Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Absence of residual Hodgkin's disease demonstrated by PET/CT in a deceased organ donor.

With the current limited availability of organs for transplantation, it is important to consider marginal donor candidates, including survivors of potentially curable malignancies such as lymphoma. The absence of refractory/recurrent residual disease at the time of brain death can be difficult to establish. Therefore, it is critical to have objective data to decide whether to proceed or not with organ procurement and transplantation. We report a unique situation in which (18)F-fluorodeoxyglucose positron emission tomography (PET) was used to rule out Hodgkin's lymphoma recurrence in a 33-year-old, heart-beating, brain-dead, potential donor with a past history of Hodgkin's disease and a persistent mediastinal mass. PET showed no significant uptake in the mass, allowing organ donation and transplantation to occur. We present a new means of evaluating potential brain-dead donors with a past history of some lymphoma, whereby PET may help transplant physicians by optimizing donation safety while rationalizing the inclusion of marginal donors.

External Fluctuations in Front Propagation

We study the effects of external noise in a one-dimensional model of front propagation. Noise is introduced through the fluctuations of a control parameter leading to a multiplicative stochastic partial differential equation. Analytical and numerical results for the front shape and velocity are presented. The linear-marginal-stability theory is found to increase its range of validity in the presence of external noise. As a consequence noise can stabilize fronts not allowed by the deterministic equation.

Noise Induced Fronts

A simple model is introduced that exhibits a noise-induced front propagation and where the noise enters multiplicatively. The invasion of the unstable state is studied, both theoretically and numerically. A good agreement is obtained for the mean value of the order parameter and the mean front velocity using the analytical predictions of the linear marginal stability analysis.

Ventral and dorsal pathways of speech perception: An intracerebral ERP study.

Recent theory of physiology of language suggests a dual stream dorsal/ventral organization of speech perception. Using intra-cerebral Event-related potentials (ERPs) during pre-surgical assessment of twelve drug-resistant epileptic patients, we aimed to single out electrophysiological patterns during both lexical-semantic and phonological monitoring tasks involving ventral and dorsal regions respectively. Phonological information processing predominantly occurred in the left supra-marginal gyrus (dorsal stream) and lexico-semantic information occurred in anterior/middle temporal and fusiform gyri (ventral stream). Similar latencies were identified in response to phonological and lexico-semantic tasks, suggesting parallel processing. Typical ERP components were strongly left lateralized since no evoked responses were recorded in homologous right structures. Finally, ERP patterns suggested the inferior frontal gyrus as the likely final common pathway of both dorsal and ventral streams. These results brought out detailed evidence of the spatial-temporal information processing in the dual pathways involved in speech perception.

ESCMID* guideline for the diagnosis and management of Candida diseases 2012: non-neutropenic adult patients.

This part of the EFISG guidelines focuses on non-neutropenic adult patients. Only a few of the numerous recommendations can be summarized in the abstract. Prophylactic usage of fluconazole is supported in patients with recent abdominal surgery and recurrent gastrointestinal perforations or anastomotic leakages. Candida isolation from respiratory secretions alone should never prompt treatment. For the targeted initial treatment of candidaemia, echinocandins are strongly recommended while liposomal amphotericin B and voriconazole are supported with moderate, and fluconazole with marginal strength. Treatment duration for candidaemia should be a minimum of 14 days after the end of candidaemia, which can be determined by one blood culture per day until negativity. Switching to oral treatment after 10 days of intravenous therapy has been safe in stable patients with susceptible Candida species. In candidaemia, removal of indwelling catheters is strongly recommended. If catheters cannot be removed, lipid-based amphotericin B or echinocandins should be preferred over azoles. Transoesophageal echocardiography and fundoscopy should be performed to detect organ involvement. Native valve endocarditis requires surgery within a week, while in prosthetic valve endocarditis, earlier surgery may be beneficial. The antifungal regimen of choice is liposomal amphotericin B +/- flucytosine. In ocular candidiasis, liposomal amphotericin B +/- flucytosine is recommended when the susceptibility of the isolate is unknown, and in susceptible isolates, fluconazole and voriconazole are alternatives. Amphotericin B deoxycholate is not recommended for any indication due to severe side effects.

Rationale for consolidation to improve progression-free survival in patients with non-Hodgkin's lymphoma: a review of the evidence.

Non-Hodgkin's lymphoma (NHL) comprises both indolent forms, including follicular lymphoma (FL) and marginal zone lymphoma (MZL), and aggressive forms, including diffuse large B-cell lymphoma (DLBCL) and mantle cell lymphoma (MCL). FL and DLBCL are the most common subtypes of indolent and aggressive NHL, respectively. Although these lymphomas exhibit different clinical behaviors and outcomes, the prognosis is negatively affected in both DLBCL and FL by the lack of a complete response (CR) with standard treatment options. The aim of therapy should therefore be achievement of a CR, which is not only associated with longer progression-free survival (PFS) and overall survival times, but is also a prerequisite for a cure, particularly in DLBCL. Consolidation treatment with radioimmunotherapy (RIT) is an innovative treatment approach to increase CR rates. Phase II studies have indicated promising results with yttrium-90 ((90)Y)-ibritumomab tiuxetan and iodine-131 ((131)I)-tositumomab as consolidation following induction therapy for previously untreated patients with advanced FL. More recently, investigators reported a marked increase in CR rates and significant improvements in PFS using standard chemotherapy regimens followed by (90)Y-ibritumomab tiuxetan in a phase III randomized trial in patients with previously untreated FL. Data also suggest that RIT may play a role in the treatment of high-risk DLBCL, with encouraging PFS results from a phase II trial of (90)Y-ibritumomab tiuxetan consolidation following induction with rituximab plus chemotherapy in elderly patients with previously untreated DLBCL. With the higher CR rates and longer PFS times observed in patients with FL and DLBCL, as well as encouraging early data from MZL and MCL consolidation trials, RIT appears to have an important role in the treatment of patients with NHL.

Major environmental change and bonebed genesis prior to the Triassic-Jurassic mass extinction

We present new geochemical and sedimentological data from marginal marine strata of Penarth Bay, south Wales (UK) to elucidate the origin of widespread but enigmatic concentrations of vertebrate hard parts (bonebeds) in marine successions of Rhaetian age (late Triassic). Sedimentological evidence shows that the phosphatic constituents of the bonebeds were subjected to intense phosphatization in shallow current-dominated settings and subsequently reworked and transported basinward by storms. Interbedded organic-rich strata deposited under quiescent and poorly oxygenated conditions record enhanced phosphorus regeneration from sedimentary organic matter into the water column and probably provided the main source of phosphate required for heavy bonebed clast phosphatization. The stratigraphically limited interval showing evidence for oxygen depletion and accelerated P-cycling coincides with a negative 4% organic carbon isotope excursion, which possibly reflects supra-regional changes in carbon cycling and clearly predates the 'initial isotope excursion' characterizing many Triassic-Jurassic boundary strata. our data indicate that Rhaetian bonebeds are the lithological signature of profound, climatically driven changes in carbon cycling and redox conditions and support the idea of a multi-pulsed environmental crisis at the end of the Triassic, possibly linked to successive episodes of igneous activity in the central Atlantic Magmatic Province.

TNF deficiency fails to protect BAFF transgenic mice against autoimmunity and reveals a predisposition to B cell lymphoma.

TNF is well characterized as a mediator of inflammatory responses. TNF also facilitates organization of secondary lymphoid organs, particularly B cell follicles and germinal centers, a hallmark of T-dependent Ab responses. TNF also mediates defense against tumors. We examined the role of TNF in the development of inflammatory autoimmune disorders resembling systemic lupus erythematosus and Sjögren's syndrome induced by excess B cell-activating factor belonging to the TNF family (BAFF), by generating BAFF-transgenic (Tg) mice lacking TNF. TNF(-/-) BAFF-Tg mice resembled TNF(-/-) mice, in that they lacked B cell follicles, follicular dendritic cells, and germinal centers, and have impaired responses to T-dependent Ags. Nevertheless, TNF(-/-) BAFF-Tg mice developed autoimmune disorders similar to that of BAFF-Tg mice. Disease in TNF(-/-) BAFF-Tg mice correlates with the expansion of transitional type 2 and marginal zone B cell populations and enhanced T-independent immune responses. TNF deficiency in BAFF-Tg mice also led to a surprisingly high incidence of B cell lymphomas (>35%), which most likely resulted from the combined effects of BAFF promotion of neoplastic B cell survival, coupled with lack of protective antitumor defense by TNF. Thus, TNF appears to be dispensable for BAFF-mediated autoimmune disorders and may, in fact, counter any proneoplastic effects of high levels of BAFF in diseases such as Sjögren's syndrome, systemic lupus erythematosus, and rheumatoid arthritis.

Bystander-Activated Memory CD8 T Cells Control Early Pathogen Load in an Innate-like, NKG2D-Dependent Manner.

During an infection the antigen-nonspecific memory CD8 T cell compartment is not simply an inert pool of cells, but becomes activated and cytotoxic. It is unknown how these cells contribute to the clearance of an infection. We measured the strength of T cell receptor (TCR) signals that bystander-activated, cytotoxic CD8 T cells (BA-CTLs) receive in vivo and found evidence of limited TCR signaling. Given this marginal contribution of the TCR, we asked how BA-CTLs identify infected target cells. We show that target cells express NKG2D ligands following bacterial infection and demonstrate that BA-CTLs directly eliminate these target cells in an innate-like, NKG2D-dependent manner. Selective inhibition of BA-CTL-mediated killing led to a significant defect in pathogen clearance. Together, these data suggest an innate role for memory CD8 T cells in the early immune response before the onset of a de novo generated, antigen-specific CD8 T cell response.

Self-selection and risk selection on the Swiss health insurance market

Abstract This thesis presents three empirical studies in the field of health insurance in Switzerland. First we investigate the link between health insurance coverage and health care expenditures. We use claims data for over 60 000 adult individuals covered by a major Swiss Health Insurance Fund, followed for four years; the data show a strong positive correlation between coverage and expenditures. Two methods are developed and estimated in order to separate selection effects (due to individual choice of coverage) and incentive effects ("ex post moral hazard"). The first method uses the comparison between inpatient and outpatient expenditures to identify both effects and we conclude that both selection and incentive effects are significantly present in our data. The second method is based on a structural model of joint demand of health care and health insurance and makes the most of the change in the marginal cost of health care to identify selection and incentive effects. We conclude that the correlation between insurance coverage and health care expenditures may be decomposed into the two effects: 75% may be attributed to selection, and 25 % to incentive effects. Moreover, we estimate that a decrease in the coinsurance rate from 100% to 10% increases the marginal demand for health care by about 90% and from 100% to 0% by about 150%. Secondly, having shown that selection and incentive effects exist in the Swiss health insurance market, we present the consequence of this result in the context of risk adjustment. We show that if individuals choose their insurance coverage in function of their health status (selection effect), the optimal compensations should be function of the se- lection and incentive effects. Therefore, a risk adjustment mechanism which ignores these effects, as it is the case presently in Switzerland, will miss his main goal to eliminate incentives for sickness funds to select risks. Using a simplified model, we show that the optimal compensations have to take into account the distribution of risks through the insurance plans in case of self-selection in order to avoid incentives to select risks.Then, we apply our propositions to Swiss data and propose a simple econometric procedure to control for self-selection in the estimation of the risk adjustment formula in order to compute the optimal compensations.

Second-order processes driven by dichotomous noise

We study free second-order processes driven by dichotomous noise. We obtain an exact differential equation for the marginal density p(x,t) of the position. It is also found that both the velocity ¿(t) and the position X(t) are Gaussian random variables for large t.

Free inertial processes driven by Gaussian noise: Probability distributions, anomalous diffusion and fractal behavior

We study the motion of an unbound particle under the influence of a random force modeled as Gaussian colored noise with an arbitrary correlation function. We derive exact equations for the joint and marginal probability density functions and find the associated solutions. We analyze in detail anomalous diffusion behaviors along with the fractal structure of the trajectories of the particle and explore possible connections between dynamical exponents of the variance and the fractal dimension of the trajectories.

Generalized Langevin equations: Anomalous diffusion and probability distributions

We study the motion of a particle governed by a generalized Langevin equation. We show that, when no fluctuation-dissipation relation holds, the long-time behavior of the particle may be from stationary to superdiffusive, along with subdiffusive and diffusive. When the random force is Gaussian, we derive the exact equations for the joint and marginal probability density functions for the position and velocity of the particle and find their solutions.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.