Aggregations and Marginalization of GARCH and Stochastic Volatility Models

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set without invalidating the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable conditioning information (in the state-space spirit) is irrelevant. In this paper, we stress a square-root autoregressive stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but weakens the GARCH structure in order to obtain required robustness properties with respect to various kinds of aggregation. It is shown that the lack of robustness of the usual GARCH setting is due to two very restrictive assumptions : perfect linear correlation between squared innovations and conditional variance on the one hand and linear relationship between the conditional variance of the future conditional variance and the squared conditional variance on the other hand. By relaxing these assumptions, thanks to a state-space setting, we obtain aggregation results without renouncing to the conditional variance concept (and related leverage effects), as it is the case for the recently suggested weak GARCH model which gets aggregation results by replacing conditional expectations by linear projections on symmetric past innovations. Moreover, unlike the weak GARCH literature, we are able to define multivariate models, including higher order dynamics and risk premiums (in the spirit of GARCH (p,p) and GARCH in mean) and to derive conditional moment restrictions well suited for statistical inference. Finally, we are able to characterize the exact relationships between our SR-SARV models (including higher order dynamics, leverage effect and in-mean effect), usual GARCH models and continuous time stochastic volatility models, so that previous results about aggregation of weak GARCH and continuous time GARCH modeling can be recovered in our framework.

ARMA Representation of Integrated and Realized Variances

This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as well as the eigenfunction stochastic volatility and the positive Ornstein-Uhlenbeck models. We also study the leverage effect case, the relationship between weak GARCH representation of returns and the ARMA representation of realized variances. Finally, various empirical implications of these ARMA representations are considered. We find that it is possible that some parameters of the ARMA representation are negative. Hence, the positiveness of the expected values of integrated or realized variances is not guaranteed. We also find that for some frequencies of observations, the continuous time model parameters may be weakly or not identified through the ARMA representation of realized variances.

Estudi comparatiu dels models d’organització de les últimes sis seus olímpiques

Transcripció de la intervenció del Sr. Gabriel Colomé en el Curs Universitari sobre Olimpisme que va organitzar el Centre d'Estudis Olí­mpics (CEO-UAB) el febrer de 1992. L'autor amb aquest text es proposa dos objectius principals: d'una banda, analitzar la influència de l'entorn sociopolí­tic sobre l'estructura organitzativa del Comitè Organitzador dels Jocs; de l'altra, veure com afecta el tipus de finançament en l'estructura i la infrastructura dels mateixos Jocs, i quines diferències hi ha entre els Jocs de 1972 i els següents fins a arribar a Barcelona.

The French adaptation of the Health of the Nation Outcome Scale for Children and Adolescents Self-Rated Form (F-HoNOSCA-SR): Validation and clinical routine use.

The current study aimed to explore the validity of an adaptation into French of the self-rated form of the Health of the Nation Outcome Scales for Children and Adolescents (F-HoNOSCA-SR) and to test its usefulness in a clinical routine use. One hundred and twenty nine patients, admitted into two inpatient units, were asked to participate in the study. One hundred and seven patients filled out the F-HoNOSCA-SR (for a subsample (N=17): at two occasions, one week apart) and the strengths and difficulties questionnaire (SDQ). In addition, the clinician rated the clinician-rated form of the HoNOSCA (HoNOSCA-CR, N=82). The reliability (assessed with split-half coefficient, item response theory (IRT) models and intraclass correlations (ICC) between the two occasions) revealed that the F-HoNSOCA-SR provides reliable measures. The concurrent validity assessed by correlating the F-HoNOSCA-SR and the SDQ revealed a good convergent validity of the instrument. The relationship analyses between the F-HoNOSCA-SR and the HoNOSCA-CR revealed weak but significant correlations. The comparison between the F-HoNOSCA-SR and the HoNOSCA-CR with paired sample t-tests revealed a higher score for the self-rated version. The F-HoNSOCA-SR was reported to provide reliable measures. In addition, it allows us to measure complementary information when used together with the HoNOSCA-CR.

Coupled atmosphere-biophysics-hydrology models for environmental modeling

The formulation and implementation of LEAF-2, the Land Ecosystem–Atmosphere Feedback model, which comprises the representation of land–surface processes in the Regional Atmospheric Modeling System (RAMS), is described. LEAF-2 is a prognostic model for the temperature and water content of soil, snow cover, vegetation, and canopy air, and includes turbulent and radiative exchanges between these components and with the atmosphere. Subdivision of a RAMS surface grid cell into multiple areas of distinct land-use types is allowed, with each subgrid area, or patch, containing its own LEAF-2 model, and each patch interacts with the overlying atmospheric column with a weight proportional to its fractional area in the grid cell. A description is also given of TOPMODEL, a land hydrology model that represents surface and subsurface downslope lateral transport of groundwater. Details of the incorporation of a modified form of TOPMODEL into LEAF-2 are presented. Sensitivity tests of the coupled system are presented that demonstrate the potential importance of the patch representation and of lateral water transport in idealized model simulations. Independent studies that have applied LEAF-2 and verified its performance against observational data are cited. Linkage of RAMS and TOPMODEL through LEAF-2 creates a modeling system that can be used to explore the coupled atmosphere–biophysical–hydrologic response to altered climate forcing at local watershed and regional basin scales.

Temperature Dependence of the Intergranular Critical Current Density in Uniaxially Pressed Bi(1.65)Pb(0.35)Sr(2)Ca(2)Cu(3)O(10+delta) Samples

We have studied the normal and superconducting transport properties of Bi(1.65)Pb(0.35)Sr(2)Ca(2)Cu(3)O(10+delta) (Bi-2223) ceramic samples. Four samples, from the same batch, were prepared by the solid-state reaction method and pressed uniaxially at different compacting pressures, ranging from 90 to 250 MPa before the last heat treatment. From the temperature dependence of the electrical resistivity, combined with current conduction models for cuprates, we were able to separate contributions arising from both the grain misalignment and microstructural defects. The behavior of the critical current density as a function of temperature at zero applied magnetic field, J (c) (T), was fitted to the relationship J (c) (T)ae(1-T/T (c) ) (n) , with na parts per thousand 2 in all samples. We have also investigated the behavior of the product J (c) rho (sr) , where rho (sr) is the specific resistance of the grain-boundary. The results were interpreted by considering the relation between these parameters and the grain-boundary angle, theta, with increasing the uniaxial compacting pressure. We have found that the above type of mechanical deformation improves the alignment of the grains. Consequently the samples exhibit an enhance in the intergranular properties, resulting in a decrease of the specific resistance of the grain-boundary and an increase in the critical current density.

Evaluation of petrogenetic models for intermediate and silicic plutonic rocks from the Sierra de Valle Fertil-La Huerta, Argentina: Petrologic constraints on the origin of igneous rocks in the Ordovician Famatinian-Puna paleoarc

The whole Valle Fertil-La Huerta section appears as a calc-alkaline plutonic suite typical of a destructive plate margin. New Sr and Nd isotopic whole-rock data and published whole-rock geochemistry suggest that the less-evolved intermediate (dioritic) rocks can be derived by magmatic differentiation, mainly by hornblende + plagioclase +/- Fe-Ti oxide fractional crystallization, from mafic (gabbroic) igneous precursors. Closed-system differentiation, however, cannot produce the typical intermediate (tonalitic) and silicic (granodioritic) plutonic rocks, which requires a preponderant contribution of crustal components. Intermediate and silicic plutonic rocks from Valle Fertil-La Huerta section have formed in a plate subduction setting where the thermal and material input of mantle-derived magmas promoted fusion of fertile metasedimentary rocks and favored mixing of gabbroic or dioritic magmas with crustal granitic melts. Magma mixing is observable in the field and evident in variations of chemical elemental parameters and isotopic ratios, revealing that hybridization coupled with fractionation of magmas took place in the crust. Consideration of the whole-rock geochemical and isotopic data in the context of the Famatinian-Puna magmatic belt as a whole demonstrates that the petrologic model postulated for the Sierra Valle Fertil-La Huerta section has the potential to explain the generation of plutonic and volcanic rocks across the Early Ordovician paleoarc from central and northwestern Argentina. As the petrologic model does not require the intervention of old Precambrian continental crust, the nature of the basement on which thick accretionary turbiditic sequences were deposited remains a puzzling aspect. Discussion in this paper provides insights into the nature of magmatic source rocks and mechanisms of magma generation in Cordilleran-type volcano-plutonic arcs of destructive plate margins. (C) 2010 Elsevier Ltd. All rights reserved.

Sr-Nd isotopic evidence for crustal contamination in the Niquelandia complex, Goias, Central Brazil

The Niquelandia complex is a Neoproterozoic mafic-ultramafic intrusion resulting from fractional crystallization of primary picritic basalt intrusions. It consists of two layered sequences: a lower and larger one (LS), where four stratigraphic units exhibit an upward decrease of ultramafic layers and increase of gabbroic layers; an upper, smaller sequence (US), separated from LS by a high-temperature shear zone and consisting of two stratigraphic units (gabbros + anorthosites and amphibolites). Nd and Sr isotopic analyses and rare earth element (REE) profiles provide evidence that the complex suffered important crustal contamination. The LS isotopic array trends from a DM region with positive epsilon Nd and moderately positive epsilon Sr towards a field occupied by crustal xenoliths, especially abundant in the upper LS (negative epsilon Nd and large, positive E:Sr). Each LS stratigraphic unit is distinct from the next underlying unit, showing lower epsilon Nd and higher epsilon Sr, suggesting inputs of fresh magma and mixing with the contaminated, residual magma. The US is characterised by a relatively high variation of epsilon Nd and constant epsilon Sr. REE patterns vary within each unit from LREE depleted to LREE enriched in the samples having lower epsilon Nd and higher epsilon Sr. The contamination process has been modelled by using the EC-AFC algorithms from [Spera, F.J., Bohrson, W.A., 2001. Energy-constrained open-system magmatic processes 1: general model and energy-constrained assimilation and fractional crystallization (EC-AFC) formulation. J. Petrology 42, 999-1018]. The differences between the LS and US isotopic arrays are consistent with contamination by the same crustal component, provided that its melting degree was higher in LS than in US. The different degrees of anatexis are explained by the heat budget released from the magma, higher in LS (because of its larger mass) than in US. Comparison of the correlations between isotopes and incompatible trace element ratios of the models and of the gabbros shows some differences, which are demonstrably related with the variable amount of cumulus phases and trapped melt in the gabbros. (c) 2007 Elsevier Ltd. All rights reserved.

Parametric Sensitivity Analysis of the Most Recent Computational Models of Rabbit Cardiac Pacemaking

The cellular basis of cardiac pacemaking activity, and specifically the quantitative contributions of particular mechanisms, is still debated. Reliable computational models of sinoatrial nodal (SAN) cells may provide mechanistic insights, but competing models are built from different data sets and with different underlying assumptions. To understand quantitative differences between alternative models, we performed thorough parameter sensitivity analyses of the SAN models of Maltsev & Lakatta (2009) and Severi et al (2012). Model parameters were randomized to generate a population of cell models with different properties, simulations performed with each set of random parameters generated 14 quantitative outputs that characterized cellular activity, and regression methods were used to analyze the population behavior. Clear differences between the two models were observed at every step of the analysis. Specifically: (1) SR Ca2+ pump activity had a greater effect on SAN cell cycle length (CL) in the Maltsev model; (2) conversely, parameters describing the funny current (If) had a greater effect on CL in the Severi model; (3) changes in rapid delayed rectifier conductance (GKr) had opposite effects on action potential amplitude in the two models; (4) within the population, a greater percentage of model cells failed to exhibit action potentials in the Maltsev model (27%) compared with the Severi model (7%), implying greater robustness in the latter; (5) confirming this initial impression, bifurcation analyses indicated that smaller relative changes in GKr or Na+-K+ pump activity led to failed action potentials in the Maltsev model. Overall, the results suggest experimental tests that can distinguish between models and alternative hypotheses, and the analysis offers strategies for developing anti-arrhythmic pharmaceuticals by predicting their effect on the pacemaking activity.

Models of DNA sequence evolution

Models of DNA sequence evolution and methods for estimating evolutionary distances are needed for studying the rate and pattern of molecular evolution and for inferring the evolutionary relationships of organisms or genes. In this dissertation, several new models and methods are developed.^ The rate variation among nucleotide sites: To obtain unbiased estimates of evolutionary distances, the rate heterogeneity among nucleotide sites of a gene should be considered. Commonly, it is assumed that the substitution rate varies among sites according to a gamma distribution (gamma model) or, more generally, an invariant+gamma model which includes some invariable sites. A maximum likelihood (ML) approach was developed for estimating the shape parameter of the gamma distribution $(\alpha)$ and/or the proportion of invariable sites $(\theta).$ Computer simulation showed that (1) under the gamma model, $\alpha$ can be well estimated from 3 or 4 sequences if the sequence length is long; and (2) the distance estimate is unbiased and robust against violations of the assumptions of the invariant+gamma model.^ However, this ML method requires a huge amount of computational time and is useful only for less than 6 sequences. Therefore, I developed a fast method for estimating $\alpha,$ which is easy to implement and requires no knowledge of tree. A computer program was developed for estimating $\alpha$ and evolutionary distances, which can handle the number of sequences as large as 30.^ Evolutionary distances under the stationary, time-reversible (SR) model: The SR model is a general model of nucleotide substitution, which assumes (i) stationary nucleotide frequencies and (ii) time-reversibility. It can be extended to SRV model which allows rate variation among sites. I developed a method for estimating the distance under the SR or SRV model, as well as the variance-covariance matrix of distances. Computer simulation showed that the SR method is better than a simpler method when the sequence length $L>1,000$ bp and is robust against deviations from time-reversibility. As expected, when the rate varies among sites, the SRV method is much better than the SR method.^ The evolutionary distances under nonstationary nucleotide frequencies: The statistical properties of the paralinear and LogDet distances under nonstationary nucleotide frequencies were studied. First, I developed formulas for correcting the estimation biases of the paralinear and LogDet distances. The performances of these formulas and the formulas for sampling variances were examined by computer simulation. Second, I developed a method for estimating the variance-covariance matrix of the paralinear distance, so that statistical tests of phylogenies can be conducted when the nucleotide frequencies are nonstationary. Third, a new method for testing the molecular clock hypothesis was developed in the nonstationary case. ^

Age models, color measurements, and calculated sea surface temperatures of sediment cores from the Bering Sea and the Sea of Okhotsk

Past changes in North Pacific sea surface temperatures and sea-ice conditions are proposed to play a crucial role in deglacial climate development and ocean circulation but are less well known than from the North Atlantic. Here, we present new alkenone-based sea surface temperature records from the subarctic northwest Pacific and its marginal seas (Bering Sea and Sea of Okhotsk) for the time interval of the last 15 kyr, indicating millennial-scale sea surface temperature fluctuations similar to short-term deglacial climate oscillations known from Greenland ice-core records. Past changes in sea-ice distribution are derived from relative percentage of specific diatom groups and qualitative assessment of the IP25 biomarker related to sea-ice diatoms. The deglacial variability in sea-ice extent matches the sea surface temperature fluctuations. These fluctuations suggest a linkage to deglacial variations in Atlantic meridional overturning circulation and a close atmospheric coupling between the North Pacific and North Atlantic. During the Holocene the subarctic North Pacific is marked by complex sea surface temperature trends, which do not support the hypothesis of a Holocene seesaw in temperature development between the North Atlantic and the North Pacific.

Age models of ODP Sites 117-722 and 117-728

Pliocene and Pleistocene sediments of the Oman margin and Owen Ridge are characterized by continuous alternation of light and dark layers of nannofossil ooze and marly nannofossil ooze and cyclic variation of wet-bulk density. Origin of the wet-bulk density and color cycles was examined at Ocean Drilling Program Site 722 on the Owen Ridge and Site 728 on the Oman margin using 3.4-m.y.-long GRAPE (gamma ray attenuation) wet-bulk density records and records of sediment color represented as changes in gray level on black-and-white core photographs. At Sites 722 and 728 sediments display a weak correlation of decreasing wet-bulk density with increasing darkness of sediment color. Wet-bulk density is inversely related to organic carbon concentration and displays little relation to calcium carbonate concentration, which varies inversely with the abundance of terrigenous sediment components. Sediment color darkens with increasing terrigenous sediment abundance (decreasing carbonate content) and with increasing organic carbon concentration. Upper Pleistocene sediments at Site 722 display a regular pattern of dark colored intervals coinciding with glacial periods, whereas at Site 728 the pattern of color variation is more irregular. There is not a consistent relationship between the dark intervals and their relative wet-bulk density in the upper Pleistocene sections at Sites 722 and 728, suggesting that dominance of organic matter or terrigenous sediment as primary coloring agents varies. Spectra of wet-bulk density and optical density time series display concentration of variance at orbital periodicities of 100, 41, 23, and 19 k.y. A strong 41-k.y. periodicity characterizes wet-bulk density and optical density variation at both sites throughout most of the past 3.4 m.y. Cyclicity at the 41-k.y. periodicity is characterized by a lack of coherence between wet-bulk density and optical density suggesting that the bulk density and color cycles reflect the mixed influence of varying abundance of terrigenous sediments and organic matter. The 23-k.y. periodicity in wet-bulk density and sediment color cycles is generally characterized by significant coherence between wet-bulk density and optical density, which reflects an inverse relationship between these parameters. Varying organic matter abundance, associated with changes in productivity or preservation, is inferred to more strongly influence changes in wet-bulk density and sediment color at this periodicity.

Age models and foraminifer isotopes of four ODP Leg 202 sites

We present benthic isotope stratigraphies for Sites 1236, 1237, 1239, and 1241 that span the late Miocene-Pliocene time interval from 6 to 2.4 Ma. Orbitally tuned timescales were generated for Sites 1237 and 1241 by correlating the high-frequency variations in gamma ray attenuation density, percent sand of the carbonate fraction, and benthic d13C to variations in Earth's orbital parameters. The astronomical timescales for Sites 1237 and 1241 are in agreement with the one from Atlantic Site 925/926 (Ocean Drilling Program Leg 154). The comparison of benthic d18O and d13C records from the east Pacific sites and Atlantic Site 925/926 revealed a surprising clarity of the "41-k.y. signal" in d13C records and a remarkably good correlation between their d13C records. This suggests that the late Miocene-Pliocene amplitudes of obliquity-related d13C cycles reflect a magnitude of global response often larger than that provided by obliquity-related d18O cycles. At Site 1237, the orbitally derived ages of Pliocene magnetic reversal boundaries between the base of Réunion and the top of Thvera confirm astronomical datings of the generally accepted ATNTS2004 timescale, except for the top of Kaena and the base of Sidufjall. Our astronomical age for the top of Kaena is about one obliquity cycle older. The base of Sidufjall appears to be about one precession cycle younger. The age models of Sites 1236 and 1239 were established by correlating their benthic d18O and d13C records directly to the orbitally tuned isotope record of Site 1241.