Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations

This paper provides evidence on the sources of co-movement in monthly US and UK stock price movements by investigating the role of macroeconomic and financial variables in a bivariate system with time-varying conditional correlations. Crosscountry communality in response is uncovered, with changes in the US Federal Funds rate, UK bond yields and oil prices having similar negative effects in both markets. Other variables also play a role, especially for the UK market. These effects do not, however, explain the marked increase in cross-market correlations observed from around 2000, which we attribute to time variation in the correlations of shocks to these markets. A regime-switching smooth transition model captures this time variation well and shows the correlations increase dramatically around 1999-2000. JEL classifications: C32, C51, G15 Keywords: international stock returns, DCC-GARCH model, smooth transition conditional correlation GARCH model, model evaluation.

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche s habit persistence version of Lucas model we nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return.

Measuring Avoidable Health Inequality with Realization of Conditional Potential Life Years (RCPLY)

In a series of papers (Tang, Chin and Rao, 2008; and Tang, Petrie and Rao 2006 & 2007), we have tried to improve on a mortality-based health status indicator, namely age-at-death (AAD), and its associated health inequality indicators that measure the distribution of AAD. The main contribution of these papers is to propose a frontier method to separate avoidable and unavoidable mortality risks. This has facilitated the development of a new indicator of health status, namely the Realization of Potential Life Years (RePLY). The RePLY measure is based on the concept of a “frontier country” that, by construction, has the lowest mortality risks for each age-sex group amongst all countries. The mortality rates of the frontier country are used as a proxy for the unavoidable mortality rates, and the residual between the observed mortality rates and the unavoidable mortality rates are considered as avoidable morality rates. In this approach, however, countries at different levels of development are benchmarked against the same frontier country without considering their heterogeneity. The main objective of the current paper is to control for national resources in estimating (conditional) unavoidable and avoidable mortality risks for individual countries. This allows us to construct a new indicator of health status – Realization of Conditional Potential Life Years (RCPLY). The paper presents empirical results from a dataset of life tables for 167 countries from the year 2000, compiled and updated by the World Health Organization. Measures of national average health status and health inequality based on RePLY and RCPLY are presented and compared.

Optimal contracting with private information on cost expectation and variability

We study the screening problem that arises in a framework where, initially, the agent is privately informed about both the expected production cost and the cost variability and, at a later stage, he learns privately the cost realization. The speci c set of relevant incentive constraints, and so the characteristics of the optimal mechanism, depend nely upon the curvature of the principal s marginal surplus function as well as the relative importance of the two initial information problems. Pooling of production levels is optimally induced with respect to the cost variability when the principal's knowledge imperfection about the latter is sufficiently less important than that about the expected cost.

On Identification of Bayesian DSGE Models

In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a lack of identification may not be evident since the posterior of a parameter of interest may differ from its prior even if the parameter is unidentified. We show that this can even be the case even if the priors assumed on the structural parameters are independent. We suggest two Bayesian identification indicators that do not suffer from this difficulty and are relatively easy to compute. The first applies to DSGE models where the parameters can be partitioned into those that are known to be identified and the rest where it is not known whether they are identified. In such cases the marginal posterior of an unidentified parameter will equal the posterior expectation of the prior for that parameter conditional on the identified parameters. The second indicator is more generally applicable and considers the rate at which the posterior precision gets updated as the sample size (T) is increased. For identified parameters the posterior precision rises with T, whilst for an unidentified parameter its posterior precision may be updated but its rate of update will be slower than T. This result assumes that the identified parameters are pT-consistent, but similar differential rates of updates for identified and unidentified parameters can be established in the case of super consistent estimators. These results are illustrated by means of simple DSGE models.

In vivo conditional Pax4 overexpression in mature islet β-cells prevents stress-induced hyperglycemia in mice.

OBJECTIVE To establish the role of the transcription factor Pax4 in pancreatic islet expansion and survival in response to physiological stress and its impact on glucose metabolism, we generated transgenic mice conditionally and selectively overexpressing Pax4 or a diabetes-linked mutant variant (Pax4R129 W) in β-cells. RESEARCH DESIGN AND METHODS Glucose homeostasis and β-cell death and proliferation were assessed in Pax4- or Pax4R129 W-overexpressing transgenic animals challenged with or without streptozotocin. Isolated transgenic islets were also exposed to cytokines, and apoptosis was evaluated by DNA fragmentation or cytochrome C release. The expression profiles of proliferation and apoptotic genes and β-cell markers were studied by immunohistochemistry and quantitative RT-PCR. RESULTS Pax4 but not Pax4R129 W protected animals against streptozotocin-induced hyperglycemia and isolated islets from cytokine-mediated β-cell apoptosis. Cytochrome C release was abrogated in Pax4 islets treated with cytokines. Interleukin-1β transcript levels were suppressed in Pax4 islets, whereas they were increased along with NOS2 in Pax4R129 W islets. Bcl-2, Cdk4, and c-myc expression levels were increased in Pax4 islets while MafA, insulin, and GLUT2 transcript levels were suppressed in both animal models. Long-term Pax4 expression promoted proliferation of a Pdx1-positive cell subpopulation while impeding insulin secretion. Suppression of Pax4 rescued this defect with a concomitant increase in pancreatic insulin content. CONCLUSIONS Pax4 protects adult islets from stress-induced apoptosis by suppressing selective nuclear factor-κB target genes while increasing Bcl-2 levels. Furthermore, it promotes dedifferentiation and proliferation of β-cells through MafA repression, with a concomitant increase in Cdk4 and c-myc expression.

Central and Cortical Gray Mater Segmentation of Magnetic Resonance Images of the Fetal Brain

Motivation. The study of human brain development in itsearly stage is today possible thanks to in vivo fetalmagnetic resonance imaging (MRI) techniques. Aquantitative analysis of fetal cortical surfacerepresents a new approach which can be used as a markerof the cerebral maturation (as gyration) and also forstudying central nervous system pathologies [1]. However,this quantitative approach is a major challenge forseveral reasons. First, movement of the fetus inside theamniotic cavity requires very fast MRI sequences tominimize motion artifacts, resulting in a poor spatialresolution and/or lower SNR. Second, due to the ongoingmyelination and cortical maturation, the appearance ofthe developing brain differs very much from thehomogenous tissue types found in adults. Third, due tolow resolution, fetal MR images considerably suffer ofpartial volume (PV) effect, sometimes in large areas.Today extensive efforts are made to deal with thereconstruction of high resolution 3D fetal volumes[2,3,4] to cope with intra-volume motion and low SNR.However, few studies exist related to the automatedsegmentation of MR fetal imaging. [5] and [6] work on thesegmentation of specific areas of the fetal brain such asposterior fossa, brainstem or germinal matrix. Firstattempt for automated brain tissue segmentation has beenpresented in [7] and in our previous work [8]. Bothmethods apply the Expectation-Maximization Markov RandomField (EM-MRF) framework but contrary to [7] we do notneed from any anatomical atlas prior. Data set &Methods. Prenatal MR imaging was performed with a 1-Tsystem (GE Medical Systems, Milwaukee) using single shotfast spin echo (ssFSE) sequences (TR 7000 ms, TE 180 ms,FOV 40 x 40 cm, slice thickness 5.4mm, in plane spatialresolution 1.09mm). Each fetus has 6 axial volumes(around 15 slices per volume), each of them acquired inabout 1 min. Each volume is shifted by 1 mm with respectto the previous one. Gestational age (GA) ranges from 29to 32 weeks. Mother is under sedation. Each volume ismanually segmented to extract fetal brain fromsurrounding maternal tissues. Then, in-homogeneityintensity correction is performed using [9] and linearintensity normalization is performed to have intensityvalues that range from 0 to 255. Note that due tointra-tissue variability of developing brain someintensity variability still remains. For each fetus, ahigh spatial resolution image of isotropic voxel size of1.09 mm is created applying [2] and using B-splines forthe scattered data interpolation [10] (see Fig. 1). Then,basal ganglia (BS) segmentation is performed on thissuper reconstructed volume. Active contour framework witha Level Set (LS) implementation is used. Our LS follows aslightly different formulation from well-known Chan-Vese[11] formulation. In our case, the LS evolves forcing themean of the inside of the curve to be the mean intensityof basal ganglia. Moreover, we add local spatial priorthrough a probabilistic map created by fitting anellipsoid onto the basal ganglia region. Some userinteraction is needed to set the mean intensity of BG(green dots in Fig. 2) and the initial fitting points forthe probabilistic prior map (blue points in Fig. 2). Oncebasal ganglia are removed from the image, brain tissuesegmentation is performed as described in [8]. Results.The case study presented here has 29 weeks of GA. Thehigh resolution reconstructed volume is presented in Fig.1. The steps of BG segmentation are shown in Fig. 2.Overlap in comparison with manual segmentation isquantified by the Dice similarity index (DSI) equal to0.829 (values above 0.7 are considered a very goodagreement). Such BG segmentation has been applied on 3other subjects ranging for 29 to 32 GA and the DSI hasbeen of 0.856, 0.794 and 0.785. Our segmentation of theinner (red and blue contours) and outer cortical surface(green contour) is presented in Fig. 3. Finally, torefine the results we include our WM segmentation in theFreesurfer software [12] and some manual corrections toobtain Fig.4. Discussion. Precise cortical surfaceextraction of fetal brain is needed for quantitativestudies of early human brain development. Our workcombines the well known statistical classificationframework with the active contour segmentation forcentral gray mater extraction. A main advantage of thepresented procedure for fetal brain surface extraction isthat we do not include any spatial prior coming fromanatomical atlases. The results presented here arepreliminary but promising. Our efforts are now in testingsuch approach on a wider range of gestational ages thatwe will include in the final version of this work andstudying as well its generalization to different scannersand different type of MRI sequences. References. [1]Guibaud, Prenatal Diagnosis 29(4) (2009). [2] Rousseau,Acad. Rad. 13(9), 2006, [3] Jiang, IEEE TMI 2007. [4]Warfield IADB, MICCAI 2009. [5] Claude, IEEE Trans. Bio.Eng. 51(4) (2004). [6] Habas, MICCAI (Pt. 1) 2008. [7]Bertelsen, ISMRM 2009 [8] Bach Cuadra, IADB, MICCAI 2009.[9] Styner, IEEE TMI 19(39 (2000). [10] Lee, IEEE Trans.Visual. And Comp. Graph. 3(3), 1997, [11] Chan, IEEETrans. Img. Proc, 10(2), 2001 [12] Freesurfer,http://surfer.nmr.mgh.harvard.edu.

Volumetric quantification of atherosclerotic plaque in CT considering partial volume effect.

Coronary artery calcification (CAC) is quantified based on a computed tomography (CT) scan image. A calcified region is identified. Modified expectation maximization (MEM) of a statistical model for the calcified and background material is used to estimate the partial calcium content of the voxels. The algorithm limits the region over which MEM is performed. By using MEM, the statistical properties of the model are iteratively updated based on the calculated resultant calcium distribution from the previous iteration. The estimated statistical properties are used to generate a map of the partial calcium content in the calcified region. The volume of calcium in the calcified region is determined based on the map. The experimental results on a cardiac phantom, scanned 90 times using 15 different protocols, demonstrate that the proposed method is less sensitive to partial volume effect and noise, with average error of 9.5% (standard deviation (SD) of 5-7mm(3)) compared with 67% (SD of 3-20mm(3)) for conventional techniques. The high reproducibility of the proposed method for 35 patients, scanned twice using the same protocol at a minimum interval of 10 min, shows that the method provides 2-3 times lower interscan variation than conventional techniques.

Sound Texture Modelling

In the PhD thesis “Sound Texture Modeling” we deal with statistical modelling or textural sounds like water, wind, rain, etc. For synthesis and classification. Our initial model is based on a wavelet tree signal decomposition and the modeling of the resulting sequence by means of a parametric probabilistic model, that can be situated within the family of models trainable via expectation maximization (hidden Markov tree model ). Our model is able to capture key characteristics of the source textures (water, rain, fire, applause, crowd chatter ), and faithfully reproduces some of the sound classes. In terms of a more general taxonomy of natural events proposed by Graver, we worked on models for natural event classification and segmentation. While the event labels comprise physical interactions between materials that do not have textural propierties in their enterity, those segmentation models can help in identifying textural portions of an audio recording useful for analysis and resynthesis. Following our work on concatenative synthesis of musical instruments, we have developed a pattern-based synthesis system, that allows to sonically explore a database of units by means of their representation in a perceptual feature space. Concatenative syntyhesis with “molecules” built from sparse atomic representations also allows capture low-level correlations in perceptual audio features, while facilitating the manipulation of textural sounds based on their physical and perceptual properties. We have approached the problem of sound texture modelling for synthesis from different directions, namely a low-level signal-theoretic point of view through a wavelet transform, and a more high-level point of view driven by perceptual audio features in the concatenative synthesis setting. The developed framework provides unified approach to the high-quality resynthesis of natural texture sounds. Our research is embedded within the Metaverse 1 European project (2008-2011), where our models are contributting as low level building blocks within a semi-automated soundscape generation system.

Destruction of conditional insulinoma cell lines in NOD mice: a role for autoimmunity.

AIMS/HYPOTHESIS: betaTC-tet (H2(k)) is a conditional insulinoma cell line derived from transgenic mice expressing a tetracycline-regulated oncogene. Transgenic expression of several proteins implicated in the apoptotic pathways increase the resistance of betaTC-tet cells in vitro. We tested in vivo the sensitivity of the cells to rejection and the protective effect of genetic alterations in NOD mice. METHODS: betaTC-tet cells and genetically engineered lines expressing Bcl-2 (CDM3D), a dominant negative mutant of MyD88 or SOCS-1 were transplanted in diabetic female NOD mice or in male NOD mice with diabetes induced by high-dose streptozotocin. Survival of functional cell grafts in NOD-scid mice was also analyzed after transfer of splenocytes from diabetic NOD mice. Autoreactive T-cell hybridomas and splenocytes from diabetic NOD mice were stimulated by betaTC-tet cells. RESULTS: betaTC-tet cells and genetically engineered cell lines were all similarly rejected in diabetic NOD mice and in NOD-scid mice after splenocyte transfer. In 3- to 6-week-old male NOD mice treated with high-dose streptozotocin, the cells temporarily survived, in contrast with C57BL/6 mice treated with high-dose streptozotocin (indefinite survival) and untreated 3- to 6-week-old male NOD mice (rejection). The protective effect of high-dose streptozotocin was lost in older male NOD mice. betaTC-tet cells did not stimulate autoreactive T-cell hybridomas, but induced IL-2 secretion by splenocytes from diabetic NOD mice. CONCLUSION/INTERPRETATION: The autoimmune process seems to play an important role in the destruction of betaTC-tet cells in NOD mice. Genetic manipulations intended at increasing the resistance of beta cells were inefficient. Similar approaches should be tested in vivo as well as in vitro. High dose streptozotocin influences immune rejection and should be used with caution.

Dynamics of the recruitment of lateral amygdala neurons following successive fear learning to different conditional stimuli

In fear conditioning, an animal learns to associate an unconditioned stimulus (US), such as a shock, and a conditioned stimulus (CS), such as a tone, so that the presentation of the CS alone can trigger conditioned responses. Recent research on the lateral amygdala has shown that following cued fear conditioning, only a subset of higher-excitable neurons are recruited in the memory trace. Their selective deletion after fear conditioning results in a selective erasure of the fearful memory. I hypothesize that the recruitment of highly excitable neurons depends on responsiveness to stimuli, intrinsic excitability and local connectivity. In addition, I hypothesize that neurons recruited for an initial memory also participate in subsequent memories, and that changes in neuronal excitability affect secondary fear learning. To address these hypotheses, I will show that A) a rat can learn to associate two successive short-term fearful memories; B) neuronal populations in the LA are competitively recruited in the memory traces depending on individual neuronal advantages, as well as advantages granted by the local network. By performing two successive cued fear conditioning experiments, I found that rats were able to learn and extinguish the two successive short-term memories, when tested 1 hour after learning for each memory. These rats were equipped with a system of stable extracellular recordings that I developed, which allowed to monitor neuronal activity during fear learning. 233 individual putative pyramidal neurons could modulate their firing rate in response to the conditioned tone (conditioned neurons) and/or non- conditioned tones (generalizing neurons). Out of these recorded putative pyramidal neurons 86 (37%) neurons were conditioned to one or both tones. More precisely, one population of neurons encoded for a shared memory while another group of neurons likely encoded the memories' new features. Notably, in spite of a successful behavioral extinction, the firing rate of those conditioned neurons in response to the conditioned tone remained unchanged throughout memory testing. Furthermore, by analyzing the pre-conditioning characteristics of the conditioned neurons, I determined that it was possible to predict neuronal recruitment based on three factors: 1) initial sensitivity to auditory inputs, with tone-sensitive neurons being more easily recruited than tone- insensitive neurons; 2) baseline excitability levels, with more highly excitable neurons being more likely to become conditioned; and 3) the number of afferent connections received from local neurons, with neurons destined to become conditioned receiving more connections than non-conditioned neurons. - En conditionnement de la peur, un animal apprend à associer un stimulus inconditionnel (SI), tel un choc électrique, et un stimulus conditionné (SC), comme un son, de sorte que la présentation du SC seul suffit pour déclencher des réflexes conditionnés. Des recherches récentes sur l'amygdale latérale (AL) ont montré que, suite au conditionnement à la peur, seul un sous-ensemble de neurones plus excitables sont recrutés pour constituer la trace mnésique. Pour apprendre à associer deux sons au même SI, je fais l'hypothèse que les neurones entrent en compétition afin d'être sélectionnés lors du recrutement pour coder la trace mnésique. Ce recrutement dépendrait d'un part à une activation facilité des neurones ainsi qu'une activation facilité de réseaux de neurones locaux. En outre, je fais l'hypothèse que l'activation de ces réseaux de l'AL, en soi, est suffisante pour induire une mémoire effrayante. Pour répondre à ces hypothèses, je vais montrer que A) selon un processus de mémoire à court terme, un rat peut apprendre à associer deux mémoires effrayantes apprises successivement; B) des populations neuronales dans l'AL sont compétitivement recrutées dans les traces mnésiques en fonction des avantages neuronaux individuels, ainsi que les avantages consentis par le réseau local. En effectuant deux expériences successives de conditionnement à la peur, des rats étaient capables d'apprendre, ainsi que de subir un processus d'extinction, pour les deux souvenirs effrayants. La mesure de l'efficacité du conditionnement à la peur a été effectuée 1 heure après l'apprentissage pour chaque souvenir. Ces rats ont été équipés d'un système d'enregistrements extracellulaires stables que j'ai développé, ce qui a permis de suivre l'activité neuronale pendant l'apprentissage de la peur. 233 neurones pyramidaux individuels pouvaient moduler leur taux d'activité en réponse au son conditionné (neurones conditionnés) et/ou au son non conditionné (neurones généralisant). Sur les 233 neurones pyramidaux putatifs enregistrés 86 (37%) d'entre eux ont été conditionnés à un ou deux tons. Plus précisément, une population de neurones code conjointement pour un souvenir partagé, alors qu'un groupe de neurones différent code pour de nouvelles caractéristiques de nouveaux souvenirs. En particulier, en dépit d'une extinction du comportement réussie, le taux de décharge de ces neurones conditionné en réponse à la tonalité conditionnée est resté inchangée tout au long de la mesure d'apprentissage. En outre, en analysant les caractéristiques de pré-conditionnement des neurones conditionnés, j'ai déterminé qu'il était possible de prévoir le recrutement neuronal basé sur trois facteurs : 1) la sensibilité initiale aux entrées auditives, avec les neurones sensibles aux sons étant plus facilement recrutés que les neurones ne répondant pas aux stimuli auditifs; 2) les niveaux d'excitabilité des neurones, avec les neurones plus facilement excitables étant plus susceptibles d'être conditionnés au son ; et 3) le nombre de connexions reçues, puisque les neurones conditionné reçoivent plus de connexions que les neurones non-conditionnés. Enfin, nous avons constaté qu'il était possible de remplacer de façon satisfaisante le SI lors d'un conditionnement à la peur par des injections bilatérales de bicuculline, un antagoniste des récepteurs de l'acide y-Aminobutirique.

Hierarchical conditional random fields for parts based models matching

A parts based model is a parametrization of an object class using a collection of landmarks following the object structure. The matching of parts based models is one of the problems where pairwise Conditional Random Fields have been successfully applied. The main reason of their effectiveness is tractable inference and learning due to the simplicity of involved graphs, usually trees. However, these models do not consider possible patterns of statistics among sets of landmarks, and thus they sufffer from using too myopic information. To overcome this limitation, we propoese a novel structure based on a hierarchical Conditional Random Fields, which we explain in the first part of this memory. We build a hierarchy of combinations of landmarks, where matching is performed taking into account the whole hierarchy. To preserve tractable inference we effectively sample the label set. We test our method on facial feature selection and human pose estimation on two challenging datasets: Buffy and MultiPIE. In the second part of this memory, we present a novel approach to multiple kernel combination that relies on stacked classification. This method can be used to evaluate the landmarks of the parts-based model approach. Our method is based on combining responses of a set of independent classifiers for each individual kernel. Unlike earlier approaches that linearly combine kernel responses, our approach uses them as inputs to another set of classifiers. We will show that we outperform state-of-the-art methods on most of the standard benchmark datasets.

High expectation in non-evidence-based smoking cessation interventions among smokers--the CoLaus study.

To assess the preferred methods to quit smoking among current smokers. Cross-sectional, population-based study conducted in Lausanne between 2003 and 2006 including 988 current smokers. Preference was assessed by questionnaire. Evidence-based (EB) methods were nicotine replacement, bupropion, physician or group consultations; non-EB-based methods were acupuncture, hypnosis and autogenic training. EB methods were frequently (physician consultation: 48%, 95% confidence interval (45-51); nicotine replacement therapy: 35% (32-38)) or rarely (bupropion and group consultations: 13% (11-15)) preferred by the participants. Non-EB methods were preferred by a third (acupuncture: 33% (30-36)), a quarter (hypnosis: 26% (23-29)) or a seventh (autogenic training: 13% (11-15)) of responders. On multivariate analysis, women preferred both EB and non-EB methods more frequently than men (odds ratio and 95% confidence interval: 1.46 (1.10-1.93) and 2.26 (1.72-2.96) for any EB and non-EB method, respectively). Preference for non-EB methods was higher among highly educated participants, while no such relationship was found for EB methods. Many smokers are unaware of the full variety of methods to quit smoking. Better information regarding these methods is necessary.