Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

A comparative study of domestic, European and international job-related relocation

This paper explores a number of relocation outcomes for geographically mobile employees in the following three regions: Germany as the home country and destination for domestic assignments (n = 115), Western Europe (n = 116) and other countries (n = 236). The satisfaction with various aspects of the post-relocation environment, the perception of change between the pre- and post-relocation environment and the attachment to the post-relocation environment at various levels were compared between the three groups. For the European and international sub-samples differences in the ideal country and future plans were also investigated. The group that stood out most clearly was the domestic sub-sample. It emerged as the group least satisfied with their job or task characteristics, perceived significantly fewer changes in the environment and was comparatively eager to leave the site they were currently working at and the job they were currently employed in. The sometimes proposed redefinition of intra-European assignments as ‘quasi-domestic’ relocation appears to be inappropriate.

Multiplex RT-PCR for the detection of leukemia-associated translocations - Validation and application to routine molecular diagnostic practice

The aim of this study was to validate the application of a commercially available multiplex reverse transcription polymerase chain reaction (RT-PCR) assay [He-mavision-7 System] for the seven most common leukemia translocations for routine molecular diagnostic hematopathology practice. A total of 98 samples, comprising four groups, were evaluated: Group 1, 16 diagnostic samples molecularly positive by our existing laboratory-developed assays for PML-RARalpha/t (15; 17) or BCR-ABL/t (9;22); Group 2, 51 diagnostic samples negative by our laboratory-developed assays for PML-RARalpha/t (15;17) or BCR-ABL/t (9;22); Group 3, 21 prospectively analyzed diagnostic cases, without prior molecular studies; and Group 4, 10 minimal residual disease (MRD) samples. Analysis of the two previously studied cohorts (Groups 1 and 2) confirmed the diagnostic sensitivity and specificity of the multiplex assay with regard to these two translocations. Additionally, however, in the

Clinical and economic impact of contaminated blood cultures within the hospital setting

Blood cultures have an important role in the diagnosis of serious infections, although contamination of blood cultures (i.e. false-positive blood cultures) is a common problem within the hospital setting. The objective of the present investigation was to determine the impact of the false-positive blood culture results on the following outcomes: length of stay, hotel costs, antimicrobial costs, and costs of laboratory and radiological investigation. A retrospective case-control study design was used in which 142 false-positive blood culture cases were matched with suitable controls (patients for whom cultures were reported as true negatives). The matching criteria included age, comorbidity score and month of admission to the hospital. The research covered a 13-month period (July 2007 to July 2008). The findings indicated that differences in means, between cases and controls, for the length of hospital stay and the total costs were 5.4 days [95% CI (confidence interval): 2.8-8.1 days; P

Blood pressure lowering in patients without prior cerebrovascular disease for prevention of cognitive impairment and dementia

Background: This is an update of a previous review (McGuinness 2006). Hypertension and cognitive impairment are prevalent in older people. Hypertension is a direct risk factor for vascular dementia (VaD) and recent studies have suggested hypertension impacts upon prevalence of Alzheimer's disease (AD). Therefore does treatment of hypertension prevent cognitive decline?
Objectives: To assess the effects of blood pressure lowering treatments for the prevention of dementia and cognitive decline in patients with hypertension but no history of cerebrovascular disease.
Search strategy: The Specialized Register of the Cochrane Dementia and Cognitive Improvement Group, The Cochrane Library, MEDLINE, EMBASE, PsycINFO, CINAHL, LILACS as well as many trials databases and grey literature sources were searched on 13 February 2008 using the terms: hypertens$ OR anti-hypertens$. Selection criteria: Randomized, double-blind, placebo controlled trials in which pharmacological or non-pharmacological interventions to lower blood pressure were given for at least six months.
Data collection and analysis: Two independent reviewers assessed trial quality and extracted data. The following outcomes were assessed: incidence of dementia, cognitive change from baseline, blood pressure level, incidence and severity of side effects and quality of life.
Main results: Four trials including 15,936 hypertensive subjects were identified. Average age was 75.4 years. Mean blood pressure at entry across the studies was 171/86 mmHg. The combined result of the four trials reporting incidence of dementia indicated no significant difference between treatment and placebo (236/7767 versus 259/7660, Odds Ratio (OR) = 0.89, 95% CI 0.74, 1.07) and there was considerable heterogeneity between the trials. The combined results from the three trials reporting change in Mini Mental State Examination (MMSE) did not indicate a benefit from treatment (Weighted Mean Difference (WMD) = 0.42, 95%CI 0.30, 0.53). Both systolic and diastolic blood pressure levels were reduced significantly in the three trials assessing this outcome (WMD = -10.22, 95% CI -10.78, -9.66 for systolic blood pressure, WMD = -4.28, 95% CI -4.58, -3.98 for diastolic blood pressure). Three trials reported adverse effects requiring discontinuation of treatment and the combined results indicated no significant difference (OR = 1.01, 95% CI 0.92, 1.11). When analysed separately, however, more patients on placebo in Syst Eur 1997 were likely to discontinue treatment due to side effects; the converse was true in SHEP 1991. Quality of life data could not be analysed in the four studies. Analysis of the included studies in this review was problematic as many of the control subjects received antihypertensive treatment because their blood pressures exceeded pre-set values. In most cases the study became a comparison between the study drug against a usual antihypertensive regimen.
Authors' conclusions: There is no convincing evidence fromthe trials identified that blood pressure lowering in late-life prevents the development of dementia or cognitive impairment in hypertensive patients with no apparent prior cerebrovascular disease. There were significant problems identified with analysing the data, however, due to the number of patients lost to follow-up and the number of placebo patients who received active treatment. This introduced bias. More robust results may be obtained by conducting a meta-analysis using individual patient data.