Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.

Product-line specification and verification with feature-oriented contracts

Magdeburg, Univ., Fak. für Informatik, Diss., 2015

A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchange Rate

Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless, several empirical studies seem to show that the performance of such models is not always appropriate [Boulier(1992)]. In this paper we propose a new specification: the Quadratic Moving Average Conditional heteroskedasticity model. Its statistical properties, such as the kurtosis and the symmetry, as well as two estimators (Method of Moments and Maximum Likelihood) are studied. Two statistical tests are presented, the first one tests for homoskedasticity and the second one, discriminates between ARCH and QMACH specification. A Monte Carlo study is presented in order to illustrate some of the theoretical results. An empirical study is undertaken for the DM-US exchange rate.

Comprehensive Expression Analyses of Neural Cell-Type-Specific miRNAs Identify New Determinants of the Specification and Maintenance of Neuronal Phenotypes.

MicroRNAs (miRNAs) have been shown to play important roles in both brain development and the regulation of adult neural cell functions. However, a systematic analysis of brain miRNA functions has been hindered by a lack of comprehensive information regarding the distribution of miRNAs in neuronal versus glial cells. To address this issue, we performed microarray analyses of miRNA expression in the four principal cell types of the CNS (neurons, astrocytes, oligodendrocytes, and microglia) using primary cultures from postnatal d 1 rat cortex. These analyses revealed that neural miRNA expression is highly cell-type specific, with 116 of the 351 miRNAs examined being differentially expressed fivefold or more across the four cell types. We also demonstrate that individual neuron-enriched or neuron-diminished RNAs had a significant impact on the specification of neuronal phenotype: overexpression of the neuron-enriched miRNAs miR-376a and miR-434 increased the differentiation of neural stem cells into neurons, whereas the opposite effect was observed for the glia-enriched miRNAs miR-223, miR-146a, miR-19, and miR-32. In addition, glia-enriched miRNAs were shown to inhibit aberrant glial expression of neuronal proteins and phenotypes, as exemplified by miR-146a, which inhibited neuroligin 1-dependent synaptogenesis. This study identifies new nervous system functions of specific miRNAs, reveals the global extent to which the brain may use differential miRNA expression to regulate neural cell-type-specific phenotypes, and provides an important data resource that defines the compartmentalization of brain miRNAs across different cell types.

Absolute requirement for the pre-T cell receptor alpha chain during NK1.1+ TCRalphabeta cell development.

Most natural killer T (NKT) cells express a highly skewed alphabeta TCR repertoire, consisting of an invariant V alpha14-J alpha281 chain paired preferentially with a polyclonal Vbeta8.2 chain. This repertoire is positively selected by the monomorphic CD1d molecule expressed on cells of hematopoietic origin. The origin of NKT cells and their lineage relationship to conventional T cells is controversial. We show here that the development of NKT cells is absolutely dependent on expression of the pre-TCRalpha chain, in marked contrast to conventional T cells which arise in significant numbers even in the absence of a functional pre-TCR. Distinct developmental requirements for pre-TCR expression in the NKT and T cell lineages may reflect differences in the ability of the TCRalphabeta to substitute functionally for the pre-TCR in immature precursor cells.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Northern Ireland Framework Specification for the Degree in Social Work (PDF 213 KB)

Northern Ireland Framework Specification for the Degree in Social Work

Deficient T cell fate specification in mice with an induced inactivation of Notch1.

Notch proteins are cell surface receptors that mediate developmental cell specification events. To explore the function of murine Notch1, an essential portion of the gene was flanked with loxP sites and inactivation induced via interferon-regulated Cre recombinase. Mice with a neonatally induced loss of Notch1 function were transiently growth retarded and had a severe deficiency in thymocyte development. Competitive repopulation of lethally irradiated wild-type hosts with wild-type- and Notch1-deficient bone marrow revealed a cell autonomous blockage in T cell development at an early stage, before expression of T cell lineage markers. Notch1-deficient bone marrow did, however, contribute normally to all other hematopoietic lineages. These findings suggest that Notch1 plays an obligatory and selective role in T cell lineage induction.

Differential requirement for CD4 help in the development of an antigen-specific CD8+ T cell response depending on the route of immunization.

Previous studies in our laboratory have shown that DBA/2 mice injected i.p. with syngeneic P815 tumor cells transfected with the HLA-CW3 gene (P815-CW3) showed a dramatic expansion of activated CD8+CD62L- T cells expressing exclusively the Vbeta10 segment. We have used this model to study the regulatory mechanisms involved in the development of the CW3-specific CD8+ response, with respect to different routes of immunization. Whereas both intradermal (i.d.) and i.p. immunization of DBA/2 mice with P815-CW3 cells led to a strong expansion of CD8+CD62L-Vbeta10+ cells, only the i.d. route allowed this expansion after immunization with P815 cells transfected with a minigene coding for the antigenic epitope CW3 170-179 (P815 miniCW3). Furthermore, depletion of CD4+ T cells in vivo completely abolished the specific response of CD8+CD62L-Vbeta10+ cells and prevented the rejection of P815-CW3 tumor cells injected i.p., whereas it did not affect CD8S+CD62L-Vbeta10+ cell expansion after i.d. immunization with either P815-CW3 or P815 miniCW3. Finally, the CW3-specific CD8+ memory response was identical whether or not CD4+ T cells were depleted during the primary response. Collectively, these results suggest that the CD8+ T cell response to P815-CW3 tumor cells injected i.p. is strictly dependent upon recognition of a helper epitope by CD4+ T cells, whereas no such requirement is observed for i.d. injection.

Disseny i implementació d'un sistema de control de projectes

Aquest treball de fi de carrera, com descriu el seu títol, consisteix a dissenyar i implementar un sistema de control de projectes. Com tot projecte, complirà el requisit de disposar d'un pla que permeti fer un seguiment dels terminis d'execució, de les fites establertes i un control dels lliurables identificats. Pel fet de tractar-se del desenvolupament d'un sistema informàtic, considerarà les etapes d'especificació de requisits, anàlisi, disseny, codificació, proves unitàries i proves funcionals, i es generaran els informes pertinents que serveixin de documentació i de referència en les etapes posteriors. Des d'un punt de vista tecnològic, permetrà aprofundir en el coneixement de l'estructura de funcionament del PL/SQL d'Oracle (crides a procediments i, especialment, al tractament).