Quantiles of the Realized Stock-Bond Correlation

Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi…ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent …financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi…cations: C22; G01; G11; G12

Probability of achieving optimal molecular response to imatinib in chronic myeloid leukemia (CML) patients: Pharmacokinetic/Pharmacodynamic (PK/PD) relationships observed under field-conditions

Objectives: Imatinib has been increasingly proposed for therapeutic drug monitoring (TDM), as trough concentrations (Cmin) correlate with response rates in CML patients. This analysis aimed to evaluate the impact of imatinib exposure on optimal molecular response rates in a large European cohort of patients followed by centralized TDM.¦Methods: Sequential PK/PD analysis was performed in NONMEM 7 on 2230 plasma (PK) samples obtained along with molecular response (PD) data from 1299 CML patients. Model-based individual Bayesian estimates of exposure, parameterized as to initial dose adjusted and log-normalized Cmin (log-Cmin) or clearance (CL), were investigated as potential predictors of optimal molecular response, while accounting for time under treatment (stratified at 3 years), gender, CML phase, age, potentially interacting comedication, and TDM frequency. PK/PD analysis used mixed-effect logistic regression (iterative two-stage method) to account for intra-patient correlation.¦Results: In univariate analyses, CL, log-Cmin, time under treatment, TDM frequency, gender (all p<0.01) and CML phase (p=0.02) were significant predictors of the outcome. In multivariate analyses, all but log-Cmin remained significant (p<0.05). Our model estimates a 54.1% probability of optimal molecular response in a female patient with a median CL of 14.4 L/h, increasing by 4.7% with a 35% decrease in CL (percentile 10 of CL distribution), and decreasing by 6% with a 45% increased CL (percentile 90), respectively. Male patients were less likely than female to be in optimal response (odds ratio: 0.62, p<0.001), with an estimated probability of 42.3%.¦Conclusions: Beyond CML phase and time on treatment, expectedly correlated to the outcome, an effect of initial imatinib exposure on the probability of achieving optimal molecular response was confirmed in field-conditions by this multivariate analysis. Interestingly, male patients had a higher risk of suboptimal response, which might not exclusively derive from their 18.5% higher CL, but also from reported lower adherence to the treatment. A prospective longitudinal study would be desirable to confirm the clinical importance of identified covariates and to exclude biases possibly affecting this observational survey.

The correlation between inbreeding and fitness: does allele size matter?

The availability of highly polymorphic genetic markers, in particular microsatellites, has made it possible to test the effect of inbreeding on fitness in the field and in the absence of pedigree information. It has been suggested that the squared difference in allele size at a locus (d(2)) might be a better indicator of the level of inbreeding than is heterozygosity. Using an elegant new analytical model, Tsitrone et al. now put this idea to the test, and to rest.

Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

Phase 1 Study of an Inactivated Vaccine against American Tegumentary Leishmaniasis in Normal Volunteers in Brazil

A Phase 1 double-blind placebo-controlled study was performed to evaluate a vaccine against American tegumentary leishmaniasis in 61 healthy male volunteers. Side effects and the immune response to the vaccine were evaluated, with 1- and 2- dose schemes, with intervals of 7 or 21 days, each dose containing 1440 mg of protein N antigen of a single strain of Leishmania amazonensis (PH 8) diluted in merthiolated saline (1:10,000). Merthiolated saline and an inert substance were used as placebos. No significant clinical alterations were found following the respective injections in the vaccinated individuals as compared to the placebos, except for local pain, which was associated significantly with injection of the vaccine. The laboratory alterations we observed bore no association with the clinical findings and were unimportant. We observed no differences between the groups with regard to seroconversion or the Montenegro skin test. However, the group that received a single dose of the vaccine and the one that received two doses with a 21-day interval displayed cutaneous induration significantly larger than in the control group, with 100%, 100%, and 66% conversion in the skin test, respectively. We concluded that the vaccine does not present any major side effect that would contraindicate its use in healthy individuals.

Individual versus standard quality of life assessment in a phase II clinical trial in mesothelioma patients: feasibility and responsiveness to clinical changes.

BACKGROUND: In patients with malignant pleural mesothelioma undergoing a multimodality therapy, treatment toxicity may outweigh the benefit of progression-free survival. The subjective experience across different treatment phases is an important clinical outcome. This study compares a standard with an individual quality of life (QoL) measure used in a multi-center phase II trial. PATIENTS AND METHODS: Sixty-one patients with stage I-III technically operable pleural mesothelioma were treated with preoperative chemotherapy, followed by pleuropneumonectomy and subsequent radiotherapy. QoL was assessed at baseline, at day 1 of cycle 3, and 1, 3 and 6 months post-surgery by using the Rotterdam Symptom Checklist (RSCL) and the Schedule for the Evaluation of Quality of Life-Direct Weighting (SEIQoL-DW), a measure that is based on five individually nominated and weighted QoL-domains. RESULTS: Completion rates were 98% (RSCL) and 92% (SEIQoL) at baseline and 98%/89% at cycle 3, respectively. Of the operated patients (N=45) RSCL and SEIQoL were available from 86%/72%, 93%/74%, and 94%/76% at months 1, 3, and 6 post-surgery. Average assessment time for the SEIQoL was 24min compared to 8min needed for the RSCL. Median changes from baseline indicate that both RSCL QoL overall score and SEIQoL index remained stable during chemotherapy with a clinically significant deterioration (change>or=8 points) 1 month after surgery (median change of -66 and -14 for RSCL and SEIQoL, respectively). RSCL QoL overall scores improved thereafter, but remained beneath baseline level until 6 months after surgery. SEIQoL scores improved to baseline-level at month 3 after surgery, but worsened again at month 6. RSCL QoL overall score and SEIQoL index were moderately correlated at baseline (r=.30; p<or=.05) and at 6-month follow-up (r=.42; p<or=.05) but not at the other time points. CONCLUSION: The SEIQoL assessment seems to be feasible within a phase II clinical trial, but may require more effort from staff. More distinctive QoL changes in accordance with clinical changes were measured with the RSCL. Our findings suggest that the two measures are not interchangeable: the RSCL is to favor when mainly information related to the course of disease- and treatment is of interest.

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.

Quality assurance in the EORTC 22033-26033/CE5 phase III randomized trial for low grade glioma: the digital individual case review.

INTRODUCTION: The phase III EORTC 22033-26033/NCIC CE5 intergroup trial compares 50.4 Gy radiotherapy with up-front temozolomide in previously untreated low-grade glioma. We describe the digital EORTC individual case review (ICR) performed to evaluate protocol radiotherapy (RT) compliance. METHODS: Fifty-eight institutions were asked to submit 1-2 randomly selected cases. Digital ICR datasets were uploaded to the EORTC server and accessed by three central reviewers. Twenty-seven parameters were analysed including volume delineation, treatment planning, organ at risk (OAR) dosimetry and verification. Consensus reviews were collated and summary statistics calculated. RESULTS: Fifty-seven of seventy-two requested datasets from forty-eight institutions were technically usable. 31/57 received a major deviation for at least one section. Relocation accuracy was according to protocol in 45. Just over 30% had acceptable target volumes. OAR contours were missing in an average of 25% of cases. Up to one-third of those present were incorrectly drawn while dosimetry was largely protocol compliant. Beam energy was acceptable in 97% and 48 patients had per protocol beam arrangements. CONCLUSIONS: Digital RT plan submission and review within the EORTC 22033-26033 ICR provide a solid foundation for future quality assurance procedures. Strict evaluation resulted in overall grades of minor and major deviation for 37% and 32%, respectively.

Contact melting of a three-dimensional phase change material on a flat substrate

In this paper a model is developed to describe the three dimensional contact melting process of a cuboid on a heated surface. The mathematical description involves two heat equations (one in the solid and one in the melt), the Navier-Stokes equations for the flow in the melt, a Stefan condition at the phase change interface and a force balance between the weight of the solid and the countering pressure in the melt. In the solid an optimised heat balance integral method is used to approximate the temperature. In the liquid the small aspect ratio allows the Navier-Stokes and heat equations to be simplified considerably so that the liquid pressure may be determined using an igenfunction expansion and finally the problem is reduced to solving three first order ordinary differential equations. Results are presented showing the evolution of the melting process. Further reductions to the system are made to provide simple guidelines concerning the process. Comparison of the solutions with experimental data on the melting of n-octadecane shows excellent agreement.

First-line temozolomide combined with bevacizumab in metastatic melanoma: a multicentre phase II trial (SAKK 50/07).

BACKGROUND: Oral temozolomide has shown similar efficacy to dacarbazine in phase III trials with median progression-free survival (PFS) of 2.1 months. Bevacizumab has an inhibitory effect on the proliferation of melanoma and sprouting endothelial cells. We evaluated the addition of bevacizumab to temozolomide to improve efficacy in stage IV melanoma. PATIENTS AND METHODS: Previously untreated metastatic melanoma patients with Eastern Cooperative Oncology Group performance status of two or more were treated with temozolomide 150 mg/m(2) days 1-7 orally and bevacizumab 10 mg/kg body weight i.v. day 1 every 2 weeks until disease progression or unacceptable toxicity. The primary end point was disease stabilisation rate [complete response (CR), partial response (PR) or stable disease (SD)] at week 12 (DSR12); secondary end points were best overall response, PFS, overall survival (OS) and adverse events. RESULTS: Sixty-two patients (median age 59 years) enrolled at nine Swiss centres. DSR12 was 52% (PR: 10 patients and SD: 22 patients). Confirmed overall response rate was 16.1% (CR: 1 patient and PR: 9 patients). Median PFS and OS were 4.2 and 9.6 months. OS (12.0 versus 9.2 months; P = 0.014) was higher in BRAF V600E wild-type patients. CONCLUSIONS: The primary end point was surpassed showing promising activity of this bevacizumab/temozolomide combination with a favourable toxicity profile. Response and OS were significantly higher in BRAF wild-type patients.

RTOG 0525: Exploratory Subset Analysis from a Randomized Phase III Trial Comparing Standard (std) Adjuvant Temozolomide (TMZ) with a Dose-dense (dd) Schedule for Glioblastoma (GBM)

Purpose/Objective(s): RTwith TMZ is the standard for GBM. dd TMZ causes prolongedMGMTdepletion in mononuclear cells and possibly in tumor. The RTOG 0525 trial (ASCO 2011) did not show an advantage from dd TMZ for survival or progression free survival. We conducted exploratory, hypothesis-generating subset analyses to detect possible benefit from dd TMZ.Materials/Methods: Patients were randomized to std (150-200 mg/m2 x 5 d) or dd TMZ (75-100 mg/m2 x 21 d) q 4 weeks for 6- 12 cycles. Eligibility included age.18, KPS$ 60, and. 1 cm2 tissue for prospective MGMTanalysis for stratification. Furtheranalyses were performed for all randomized patients (''intent-to-treat'', ITT), and for all patients starting protocol therapy (SPT). Subset analyses were performed by RPA class (III, IV, V), KPS (90-100, = 50,\50), resection (partial, total), gender (female, male), and neurologic dysfunction (nf = none, minor, moderate).Results: No significant difference was seen for median OS (16.6 vs. 14.9 months), or PFS (5.5 vs. 6.7 months, p = 0.06). MGMT methylation was linked to improved OS (21.2 vs. 14 months, p\0.0001), and PFS (8.7 vs. 5.7 months, p\0.0001). For the ITT (n = 833), there was no OS benefit from dd TMZ in any subset. Two subsets showed a PFS benefit for dd TMZ: RPA class III (6.2 vs. 12.6 months, HR 0.69, p = 0.03) and nf = minor (HR 0.77, p = 0.01). For RPA III, dd dramatically delayed progression, but post-progression dd patients died more quickly than std. A similar pattern for nf = minor was observed. For the SPT group (n = 714) there was neither PFS nor OS benefit for dd TMZ, overall. For RPA class III and nf = minor, there was a PFS benefit for dd TMZ (HR 0.73, p = 0.08; HR 0.77, p = 0.02). For nf = moderate subset, both ITT and SPT, the std arm showed superior OS (14.4 vs. 10.9 months) compared to dd, without improved PFS (HR 1.46, p = 0.03; and HR 1.74, p = 0.01. In terms of methylation status within this subset, there were more methylated patients in the std arm of the ITT subset (n = 159; 32 vs. 24%). For the SPT subset (n = 124), methylation status was similar between arms.Conclusions: This study did not demonstrate improved OS for dd TMZ for any subgroup, but for 2 highly functional subgroups, PFS was significantly increased. These data generate the testable hypothesis that intensive treatment may selectively improve disease control in those most likely able to tolerate dd therapy. Interpretation of this should be considered carefully due to small sample size, the process of multiple observations, and other confounders.Acknowledgment: This project was supported by RTOG grant U10 CA21661, and CCOP grant U10 CA37422 from the National Cancer Institute (NCI).

Combination of transient lymphodepletion with busulfan and fludarabine and peptide vaccination in a phase I clinical trial for patients with advanced melanoma.

Taking advantage of homeostatic mechanisms to boost tumor-specific cellular immunity is raising increasing interest in the development of therapeutic strategies in the treatment of melanoma. Here, we have explored the potential of combining homeostatic proliferation, after transient immunosuppression, and antigenic stimulation of Melan-A/Mart-1 specific CD8 T-cells. In an effort to develop protocols that could be readily applicable to the clinic, we have designed a phase I clinical trial, involving lymphodepleting chemotherapy with Busulfan and Fludarabine, reinfusion of Melan-A specific CD8 T-cell containing peripheral blood mononuclear cells (exempt of growth factors), and Melan-A peptide vaccination. Six patients with advanced melanoma were enrolled in this outpatient regimen that demonstrated good feasibility combined with low toxicity. Consistent depletion of lymphocytes with persistent increased CD4/CD8 ratios was induced, although the proportion of circulating CD4 regulatory T-cells remained mostly unchanged. The study of the immune reconstitution period showed a steady recovery of whole T-cell numbers overtime. However, expansion of Melan-A specific CD8 T-cells, as measured in peripheral blood, was mostly inconsistent, accompanied with marginal phenotypic changes, despite vaccination with Melan-A/Mart-1 peptide. On the clinical level, 1 patient presented a partial but objective antitumor response following the beginning of the protocol, even though a direct effect of Busulfan/Fludarabine cannot be completely ruled out. Overall, these data provide further ground for the development of immunotherapeutic approaches to be both effective against melanoma and applicable in clinic.

A phase I study of the oral platinum agent satraplatin in sequential combination with capecitabine in the treatment of patients with advanced solid malignancies.

Abstract Background. The broad spectrum of antitumor activity of both the oral platinum analogue satraplatin (S) and capecitabine (C), along with the advantage of their oral administration, prompted a clinical study aimed to define the maximum tolerated dose (MTD) of the combination. Patients and methods. Four dose levels of S (mg/m(2)/day) and C (mg/m(2)/day) were evaluated in adult patients with advanced solid tumors: 60/1650, 80/1650, 60/2000, 70/2000; a course consisted of 28 days with sequential administration of S (days 1-5) and C (days 8-21) followed by one week rest. Results. Thirty-seven patients were treated, 24 in the dose escalation and 13 in the expansion phase; at the MTD, defined at S 70/C 2000, two patients presented dose limiting toxicities: lack of recovery of neutropenia by day 42 and nausea with dose skip of C. Most frequent toxicities were nausea (57%), diarrhea (51%), neutropenia (46%), anorexia, fatigue, vomiting (38% each). Two partial responses were observed in platinum sensitive ovarian cancer and one in prostate cancer. Conclusion. At S 70/C 2000 the combination of sequential S and C is tolerated with manageable toxicities; its evaluation in platinum and fluorouracil sensitive tumor types is worthwhile because of the easier administration and lack of nephro- and neurotoxicity as compared to parent compounds.

Phase I and phase II xenobiotic reactions and metabolism of the food-borne carcinogen 2-amino-3,8-dimethylimidazo[4,5-f]quinoxaline in aggregating liver cell cultures.

Aggregating fetal liver cell cultures were tested for their ability to metabolize xenobiotics using ethoxycoumarin-O-deethylase (ECOD), as marker of phase I metabolism, and glutathione S-transferase (GST), as marker for phase II reactions. Significant basal activities, stable over 14 days in culture were measured for both ECOD and GST activities. The prototype cytochrome P450 inducers, 3-methylcholanthrene (3-MC) and phenobarbital (PB), increased ECOD and GST activities reaching an optimum 7 days after culturing, followed by a decline in activity. This decline was partially prevented by 1% dimethyl sulfoxide (DMSO) added chronically to the culture medium. DMSO was also found to induce ECOD activity and to a lesser extent GST activity. Furthermore, it potentiated in a dose-dependent manner the induction of ECOD by PB. The food-borne carcinogen 2-amino-3,8-dimethylimidazo[4,5-f]quinoxaline (MeIQx) is metabolically transformed through a number of pathways in vivo. It was therefore used to examine the metabolic capacity in fetal and adult liver cell aggregates. Metabolism of MeIQx was mainly through N2-conjugation, resulting in formation of the N2-glucuronide and sulfamate conjugates for non-induced fetal liver cells. These metabolites were also found in large amounts in non-induced adult liver cells. Low levels of cytochrome P450-mediated ring-hydroxylated metabolites were detected in both non-induced fetal and adult liver cells. After induction with arochlor (PCB) or 3-MC, the major pathway was ring-hydroxylation (cytochrome P450 dependent), followed by conjugation to beta-glucuronic or sulfuric acid. The presence of the glucuronide conjugate of N-hydroxy-MeIQx, a mutagenic metabolite, suggested an induction of P450 CYP1A2. The metabolism of MeIQx by liver cell aggregates is very similar to that observed in vivo and suggests that aggregating liver cell cultures are a useful model for in vitro metabolic studies in toxicology.