Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

What will be the risk-free rate and benchmark yield curve following European monetary union?

Using a linear factor model, we study the behaviour of French, Germany, Italian and British sovereign yield curves in the run up to EMU. This allows us to determine which of these yield curves might best approximate a benchmark yield curve post EMU. We find that the best approximation for the risk free yield is the UK three month T-bill yield, followed by the German three month T-bill yield. As no one sovereign yield curve dominates all others, we find that a composite yield curve, consisting of French, Italian and UK bonds at different maturity points along the yield curve should be the benchmark post EMU.

A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate

This paper combines and generalizes a number of recent time series models of daily exchange rate series by using a SETAR model which also allows the variance equation of a GARCH specification for the error terms to be drawn from more than one regime. An application of the model to the French Franc/Deutschmark exchange rate demonstrates that out-of-sample forecasts for the exchange rate volatility are also improved when the restriction that the data it is drawn from a single regime is removed. This result highlights the importance of considering both types of regime shift (i.e. thresholds in variance as well as in mean) when analysing financial time series.

Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting

This paper proposes and implements a new methodology for forecasting time series, based on bicorrelations and cross-bicorrelations. It is shown that the forecasting technique arises as a natural extension of, and as a complement to, existing univariate and multivariate non-linearity tests. The formulations are essentially modified autoregressive or vector autoregressive models respectively, which can be estimated using ordinary least squares. The techniques are applied to a set of high-frequency exchange rate returns, and their out-of-sample forecasting performance is compared to that of other time series models

Forecasting exchange rate volatility using conditional variance models selected by information criteria

This paper uses appropriately modified information criteria to select models from the GARCH family, which are subsequently used for predicting US dollar exchange rate return volatility. The out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds, although less favourably on mean squared error grounds, with those generated by the commonly used GARCH(1, 1) model. An examination of the orders of models selected by the criteria reveals that (1, 1) models are typically selected less than 20% of the time.

Weighted alpha-rate dominating sets in social networks

We are looking into variants of a domination set problem in social networks. While randomised algorithms for solving the minimum weighted domination set problem and the minimum alpha and alpha-rate domination problem on simple graphs are already present in the literature, we propose here a randomised algorithm for the minimum weighted alpha-rate domination set problem which is, to the best of our knowledge, the first such algorithm. A theoretical approximation bound based on a simple randomised rounding technique is given. The algorithm is implemented in Python and applied to a UK Twitter mentions networks using a measure of individuals’ influence (klout) as weights. We argue that the weights of vertices could be interpreted as the costs of getting those individuals on board for a campaign or a behaviour change intervention. The minimum weighted alpha-rate dominating set problem can therefore be seen as finding a set that minimises the total cost and each individual in a network has at least alpha percentage of its neighbours in the chosen set. We also test our algorithm on generated graphs with several thousand vertices and edges. Our results on this real-life Twitter networks and generated graphs show that the implementation is reasonably efficient and thus can be used for real-life applications when creating social network based interventions, designing social media campaigns and potentially improving users’ social media experience.

Integrin-linked kinase regulates the rate of platelet activation and is essential for the formation of stable thrombi

BACKGROUND: Integrin-linked kinase (ILK) and its associated complex of proteins are involved in many cellular activation processes, including cell adhesion and integrin signaling. We have previously demonstrated that mice with induced platelet ILK deficiency show reduced platelet activation and aggregation, but only a minor bleeding defect. Here, we explore this apparent disparity between the cellular and hemostatic phenotypes. METHODS: The impact of ILK inhibition on integrin αII b β3 activation and degranulation was assessed with the ILK-specific inhibitor QLT0267, and a conditional ILK-deficient mouse model was used to assess the impact of ILK deficiency on in vivo platelet aggregation and thrombus formation. RESULTS: Inhibition of ILK reduced the rate of both fibrinogen binding and α-granule secretion, but was accompanied by only a moderate reduction in the maximum extent of platelet activation or aggregation in vitro. The reduction in the rate of fibrinogen binding occurred prior to degranulation or translocation of αII b β3 to the platelet surface. The change in the rate of platelet activation in the absence of functional ILK led to a reduction in platelet aggregation in vivo, but did not change the size of thrombi formed following laser injury of the cremaster arteriole wall in ILK-deficient mice. It did, however, result in a marked decrease in the stability of thrombi formed in ILK-deficient mice. CONCLUSION: Taken together, the findings of this study indicate that, although ILK is not essential for platelet activation, it plays a critical role in facilitating rapid platelet activation, which is essential for stable thrombus formation.

Motion of the dayside polar cap boundary during substorm cycles: II. Generation of poleward-moving events and polar cap patches by pulses in the magnetopause reconnection rate

Using data from the EISCAT (European Incoherent Scatter) VHF and CUTLASS (Co-operative UK Twin- Located Auroral Sounding System) HF radars, we study the formation of ionospheric polar cap patches and their relationship to the magnetopause reconnection pulses identified in the companion paper by Lockwood et al. (2005). It is shown that the poleward-moving, high-concentration plasma patches observed in the ionosphere by EISCAT on 23 November 1999, as reported by Davies et al. (2002), were often associated with corresponding reconnection rate pulses. However, not all such pulses generated a patch and only within a limited MLT range (11:00–12:00 MLT) did a patch result from a reconnection pulse. Three proposed mechanisms for the production of patches, and of the concentration minima that separate them, are analysed and evaluated: (1) concentration enhancement within the patches by cusp/cleft precipitation; (2) plasma depletion in the minima between the patches by fast plasma flows; and (3) intermittent injection of photoionisation-enhanced plasma into the polar cap. We devise a test to distinguish between the effects of these mechanisms. Some of the events repeat too frequently to apply the test. Others have sufficiently long repeat periods and mechanism (3) is shown to be the only explanation of three of the longer-lived patches seen on this day. However, effect (2) also appears to contribute to some events. We conclude that plasma concentration gradients on the edges of the larger patches arise mainly from local time variations in the subauroral plasma, via the mechanism proposed by Lockwood et al. (2000).

Motion of the dayside polar cap boundary during substorm cycles: I. Observations of pulses in the magnetopause reconnection rate

Using data from the EISCAT (European Incoherent Scatter) VHF radar and DMSP (Defense Meteorological Satellite Program) spacecraft passes, we study the motion of the dayside open-closed field line boundary during two substorm cycles. The satellite data show that the motions of ion and electron temperature boundaries in EISCAT data, as reported by Moen et al. (2004), are not localised around the radar; rather, they reflect motions of the open-closed field line boundary at all MLT throughout the dayside auroral ionosphere. The boundary is shown to erode equatorward when the IMF points southward, consistent with the effect of magnetopause reconnection. During the substorm expansion and recovery phases, the dayside boundary returns poleward, whether the IMF points northward or southward. However, the poleward retreat was much faster during the substorm for which the IMF had returned to northward than for the substorm for which the IMF remained southward – even though the former substorm is much the weaker of the two. These poleward retreats are consistent with the destruction of open flux at the tail current sheet. Application of a new analysis of the peak ion energies at the equatorward edge of the cleft/cusp/mantle dispersion seen by the DMSP satellites identifies the dayside reconnection merging gap to extend in MLT from about 9.5 to 15.5 h for most of the interval. Analysis of the boundary motion, and of the convection velocities seen near the boundary by EISCAT, allows calculation of the reconnection rate (mapped down to the ionosphere) from the flow component normal to the boundary in its own rest frame. This reconnection rate is not, in general, significantly different from zero before 06:45 UT (MLT<9.5 h) – indicating that the X line footprint expands over the EISCAT field-of-view to earlier MLT only occasionally and briefly. Between 06:45 UT and 12:45UT (9.5rate variation shows considerable pulsing on timescales of 2–20 min during periods of steady southward IMF.

The dependence of cusp ion signatures on the reconnection rate

The interpretation of structure in cusp ion dispersions is important for helping to understand the temporal and spatial structure of magnetopause reconnection. “Stepped” and “sawtooth” signatures have been shown to be caused by temporal variations in the reconnection rate under the same physical conditions for different satellite trajectories. The present paper shows that even for a single satellite path, a change in the amplitude of any reconnection pulses can alter the observed signature and even turn sawtooth into stepped forms and vice versa. On 20 August 1998, the Defense Meteorological Satellite Program (DMSP) craft F-14 crossed the cusp just to the south of Longyearbyen, returning on the following orbit. The two passes by the DMSP F-14 satellites have very similar trajectories and the open-closed field line boundary (OCB) crossings, as estimated from the SSJ/4 precipitating particle data and Polar UVI images, imply a similarly-shaped polar cap, yet the cusp ion dispersion signatures differ substantially. The cusp crossing at 08:54 UT displays a stepped ion dispersion previously considered to be typical of a meridional pass, whereas the crossing at 10:38 UT is a sawtooth form ion dispersion, previously considered typical of a satellite travelling longitudinally with respect to the OCB. It is shown that this change in dispersed ion signature is likely to be due to a change in the amplitude of the pulses in the reconnection rate, causing the stepped signature. Modelling of the low-energy ion cutoff under different conditions has reproduced the forms of signature observed.

An analysis of the accuracy of magnetopause reconnection rate variations deduced from cusp ion dispersion characteristics

We present an analysis of the accuracy of the method introduced by Lockwood et al. (1994) for the determination of the magnetopause reconnection rate from the dispersion of precipitating ions in the ionospheric cusp region. Tests are made by applying the method to synthesised data. The simulated cusp ion precipitation data are produced by an analytic model of the evolution of newly-opened field lines, along which magnetosheath ions are firstly injected across the magnetopause and then dispersed as they propagate into the ionosphere. The rate at which these newly opened field lines are generated by reconnection can be varied. The derived reconnection rate estimates are then compared with the input variation to the model and the accuracy of the method assessed. Results are presented for steady-state reconnection, for continuous reconnection showing a sine-wave variation in rate and for reconnection which only occurs in square wave pulses. It is found that the method always yields the total flux reconnected (per unit length of the open-closed field-line boundary) to within an accuracy of better than 5%, but that pulses tend to be smoothed so that the peak reconnection rate within the pulse is underestimated and the pulse length is overestimated. This smoothing is reduced if the separation between energy channels of the instrument is reduced; however this also acts to increase the experimental uncertainty in the estimates, an effect which can be countered by improving the time resolution of the observations. The limited time resolution of the data is shown to set a minimum reconnection rate below which the method gives spurious short-period oscillations about the true value. Various examples of reconnection rate variations derived from cusp observations are discussed in the light of this analysis.

Low and middle altitude cusp particle signatures for general magnetopause reconnection rate variations: 1. Theory

We present predictions of the signatures of magnetosheath particle precipitation (in the regions classified as open low-latitude boundary layer, cusp, mantle and polar cap) for periods when the interplanetary magnetic field has a southward component. These are made using the “pulsating cusp” model of the effects of time-varying magnetic reconnection at the dayside magnetopause. Predictions are made for both low-altitude satellites in the topside ionosphere and for midaltitude spacecraft in the magnetosphere. Low-altitude cusp signatures, which show a continuous ion dispersion signature, reveal "quasi-steady reconnection" (one limit of the pulsating cusp model), which persists for a period of at least 10 min. We estimate that “quasi-steady” in this context corresponds to fluctuations in the reconnection rate of a factor of 2 or less. The other limit of the pulsating cusp model explains the instantaneous jumps in the precipitating ion spectrum that have been observed at low altitudes. Such jumps are produced by isolated pulses of reconnection: that is, they are separated by intervals when the reconnection rate is zero. These also generate convecting patches on the magnetopause in which the field lines thread the boundary via a rotational discontinuity separated by more extensive regions of tangential discontinuity. Predictions of the corresponding ion precipitation signatures seen by midaltitude spacecraft are presented. We resolve the apparent contradiction between estimates of the width of the injection region from midaltitude data and the concept of continuous entry of solar wind plasma along open field lines. In addition, we reevaluate the use of pitch angle-energy dispersion to estimate the injection distance.

The variation of reconnection rate at the dayside magnetopause and cusp ion precipitation

A method is presented which allows estimation of the variation of the rate of magnetic reconnection at the day side magnetopause. This is achieved using observations of the cusp particle precipitation made by low-altitude polar-orbiting spacecraft. In this paper we apply the technique to a previously published example of a cusp intersection by the DMSP F7 satellite. It is shown that the cusp signature in this case was produced by three separate bursts of reconnection which were of the order of 10 min apart, each lasting roughly 1 min. This is similar to the variation of reconnection rate which is required to explain typical flux transfer event signatures at the magnetopause.

The carbon dioxide production rate assumption biases gastric emptying parameters in healthy adults

RATIONALE: An altered gastric emptying (GE) rate has been implicated in the aetiology of obesity. The (13)C-octanoic acid breath test (OBT) is frequently used to measure GE, and the cumulative percentage of (13)C recovered (cPDR) is a common outcome measure. However, true cPDR in breath is dependent on accurate measurement of carbon dioxide production rate (VCO(2)). The current study aimed to quantify differences in the (13)C OBT results obtained using directly measured VCO(2) (VCO(2DM)) compared with (i) predicted from resting VCO(2) (VCO(2PR)) and (ii) predicted from body surface area VCO(2) (VCO(2BSA)). METHODS: The GE rate of a high-fat test meal was assessed in 27 lean subjects using the OBT. Breath samples were gathered during the fasted state and at regular intervals throughout the 6-h postprandial period for determination of (13)C-isotopic enrichment by continuous-flow isotope-ratio mass spectrometry. The VCO(2) was measured directly from exhaled air samples and the PDR calculated by three methods. The bias and the limits of agreement were calculated using Bland-Altman plots. RESULTS: Compared with the VCO(2DM), the cPDR was underestimated by VCO(2PR) (4.8%; p = 0.0001) and VCO(2BSA) (2.7%; p = 0.02). The GE T(half) was underestimated by VCO(2PR) (13 min; p = 0.0001) and VCO(2BSA) (10 min; p = 0.01), compared with VCO(2DM). CONCLUSIONS: The findings highlight the importance of directly measuring VCO(2)production rates throughout the (13)C OBT and could partly explain the conflicting evidence regarding the effect of obesity on GE rates.