Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Gaussian anamorphosis in the analysis step of the EnKF: a joint state-variable/observation approach

The analysis step of the (ensemble) Kalman filter is optimal when (1) the distribution of the background is Gaussian, (2) state variables and observations are related via a linear operator, and (3) the observational error is of additive nature and has Gaussian distribution. When these conditions are largely violated, a pre-processing step known as Gaussian anamorphosis (GA) can be applied. The objective of this procedure is to obtain state variables and observations that better fulfil the Gaussianity conditions in some sense. In this work we analyse GA from a joint perspective, paying attention to the effects of transformations in the joint state variable/observation space. First, we study transformations for state variables and observations that are independent from each other. Then, we introduce a targeted joint transformation with the objective to obtain joint Gaussianity in the transformed space. We focus primarily in the univariate case, and briefly comment on the multivariate one. A key point of this paper is that, when (1)-(3) are violated, using the analysis step of the EnKF will not recover the exact posterior density in spite of any transformations one may perform. These transformations, however, provide approximations of different quality to the Bayesian solution of the problem. Using an example in which the Bayesian posterior can be analytically computed, we assess the quality of the analysis distributions generated after applying the EnKF analysis step in conjunction with different GA options. The value of the targeted joint transformation is particularly clear for the case when the prior is Gaussian, the marginal density for the observations is close to Gaussian, and the likelihood is a Gaussian mixture.

Long-term drift of the coronal source magnetic flux and the total solar irradiance

We test the method of Lockwood et al. [1999] for deriving the coronal source flux from the geomagnetic aa index and show it to be accurate to within 12% for annual means and 4.5% for averages over a sunspot cycle. Using data from four solar constant monitors during 1981-1995, we find a linear relationship between this magnetic flux and the total solar irradiance. From this correlation, we show that the 131% rise in the mean coronal source field over the interval 1901-1995 corresponds to a rise in the average total solar irradiance of {\Delta}I = 1.65 +/- 0.23 Wm^{-2}.

Organic soils promote the efficacy of entomopathogenic nematodes, with different foraging strategies, in the control of a major forest pest: a meta-analysis of field trial data

The large pine weevil, Hylobius abietis, is a serious pest of reforestation in northern Europe. However, weevils developing in stumps of felled trees can be killed by entomopathogenic nematodes applied to soil around the stumps and this method of control has been used at an operational level in the UK and Ireland. We investigated the factors affecting the efficacy of entomopathogenic nematodes in the control of the large pine weevil spanning 10 years of field experiments, by means of a meta-analysis of published studies and previously unpublished data. We investigated two species with different foraging strategies, the ‘ambusher’ Steinernema carpocapsae, the species most often used at an operational level, and the ‘cruiser’ Heterorhabditis downesi. Efficacy was measured both by percentage reduction in numbers of adults emerging relative to untreated controls and by percentage parasitism of developing weevils in the stump. Both measures were significantly higher with H. downesi compared to S. carpocapsae. General linear models were constructed for each nematode species separately, using substrate type (peat versus mineral soil) and tree species (pine versus spruce) as fixed factors, weevil abundance (from the mean of untreated stumps) as a covariate and percentage reduction or percentage parasitism as the response variable. For both nematode species, the most significant and parsimonious models showed that substrate type was consistently, but not always, the most significant variable, whether replicates were at a site or stump level, and that peaty soils significantly promote the efficacy of both species. Efficacy, in terms of percentage parasitism, was not density dependent.

The validation of a computer-based food record for older adults: the Novel Assessment of Nutrition and Ageing (NANA) method

Dietary assessment in older adults can be challenging. The Novel Assessment of Nutrition and Ageing (NANA) method is a touch-screen computer-based food record that enables older adults to record their dietary intakes. The objective of the present study was to assess the relative validity of the NANA method for dietary assessment in older adults. For this purpose, three studies were conducted in which a total of ninety-four older adults (aged 65–89 years) used the NANA method of dietary assessment. On a separate occasion, participants completed a 4 d estimated food diary. Blood and 24 h urine samples were also collected from seventy-six of the volunteers for the analysis of biomarkers of nutrient intake. The results from all the three studies were combined, and nutrient intake data collected using the NANA method were compared against the 4 d estimated food diary and biomarkers of nutrient intake. Bland–Altman analysis showed a reasonable agreement between the dietary assessment methods for energy and macronutrient intake; however, there were small, but significant, differences for energy and protein intake, reflecting the tendency for the NANA method to record marginally lower energy intakes. Significant positive correlations were observed between urinary urea and dietary protein intake using both the NANA and the 4 d estimated food diary methods, and between plasma ascorbic acid and dietary vitamin C intake using the NANA method. The results demonstrate the feasibility of computer-based dietary assessment in older adults, and suggest that the NANA method is comparable to the 4 d estimated food diary, and could be used as an alternative to the food diary for the short-term assessment of an individual’s dietary intake.

Reliability of a method for evaluating porosity in denture base resins

Background: The method of porosity analysis by water absorption has been carried out by the storage of the specimens in pure water, but it does not exclude the potential plasticising effect of the water generating unreal values of porosity. Objective: The present study evaluated the reliability of this method of porosity analysis in polymethylmethacrylate denture base resins by the determination of the most satisfactory solution for storage (S), where the plasticising effect was excluded. Materials and methods: Two specimen shapes (rectangular and maxillary denture base) and two denture base resins, water bath-polymerised (Classico) and microwave-polymerised (Acron MC) were used. Saturated anhydrous calcium chloride solutions (25%, 50%, 75%) and distilled water were used for specimen storage. Sorption isotherms were used to determine S. Porosity factor (PF) and diffusion coefficient (D) were calculated within S and for the groups stored in distilled water. anova and Tukey tests were performed to identify significant differences in PF results and Kruskal-Wallis test and Dunn multiple comparison post hoc test, for D results (alpha = 0.05). Results: For Acron MC denture base shape, FP results were 0.24% (S 50%) and 1.37% (distilled water); for rectangular shape FP was 0.35% (S 75%) and 0.19% (distilled water). For Classico denture base shape, FP results were 0.54% (S 75%) and 1.21% (distilled water); for rectangular shape FP was 0.7% (S 50%) and 1.32% (distilled water). FP results were similar in S and distilled water only for Acron MC rectangular shape (p > 0.05). D results in distilled water were statistically higher than S for all groups. Conclusions: The results of the study suggest that an adequate solution for storing specimens must be used to measure porosity by water absorption, based on excluding the plasticising effect.

Determination of volatile organic compounds in recycled polyethylene terephthalate and high-density polyethylene by headspace solid phase microextraction gas chromatography mass spectrometry to evaluate the efficiency of recycling processes

A method for the determination of volatile organic compounds (VOCs) in recycled polyethylene terephthalate and high-density polyethylene using headspace sampling by solid-phase microextraction and gas chromatography coupled to mass spectrometry detection is presented. This method was used to evaluate the efficiency of cleaning processes for VOC removal from recycled PET. In addition, the method was also employed to evaluate the level of VOC contamination in multilayer packaging material containing recycled HDPE material. The optimisation of the extraction procedure for volatile compounds was performed and the best extraction conditions were found using a 75 mu m carboxen-polydimethylsiloxane (CAR-PDMS) fibre for 20 min at 60 degrees C. The validation parameters for the established method were linear range, linearity, sensitivity, precision (repeatability), accuracy (recovery) and detection and quantification limits. The results indicated that the method could easily be used in quality control for the production of recycled PET and HDPE. (C) 2011 Elsevier B.V. All rights reserved.

Resonant Wave Interactions in the Presence of a Diurnally Varying Heat Source

Resonant interactions among equatorial waves in the presence of a diurnally varying heat source are studied in the context of the diabatic version of the equatorial beta-plane primitive equations for a motionless, hydrostatic, horizontally homogeneous and stably stratified background atmosphere. The heat source is assumed to be periodic in time and of small amplitude [i.e., O(epsilon)] and is prescribed to roughly represent the typical heating associated with deep convection in the tropical atmosphere. In this context, using the asymptotic method of multiple time scales, the free linear Rossby, Kelvin, mixed Rossby-gravity, and inertio-gravity waves, as well as their vertical structures, are obtained as leading-order solutions. These waves are shown to interact resonantly in a triad configuration at the O(e) approximation, and the dynamics of these interactions have been studied in the presence of the forcing. It is shown that for the planetary-scale wave resonant triads composed of two first baroclinic equatorially trapped waves and one barotropic Rossby mode, the spectrum of the thermal forcing is such that only one of the triad components is resonant with the heat source. As a result, to illustrate the role of the diurnal forcing in these interactions in a simplified fashion, two kinds of triads have been analyzed. The first one refers to triads composed of a k = 0 first baroclinic geostrophic mode, which is resonant with the stationary component of the diurnal heat source, and two dispersive modes, namely, a mixed Rossby-gravity wave and a barotropic Rossby mode. The other class corresponds to triads composed of two first baroclinic inertio-gravity waves in which the highest-frequency wave resonates with a transient harmonic of the forcing. The integration of the asymptotic reduced equations for these selected resonant triads shows that the stationary component of the diurnal heat source acts as an ""accelerator"" for the energy exchanges between the two dispersive waves through the excitation of the catalyst geostrophic mode. On the other hand, since in the second class of triads the mode that resonates with the forcing is the most energetically active member because of the energy constraints imposed by the triad dynamics, the results show that the convective forcing in this case is responsible for a longer time scale modulation in the resonant interactions, generating a period doubling in the energy exchanges. The results suggest that the diurnal variation of tropical convection might play an important role in generating low-frequency fluctuations in the atmospheric circulation through resonant nonlinear interactions.

A new family of generalized distributions

Kumaraswamy [Generalized probability density-function for double-bounded random-processes, J. Hydrol. 462 (1980), pp. 79-88] introduced a distribution for double-bounded random processes with hydrological applications. For the first time, based on this distribution, we describe a new family of generalized distributions (denoted with the prefix `Kw`) to extend the normal, Weibull, gamma, Gumbel, inverse Gaussian distributions, among several well-known distributions. Some special distributions in the new family such as the Kw-normal, Kw-Weibull, Kw-gamma, Kw-Gumbel and Kw-inverse Gaussian distribution are discussed. We express the ordinary moments of any Kw generalized distribution as linear functions of probability weighted moments (PWMs) of the parent distribution. We also obtain the ordinary moments of order statistics as functions of PWMs of the baseline distribution. We use the method of maximum likelihood to fit the distributions in the new class and illustrate the potentiality of the new model with an application to real data.

Determination of Very Slow Diffusion of Paramagnetic Ions by NMR Spectroscopy

In this paper, we propose a new method of measuring the very slow paramagnetic ion diffusion coefficient using a commercial high-resolution spectrometer. If there are distinct paramagnetic ions influencing the hydrogen nuclear magnetic relaxation time differently, their diffusion coefficients can be measured separately. A cylindrical phantom filled with Fricke xylenol gel solution and irradiated with gamma rays was used to validate the method. The Fricke xylenol gel solution was prepared with 270 Bloom porcine gelatin, the phantom was irradiated with gamma rays originated from a (60)Co source and a high-resolution 200 MHz nuclear magnetic resonance (NMR) spectrometer was used to obtain the phantom (1)H profile in the presence of a linear magnetic field gradient. By observing the temporal evolution of the phantom NMR profile, an apparent ferric ion diffusion coefficient of 0.50 mu m(2)/ms due to ferric ions diffusion was obtained. In any medical process where the ionizing radiation is used, the dose planning and the dose delivery are the key elements for the patient safety and success of treatment. These points become even more important in modern conformal radio therapy techniques, such as stereotactic radiosurgery, where the delivered dose in a single session of treatment can be an order of magnitude higher than the regular doses of radiotherapy. Several methods have been proposed to obtain the three-dimensional (3-D) dose distribution. Recently, we proposed an alternative method for the 3-D radiation dose mapping, where the ionizing radiation modifies the local relative concentration of Fe(2+)/Fe(3+) in a phantom containing Fricke gel and this variation is associated to the MR image intensity. The smearing of the intensity gradient is proportional to the diffusion coefficient of the Fe(3+) and Fe(2+) in the phantom. There are several methods for measurement of the ionic diffusion using NMR, however, they are applicable when the diffusion is not very slow.

Indirect study of (11)B(p,alpha(0))(8)Be and (10)B(p,alpha)(7)Be reactions at astrophysical energies by means of the Trojan Horse Method: recent results

Nuclear (p,alpha) reactions destroying the so-called ""light-elements"" lithium, beryllium and boron have been largely studied in the past mainly because their role in understanding some astrophysical phenomena, i.e. mixing-phenomena occurring in young F-G stars [1]. Such mechanisms transport the surface material down to the region close to the nuclear destruction zone, where typical temperatures of the order of similar to 10(6) K are reached. The corresponding Gamow energy E(0)=1.22 (Z(x)(2)Z(X)(2)T(6)(2))(1/3) [2] is about similar to 10 keV if one considers the ""boron-case"" and replaces in the previous formula Z(x) = 1, Z(X) = 5 and T(6) = 5. Direct measurements of the two (11)B(p,alpha(0))(8)Be and (10)B(p,alpha)(7)Be reactions in correspondence of this energy region are difficult to perform mainly because the combined effects of Coulomb barrier penetrability and electron screening [3]. The indirect method of the Trojan Horse (THM) [4-6] allows one to extract the two-body reaction cross section of interest for astrophysics without the extrapolation-procedures. Due to the THM formalism, the extracted indirect data have to be normalized to the available direct ones at higher energies thus implying that the method is a complementary tool in solving some still open questions for both nuclear and astrophysical issues [7-12].

Sparse partition universal graphs for graphs of bounded degree

In 1983, Chvatal, Trotter and the two senior authors proved that for any Delta there exists a constant B such that, for any n, any 2-colouring of the edges of the complete graph K(N) with N >= Bn vertices yields a monochromatic copy of any graph H that has n vertices and maximum degree Delta. We prove that the complete graph may be replaced by a sparser graph G that has N vertices and O(N(2-1/Delta)log(1/Delta)N) edges, with N = [B`n] for some constant B` that depends only on Delta. Consequently, the so-called size-Ramsey number of any H with n vertices and maximum degree Delta is O(n(2-1/Delta)log(1/Delta)n) Our approach is based on random graphs; in fact, we show that the classical Erdos-Renyi random graph with the numerical parameters above satisfies a stronger partition property with high probability, namely, that any 2-colouring of its edges contains a monochromatic universal graph for the class of graphs on n vertices and maximum degree Delta. The main tool in our proof is the regularity method, adapted to a suitable sparse setting. The novel ingredient developed here is an embedding strategy that allows one to embed bounded degree graphs of linear order in certain pseudorandom graphs. Crucial to our proof is the fact that regularity is typically inherited at a scale that is much finer than the scale at which it is assumed. (C) 2011 Elsevier Inc. All rights reserved.

Performance of balanced two-stage empirical predictors of realized cluster latent values from finite populations: A simulation study

Predictors of random effects are usually based on the popular mixed effects (ME) model developed under the assumption that the sample is obtained from a conceptual infinite population; such predictors are employed even when the actual population is finite. Two alternatives that incorporate the finite nature of the population are obtained from the superpopulation model proposed by Scott and Smith (1969. Estimation in multi-stage surveys. J. Amer. Statist. Assoc. 64, 830-840) or from the finite population mixed model recently proposed by Stanek and Singer (2004. Predicting random effects from finite population clustered samples with response error. J. Amer. Statist. Assoc. 99, 1119-1130). Predictors derived under the latter model with the additional assumptions that all variance components are known and that within-cluster variances are equal have smaller mean squared error (MSE) than the competitors based on either the ME or Scott and Smith`s models. As population variances are rarely known, we propose method of moment estimators to obtain empirical predictors and conduct a simulation study to evaluate their performance. The results suggest that the finite population mixed model empirical predictor is more stable than its competitors since, in terms of MSE, it is either the best or the second best and when second best, its performance lies within acceptable limits. When both cluster and unit intra-class correlation coefficients are very high (e.g., 0.95 or more), the performance of the empirical predictors derived under the three models is similar. (c) 2007 Elsevier B.V. All rights reserved.

Thermal and spectrophotometric studies of new crosslinking method for collagen matrix with glutaraldehyde acetals

Despite the many existing crosslinking procedures, glutaraldehyde (GA) is still the method of choice used in the manufacture of bioprosthesis. The major problems with GA are: (a) uncontrolled reactivity due to the chemical complexity or GA solutions; (b) toxicity due to the release of GA from polymeric crosslinks; and (c) tissue impermeabilization due to polymeric and heterogeneous crosslinks formation, partially responsible for the undesirable calcification of the bioprosthesis. A new method of crosslinking glutaraldehyde acetals has been developed with GA in acid ethanolic solution, and after the distribution inside de matrix, GA is released to crosslinking. Concentrations of hydrochloride acid in ethanolic solutions between 0.1 and 0.001 mol/L with GA concentration between 0.1 and 1.0% were measured in an ultraviolet spectrophotometer to verify the presence of free aldehyde groups and polymeric compounds of GA. After these measurements, the solutions were used to crosslink bovine pericardium. The spectrophotometric results showed that GA was better protected in acetal forms for acid ethanolic solution with HCl at 0.003 mol/L and GA 1.0%(v/v). The shrinkage temperature results of bovine pericardium crosslinked with acetal solutions showed values near 85 C after the exposure to triethylamine vapors.

Biocompatible in-tube solid phase microextraction coupled with liquid chromatography-fluorescence detection for determination of interferon alpha in plasma samples

The present work demonstrates the successful application of automated biocompatible in-tube solid-phase microextraction coupled with liquid chromatography (in-tube SPME/LC) for determination of interferon alpha(2a) (IFN alpha(2a)) in plasma samples for therapeutic drug monitoring. A restricted access material (RAM, protein-coated silica) was employed for preparation of a lab-made biocompatible in-tube SPME capillary that enables the direct injection of biological fluids as well as the simultaneous exclusion of macromolecules by chemical diffusion barrier and drug pre-concentration. The in-tube SPME variables, such as sample volume, draw/eject volume, number of draw-eject cycles, and desorption mode were optimized, to improve the sensitivity of the proposed method. The IFN alpha(2a) analyses in plasma sample were carried out within 25 min (sample preparation and LC analyses). The response of the proposed method was linear over a dynamic range, from 0.06 to 3.0 MIU mL(-1), with correlation coefficient equal to 0.998. The interday precision of the method presented coefficient of variation lower than 8%. The proposed automated method has adequate analytical sensitivity and selectivity for determination of IFN alpha(2a) in plasma samples for therapeutic drug monitoring. (C) 2010 Elsevier B.V. All rights reserved.