Forecasting Inflation Using Dynamic Model Averaging

We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We nd that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coe¢ cient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.

Forecasting Inflation Using Dynamic Model Averaging

We forecast quarterly US inflation based on the generalized Phillips curve using econometric methods which incorporate dynamic model averaging. These methods not only allow for coe¢ cients to change over time, but also allow for the entire forecasting model to change over time. We nd that dynamic model averaging leads to substantial forecasting improvements over simple benchmark regressions and more sophisticated approaches such as those using time varying coe¢ cient models. We also provide evidence on which sets of predictors are relevant for forecasting in each period.

Alliance evolutions over the course of short-term dynamic psychotherapy: A case study

Background: Alliance evolutions, i.e. ruptures and resolutions over the course of psychotherapy, have been shown to be important descriptive features in different forms of psychotherapy, and in particular in psychodynamic psychotherapy. This case study of a client presenting elements of adjustment disorder undergoing short-term dynamic psychotherapy is drawn from a systematic naturalistic study and aims at illustrating, on a session-by-session-level, the processes of alliance ruptures and resolutions, by comparing both the client's and the therapist's perspectives. Method: Two episodes of alliance evolution were more fully studied, in relation to the evolution of transference, as well as the client's defensive functioning and core conflictual theme. These concepts were measured by means of valid, reliable observer-rater methods, based on session transcripts: the Defense Mechanisms Rating Scales (DMRS) for defensive functioning and the Core Conflictual Relationship Theme (CCRT) for the conflicts. Alliance was measured after each session using the Helping Alliance questionnaire (HAq-II). Results: The results indicated that these episodes of alliance rupture and resolutions may be understood as key moments of the whole therapeutic process reflecting the client's main relationship stakes. Illustrations are provided based on the client's in-session processes and related to the alliance development over the course of the entire therapy.

Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Dynamic Relational Contracts under Complete Information

This paper considers a long-term relationship between two agents who both undertake a costly action or investment that together produces a joint benefit. Agents have an opportunity to expropriate some of the joint benefit for their own use. Two cases are considered: (i) where agents are risk neutral and are subject to limited liability constraints and (ii) where agents are risk averse, have quasi-linear preferences in consumption and actions but where limited liability constraints do not bind. The question asked is how to structure the investments and division of the surplus over time so as to avoid expropriation. In the risk-neutral case, there may be an initial phase in which one agent overinvests and the other underinvests. However, both actions and surplus converge monotonically to a stationary state in which there is no overinvestment and surplus is at its maximum subject to the constraints. In the risk-averse case, there is no overinvestment. For this case, we establish that dynamics may or may not be monotonic depending on whether or not it is possible to sustain a first-best allocation. If the first-best allocation is not sustainable, then there is a trade-off between risk sharing and surplus maximization. In general, surplus will not be at its constrained maximum even in the long run.

Pets as the main source of two zoonotic species of the Trichophyton mentagrophytes complex in Switzerland, Arthroderma vanbreuseghemii and Arthroderma benhamiae

In cases of highly inflammatory dermatophytosis in humans, it is important to identify the possible source of animal transmission in order to prevent recurrence, family outbreaks or rapidly progressing epidemics. A survey of dermatophytes in pets during a 14-month period in Switzerland revealed, in addition to Microsporum canis, two different species of the Trichophyton mentagrophytes complex, Arthroderma benhamiae and Arthroderma vanbreuseghemii, all causing inflammatory dermatophytoses. Arthroderma benhamiae was only and frequently isolated from guinea pigs. Arthroderma vanbreuseghemii was isolated mainly from European short hair cats, but also from dogs and in one case from a pure-bred cat. Ninety-three percent of the cats carrying A. vanbreuseghemii were hunters and all had skin lesions. In contrast, cats with skin lesions that were strictly indoors were found to be almost exclusively infected by M. canis. Therefore, it can be suspected that infection with A. vanbreuseghemii occurred during hunting and that the natural source of this dermatophyte is either soil or an animal other than the cat, most probably a rodent.

Electroencephalographic source imaging: a prospective study of 152 operated epileptic patients.

Electroencephalography is mandatory to determine the epilepsy syndrome. However, for the precise localization of the irritative zone in patients with focal epilepsy, costly and sometimes cumbersome imaging techniques are used. Recent small studies using electric source imaging suggest that electroencephalography itself could be used to localize the focus. However, a large prospective validation study is missing. This study presents a cohort of 152 operated patients where electric source imaging was applied as part of the pre-surgical work-up allowing a comparison with the results from other methods. Patients (n = 152) with >1 year postoperative follow-up were studied prospectively. The sensitivity and specificity of each imaging method was defined by comparing the localization of the source maximum with the resected zone and surgical outcome. Electric source imaging had a sensitivity of 84% and a specificity of 88% if the electroencephalogram was recorded with a large number of electrodes (128-256 channels) and the individual magnetic resonance image was used as head model. These values compared favourably with those of structural magnetic resonance imaging (76% sensitivity, 53% specificity), positron emission tomography (69% sensitivity, 44% specificity) and ictal/interictal single-photon emission-computed tomography (58% sensitivity, 47% specificity). The sensitivity and specificity of electric source imaging decreased to 57% and 59%, respectively, with low number of electrodes (<32 channels) and a template head model. This study demonstrated the validity and clinical utility of electric source imaging in a large prospective study. Given the low cost and high flexibility of electroencephalographic systems even with high channel counts, we conclude that electric source imaging is a highly valuable tool in pre-surgical epilepsy evaluation.

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.

Análisis y sintonización de aplicaciones paralelas/distribuidas de bioinformática: caso de estudio mpiBLAST

En termes de temps d'execució i ús de dades, les aplicacions paral·leles/distribuïdes poden tenir execucions variables, fins i tot quan s'empra el mateix conjunt de dades d'entrada. Existeixen certs aspectes de rendiment relacionats amb l'entorn que poden afectar dinàmicament el comportament de l'aplicació, tals com: la capacitat de la memòria, latència de la xarxa, el nombre de nodes, l'heterogeneïtat dels nodes, entre d'altres. És important considerar que l'aplicació pot executar-se en diferents configuracions de maquinari i el desenvolupador d'aplicacions no port garantir que els ajustaments de rendiment per a un sistema en particular continuïn essent vàlids per a d'altres configuracions. L'anàlisi dinàmica de les aplicacions ha demostrat ser el millor enfocament per a l'anàlisi del rendiment per dues raons principals. En primer lloc, ofereix una solució molt còmoda des del punt de vista dels desenvolupadors mentre que aquests dissenyen i evaluen les seves aplicacions paral·leles. En segon lloc, perquè s'adapta millor a l'aplicació durant l'execució. Aquest enfocament no requereix la intervenció de desenvolupadors o fins i tot l'accés al codi font de l'aplicació. S'analitza l'aplicació en temps real d'execució i es considra i analitza la recerca dels possibles colls d'ampolla i optimitzacions. Per a optimitzar l'execució de l'aplicació bioinformàtica mpiBLAST, vam analitzar el seu comportament per a identificar els paràmetres que intervenen en el rendiment d'ella, com ara: l'ús de la memòria, l'ús de la xarxa, patrons d'E/S, el sistema de fitxers emprat, l'arquitectura del processador, la grandària de la base de dades biològica, la grandària de la seqüència de consulta, la distribució de les seqüències dintre d'elles, el nombre de fragments de la base de dades i/o la granularitat dels treballs assignats a cada procés. El nostre objectiu és determinar quins d'aquests paràmetres tenen major impacte en el rendiment de les aplicacions i com ajustar-los dinàmicament per a millorar el rendiment de l'aplicació. Analitzant el rendiment de l'aplicació mpiBLAST hem trobat un conjunt de dades que identifiquen cert nivell de serial·lització dintre l'execució. Reconeixent l'impacte de la caracterització de les seqüències dintre de les diferents bases de dades i una relació entre la capacitat dels workers i la granularitat de la càrrega de treball actual, aquestes podrien ser sintonitzades dinàmicament. Altres millores també inclouen optimitzacions relacionades amb el sistema de fitxers paral·lel i la possibilitat d'execució en múltiples multinucli. La grandària de gra de treball està influenciat per factors com el tipus de base de dades, la grandària de la base de dades, i la relació entre grandària de la càrrega de treball i la capacitat dels treballadors.

Marine organisms: an alternative source of potentially valuable natural products

This paper recalls the outcoming of marine natural products research and reviews a selection of marirne bioactive metabolites in current use together with promising trends in marine pharmacology.

Sistema de monitorització Open Source: projecte d'empresa per Computer Technology Catalunya

L’objectiu del projecte consisteix en l’estudi, simulació i implantació d’un conjunt d’aplicacions que permeten tenir un control sobre possibles problemes que puguin succeir a la nostra xarxa. Aquest projecte és la solució als problemes de detecció d’errors en el funcionament de les infraestructures de networking de les que disposen els nostres clients.