Out-of-sample comparison of copula specifications in multivariate density forecasts

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or nonnested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student’s t copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized by symmetric tail dependence.Copula-based density forecast; semiparametric statistics; out-of-sample forecast evaluation; Kullback-Leibler Information Criterion; empirical copula

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted likelihood or censored normal likelihood favor density forecasts with more probability mass in the given region, rendering predictive accuracy tests biased towards such densities. Our novel partial likelihood-based scoring rules do not suffer from this problem, as illustrated by means of Monte Carlo simulations and an empirical application to daily S&P 500 index returns

STOX1: Key Player in Trophoblast Dysfunction Underlying Early Onset Preeclampsia with Growth Retardation

Currently, only two preeclampsia susceptibility genes (ACVR2A, STOX1) have been identified within confirmed regions with significant genome-wide linkage, although many genetic screens in multiple populations have been performed. In this paper, we focus on the STOX1 gene. The epigenetic status of this gene is discussed explaining the maternal transmission of the STOX1 susceptibility allele observed in preeclamptic families. The known upstream regulation and downstream effector genes of the transcription factor STOX1 are described. Finally, we propose a model in which we combine the cell type-specific and allele-specific effects of STOX1. This includes intrinsic effects (differential CpG island methylation) and extrinsic effects (regulation of effector genes)

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte Carlo simulations demonstrate that the proposed test has satisfactory size and power properties in finite samples. Applying the test to daily exchange rate returns of several major currencies against the US dollar we find that the Student's t copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized by symmetric tail dependence

The value of pre-operative ultrasound mapping of the greater saphenous vein prior to 'closed' in situ bypass operations

Objective: The aim of this study was to test pre-operative ultrasound mapping for the detection of duplications and narrow vein segments of the greater saphenous vein (GSV) used as bypass for occlusive arterial disease surgery. Patients and methods: In 44 patients pre-operative ultrasound findings of duplications and lumen assessment of the GSV were compared to the per-operative findings. Results: In nine patients (20%) the pre-operative ultrasound examination showed a duplication. Pre-operative ultrasound had missed a duplication in two cases but had instead shown a narrow segment in both. The pre-operative ultrasound assessment of lumen diameter showed a narrow lumen segment in 10 of the 44 patients. In one patient a per-operatively narrow lumen had not been seen on pre-operative ultrasound. Conclusion: Pre-operative ultrasound mapping of the GSV is a sensitive tool for detection of duplications and narrow vein segments. Since these anatomical variations provide important information for the vascular surgeon, before performing a 'closed' in situ bypass operation, pre-operative vein mapping should be considered when planning such a procedure

Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution. The test is framed in the context of the Kullback-Leibler Information Criterion, but using (out-of-sample) conditional likelihood and censored likelihood in order to focus the evaluation on the region of interest. Monte Carlo simulations document that the resulting test statistics have satisfactory size and power properties in small samples. In an empirical application to daily exchange rate returns we find evidence that the dependence structure varies with the sign and magnitude of returns, such that different parametric copula models achieve superior forecasting performance in different regions of the support. Our analysis highlights the importance of allowing for lower and upper tail dependence for accurate forecasting of common extreme appreciation and depreciation of different currencies

Naturally Occurring Variation in Trophoblast Invasion as a Source of Novel (Epigenetic) Biomarkers

During the first trimester of pregnancy fetal trophoblasts invade the maternal decidua, thereby remodeling the maternal spiral arteries. This process of trophoblast invasion is very similar to cancer cell invasion, with multiple signaling pathways shared between the two. Pregnancy-related diseases, e.g., pre-eclampsia, and cancer metastasis start with a decrease or increase in cellular invasion, respectively. Here, we investigate if first trimester placental explants can be used to identify epigenetic factors associated with changes in cellular invasion and their potential use as biomarkers. We show that the outgrowth potential of first trimester explants significantly correlates with promoter methylation of PRKCDBP and MMP2, two genes known to be differentially methylated in both placenta and cancer. The increase in methylation percentage of placental cells coincides with an increase in invasion potential. Subsequently, as a non-invasive marker must be detectable in blood, plasma samples of pregnant and non-pregnant women were analyzed. The MMP2 promoter showed high methylation levels in non-pregnant plasma samples, which decreased in pregnant plasma samples which also contain placental DNA. The decrease in methylated plasma DNA during pregnancy is most likely due to the fractional increase in unmethylated placental DNA. This suggests that the level of unmethylated DNA has the potential to be used as an invasion marker, where higher levels of unmethylated DNA indicate a lower invasion potential of trophoblasts. These proof of principle data provide evidence that human first trimester placental explants are an excellent ex vivo model system to identify (epigenetic) factors and thus potential biomarkers associated with changes in cellular invasion, e.g., to detect pregnancy-related diseases or cancer metastasis. To identify novel biomarkers the next step is to correlate naturally occurring variation in invasion potential to changes in (epigenetic) factors by genome-wide approaches such as massively parallel sequencing