Augoregressive Conditional Kurtosis

This paper proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t density and consequently can be estimated simply using maximum likelihood. The method is applied to a set of four daily financial asset return series comprising US and UK stocks and bonds, and significant evidence in favour of the presence of autoregressive conditional kurtosis is observed. Various extensions to the basic model are examined, and show that conditional kurtosis appears to be positively but not significantly related to returns, and that the response of kurtosis to good and bad news is not significantly asymmetric. A multivariate model for conditional heteroscedasticity and conditional kurtosis, which can provide useful information on the co-movements between the higher moments of series, is also proposed.conditional kurtosis, GARCH, fourth moment, fat trails, student's t distribution

Finite sample weighting of recursive forecast errors

This paper proposes and tests a new framework for weighting recursive out-of-sample prediction errors according to their corresponding levels of in-sample estimation uncertainty. In essence, we show how to use the maximum possible amount of information from the sample in the evaluation of the prediction accuracy, by commencing the forecasts at the earliest opportunity and weighting the prediction errors. Via a Monte Carlo study, we demonstrate that the proposed framework selects the correct model from a set of candidate models considerably more often than the existing standard approach when only a small sample is available. We also show that the proposed weighting approaches result in tests of equal predictive accuracy that have much better sizes than the standard approach. An application to an exchange rate dataset highlights relevant differences in the results of tests of predictive accuracy based on the standard approach versus the framework proposed in this paper

Autoregressive conditional kurtosis

This article proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t-density and consequently can be estimated simply using maximum likelihood. The method is applied to a set of four daily financial asset return series comprising U.S. and U.K. stocks and bonds, and significant evidence in favor of the presence of autoregressive conditional kurtosis is observed. Various extensions to the basic model are proposed, and we show that the response of kurtosis to good and bad news is not significantly asymmetric

Glial cells are functionally impaired in juvenile neuronal ceroid lipofuscinosis and detrimental to neurons.

The neuronal ceroid lipofuscinoses (NCLs or Batten disease) are a group of inherited, fatal neurodegenerative disorders of childhood. In these disorders, glial (microglial and astrocyte) activation typically occurs early in disease progression and predicts where neuron loss subsequently occurs. We have found that in the most common juvenile form of NCL (CLN3 disease or JNCL) this glial response is less pronounced in both mouse models and human autopsy material, with the morphological transformation of both astrocytes and microglia severely attenuated or delayed. To investigate their properties, we isolated glia and neurons from Cln3-deficient mice and studied their basic biology in culture. Upon stimulation, both Cln3-deficient astrocytes and microglia also showed an attenuated ability to transform morphologically, and an altered protein secretion profile. These defects were more pronounced in astrocytes, including the reduced secretion of a range of neuroprotective factors, mitogens, chemokines and cytokines, in addition to impaired calcium signalling and glutamate clearance. Cln3-deficient neurons also displayed an abnormal organization of their neurites. Most importantly, using a co-culture system, Cln3-deficient astrocytes and microglia had a negative impact on the survival and morphology of both Cln3-deficient and wildtype neurons, but these effects were largely reversed by growing mutant neurons with healthy glia. These data provide evidence that CLN3 disease astrocytes are functionally compromised. Together with microglia, they may play an active role in neuron loss in this disorder and can be considered as potential targets for therapeutic interventions

An optical fiber hydrogen sensor using a palladium-coated ball lens

A self-referenced optical fiber refractometer using a ball lens as a sensor head has been developed and characterized. A 350-μm ball lens created at the tip of a single mode fiber has been coated with a 40-nm optically thin layer of palladium that reacts with hydrogen to form a hydride, which has a lower reflectivity than pure palladium. Optical reflectance measurements from the tip of the ball lens were performed to determine the hydrogen response. The change in reflectivity is proportional to the hydrogen concentration in the range 0% to 1% hydrogen in air with a detection limit down to 10 ppm (1σ) in air. This technique offers a simple sensor head arrangement, with a larger sampling area (~40 times) than a typical single-mode fiber core. A statistical image analysis of a palladium film, with cracks created by accelerated failure, confirms that the anticipated sensor area for a ball lens sensor head has a more predictable reflectivity than that of a bare fiber core

Forecasting exchange rate volatility using conditional variance models selected by information criteria

This paper uses appropriately modified information criteria to select models from the GARCH family, which are subsequently used for predicting US dollar exchange rate return volatility. The out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds, although less favourably on mean squared error grounds, with those generated by the commonly used GARCH(1, 1) model. An examination of the orders of models selected by the criteria reveals that (1, 1) models are typically selected less than 20% of the time

Further Characterization of Dopamine Release by Permeabilized PC 12 Cells

Rat pheochromocytoma cells (PC 12) permeabilized with staphylococcal α-toxin release [3H]dopamine after addition of micromolar Ca2+. This does not require additional Mg2+-ATP (in contrast to bovine adrenal medullary chromaffin cells). We also observed Ca2+-dependent [3H]-dopamine release from digitonin-permeabilized PC 12 cells. Permeabilization with α-toxin or digitonin and stimulation of the cells were done consecutively to wash out endogenous Mg2+-ATP. During permeabilization, ATP was removed effectively from the cytoplasm by both agents but the cells released [3H]dopamine in response to micromolar Ca2+ alone. Replacement by chloride of glutamate, which could sustain mitochondrial ATP production in permeabilized cells, does not significantly alter catecholamine release induced by Ca2+. However, Mg2+ without ATP augments the Ca2+-induced release. The release was unaltered by thiol-, hydroxyl-, or calmodulin-interfering substances. Thus Mg2+-ATP, calmodulin, or proteins containing -SH or -OH groups are not necessary for exocytosis in permeabilized PC 12 cells

Trends in match injury risk in professional male rugby union: a 16-season review of 10851 match injuries in the English Premiership (2002-2019):The Professional Rugby Injury Surveillance Project

Objectives The Professional Rugby Injury Surveillance Project is the largest and longest running rugby union injury surveillance project globally and focuses on the highest level of rugby in England.Methods We examined match injuries in professional men’s rugby over the period 2002/2003 to 2018/2019 and described trends in injuries over this time.Results Over the period 2002/2003–2018/2019, 10 851 injuries occurred in 1 24 952 hours of match play, equating to a mean of 57 injuries per club per season and one injury per team per match. The mean incidence, severity (days absence) and burden (days absence/1000 hours) of injury were 87/1000 hours (95% CI 82 to 92), 25 days (95% CI 22 to 28) and 2178 days/1000 hours (95% CI 1872 to 2484), respectively. The tackle accounted for 43% injuries with running the second most common activity during injury (12%). The most common injury location was the head/face with an incidence of 11.3/1000 hours, while the location with the highest overall burden was the knee (11.1 days/1000 hours). Long-term trends demonstrated stable injury incidence and proportion of injured players, but an increase in the mean and median severity of injuries. Concussion incidence, severity and burden increased from the 2009/2010 season onwards and from 2011 to 2019 concussion was the most common injury.Conclusion The rise in overall injury severity and concussion incidence are the most significant findings from this work and demonstrate the need for continued efforts to reduce concussion risk as well as a greater understanding of changes in injury severity over time