Breaking down the non-normality of daily stock returns

This paper investigates whether the non-normality typically observed in daily stock-market returns could arise because of the joint existence of breaks and GARCH effects. It proposes a data-driven procedure to credibly identify the number and timing of breaks and applies it on the benchmark stock-market indices of 27 OECD countries. The findings suggest that a substantial element of the observed deviations from normality might indeed be due to the co-existence of breaks and GARCH effects. However, the presence of structural changes is found to be the primary reason for the non-normality and not the GARCH effects. Also, there is still some remaining excess kurtosis that is unlikely to be linked to the specification of the conditional volatility or the presence of breaks. Finally, an interesting sideline result implies that GARCH models have limited capacity in forecasting stock-market volatility.

Stock market efficiency before and after a financial liberalisation reform:do breaks in volatility dynamics matter?

This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances in the econometrics of structural change, it compares the distribution of the returns of five East Asian emerging markets when breaks in the mean and variance are either (i) imposed using certain official liberalisation dates or (ii) detected non-parametrically using a data-driven procedure. The results suggest that measuring deviations from normality of stock returns with no provision for potentially existing breaks incorporates substantial bias. This is likely to severely affect any inference based on the corresponding descriptive or test statistics.

Breaks in the UK household sector money demand function

We use non-parametric procedures to identify breaks in the underlying series of UK household sector money demand functions. Money demand functions are estimated using cointegration techniques and by employing both the Simple Sum and Divisia measures of money. P-star models are also estimated for out-of-sample inflation forecasting. Our findings suggest that the presence of breaks affects both the estimation of cointegrated money demand functions and the inflation forecasts. P-star forecast models based on Divisia measures appear more accurate at longer horizons and the majority of models with fundamentals perform better than a random walk model.

Non-conventional advertising formats in television versus spots: An analysis based on the generated recall

Advertising investment and audience figures indicate that television continues to lead as a mass advertising medium. However, its effectiveness is questioned due to problems such as zapping, saturation and audience fragmentation. This has favoured the development of non-conventional advertising formats. This study provides empirical evidence for the theoretical development. This investigation analyzes the recall generated by four non-conventional advertising formats in a real environment: short programme (branded content), television sponsorship, internal and external telepromotion versus the more conventional spot. The methodology employed has integrated secondary data with primary data from computer assisted telephone interviewing (CATI) were performed ad-hoc on a sample of 2000 individuals, aged 16 to 65, representative of the total television audience. Our findings show that non-conventional advertising formats are more effective at a cognitive level, as they generate higher levels of both unaided and aided recall, in all analyzed formats when compared to the spot.

Outer crust of a cold non-accreting magnetar

The outer-crust structure and composition of a cold, non-accreting magnetar are studied. We model the outer crust to be made of fully equilibrated matter where ionized nuclei form a Coulomb crystal embedded in an electron gas. The main effects of the strong magnetic field are those of quantizing the electron motion in Landau levels and of modifying the nuclear single-particle levels producing, on average, an increased binding of nucleons in nuclei present in the Coulomb lattice. The effect of a homogeneous and constant magnetic field on nuclear masses has been predicted by using a covariant density functional in which induced currents and axial deformation due to the presence of a magnetic field that breaks time-reversal symmetry have been included self-consistently in the nucleon and meson equations of motion. Although not yet observed, for Ba 1016 G both effects contribute to produce different compositions - odd-mass nuclei are frequently predicted - and to increase the neutron-drip pressure as compared to a typical neutron star. Specifically, in such a regime, the magnetic-field effects on nuclei favor the appearance of heavier nuclei at low pressures. As B increases, such heavier nuclei are also preferred up to larger pressures. For the most extreme magnetic field considered, B=1018 G, and for the models studied, almost the whole outer crust is made of 4092Zr52.

Improving risk stratification in non-ST-segment elevation myocardial infarction with combined assessment of GRACE and CRUSADE risk scores

BACKGROUND: Risk assessment is fundamental in the management of acute coronary syndromes (ACS), enabling estimation of prognosis. AIMS: To evaluate whether the combined use of GRACE and CRUSADE risk stratification schemes in patients with myocardial infarction outperforms each of the scores individually in terms of mortality and haemorrhagic risk prediction. METHODS: Observational retrospective single-centre cohort study including 566 consecutive patients admitted for non-ST-segment elevation myocardial infarction. The CRUSADE model increased GRACE discriminatory performance in predicting all-cause mortality, ascertained by Cox regression, demonstrating CRUSADE independent and additive predictive value, which was sustained throughout follow-up. The cohort was divided into four different subgroups: G1 (GRACE<141; CRUSADE<41); G2 (GRACE<141; CRUSADE≥41); G3 (GRACE≥141; CRUSADE<41); G4 (GRACE≥141; CRUSADE≥41). RESULTS: Outcomes and variables estimating clinical severity, such as admission Killip-Kimbal class and left ventricular systolic dysfunction, deteriorated progressively throughout the subgroups (G1 to G4). Survival analysis differentiated three risk strata (G1, lowest risk; G2 and G3, intermediate risk; G4, highest risk). The GRACE+CRUSADE model revealed higher prognostic performance (area under the curve [AUC] 0.76) than GRACE alone (AUC 0.70) for mortality prediction, further confirmed by the integrated discrimination improvement index. Moreover, GRACE+CRUSADE combined risk assessment seemed to be valuable in delineating bleeding risk in this setting, identifying G4 as a very high-risk subgroup (hazard ratio 3.5; P<0.001). CONCLUSIONS: Combined risk stratification with GRACE and CRUSADE scores can improve the individual discriminatory power of GRACE and CRUSADE models in the prediction of all-cause mortality and bleeding. This combined assessment is a practical approach that is potentially advantageous in treatment decision-making.

Hilbert Space Valued Signal Plus Noise Models: Analysis of Structural Breaks under High Dimensionality and Temporal Dependence

This thesis is concerned with change point analysis for time series, i.e. with detection of structural breaks in time-ordered, random data. This long-standing research field regained popularity over the last few years and is still undergoing, as statistical analysis in general, a transformation to high-dimensional problems. We focus on the fundamental »change in the mean« problem and provide extensions of the classical non-parametric Darling-Erdős-type cumulative sum (CUSUM) testing and estimation theory within highdimensional Hilbert space settings. In the first part we contribute to (long run) principal component based testing methods for Hilbert space valued time series under a rather broad (abrupt, epidemic, gradual, multiple) change setting and under dependence. For the dependence structure we consider either traditional m-dependence assumptions or more recently developed m-approximability conditions which cover, e.g., MA, AR and ARCH models. We derive Gumbel and Brownian bridge type approximations of the distribution of the test statistic under the null hypothesis of no change and consistency conditions under the alternative. A new formulation of the test statistic using projections on subspaces allows us to simplify the standard proof techniques and to weaken common assumptions on the covariance structure. Furthermore, we propose to adjust the principal components by an implicit estimation of a (possible) change direction. This approach adds flexibility to projection based methods, weakens typical technical conditions and provides better consistency properties under the alternative. In the second part we contribute to estimation methods for common changes in the means of panels of Hilbert space valued time series. We analyze weighted CUSUM estimates within a recently proposed »high-dimensional low sample size (HDLSS)« framework, where the sample size is fixed but the number of panels increases. We derive sharp conditions on »pointwise asymptotic accuracy« or »uniform asymptotic accuracy« of those estimates in terms of the weighting function. Particularly, we prove that a covariance-based correction of Darling-Erdős-type CUSUM estimates is required to guarantee uniform asymptotic accuracy under moderate dependence conditions within panels and that these conditions are fulfilled, e.g., by any MA(1) time series. As a counterexample we show that for AR(1) time series, close to the non-stationary case, the dependence is too strong and uniform asymptotic accuracy cannot be ensured. Finally, we conduct simulations to demonstrate that our results are practically applicable and that our methodological suggestions are advantageous.

G2

Combined media on photographic paper. 90" x 50" California Institute of Technology

Unveiling the molecular mechanism of BRCA2-RAD51 interaction to tackle cancer onset

Different kinds of lesions can occur to DNA, and among them, one of the most dangerous is the double strand breaks (DSBs). Actually, DSBs can result in mutations, chromosome translocation or deletion. For this kind of lesions, depending on cell cycle phase as well as DNA-end resection, cells have developed specific repair pathways. Among these the error-free homologous recombination (HR) plays a crucial role. HR takes place during S/G2 phases, since the sister chromatids can be used as homologous templates. In this process, hRAD51 and BRCA2 are key players. hRAD51 is a recombinase of 339 amino-acids highly conserved through evolution which displays an intrinsic tendency to form oligomeric structures. BRCA2 is a very large protein of 3418 amino-acids, essential for the recruitment and accumulation of hRAD51 in the nucleus repairing-foci. BRCA2 interacts with hRAD51 through eight, so-called, BRC repeats, composed of 35-40 amino-acids. Mutations within this region have been linked to an increased risk of ovarian cancer development. In particular, several reports highlighted that missense mutations within one BRC repeat can hamper BRCA2 activity. Considering the close homology between the BRC repeats, it is striking how these mutations cannot be counterbalanced by the other non-mutated repeats preserving the function and the interactions of BRCA2 with hRAD51. To date the only interaction that has been structurally elucidated, is the one taking place amid the fourth BRC repeat and hRAD51. Only very little biophysical information is available on the interaction of the other BRC repeats with hRAD51. This thesis aims at elucidating the mechanism of hRAD51-BRCA2 interaction, by means of biophysical and structural approaches.

Egfr Activating Mutations And Their Association With Response To Platinum-doublet Chemotherapy In Brazilian Non-small Cell Lung Cancer Patients.

The aim of the study was to analyze the frequency of epidermal growth factor receptor (EGFR) mutations in Brazilian non-small cell lung cancer patients and to correlate these mutations with response to benefit of platinum-based chemotherapy in non-small cell lung cancer (NSCLC). Our cohort consisted of prospective patients with NSCLCs who received chemotherapy (platinum derivates plus paclitaxel) at the [UNICAMP], Brazil. EGFR exons 18-21 were analyzed in tumor-derived DNA. Fifty patients were included in the study (25 with adenocarcinoma). EGFR mutations were identified in 6/50 (12 %) NSCLCs and in 6/25 (24 %) adenocarcinomas; representing the frequency of EGFR mutations in a mostly self-reported White (82.0 %) southeastern Brazilian population of NSCLCs. Patients with NSCLCs harboring EGFR exon 19 deletions or the exon 21 L858R mutation were found to have a higher chance of response to platinum-paclitaxel (OR 9.67 [95 % CI 1.03-90.41], p = 0.047). We report the frequency of EGFR activating mutations in a typical southeastern Brazilian population with NSCLC, which are similar to that of other countries with Western European ethnicity. EGFR mutations seem to be predictive of a response to platinum-paclitaxel, and additional studies are needed to confirm or refute this relationship.

Fatty Acid Synthase Inhibitors Induce Apoptosis In Non-tumorigenic Melan-a Cells Associated With Inhibition Of Mitochondrial Respiration.

The metabolic enzyme fatty acid synthase (FASN) is responsible for the endogenous synthesis of palmitate, a saturated long-chain fatty acid. In contrast to most normal tissues, a variety of human cancers overexpress FASN. One such cancer is cutaneous melanoma, in which the level of FASN expression is associated with tumor invasion and poor prognosis. We previously reported that two FASN inhibitors, cerulenin and orlistat, induce apoptosis in B16-F10 mouse melanoma cells via the intrinsic apoptosis pathway. Here, we investigated the effects of these inhibitors on non-tumorigenic melan-a cells. Cerulenin and orlistat treatments were found to induce apoptosis and decrease cell proliferation, in addition to inducing the release of mitochondrial cytochrome c and activating caspases-9 and -3. Transfection with FASN siRNA did not result in apoptosis. Mass spectrometry analysis demonstrated that treatment with the FASN inhibitors did not alter either the mitochondrial free fatty acid content or composition. This result suggests that cerulenin- and orlistat-induced apoptosis events are independent of FASN inhibition. Analysis of the energy-linked functions of melan-a mitochondria demonstrated the inhibition of respiration, followed by a significant decrease in mitochondrial membrane potential (ΔΨm) and the stimulation of superoxide anion generation. The inhibition of NADH-linked substrate oxidation was approximately 40% and 61% for cerulenin and orlistat treatments, respectively, and the inhibition of succinate oxidation was approximately 46% and 52%, respectively. In contrast, no significant inhibition occurred when respiration was supported by the complex IV substrate N,N,N',N'-tetramethyl-p-phenylenediamine (TMPD). The protection conferred by the free radical scavenger N-acetyl-cysteine indicates that the FASN inhibitors induced apoptosis through an oxidative stress-associated mechanism. In combination, the present results demonstrate that cerulenin and orlistat induce apoptosis in non-tumorigenic cells via mitochondrial dysfunction, independent of FASN inhibition.

Imported Malaria In A Non-endemic Area: The Experience Of The University Of Campinas Hospital In The Brazilian Southeast.

Although malaria in Brazil almost exclusively occurs within the boundaries of the Amazon Region, some concerns are raised regarding imported malaria to non-endemic areas of the country, notably increased incidence of complications due to delayed diagnoses. However, although imported malaria in Brazil represents a major health problem, only a few studies have addressed this subject. A retrospective case series is presented in which 263 medical charts were analysed to investigate the clinical and epidemiological characterization of malaria cases that were diagnosed and treated at Hospital & Clinics, State University of Campinas between 1998 and 2011. Amongst all medical charts analysed, 224 patients had a parasitological confirmed diagnosis of malaria. Plasmodium vivax and Plasmodium falciparum were responsible for 67% and 30% of the infections, respectively. The majority of patients were male (83%) of a productive age (median, 37 years old). Importantly, severe complications did not differ significantly between P. vivax (14 cases, 9%) and P. falciparum (7 cases, 10%) infections. Severe malaria cases were frequent among imported cases in Brazil outside of the Amazon area. The findings reinforce the idea that P. vivax infections in Brazil are not benign, regardless the endemicity of the area studied. Moreover, as the hospital is located in a privileged site, it could be used for future studies of malaria relapses and primaquine resistance mechanisms. Finally, based on the volume of cases treated and the secondary complications, referral malaria services are needed in the non-endemic areas of Brazil for a rapid and efficient and treatment.

Evaluation Of Fe Uptake And Translocation In Transgenic And Non-transgenic Soybean Plants Using Enriched Stable (57)fe As A Tracer.

A tracer experiment is carried out with transgenic T (variety M 7211 RR) and non-transgenic NT (variety MSOY 8200) soybean plants to evaluate if genetic modification can influence the uptake and translocation of Fe. A chelate of EDTA with enriched stable (57)Fe is applied to the plants cultivated in vermiculite plus substrate and the (57)Fe acts as a tracer. The exposure of plants to enriched (57)Fe causes the dilution of the natural previously existing Fe in the plant compartments and then the changed Fe isotopic ratio ((57)Fe/(56)Fe) is measured using a quadrupole-based inductively coupled plasma mass spectrometer equipped with a dynamic reaction cell (DRC). Mathematical calculations based on the isotope dilution methodology allow distinguishing the natural abundance Fe from the enriched Fe (incorporated during the experiment). The NT soybean plants acquire higher amounts of Fe from natural abundance (originally present in the soil) and from enriched Fe (coming from the (57)Fe-EDTA during the experiment) than T soybean ones, demonstrating that the NT soybean plants probably absorb higher amounts of Fe, independently of the source. The percentage of newly incorporated Fe (coming from the treatment) was approximately 2.0 and 1.1% for NT and T soybean plants, respectively. A higher fraction (90.1%) of enriched Fe is translocated to upper parts, and a slightly lower fraction (3.8%) is accumulated in the stems by NT plants than by T ones (85.1%; 5.1%). Moreover, in both plants, the Fe-EDTA facilitates the transport and translocation of Fe to the leaves. The genetic modification is probably responsible for differences observed between T and NT soybean plants.

[factors Associated With Satisfaction With Life Among Elderly Caregivers And Non-caregivers].

This article seeks to investigate associations between satisfaction with life and sociodemographic variables, health conditions, functionality, social involvement and social support among elderly caregivers and non-caregivers, as well as between satisfaction and the intensity of stress in the caregiver group. A sample of 338 caregivers was selected according to two items of the Brazilian version of the Elders Life Stress Inventory. A comparison-group of elderly non-caregivers was selected at random, with a similar gender, age and income profile. Data were derived from self-reported questionnaires and scales. Elderly caregivers with low levels of satisfaction and high levels of stress revealed more symptoms of insomnia, fatigue, diseases and worse IADL performance. Those with greater satisfaction and less stress revealed a good level of social support. Insomnia, depression and fatigue were associated with low satisfaction among caregivers, and with fatigue, depression and low social support among non-caregivers. It was considered relevant that instrumental, psychological and informative support can improve the quality of life and the quality of care provided by elderly caregivers, especially if they are affected by unfavorable health and psychosocial conditions and low satisfaction with life.

Oxidative Stress And Susceptibility To Mitochondrial Permeability Transition Precedes The Onset Of Diabetes In Autoimmune Non-obese Diabetic Mice.

Beta cell destruction in type 1 diabetes (TID) is associated with cellular oxidative stress and mitochondrial pathway of cell death. The aim of this study was to determine whether oxidative stress and mitochondrial dysfunction are present in T1D model (non-obese diabetic mouse, NOD) and if they are related to the stages of disease development. NOD mice were studied at three stages: non-diabetic, pre-diabetic, and diabetic and compared with age-matched Balb/c mice. Mitochondria respiration rates measured at phosphorylating and resting states in liver and soleus biopsies and in isolated liver mitochondria were similar in NOD and Balb/c mice at the three disease stages. However, NOD liver mitochondria were more susceptible to calcium-induced mitochondrial permeability transition as determined by cyclosporine-A-sensitive swelling and by decreased calcium retention capacity in all three stages of diabetes development. Mitochondria H2O2 production rate was higher in non-diabetic, but unaltered in pre-diabetic and diabetic NOD mice. The global cell reactive oxygen species (ROS), but not specific mitochondria ROS production, was significantly increased in NOD lymphomononuclear and stem cells in all disease stages. In addition, marked elevated rates of 2',7'-dichlorodihydrofluorescein (H2DCF) oxidation were observed in pancreatic islets from non-diabetic NOD mice. Using matrix-assisted laser desorption/ionization (MALDI) mass spectrometry (MS) and lipidomic approach, we identified oxidized lipid markers in NOD liver mitochondria for each disease stage, most of them being derivatives of diacylglycerols and phospholipids. These results suggest that the cellular oxidative stress precedes the establishment of diabetes and may be the cause of mitochondrial dysfunction that is involved in beta cell death.