The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.

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.

International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks

The performance of various statistical models and commonly used financial indicators for forecasting securitised real estate returns are examined for five European countries: the UK, Belgium, the Netherlands, France and Italy. Within a VAR framework, it is demonstrated that the gilt-equity yield ratio is in most cases a better predictor of securitized returns than the term structure or the dividend yield. In particular, investors should consider in their real estate return models the predictability of the gilt-equity yield ratio in Belgium, the Netherlands and France, and the term structure of interest rates in France. Predictions obtained from the VAR and univariate time-series models are compared with the predictions of an artificial neural network model. It is found that, whilst no single model is universally superior across all series, accuracy measures and horizons considered, the neural network model is generally able to offer the most accurate predictions for 1-month horizons. For quarterly and half-yearly forecasts, the random walk with a drift is the most successful for the UK, Belgian and Dutch returns and the neural network for French and Italian returns. Although this study underscores market context and forecast horizon as parameters relevant to the choice of the forecast model, it strongly indicates that analysts should exploit the potential of neural networks and assess more fully their forecast performance against more traditional models.

Biomarker discovery and redundancy reduction towards classification using a multi-factorial MALDI-TOF MS T2DM mouse model dataset

Diabetes like many diseases and biological processes is not mono-causal. On the one hand multifactorial studies with complex experimental design are required for its comprehensive analysis. On the other hand, the data from these studies often include a substantial amount of redundancy such as proteins that are typically represented by a multitude of peptides. Coping simultaneously with both complexities (experimental and technological) makes data analysis a challenge for Bioinformatics.

Effects of dietary polyunsaturated fatty acid supplementation on fatty acid composition in muscle and subcutaneous adipose tissue of lambs

Lambs (n = 48) were used in a 2 × 2 factorial arrangement of treatments to evaluate effects of inclusion of oil containing PUFA in high-concentrate diets (with or without) and duration of oil supplementation (pre- vs. postweaning) on CLA concentration of muscle and adipose tissue. Lambs were fed preweaning creep diets (with or without oil) corresponding to the dietary lactation treatment diet (with or without oil) of the dam. Dams blocked by lambing date and rearing type were randomly assigned to 1 of 2 lactation dietary treatments with or without oil supplementation. Creep diets contained approximately 70% concentrate and 30% roughage and were provided to lambs for ad libitum intake. At weaning (58.7 ± 2.5 d of age), lambs (n = 48) were randomly assigned within preweaning treatment groups to 1 of 2 postweaning dietary treatments (with or without oil) and 16 pens in a randomized block design, blocked by sex and BW. Postweaning diets were formulated to contain approximately 80% concentrate and 20% roughage and were fed once daily for ad libitum intake. Soybean and linseed oil (2:1, respectively) replaced ground corn and provided 3% additional fat in pre- and postweaning diets. Lambs were slaughtered at 60.3 ± 4.2 kg of BW. A subcutaneous fat (SQ) sample was obtained within 1 h postmortem and a LM sample at the 12th rib was obtained 24 h postmortem, and both were analyzed for fatty acid profile. Feedlot performance and carcass measurements were not affected (P ≥ 0.26) by oil supplementation. Total CLA content of LM and SQ was not affected (P ≥ 0.08) by oil supplementation pre- or postweaning, but trans-10, cis-12 CLA was greater (P = 0.02) in SQ from lambs supplemented with oil postweaning. Total PUFA content in LM was greater (P = 0.02) in lambs supplemented with oil pre- or postweaning as a result of increased concentrations of 18:2cis-9, cis-12 and longer chain PUFA. Conversely, pre- and postweaning oil supplementation resulted in less (P = 0.04) MUFA content in LM. Only postweaning oil supplementation increased (P = 0.001) SQ PUFA content. Feeding oils containing PUFA to lambs pre- and postweaning did not increase CLA content of muscle, whereas postweaning oil supplementation minimally increased CLA concentration of SQ fat. Inclusion of soybean and linseed oil in pre- and postweaning diets increased total PUFA content of SQ fat and muscle tissue without adversely affecting growth performance or carcass characteristics.

Energy and protein interactions and their effect on nitrogen excretion in dairy cows

The principal driver of nitrogen (N) losses from the body including excretion and secretion in milk is N intake. However, other covariates may also play a role in modifying the partitioning of N. This study tests the hypothesis that N partitioning in dairy cows is affected by energy and protein interactions. A database containing 470 dairy cow observations was collated from calorimetry experiments. The data include N and energy parameters of the diet and N utilization by the animal. Univariate and multivariate meta-analyses that considered both within and between study effects were conducted to generate prediction equations based on N intake alone or with an energy component. The univariate models showed that there was a strong positive linear relationships between N intake and N excretion in faeces, urine and milk. The slopes were 0.28 faeces N, 0.38 urine N and 0.20 milk N. Multivariate model analysis did not improve the fit. Metabolizable energy intake had a significant positive effect on the amount of milk N in proportion to faeces and urine N, which is also supported by other studies. Another measure of energy considered as a covariate to N intake was diet quality or metabolizability (the concentration of metabolizable energy relative to gross energy of the diet). Diet quality also had a positive linear relationship with the proportion of milk N relative to N excreted in faeces and urine. Metabolizability had the largest effect on faeces N due to lower protein digestibility of low quality diets. Urine N was also affected by diet quality and the magnitude of the effect was higher than for milk N. This research shows that including a measure of diet quality as a covariate with N intake in a model of N execration can enhance our understanding of the effects of diet composition on N losses from dairy cows. The new prediction equations developed in this study could be used to monitor N losses from dairy systems.

An isotope dilution model for partitioning phenylalanine uptake by the liver of lactating dairy cows

An isotope dilution model for partitioning phenylalanine uptake by the liver of the lactating dairy cow was constructed and solved in the steady state. If assumptions are made, model solution permits calculation of the rate of phenylalanine uptake from portal vein and hepatic arterial blood supply, phenylalanine release into the hepatic vein, phenylalanine oxidation and synthesis, and degradation of hepatic constitutive and export proteins. The model requires the measurement of plasma fow rate through the liver in combination with phenylalanine concentrations and plateau isotopic enrichments in arterial, portal and hepatic plasma during a constant infusion of [1-13C]phenylalanine tracer. The model can be applied to other amino acids with similar metabolic fates and will provide a means for assessing the impact of hepatic metabolism on amino acid availability to peripheral tissues. This is of particular importance for the dairy cow when considering the requirements for milk protein synthesis and the negative environmental impact of excessive nitrogen excretion.

Molecular systematics of the Cactaceae

Bayesian, maximum-likelihood, and maximum-parsimony phylogenies, constructed using nucleotide sequences from the plastid gene region trnK-matK, are employed to investigate relationships within the Cactaceae. These phylogenies sample 666 plants representing 532 of the 1438 species recognized in the family. All four subfamilies, all nine tribes, and 69% of currently recognized genera of Cactaceae are sampled. We found strong support for three of the four currently recognized subfamilies, although relationships between subfamilies were not well defined. Major clades recovered within the largest subfamilies, Opuntioideae and Cactoideae, are reviewed; only three of the nine currently accepted tribes delimited within these subfamilies, the Cacteae, Rhipsalideae, and Opuntieae, are monophyletic, although the Opuntieae were recovered in only the Bayesian and maximum-likelihood analyses, not in the maximum-parsimony analysis, and more data are needed to reveal the status of the Cylindropuntieae, which may yet be monophyletic. Of the 42 genera with more than one exemplar in our study, only 17 were monophyletic; 14 of these genera were from subfamily Cactoideae and three from subfamily Opuntioideae. We present a synopsis of the status of the currently recognized genera