increase over the day, the liquidation will take place more rapidly.

Liquidity Risk in the Finnish Stock Market

This study explores the pricing of liquidity risk and its effect on stock returns in the Finnish stock market. In addition to that, it investigates whether there is a trend in liquidity risk. Finally, it analyzes whether the two chosen liquidity measures provide different results. The data consists of all the common shares listed in the Finnish stock market during the period of 1/1997–7/2015. To examine whether liquidity risk affects stock returns in the Finnish stock market, this study utilizes a conditional version of liquidity-adjusted capital asset pricing model (LCAPM) by Acharya and Pedersen (2005). Two recently proposed illiquidity measures – PQS and AdjILLIQ – are used in the empirical estimation to see whether there are differences in the results between the measures. The time-varying conditional liquidity risks are estimated by using a multivariate DCC-GARCH model, while the pricing of the liquidity risk is conducted by applying fixed effect panel regression. The results imply that investors in the Finnish stock market are willing to pay a premium to hedge from wealth shocks and having liquid assets during the declined market liquidity. However, investors are not willing to pay a premium for stocks with higher returns during illiquid markets. The total annualized illiquidity premiums found in the Finnish stock market are 1.77% and 1.04%, based on the PQS and AdjILLIQ measures, respectively. The study also shows that liquidity risk does not exhibit decreasing trend, and investors should consider liquidity risk in their portfolio diversification in the Finnish stock market.

The impact of news on measures of undiversifiable risk: evidence from the UK stock market

Using UK equity index data, this paper considers the impact of news on time varying measures of beta, the usual measure of undiversifiable risk. The empirical model implies that beta depends on news about the market and news about the sector. The asymmetric response of beta to news about the market is consistent across all sectors considered. Recent research is divided as to whether abnormalities in equity returns arise from changes in expected returns in an efficient market or over-reactions to new information. The evidence suggests that such abnormalities may be due to changes in expected returns caused by time-variation and asymmetry in beta.

Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage

In this paper, we examine the temporal stability of the evidence for two commodity futures pricing theories. We investigate whether the forecast power of commodity futures can be attributed to the extent to which they exhibit seasonality and we also consider whether there are time varying parameters or structural breaks in these pricing relationships. Compared to previous studies, we find stronger evidence of seasonality in the basis, which supports the theory of storage. The power of the basis to forecast subsequent price changes is also strengthened, while results on the presence of a risk premium are inconclusive. In addition, we show that the forecasting power of commodity futures cannot be attributed to the extent to which they exhibit seasonality. We find that in most cases where structural breaks occur, only changes in the intercepts and not the slopes are detected, illustrating that the forecast power of the basis is stable over different economic environments.

Monetary policy and country risk

This article develops an econometric model in order to study country risk behavior for six emerging economies (Argentina, Mexico, Russia, Thailand, Korea and Indonesia), by expanding the Country Beta Risk Model of Harvey and Zhou (1993), Erb et. al. (1996a, 1996b) and Gangemi et. al. (2000). Toward this end, we have analyzed the impact of macroeconomic variables, especially monetary policy, upon country risk, by way of a time varying parameter approach. The results indicate an inefficient and unstable effect of monetary policy upon country risk in periods of crisis. However, this effect is stable in other periods, and the Favero-Giavazzi effect is not verified for all economies, with an opposite effect being observed in many cases.

Do options contain information about excess bond returns ?

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of time-varying volatility on excess returns for long-term bonds. To address this issue, we incorporate interest rate option prices, which are very sensitive to interest rate volatility, into a dynamic model for the term structure of interest rates. We estimate three-factor affine term structure models using both swap rates and interest rate cap prices. When we incorporate option prices, the model better captures interest rate volatility and is better able to predict excess returns for long-term swaps over short-term swaps, both in- and out-of-sample. Our results indicate that interest rate options contain valuable infor- mation about risk premia and interest rate dynamics that cannot be extracted from interest rates alone.

Gold and the Stock Market: 3 Essays on Gold Investments

This thesis gives an overview of the history of gold per se, of gold as an investment good and offers some institutional details about gold and other precious metal markets. The goal of this study is to investigate the role of gold as a store of value and hedge against negative market movements in turbulent times. I investigate gold’s ability to act as a safe haven during periods of financial stress by employing instrumental variable techniques that allow for time varying conditional covariance. I find broad evidence supporting the view that gold acts as an anchor of stability during market downturns. During periods of high uncertainty and low stock market returns, gold tends to have higher than average excess returns. The effectiveness of gold as a safe haven is enhanced during periods of extreme crises: the largest peaks are observed during the global financial crises of 2007-2009 and, in particular, during the Lehman default (October 2008). A further goal of this thesis is to investigate whether gold provides protection from tail risk. I address the issue of asymmetric precious metal behavior conditioned to stock market performance and provide empirical evidence about the contribution of gold to a portfolio’s systematic skewness and kurtosis. I find that gold has positive coskewness with the market portfolio when the market is skewed to the left. Moreover, gold shows low cokurtosis with the market returns during volatile periods. I therefore show that gold is a desirable investment good to risk averse investors, since it tends to decrease the probability of experiencing extreme bad outcomes, and the magnitude of losses in case such events occur. Gold thus bears very important and under-researched characteristics as an asset class per se, which this thesis contributed to address and unveil.

Role of diuretics, blockers, and statins in increasing the risk of diabetes in patients with impaired glucose tolerance: reanalysis of data from the NAVIGATOR study

OBJECTIVE To examine the degree to which use of β blockers, statins, and diuretics in patients with impaired glucose tolerance and other cardiovascular risk factors is associated with new onset diabetes. DESIGN Reanalysis of data from the Nateglinide and Valsartan in Impaired Glucose Tolerance Outcomes Research (NAVIGATOR) trial. SETTING NAVIGATOR trial. PARTICIPANTS Patients who at baseline (enrolment) were treatment naïve to β blockers (n=5640), diuretics (n=6346), statins (n=6146), and calcium channel blockers (n=6294). Use of calcium channel blocker was used as a metabolically neutral control. MAIN OUTCOME MEASURES Development of new onset diabetes diagnosed by standard plasma glucose level in all participants and confirmed with glucose tolerance testing within 12 weeks after the increased glucose value was recorded. The relation between each treatment and new onset diabetes was evaluated using marginal structural models for causal inference, to account for time dependent confounding in treatment assignment. RESULTS During the median five years of follow-up, β blockers were started in 915 (16.2%) patients, diuretics in 1316 (20.7%), statins in 1353 (22.0%), and calcium channel blockers in 1171 (18.6%). After adjusting for baseline characteristics and time varying confounders, diuretics and statins were both associated with an increased risk of new onset diabetes (hazard ratio 1.23, 95% confidence interval 1.06 to 1.44, and 1.32, 1.14 to 1.48, respectively), whereas β blockers and calcium channel blockers were not associated with new onset diabetes (1.10, 0.92 to 1.31, and 0.95, 0.79 to 1.13, respectively). CONCLUSIONS Among people with impaired glucose tolerance and other cardiovascular risk factors and with serial glucose measurements, diuretics and statins were associated with an increased risk of new onset diabetes, whereas the effect of β blockers was non-significant.

Risk of falls and bleeding in elderly patients with acute venous thromboembolism.

OBJECTIVE Whether or not a high risk of falls increases the risk of bleeding in patients receiving anticoagulants remains a matter of debate. METHODS We conducted a prospective cohort study involving 991 patients ≥ 65 years of age who received anticoagulants for acute venous thromboembolism (VTE) at nine Swiss hospitals between September 2009 and September 2012. The study outcomes were as follows: the time to a first major episode of bleeding; and clinically relevant nonmajor bleeding. We determined the associations between the risk of falls and the time to a first episode of bleeding using competing risk regression, accounting for death as a competing event. We adjusted for known bleeding risk factors and anticoagulation as a time-varying covariate. RESULTS Four hundred fifty-eight of 991 patients (46%) were at high risk of falls. The mean duration of follow-up was 16.7 months. Patients at high risk of falls had a higher incidence of major bleeding (9.6 vs. 6.6 events/100 patient-years; P = 0.05) and a significantly higher incidence of clinically relevant nonmajor bleeding (16.7 vs. 8.3 events/100 patient-years; P < 0.001) than patients at low risk of falls. After adjustment, a high risk of falls was associated with clinically relevant nonmajor bleeding [subhazard ratio (SHR) = 1.74, 95% confidence interval (CI) = 1.23-2.46], but not with major bleeding (SHR = 1.24, 95% CI = 0.83-1.86). CONCLUSION In elderly patients who receive anticoagulants because of VTE, a high risk of falls is significantly associated with clinically relevant nonmajor bleeding, but not with major bleeding. Whether or not a high risk of falls is a reason against providing anticoagulation beyond 3 months should be based on patient preferences and the risk of VTE recurrence.

Physical Activity and Risk of Bleeding in Elderly Patients Taking Anticoagulants.

BACKGROUND Although the possibility of bleeding during anticoagulant treatment may limit patients from taking part in physical activity, the association between physical activity and anticoagulation-related bleeding is uncertain. OBJECTIVES To determine whether physical activity is associated with bleeding in elderly patients taking anticoagulants. PATIENTS/METHODS In a prospective multicenter cohort study of 988 patients aged ≥65 years receiving anticoagulants for venous thromboembolism, we assessed patients' self-reported physical activity level. The primary outcome was the time to a first major bleeding, defined as fatal bleeding, symptomatic bleeding in a critical site, or bleeding causing a fall in hemoglobin or leading to transfusions. The secondary outcome was the time to a first clinically-relevant non-major bleeding. We examined the association between physical activity level and time to a first bleeding using competing risk regression, accounting for death as a competing event. We adjusted for known bleeding risk factors and anticoagulation as a time-varying covariate. RESULTS During a mean follow-up of 22 months, patients with a low, moderate, and high physical activity level had an incidence of major bleeding of 11.6, 6.3, and 3.1 events per 100 patient-years, and an incidence of clinically relevant non-major bleeding of 14.0, 10.3, and 7.7 events per 100 patient-years, respectively. A high physical activity level was significantly associated with a lower risk of major bleeding (adjusted sub-hazard ratio 0.40, 95%-CI 0.22-0.72). There was no association between physical activity and non-major bleeding. CONCLUSIONS A high level of physical activity is associated with a decreased risk of major bleeding in elderly patients receiving anticoagulant therapy. This article is protected by copyright. All rights reserved.

Atherogenic dyslipidemia and residual cardiovascular risk in statin-treated patients

BACKGROUND AND PURPOSE Treatment with statins reduces the rate of cardiovascular events in high-risk patients, but residual risk persists. At least part of that risk may be attributable to atherogenic dyslipidemia characterized by low high-density lipoprotein cholesterol (≤40 mg/dL) and high triglycerides (triglycerides≥150 mg/dL). METHODS We studied subjects with stroke or transient ischemic attack in the Prevention of Cerebrovascular and Cardiovascular Events of Ischemic Origin With Terutroban in Patients With a History of Ischemic Stroke or Transient Ischemic Attack (PERFORM; n=19,100) and Stroke Prevention by Aggressive Reduction in Cholesterol Levels (SPARCL; n=4731) trials who were treated with a statin and who had high-density lipoprotein cholesterol and triglycerides measurements 3 months after randomization (n=10,498 and 2900, respectively). The primary outcome measure for this exploratory analysis was the occurrence of major cardiovascular events (nonfatal myocardial infarction, nonfatal stroke, or cardiovascular death). We also performed a time-varying analysis to account for all available high-density lipoprotein cholesterol and triglyceride measurements. RESULTS A total of 10% of subjects in PERFORM and 9% in SPARCL had atherogenic dyslipidemia after ≥3 months on start statin therapy. After a follow-up of 2.3 years (PERFORM) and 4.9 years (SPARCL), a major cardiovascular event occurred in 1123 and 485 patients in the 2 trials, respectively. The risk of major cardiovascular events was higher in subjects with versus those without atherogenic dyslipidemia in both PERFORM (hazard ratio, 1.36; 95% confidence interval, 1.14-1.63) and SPARCL (hazard ratio, 1.40; 95% confidence interval, 1.06-1.85). The association was attenuated after multivariable adjustment (hazard ratio, 1.23; 95% confidence interval, 1.03-1.48 in PERFORM and hazard ratio, 1.24; 95% confidence interval, 0.93-1.65 in SPARCL). Time-varying analysis confirmed these findings. CONCLUSIONS The presence of atherogenic dyslipidemia was associated with higher residual cardiovascular risk in PERFORM and SPARCL subjects with stroke or transient ischemic attack receiving statin therapy. Specific therapeutic interventions should now be trialed to address this residual risk.

Proton pump inhibitors and the risk of fractures in older adults: a population-based retrospective cohort study

Thesis (Master's)--University of Washington, 2016-06

Hypertension and diabetes treatments and risk of adverse outcomes among breast cancer patients

Thesis (Ph.D.)--University of Washington, 2016-06

Calendar effects and the pricing of risk:the UK evidence

For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between risk and return across the different months of the year. The paper finds that systematic risk is only priced during the months of January, April and July. Variance risk and firm size are priced during several months of the year including January. An analysis of the relative behaviour of size based securities reveals that firm capitalization makes a valuable contribution to the magnitude of risk premiums.