Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian approach via the link with the Skewed-Laplace distribution. We examine how a range of risk models perform during the 2008-09 financial crisis, and evaluate how the crisis aects the performance of risk models via forecasting VaR. Empirical analysis is conducted on five Asia-Pacific Economic Cooperation stock market indices as well as two exchange rate series. We examine violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more eficiently than other models, across the series considered, which should be useful for financial practitioners.Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting, Markov chain Monte Carlo.

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We propose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian approach via the link with the Skewed-Laplace distribution. We examine how a range of risk models perform during the 2008-09 financial crisis, and evaluate how the crisis affects the performance of risk models via forecasting VaR. Empirical analysis is conducted on five Asia-Pacific Economic Cooperation stock market indices as well as two exchange rate series. We examine violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more efficiently than other models, across the series considered, which should be useful for financial practitioners.Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting; Markov chain Monte Carlo

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian approach via the link with the Skewed-Laplace distribution. We examine how a range of risk models perform during the 2008-09 financial crisis, and evaluate how the crisis affects the performance of risk models via forecasting VaR. Empirical analysis is conducted on five Asia-Pacific Economic Cooperation stock market indices as well as two exchange rate series. We examine violation rates, back-testing criteria, market risk charges and quantile loss function values to measure and assess the forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more efficiently than other models, across the series considered, which should be useful for financial practitioners.Value-at-Risk; CAViaR model; Skewed-Laplace distribution; intra-day range; backtesting, Markov chain Monte Carlo.

The Image of Taiwan as a Travel Destination: Perspectives from Mainland China

This study presents the perceived and projected image of Taiwan as a travel destination from perspectives from Mainland China. The perceived image of Taiwan was examined by interviewing 28 Mainland Chinese; the projected image of Taiwan was investigated by analyzing articles in China's most popular travel magazines. The different types of images of Taiwan among visitors, nonvisitors, and travel magazines were compared. The projected image changed notably after the opening of Taiwan's tourism to travelers from Mainland China. The results of this study could help destination marketing organizations to assess their marketing strategies for the Mainland Chinese travel market

Rare Copy Number Variants in \u3cem\u3eNRXN1\u3c/em\u3e and \u3cem\u3eCNTN6\u3c/em\u3e Increase Risk for Tourette Syndrome

Tourette syndrome (TS) is a model neuropsychiatric disorder thought to arise from abnormal development and/or maintenance of cortico-striato-thalamo-cortical circuits. TS is highly heritable, but its underlying genetic causes are still elusive, and no genome-wide significant loci have been discovered to date. We analyzed a European ancestry sample of 2,434 TS cases and 4,093 ancestry-matched controls for rare (\u3c 1% frequency) copy-number variants (CNVs) using SNP microarray data. We observed an enrichment of global CNV burden that was prominent for large (\u3e 1 Mb), singleton events (OR = 2.28, 95% CI [1.39–3.79], p = 1.2 × 10−3) and known, pathogenic CNVs (OR = 3.03 [1.85–5.07], p = 1.5 × 10−5). We also identified two individual, genome-wide significant loci, each conferring a substantial increase in TS risk (NRXN1 deletions, OR = 20.3, 95% CI [2.6–156.2]; CNTN6 duplications, OR = 10.1, 95% CI [2.3–45.4]). Approximately 1% of TS cases carry one of these CNVs, indicating that rare structural variation contributes significantly to the genetic architecture of TS

Macrophage-derived human resistin is induced in multiple helminth infections and promotes inflammatory monocytes and increased parasite burden.

Parasitic helminth infections can be associated with lifelong morbidity such as immune-mediated organ failure. A better understanding of the host immune response to helminths could provide new avenues to promote parasite clearance and/or alleviate infection-associated morbidity. Murine resistin-like molecules (RELM) exhibit pleiotropic functions following helminth infection including modulating the host immune response; however, the relevance of human RELM proteins in helminth infection is unknown. To examine the function of human resistin (hResistin), we utilized transgenic mice expressing the human resistin gene (hRetnTg+). Following infection with the helminth Nippostrongylus brasiliensis (Nb), hResistin expression was significantly upregulated in infected tissue. Compared to control hRetnTg- mice, hRetnTg+ mice suffered from exacerbated Nb-induced inflammation characterized by weight loss and increased infiltration of inflammatory monocytes in the lung, along with elevated Nb egg burdens and delayed parasite expulsion. Genome-wide transcriptional profiling of the infected tissue revealed that hResistin promoted expression of proinflammatory cytokines and genes downstream of toll-like receptor signaling. Moreover, hResistin preferentially bound lung monocytes, and exogenous treatment of mice with recombinant hResistin promoted monocyte recruitment and proinflammatory cytokine expression. In human studies, increased serum resistin was associated with higher parasite load in individuals infected with soil-transmitted helminths or filarial nematode Wuchereria bancrofti, and was positively correlated with proinflammatory cytokines. Together, these studies identify human resistin as a detrimental factor induced by multiple helminth infections, where it promotes proinflammatory cytokines and impedes parasite clearance. Targeting the resistin/proinflammatory cytokine immune axis may provide new diagnostic or treatment strategies for helminth infection and associated immune-mediated pathology

Quarantine for SARS, Taiwan

Quarantine for SARS during the 2003 Taiwan outbreak expedited case detection, thereby indirectly preventing infections

How a Diverse Research Ecosystem Has Generated New Rehabilitation Technologies: Review of NIDILRR’s Rehabilitation Engineering Research Centers

Over 50 million United States citizens (1 in 6 people in the US) have a developmental, acquired, or degenerative disability. The average US citizen can expect to live 20% of his or her life with a disability. Rehabilitation technologies play a major role in improving the quality of life for people with a disability, yet widespread and highly challenging needs remain. Within the US, a major effort aimed at the creation and evaluation of rehabilitation technology has been the Rehabilitation Engineering Research Centers (RERCs) sponsored by the National Institute on Disability, Independent Living, and Rehabilitation Research. As envisioned at their conception by a panel of the National Academy of Science in 1970, these centers were intended to take a “total approach to rehabilitation”, combining medicine, engineering, and related science, to improve the quality of life of individuals with a disability. Here, we review the scope, achievements, and ongoing projects of an unbiased sample of 19 currently active or recently terminated RERCs. Specifically, for each center, we briefly explain the needs it targets, summarize key historical advances, identify emerging innovations, and consider future directions. Our assessment from this review is that the RERC program indeed involves a multidisciplinary approach, with 36 professional fields involved, although 70% of research and development staff are in engineering fields, 23% in clinical fields, and only 7% in basic science fields; significantly, 11% of the professional staff have a disability related to their research. We observe that the RERC program has substantially diversified the scope of its work since the 1970’s, addressing more types of disabilities using more technologies, and, in particular, often now focusing on information technologies. RERC work also now often views users as integrated into an interdependent society through technologies that both people with and without disabilities co-use (such as the internet, wireless communication, and architecture). In addition, RERC research has evolved to view users as able at improving outcomes through learning, exercise, and plasticity (rather than being static), which can be optimally timed. We provide examples of rehabilitation technology innovation produced by the RERCs that illustrate this increasingly diversifying scope and evolving perspective. We conclude by discussing growth opportunities and possible future directions of the RERC program

Improvement in the Reproducibility and Accuracy of DNA Microarray Quantification by Optimizing Hybridization Conditions

BACKGROUND: DNA microarrays, which have been increasingly used to monitor mRNA transcripts at a global level, can provide detailed insight into cellular processes involved in response to drugs and toxins. This is leading to new understandings of signaling networks that operate in the cell, and the molecular basis of diseases. Custom printed oligonucleotide arrays have proven to be an effective way to facilitate the applications of DNA microarray technology. A successful microarray experiment, however, involves many steps: well-designed oligonucleotide probes, printing, RNA extraction and labeling, hybridization, and imaging. Optimization is essential to generate reliable microarray data. RESULTS: Hybridization and washing steps are crucial for a successful microarray experiment. By following the hybridization and washing conditions recommended by an oligonucleotide provider, it was found that the expression ratios were compressed greater than expected and data analysis revealed a high degree of non-specific binding. A series of experiments was conducted using rat mixed tissue RNA reference material (MTRRM) and other RNA samples to optimize the hybridization and washing conditions. The optimized hybridization and washing conditions greatly reduced the non-specific binding and improved the accuracy of spot intensity measurements. CONCLUSION: The results from the optimized hybridization and washing conditions greatly improved the reproducibility and accuracy of expression ratios. These experiments also suggested the importance of probe designs using better bioinformatics approaches and the need for common reference RNA samples for platform performance evaluation in order to fulfill the potential of DNA microarray technology

A multi-decade record of high quality fCO2 data in version 3 of the Surface Ocean CO2 Atlas (SOCAT)

The Surface Ocean CO2 Atlas (SOCAT) is a synthesis of quality-controlled fCO2 (fugacity of carbon dioxide) values for the global surface oceans and coastal seas with regular updates. Version 3 of SOCAT has 14.7 million fCO2 values from 3646 data sets covering the years 1957 to 2014. This latest version has an additional 4.6 million fCO2 values relative to version 2 and extends the record from 2011 to 2014. Version 3 also significantly increases the data availability for 2005 to 2013. SOCAT has an average of approximately 1.2 million surface water fCO2 values per year for the years 2006 to 2012. Quality and documentation of the data has improved. A new feature is the data set quality control (QC) flag of E for data from alternative sensors and platforms. The accuracy of surface water fCO2 has been defined for all data set QC flags. Automated range checking has been carried out for all data sets during their upload into SOCAT. The upgrade of the interactive Data Set Viewer (previously known as the Cruise Data Viewer) allows better interrogation of the SOCAT data collection and rapid creation of high-quality figures for scientific presentations. Automated data upload has been launched for version 4 and will enable more frequent SOCAT releases in the future. High-profile scientific applications of SOCAT include quantification of the ocean sink for atmospheric carbon dioxide and its long-term variation, detection of ocean acidification, as well as evaluation of coupled-climate and ocean-only biogeochemical models. Users of SOCAT data products are urged to acknowledge the contribution of data providers, as stated in the SOCAT Fair Data Use Statement. This ESSD (Earth System Science Data) “living data” publication documents the methods and data sets used for the assembly of this new version of the SOCAT data collection and compares these with those used for earlier versions of the data collection (Pfeil et al., 2013; Sabine et al., 2013; Bakker et al., 2014). Individual data set files, included in the synthesis product, can be downloaded here: doi:10.1594/PANGAEA.849770. The gridded products are available here: doi:10.3334/CDIAC/OTG.SOCAT_V3_GRID