Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

Assessment of retinal structure and visual function in association with diabetic peripheral neuropathy

Diabetes is an increasingly prevalent disease worldwide. Providing early management of the complications can prevent morbidity and mortality in this population. Peripheral neuropathy, a significant complication of diabetes, is the major cause of foot ulceration and amputation in diabetes. Delay in attending to complication of the disease contributes to significant medical expenses for diabetic patients and the community. Early structural changes to the neural components of the retina have been demonstrated to occur prior to the clinically visible retinal vasculature complication of diabetic retinopathy. Additionally visual functionloss has been shown to exist before the ophthalmoscopic manifestations of vasculature damage. The purpose of this thesis was to evaluate the relationship between diabetic peripheral neuropathy and both retinal structure and visual function. The key question was whether diabetic peripheral neuropathy is the potential underlying factor responsible for retinal anatomical change and visual functional loss in people with diabetes. This study was conducted on a cohort with type 2 diabetes. Retinal nerve fibre layer thickness was assessed by means of Optical Coherence Tomography (OCT). Visual function was assessed using two different methods; Standard Automated Perimetry (SAP) and flicker perimetry were performed within the central 30 degrees of fixation. The level of diabetic peripheral neuropathy (DPN) was assessed using two techniques - Quantitative Sensory Testing and Neuropathy Disability Score (NDS). These techniques are known to be capable of detecting DPN at very early stages. NDS has also been shown as a gold standard for detecting 'risk of foot ulceration'. Findings reported in this thesis showed that RNFL thickness, particularly in the inferior quadrant, has a significant association with severity of DPN when the condition has been assessed using NDS. More specifically it was observed that inferior RNFL thickness has the ability to differentiate individuals who are at higher risk of foot ulceration from those who are at lower risk, indicating that RNFL thickness can predict late-staged DPN. Investigating the association between RNFL and QST did not show any meaningful interaction, which indicates that RNFL thickness for this cohort was not as predictive of neuropathy status as NDS. In both of these studies, control participants did not have different results from the type 2 cohort who did not DPN suggesting that RNFL thickness is not a marker for diagnosing DPN at early stages. The latter finding also indicated that diabetes per se, is unlikely to affect the RNFL thickness. Visual function as measured by SAP and flicker perimetry was found to be associated with severity of peripheral neuropathy as measured by NDS. These findings were also capable of differentiating individuals at higher risk of foot ulceration; however, visual function also proved not to be a maker for early diagnosis of DPN. It was found that neither SAP, nor flicker sensitivity have meaningful associations with DPN when neuropathy status was measured using QST. Importantly diabetic retinopathy did not explain any of the findings in these experiments. The work described here is valuable as no other research to date has investigated the association between diabetic peripheral neuropathy and either retinal structure or visual function.

Oxygen delivery through high-flow nasal cannulae increase end-expiratory lung volume and reduce respiratory rate in post-cardiac surgical patients

Background: High-flow nasal cannulae (HFNC) create positive oropharyngeal airway pressure but it is unclear how their use affects lung volume. Electrical impedance tomography (EIT) allows assessment of changes in lung volume by measuring changes in lung impedance. Primary objectives were to investigate the effects of HFNC on airway pressure (Paw) and end-expiratory lung volume (EELV), and to identify any correlation between the two. Secondary objectives were to investigate the effects of HFNC on respiratory rate (RR), dyspnoea, tidal volume and oxygenation; and the interaction between body mass index (BMI) and EELV. Methods: Twenty patients prescribed HFNC post-cardiac surgery were investigated. Impedance measures, Paw, PaO2/FiO2 ratio, RR and modified Borg scores were recorded first on low flow oxygen (nasal cannula or Hudson face mask) and then on HFNC. Results: A strong and significant correlation existed between Paw and end-expiratory lung impedance (EELI) (r=0.7, p<0.001). Compared with low flow oxygen, HFNC significantly increased EELI by 25.6% (95% CI 24.3, 26.9) and Paw by 3.0 cmH2O (95% CI 2.4, 3.7). RR reduced by 3.4 breaths per minute (95% CI 1.7, 5.2) with HFNC use, tidal impedance variation increased by 10.5% (95% CI 6.1, 18.3) and PaO2/FiO2 ratio improved by 30.6 mmHg (95% CI 17.9, 43.3). HFNC improved subjective dyspnoea scoring (p=0.023). Increases in EELI were significantly influenced by BMI, with larger increases associated with higher BMIs (p<0.001). Conclusions: This study suggests that HFNC improve dyspnoea and oxygenation by increasing both EELV and tidal volume, and are most beneficial in patients with higher BMIs.

Frequency response function based structural damage detection using artificial neural networks

Damage detection in structures has become increasingly important in recent years. While a number of damage detection and localization methods have been proposed, few attempts have been made to explore the structure damage with frequency response functions (FRFs). This paper illustrates the damage identification and condition assessment of a beam structure using a new frequency response functions (FRFs) based damage index and Artificial Neural Networks (ANNs). In practice, usage of all available FRF data as an input to artificial neural networks makes the training and convergence impossible. Therefore one of the data reduction techniques Principal Component Analysis (PCA) is introduced in the algorithm. In the proposed procedure, a large set of FRFs are divided into sub-sets in order to find the damage indices for different frequency points of different damage scenarios. The basic idea of this method is to establish features of damaged structure using FRFs from different measurement points of different sub-sets of intact structure. Then using these features, damage indices of different damage cases of the structure are identified after reconstructing of available FRF data using PCA. The obtained damage indices corresponding to different damage locations and severities are introduced as input variable to developed artificial neural networks. Finally, the effectiveness of the proposed method is illustrated and validated by using the finite element modal of a beam structure. The illustrated results show that the PCA based damage index is suitable and effective for structural damage detection and condition assessment of building structures.

The use of semantic priming as a paradigm for the detection of faking on self-report psychological tests

It is recognised that individuals do not always respond honestly when completing psychological tests. One of the foremost issues for research in this area is the inability to detect individuals attempting to fake. While a number of strategies have been identified in faking, a commonality of these strategies is the latent role of long term memory. Seven studies were conducted in order to examine whether it is possible to detect the activation of faking related cognitions using a lexical decision task. Study 1 found that engagement with experiential processing styles predicted the ability to fake successfully, confirming the role of associative processing styles in faking. After identifying appropriate stimuli for the lexical decision task (Studies 2A and 2B), Studies 3 to 5 examined whether a cognitive state of faking could be primed and subsequently identified, using a lexical decision task. Throughout the course of these studies, the experimental methodology was increasingly refined in an attempt to successfully identify the relevant priming mechanisms. The results were consistent and robust throughout the three priming studies: faking good on a personality test primed positive faking related words in the lexical decision tasks. Faking bad, however, did not result in reliable priming of negative faking related cognitions. To more completely address potential issues with the stimuli and the possible role of affective priming, two additional studies were conducted. Studies 6A and 6B revealed that negative faking related words were more arousing than positive faking related words, and that positive faking related words were more abstract than negative faking related words and neutral words. Study 7 examined whether the priming effects evident in the lexical decision tasks occurred as a result of an unintentional mood induction while faking the psychological tests. Results were equivocal in this regard. This program of research aligned the fields of psychological assessment and cognition to inform the preliminary development and validation of a new tool to detect faking. Consequently, an implicit technique to identify attempts to fake good on a psychological test has been identified, using long established and robust cognitive theories in a novel and innovative way. This approach represents a new paradigm for the detection of individuals responding strategically to psychological testing. With continuing development and validation, this technique may have immense utility in the field of psychological assessment.

Detection of bacteriophage and respiratory viruses in droplets

Influenza is a widespread disease occurring in seasonal epidemics, and each year is responsible for up to 500,000 deaths worldwide. Influenza can develop into strains which cause severe symptoms and high mortality rates, and could potentially reach pandemic status if the virus’ properties allow easy transmission. Influenza is transmissible via contact with the virus, either directly (infected people) or indirectly (contaminated objects); via reception of large droplets over short distances (one metre or less); or through inhalation of aerosols containing the virus expelled by infected individuals during respiratory activities, that can remain suspended in the air and travel distances of more than one metre (the aerosol route). Aerosol transmission of viruses involves three stages: production of the droplets containing viruses; transport of the droplets and ability of a virus to remain intact and infectious; and reception of the droplets (via inhalation). Our understanding of the transmission of influenza viruses via the aerosol route is poor, and thus our ability to prevent a widespread outbreak is limited. This study explored the fate of viruses in droplets by investigating the effects of some physical factors on the recovery of both a bacteriophage model and influenza virus. Experiments simulating respiratory droplets were carried out using different types of droplets, generated from a commonly used water-like matrix, and also from an ‘artificial mucous’ matrix which was used to more closely resemble respiratory fluids. To detect viruses in droplets, we used the traditional plaque assay techniques, and also a sensitive, quantitative PCR assay specifically developed for this study. Our results showed that the artificial mucous suspension enhanced the recovery of infectious bacteriophage. We were able to report detection limits of infectious bacteriophage (no bacteriophage was detected by the plaque assay when aerosolised from a suspension of 103 PFU/mL, for three of the four droplet types tested), and that bacteriophage could remain infectious in suspended droplets for up to 20 minutes. We also showed that the nested real-time PCR assay was able to detect the presence of bacteriophage RNA where the plaque assay could not detect any intact particles. Finally, when applying knowledge from the bacteriophage experiments, we reported the quantitative recoveries of influenza viruses in droplets, which were more consistent and stable than we had anticipated. Influenza viruses can be detected up to 20 minutes (after aerosolisation) in suspended aerosols and possibly beyond. It also was detectable from nebulising suspensions with relatively low concentrations of viruses.

An exploration of young students' ability to generalise function tasks

The Early Years Generalising Project involves Australian students, Years 1-4 (age 5-9), and explores how the students grasp and express generalisations. This paper focuses on the data collected from clinical interviews with Year 3 and 4 cohorts in an investigative study focusing on the identifications, prediction and justification of function rules. It reports on students' attempts to generalise from function machine contexts, describing the various ways students express generalisation and highlighting the different levels of justification given by students. Finally, we conjecture that there are a set of stages in the expression and justification of generalisations that assist students to reach generality within tasks.

The effect of housing characteristics and occupant activities on the respiratory health of women and children in Lao PDR

The paper presents the results of a study conducted into the relationship between dwelling characteristics and occupant activities with the respiratory health of resident women and children in Lao People’s Democratic Republic (PDR). Lao is one of the least developed countries in south-east Asia with poor life expectancies and mortality rates. The study, commissioned by the World Health Organisation, included questionnaires delivered to residents of 356 dwellings in nine districts in Lao PDR over a five month period (December 2005-April 2006), with the aim of identifying the association between respiratory health and indoor air pollution, in particular exposures related to indoor biomass burning. Adjusted odds ratios were calculated for each health outcome separately using binary logistic regression. After adjusting for age, a wide range of symptoms of respiratory illness in women and children aged 1-4 years were positively associated with a range of indoor exposures related to indoor cooking, including exposure to a fire and location of the cooking place. Among women, “dust always inside the house” and smoking were also identified as strong risk factors for respiratory illness. Other strong risk factors for children, after adjusting for age and gender, included dust and drying clothes inside. This analysis confirms the role of indoor air pollution in the burden of disease among women and children in Lao PDR.

Section moment capacity tests of LiteSteel Beams

The LiteSteel Beam (LSB) is a new cold-formed hollow flange channel section developed by OneSteel Australian Tube Mills using their patented dual electric resistance welding and automated continuous roll-forming process. It has a unique geometry consisting of torsionally rigid rectangular hollow flanges and a relatively slender web. In addition to this unique geometry, the LSB sections also have unique characteristics relating to their stress-strain curves, residual stresses, initial geometric imperfections and hollow flanges that are not encountered in conventional hot-rolled and cold-formed steel channel sections. An experimental study including 20 section moment capacity tests was therefore conducted to investigate the behaviour and strength of LSB flexural members. The presence of inelastic reserve bending capacity in these beams was investigated in detail although the current design rules generally limit the section moment capacities of cold-formed steel members to their first yield moments. The ultimate moment capacities from the tests were compared with the section moment capacities predicted by the current cold-formed and hot-rolled steel design standards. It was found that compact and non-compact LSB sections have greater moment capacities than their first yield moments. The current cold-formed steel design standards were found to be conservative in predicting the section moment capacities of compact and non-compact LSB sections while the hot-rolled steel design standards were able to better predict them. This paper has shown that suitable modifications are needed to the current design rules to allow the inclusion of available inelastic bending capacities of LSBs in design.

Genetic evidence for the vital function of osterix in cementogenesis

To date, attempts to regenerate a complete tooth, including the critical periodontal tissues associated with the tooth root, have not been successful. Controversy still exists regarding the origin of the cell source for cellular cementum (epithelial or mesenchymal). This disagreement may be partially due to a lack of understanding of the events leading to the initiation and development of the tooth roots and supportive tissues, such as the cementum. Osterix (OSX) is a transcriptional factor essential for osteogenesis, but its role in cementogenesis has not been addressed. In the present study, we first documented a close relationship between the temporal- and spatial-expression pattern of OSX and the formation of cellular cementum. We then generated 3.6 Col 1-OSX transgenic mice, which displayed accelerated cementum formation vs. WT controls. Importantly, the conditional deletion of OSX in the mesenchymal cells with two different Cre systems (the 2.3 kb Col 1 and an inducible CAG-CreER) led to a sharp reduction in cellular cementum formation (including the cementum mass and mineral deposition rate) and gene expression of dentin matrix protein 1 (DMP1) by cementocytes. However, the deletion of the OSX gene after cellular cementum formed did not alter the properties of the mature cementum as evaluated by backscattered SEM and resin-cast SEM. Transient transfection of Osx in the cementoblasts in vitro significantly inhibited cell proliferation and increased cell differentiation and mineralization. Taken together, these data support 1) the mesenchymal origin of cellular cementum (from PDL progenitor cells); 2) the vital role of OSX in controlling the formation of cellular cementum; and 3) the limited remodeling of cellular cementum in adult mice.

Assessment of function and clinical utility of alcohol and other drug web sites : an observational, qualitative study

Background The increasing popularity and use of the internet makes it an attractive option for providing health information and treatment, including alcohol/other drug use. There is limited research examining how people identify and access information about alcohol or other drug (AOD) use online, or how they assess the usefulness of the information presented. This study examined the strategies that individuals used to identify and navigate a range of AOD websites, along with the attitudes concerning presentation and content. Methods Members of the general community in Brisbane and Roma (Queensland, Australia) were invited to participate in a 30-minute search of the internet for sites related to AOD use, followed by a focus group discussion. Fifty one subjects participated in the study across nine focus groups. Results Participants spent a maximum of 6.5 minutes on any one website, and less if the user was under 25 years of age. Time spent was as little as 2 minutes if the website was not the first accessed. Participants recommended that AOD-related websites should have an engaging home or index page, which quickly and accurately portrayed the site’s objectives, and provided clear site navigation options. Website content should clearly match the title and description of the site that is used by internet search engines. Participants supported the development of a portal for AOD websites, suggesting that it would greatly facilitate access and navigation. Treatment programs delivered online were initially viewed with caution. This appeared to be due to limited understanding of what constituted online treatment, including its potential efficacy. Conclusions A range of recommendations arise from this study regarding the design and development of websites, particularly those related to AOD use. These include prudent use of text and information on any one webpage, the use of graphics and colours, and clear, uncluttered navigation options. Implications for future website development are discussed.

Time limitations in NAPLAN numeracy tests

The article discusses evidence that time prevented many students from showing what they could do in the 2010 Year 7 and 9 NAPLAN numeracy tests. In addition to analysing the available data, the article discusses some NAPLAN numeracy questions that contribute to this problem. It is suggested that schools should investigate whether time limitation is a problem for their own students. The article discusses the implications of these findings for teachers preparing students for NAPLAN tests and for the developers of the tests.