Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations

This paper provides evidence on the sources of co-movement in monthly US and UK stock price movements by investigating the role of macroeconomic and financial variables in a bivariate system with time-varying conditional correlations. Crosscountry communality in response is uncovered, with changes in the US Federal Funds rate, UK bond yields and oil prices having similar negative effects in both markets. Other variables also play a role, especially for the UK market. These effects do not, however, explain the marked increase in cross-market correlations observed from around 2000, which we attribute to time variation in the correlations of shocks to these markets. A regime-switching smooth transition model captures this time variation well and shows the correlations increase dramatically around 1999-2000. JEL classifications: C32, C51, G15 Keywords: international stock returns, DCC-GARCH model, smooth transition conditional correlation GARCH model, model evaluation.

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche s habit persistence version of Lucas model we nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return.

Measuring Avoidable Health Inequality with Realization of Conditional Potential Life Years (RCPLY)

In a series of papers (Tang, Chin and Rao, 2008; and Tang, Petrie and Rao 2006 & 2007), we have tried to improve on a mortality-based health status indicator, namely age-at-death (AAD), and its associated health inequality indicators that measure the distribution of AAD. The main contribution of these papers is to propose a frontier method to separate avoidable and unavoidable mortality risks. This has facilitated the development of a new indicator of health status, namely the Realization of Potential Life Years (RePLY). The RePLY measure is based on the concept of a “frontier country” that, by construction, has the lowest mortality risks for each age-sex group amongst all countries. The mortality rates of the frontier country are used as a proxy for the unavoidable mortality rates, and the residual between the observed mortality rates and the unavoidable mortality rates are considered as avoidable morality rates. In this approach, however, countries at different levels of development are benchmarked against the same frontier country without considering their heterogeneity. The main objective of the current paper is to control for national resources in estimating (conditional) unavoidable and avoidable mortality risks for individual countries. This allows us to construct a new indicator of health status – Realization of Conditional Potential Life Years (RCPLY). The paper presents empirical results from a dataset of life tables for 167 countries from the year 2000, compiled and updated by the World Health Organization. Measures of national average health status and health inequality based on RePLY and RCPLY are presented and compared.

The use of the likelihood ratio for evaluative and investigative purposes in comparative forensic handwriting examination

This paper extends previous research and discussion on the use of multivariate continuous data, which are about to become more prevalent in forensic science. As an illustrative example, attention is drawn here on the area of comparative handwriting examinations. Multivariate continuous data can be obtained in this field by analysing the contour shape of loop characters through Fourier analysis. This methodology, based on existing research in this area, allows one describe in detail the morphology of character contours throughout a set of variables. This paper uses data collected from female and male writers to conduct a comparative analysis of likelihood ratio based evidence assessment procedures in both, evaluative and investigative proceedings. While the use of likelihood ratios in the former situation is now rather well established (typically, in order to discriminate between propositions of authorship of a given individual versus another, unknown individual), focus on the investigative setting still remains rather beyond considerations in practice. This paper seeks to highlight that investigative settings, too, can represent an area of application for which the likelihood ratio can offer a logical support. As an example, the inference of gender of the writer of an incriminated handwritten text is forwarded, analysed and discussed in this paper. The more general viewpoint according to which likelihood ratio analyses can be helpful for investigative proceedings is supported here through various simulations. These offer a characterisation of the robustness of the proposed likelihood ratio methodology.

In vivo conditional Pax4 overexpression in mature islet β-cells prevents stress-induced hyperglycemia in mice.

OBJECTIVE To establish the role of the transcription factor Pax4 in pancreatic islet expansion and survival in response to physiological stress and its impact on glucose metabolism, we generated transgenic mice conditionally and selectively overexpressing Pax4 or a diabetes-linked mutant variant (Pax4R129 W) in β-cells. RESEARCH DESIGN AND METHODS Glucose homeostasis and β-cell death and proliferation were assessed in Pax4- or Pax4R129 W-overexpressing transgenic animals challenged with or without streptozotocin. Isolated transgenic islets were also exposed to cytokines, and apoptosis was evaluated by DNA fragmentation or cytochrome C release. The expression profiles of proliferation and apoptotic genes and β-cell markers were studied by immunohistochemistry and quantitative RT-PCR. RESULTS Pax4 but not Pax4R129 W protected animals against streptozotocin-induced hyperglycemia and isolated islets from cytokine-mediated β-cell apoptosis. Cytochrome C release was abrogated in Pax4 islets treated with cytokines. Interleukin-1β transcript levels were suppressed in Pax4 islets, whereas they were increased along with NOS2 in Pax4R129 W islets. Bcl-2, Cdk4, and c-myc expression levels were increased in Pax4 islets while MafA, insulin, and GLUT2 transcript levels were suppressed in both animal models. Long-term Pax4 expression promoted proliferation of a Pdx1-positive cell subpopulation while impeding insulin secretion. Suppression of Pax4 rescued this defect with a concomitant increase in pancreatic insulin content. CONCLUSIONS Pax4 protects adult islets from stress-induced apoptosis by suppressing selective nuclear factor-κB target genes while increasing Bcl-2 levels. Furthermore, it promotes dedifferentiation and proliferation of β-cells through MafA repression, with a concomitant increase in Cdk4 and c-myc expression.

The use of classification and regression trees to predict the likelihood of seasonal influenza.

Background Individual signs and symptoms are of limited value for the diagnosis of influenza. Objective To develop a decision tree for the diagnosis of influenza based on a classification and regression tree (CART) analysis. Methods Data from two previous similar cohort studies were assembled into a single dataset. The data were randomly divided into a development set (70%) and a validation set (30%). We used CART analysis to develop three models that maximize the number of patients who do not require diagnostic testing prior to treatment decisions. The validation set was used to evaluate overfitting of the model to the training set. Results Model 1 has seven terminal nodes based on temperature, the onset of symptoms and the presence of chills, cough and myalgia. Model 2 was a simpler tree with only two splits based on temperature and the presence of chills. Model 3 was developed with temperature as a dichotomous variable (≥38°C) and had only two splits based on the presence of fever and myalgia. The area under the receiver operating characteristic curves (AUROCC) for the development and validation sets, respectively, were 0.82 and 0.80 for Model 1, 0.75 and 0.76 for Model 2 and 0.76 and 0.77 for Model 3. Model 2 classified 67% of patients in the validation group into a high- or low-risk group compared with only 38% for Model 1 and 54% for Model 3. Conclusions A simple decision tree (Model 2) classified two-thirds of patients as low or high risk and had an AUROCC of 0.76. After further validation in an independent population, this CART model could support clinical decision making regarding influenza, with low-risk patients requiring no further evaluation for influenza and high-risk patients being candidates for empiric symptomatic or drug therapy.

Indirect likelihood inference

Given a sample from a fully specified parametric model, let Zn be a given finite-dimensional statistic - for example, an initial estimator or a set of sample moments. We propose to (re-)estimate the parameters of the model by maximizing the likelihood of Zn. We call this the maximum indirect likelihood (MIL) estimator. We also propose a computationally tractable Bayesian version of the estimator which we refer to as a Bayesian Indirect Likelihood (BIL) estimator. In most cases, the density of the statistic will be of unknown form, and we develop simulated versions of the MIL and BIL estimators. We show that the indirect likelihood estimators are consistent and asymptotically normally distributed, with the same asymptotic variance as that of the corresponding efficient two-step GMM estimator based on the same statistic. However, our likelihood-based estimators, by taking into account the full finite-sample distribution of the statistic, are higher order efficient relative to GMM-type estimators. Furthermore, in many cases they enjoy a bias reduction property similar to that of the indirect inference estimator. Monte Carlo results for a number of applications including dynamic and nonlinear panel data models, a structural auction model and two DSGE models show that the proposed estimators indeed have attractive finite sample properties.

The likelihood approach to compare populations : a study on DNA evidence and pitfalls of intuitions

The paper follows on from earlier work [Taroni F and Aitken CGG. Probabilistic reasoning in the law, Part 1: assessment of probabilities and explanation of the value of DNA evidence. Science & Justice 1998; 38: 165-177]. Different explanations of the value of DNA evidence were presented to students from two schools of forensic science and to members of fifteen laboratories all around the world. The responses were divided into two groups; those which came from a school or laboratory identified as Bayesian and those which came from a school or laboratory identified as non-Bayesian. The paper analyses these responses using a likelihood approach. This approach is more consistent with a Bayesian analysis than one based on a frequentist approach, as was reported by Taroni F and Aitken CGG. [Probabilistic reasoning in the law, Part 1: assessment of probabilities and explanation of the value of DNA evidence] in Science & Justice 1998.

Destruction of conditional insulinoma cell lines in NOD mice: a role for autoimmunity.

AIMS/HYPOTHESIS: betaTC-tet (H2(k)) is a conditional insulinoma cell line derived from transgenic mice expressing a tetracycline-regulated oncogene. Transgenic expression of several proteins implicated in the apoptotic pathways increase the resistance of betaTC-tet cells in vitro. We tested in vivo the sensitivity of the cells to rejection and the protective effect of genetic alterations in NOD mice. METHODS: betaTC-tet cells and genetically engineered lines expressing Bcl-2 (CDM3D), a dominant negative mutant of MyD88 or SOCS-1 were transplanted in diabetic female NOD mice or in male NOD mice with diabetes induced by high-dose streptozotocin. Survival of functional cell grafts in NOD-scid mice was also analyzed after transfer of splenocytes from diabetic NOD mice. Autoreactive T-cell hybridomas and splenocytes from diabetic NOD mice were stimulated by betaTC-tet cells. RESULTS: betaTC-tet cells and genetically engineered cell lines were all similarly rejected in diabetic NOD mice and in NOD-scid mice after splenocyte transfer. In 3- to 6-week-old male NOD mice treated with high-dose streptozotocin, the cells temporarily survived, in contrast with C57BL/6 mice treated with high-dose streptozotocin (indefinite survival) and untreated 3- to 6-week-old male NOD mice (rejection). The protective effect of high-dose streptozotocin was lost in older male NOD mice. betaTC-tet cells did not stimulate autoreactive T-cell hybridomas, but induced IL-2 secretion by splenocytes from diabetic NOD mice. CONCLUSION/INTERPRETATION: The autoimmune process seems to play an important role in the destruction of betaTC-tet cells in NOD mice. Genetic manipulations intended at increasing the resistance of beta cells were inefficient. Similar approaches should be tested in vivo as well as in vitro. High dose streptozotocin influences immune rejection and should be used with caution.

Dynamics of the recruitment of lateral amygdala neurons following successive fear learning to different conditional stimuli

In fear conditioning, an animal learns to associate an unconditioned stimulus (US), such as a shock, and a conditioned stimulus (CS), such as a tone, so that the presentation of the CS alone can trigger conditioned responses. Recent research on the lateral amygdala has shown that following cued fear conditioning, only a subset of higher-excitable neurons are recruited in the memory trace. Their selective deletion after fear conditioning results in a selective erasure of the fearful memory. I hypothesize that the recruitment of highly excitable neurons depends on responsiveness to stimuli, intrinsic excitability and local connectivity. In addition, I hypothesize that neurons recruited for an initial memory also participate in subsequent memories, and that changes in neuronal excitability affect secondary fear learning. To address these hypotheses, I will show that A) a rat can learn to associate two successive short-term fearful memories; B) neuronal populations in the LA are competitively recruited in the memory traces depending on individual neuronal advantages, as well as advantages granted by the local network. By performing two successive cued fear conditioning experiments, I found that rats were able to learn and extinguish the two successive short-term memories, when tested 1 hour after learning for each memory. These rats were equipped with a system of stable extracellular recordings that I developed, which allowed to monitor neuronal activity during fear learning. 233 individual putative pyramidal neurons could modulate their firing rate in response to the conditioned tone (conditioned neurons) and/or non- conditioned tones (generalizing neurons). Out of these recorded putative pyramidal neurons 86 (37%) neurons were conditioned to one or both tones. More precisely, one population of neurons encoded for a shared memory while another group of neurons likely encoded the memories' new features. Notably, in spite of a successful behavioral extinction, the firing rate of those conditioned neurons in response to the conditioned tone remained unchanged throughout memory testing. Furthermore, by analyzing the pre-conditioning characteristics of the conditioned neurons, I determined that it was possible to predict neuronal recruitment based on three factors: 1) initial sensitivity to auditory inputs, with tone-sensitive neurons being more easily recruited than tone- insensitive neurons; 2) baseline excitability levels, with more highly excitable neurons being more likely to become conditioned; and 3) the number of afferent connections received from local neurons, with neurons destined to become conditioned receiving more connections than non-conditioned neurons. - En conditionnement de la peur, un animal apprend à associer un stimulus inconditionnel (SI), tel un choc électrique, et un stimulus conditionné (SC), comme un son, de sorte que la présentation du SC seul suffit pour déclencher des réflexes conditionnés. Des recherches récentes sur l'amygdale latérale (AL) ont montré que, suite au conditionnement à la peur, seul un sous-ensemble de neurones plus excitables sont recrutés pour constituer la trace mnésique. Pour apprendre à associer deux sons au même SI, je fais l'hypothèse que les neurones entrent en compétition afin d'être sélectionnés lors du recrutement pour coder la trace mnésique. Ce recrutement dépendrait d'un part à une activation facilité des neurones ainsi qu'une activation facilité de réseaux de neurones locaux. En outre, je fais l'hypothèse que l'activation de ces réseaux de l'AL, en soi, est suffisante pour induire une mémoire effrayante. Pour répondre à ces hypothèses, je vais montrer que A) selon un processus de mémoire à court terme, un rat peut apprendre à associer deux mémoires effrayantes apprises successivement; B) des populations neuronales dans l'AL sont compétitivement recrutées dans les traces mnésiques en fonction des avantages neuronaux individuels, ainsi que les avantages consentis par le réseau local. En effectuant deux expériences successives de conditionnement à la peur, des rats étaient capables d'apprendre, ainsi que de subir un processus d'extinction, pour les deux souvenirs effrayants. La mesure de l'efficacité du conditionnement à la peur a été effectuée 1 heure après l'apprentissage pour chaque souvenir. Ces rats ont été équipés d'un système d'enregistrements extracellulaires stables que j'ai développé, ce qui a permis de suivre l'activité neuronale pendant l'apprentissage de la peur. 233 neurones pyramidaux individuels pouvaient moduler leur taux d'activité en réponse au son conditionné (neurones conditionnés) et/ou au son non conditionné (neurones généralisant). Sur les 233 neurones pyramidaux putatifs enregistrés 86 (37%) d'entre eux ont été conditionnés à un ou deux tons. Plus précisément, une population de neurones code conjointement pour un souvenir partagé, alors qu'un groupe de neurones différent code pour de nouvelles caractéristiques de nouveaux souvenirs. En particulier, en dépit d'une extinction du comportement réussie, le taux de décharge de ces neurones conditionné en réponse à la tonalité conditionnée est resté inchangée tout au long de la mesure d'apprentissage. En outre, en analysant les caractéristiques de pré-conditionnement des neurones conditionnés, j'ai déterminé qu'il était possible de prévoir le recrutement neuronal basé sur trois facteurs : 1) la sensibilité initiale aux entrées auditives, avec les neurones sensibles aux sons étant plus facilement recrutés que les neurones ne répondant pas aux stimuli auditifs; 2) les niveaux d'excitabilité des neurones, avec les neurones plus facilement excitables étant plus susceptibles d'être conditionnés au son ; et 3) le nombre de connexions reçues, puisque les neurones conditionné reçoivent plus de connexions que les neurones non-conditionnés. Enfin, nous avons constaté qu'il était possible de remplacer de façon satisfaisante le SI lors d'un conditionnement à la peur par des injections bilatérales de bicuculline, un antagoniste des récepteurs de l'acide y-Aminobutirique.

Hierarchical conditional random fields for parts based models matching

A parts based model is a parametrization of an object class using a collection of landmarks following the object structure. The matching of parts based models is one of the problems where pairwise Conditional Random Fields have been successfully applied. The main reason of their effectiveness is tractable inference and learning due to the simplicity of involved graphs, usually trees. However, these models do not consider possible patterns of statistics among sets of landmarks, and thus they sufffer from using too myopic information. To overcome this limitation, we propoese a novel structure based on a hierarchical Conditional Random Fields, which we explain in the first part of this memory. We build a hierarchy of combinations of landmarks, where matching is performed taking into account the whole hierarchy. To preserve tractable inference we effectively sample the label set. We test our method on facial feature selection and human pose estimation on two challenging datasets: Buffy and MultiPIE. In the second part of this memory, we present a novel approach to multiple kernel combination that relies on stacked classification. This method can be used to evaluate the landmarks of the parts-based model approach. Our method is based on combining responses of a set of independent classifiers for each individual kernel. Unlike earlier approaches that linearly combine kernel responses, our approach uses them as inputs to another set of classifiers. We will show that we outperform state-of-the-art methods on most of the standard benchmark datasets.

Uncertainty about the true source. A note on the likelihood ratio at the activity level.

This paper focuses on likelihood ratio based evaluations of fibre evidence in cases in which there is uncertainty about whether or not the reference item available for analysis - that is, an item typically taken from the suspect or seized at his home - is the item actually worn at the time of the offence. A likelihood ratio approach is proposed that, for situations in which certain categorical assumptions can be made about additionally introduced parameters, converges to formula described in existing literature. The properties of the proposed likelihood ratio approach are analysed through sensitivity analyses and discussed with respect to possible argumentative implications that arise in practice.

Conditional compositional biplots: theory and application

The biplot has proved to be a powerful descriptive and analytical tool in many areasof applications of statistics. For compositional data the necessary theoreticaladaptation has been provided, with illustrative applications, by Aitchison (1990) andAitchison and Greenacre (2002). These papers were restricted to the interpretation ofsimple compositional data sets. In many situations the problem has to be described insome form of conditional modelling. For example, in a clinical trial where interest isin how patients’ steroid metabolite compositions may change as a result of differenttreatment regimes, interest is in relating the compositions after treatment to thecompositions before treatment and the nature of the treatments applied. To study thisthrough a biplot technique requires the development of some form of conditionalcompositional biplot. This is the purpose of this paper. We choose as a motivatingapplication an analysis of the 1992 US President ial Election, where interest may be inhow the three-part composition, the percentage division among the three candidates -Bush, Clinton and Perot - of the presidential vote in each state, depends on the ethniccomposition and on the urban-rural composition of the state. The methodology ofconditional compositional biplots is first developed and a detailed interpretation of the1992 US Presidential Election provided. We use a second application involving theconditional variability of tektite mineral compositions with respect to major oxidecompositions to demonstrate some hazards of simplistic interpretation of biplots.Finally we conjecture on further possible applications of conditional compositionalbiplots

Conditional deletion of ferritin h in mice reduces B and T lymphocyte populations.

The immune system and iron availability are intimately linked as appropriate iron supply is needed for cell proliferation, while excess iron, as observed in hemochromatosis, may reduce subsets of lymphocytes. We have tested the effects of a ferritin H gene deletion on lymphocytes. Mx-Cre mediated conditional deletion of ferritin H in bone marrow reduced the number of mature B cells and peripheral T cells in all lymphoid organs. FACS analysis showed an increase in the labile iron pool, enhanced reactive oxygen species formation and mitochondrial depolarization. The findings were confirmed by a B-cell specific deletion using Fth(lox/lox) ; CD19-Cre mice. Mature B cells were strongly under-represented in bone marrow and spleen of the deleted mice, whereas pre-B and immature B cells were not affected. Bone marrow B cells showed increased proliferation as judged by the number of cells in S and G2/M phase as well as BrdU incorporation. Upon in vitro culture with B-cell activating factor of the tumor necrosis factor family (BAFF), ferritin H-deleted spleen B cells showed lower survival rates than wild type cells. This was partially reversed with iron-chelator deferiprone. The loss of T cells was also confirmed by a T cell-specific deletion in Fth(lox/lox) ;CD4-Cre mice. Our data show that ferritin H is required for B and T cell survival by actively reducing the labile iron pool. They further suggest that natural B and T cell maturation is influenced by intracellular iron levels and possibly deregulated in iron excess or deprivation.