3 research outputs found

    Forecasting Equicorrelation

    Get PDF
    We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets. Building on the existing Dynamic Conditional Correlation and Linear Dynamic Equicorrelation models, we propose a model that uses proxies for equicorrelation based on high-frequency intraday data, and the level of equicorrelation implied by options prices. Using state-of-the-art statistical evaluation technology, we find that the use of both realized and implied equicorrelations outperform models that use daily data alone. However, the out-of-sample forecasting benefits of implied equicorrelation disappear when used in conjunction with the realized measures.Equicorrelation, Implied Correlation, Multivariate GARCH, DCC

    Dimethyl fumarate in patients admitted to hospital with COVID-19 (RECOVERY): a randomised, controlled, open-label, platform trial

    Get PDF
    Dimethyl fumarate (DMF) inhibits inflammasome-mediated inflammation and has been proposed as a treatment for patients hospitalised with COVID-19. This randomised, controlled, open-label platform trial (Randomised Evaluation of COVID-19 Therapy [RECOVERY]), is assessing multiple treatments in patients hospitalised for COVID-19 (NCT04381936, ISRCTN50189673). In this assessment of DMF performed at 27 UK hospitals, adults were randomly allocated (1:1) to either usual standard of care alone or usual standard of care plus DMF. The primary outcome was clinical status on day 5 measured on a seven-point ordinal scale. Secondary outcomes were time to sustained improvement in clinical status, time to discharge, day 5 peripheral blood oxygenation, day 5 C-reactive protein, and improvement in day 10 clinical status. Between 2 March 2021 and 18 November 2021, 713 patients were enroled in the DMF evaluation, of whom 356 were randomly allocated to receive usual care plus DMF, and 357 to usual care alone. 95% of patients received corticosteroids as part of routine care. There was no evidence of a beneficial effect of DMF on clinical status at day 5 (common odds ratio of unfavourable outcome 1.12; 95% CI 0.86-1.47; p = 0.40). There was no significant effect of DMF on any secondary outcome
    corecore