Model complexity and out-of-sample performance: evidence from S&P 500 index returns

We apply a range of out-of-sample specification tests to more than forty competing stochastic volatility models to address how model complexity affects out-of-sample performance. Using daily S&P 500 index returns, model confidence set estimations provide strong evidence that the most important model feature is the non-affinity of the variance process. Despite testing alternative specifications during the turbulent market regime of the global financial crisis of 2008, we find no evidence that either finite- or infinite-activity jump models or other previously proposed model extensions improve the out-of-sample performance further. Applications to Value-at-Risk demonstrate the economic significance of our results. Furthermore, the out-of-sample results suggest that standard jump diffusion models are misspecified

Canagliflozin and renal outcomes in type 2 diabetes and nephropathy

BACKGROUND Type 2 diabetes mellitus is the leading cause of kidney failure worldwide, but few effective long-term treatments are available. In cardiovascular trials of inhibitors of sodium–glucose cotransporter 2 (SGLT2), exploratory results have suggested that such drugs may improve renal outcomes in patients with type 2 diabetes. METHODS In this double-blind, randomized trial, we assigned patients with type 2 diabetes and albuminuric chronic kidney disease to receive canagliflozin, an oral SGLT2 inhibitor, at a dose of 100 mg daily or placebo. All the patients had an estimated glomerular filtration rate (GFR) of 30 to <90 ml per minute per 1.73 m2 of body-surface area and albuminuria (ratio of albumin [mg] to creatinine [g], >300 to 5000) and were treated with renin–angiotensin system blockade. The primary outcome was a composite of end-stage kidney disease (dialysis, transplantation, or a sustained estimated GFR of <15 ml per minute per 1.73 m2), a doubling of the serum creatinine level, or death from renal or cardiovascular causes. Prespecified secondary outcomes were tested hierarchically. RESULTS The trial was stopped early after a planned interim analysis on the recommendation of the data and safety monitoring committee. At that time, 4401 patients had undergone randomization, with a median follow-up of 2.62 years. The relative risk of the primary outcome was 30% lower in the canagliflozin group than in the placebo group, with event rates of 43.2 and 61.2 per 1000 patient-years, respectively (hazard ratio, 0.70; 95% confidence interval [CI], 0.59 to 0.82; P=0.00001). The relative risk of the renal-specific composite of end-stage kidney disease, a doubling of the creatinine level, or death from renal causes was lower by 34% (hazard ratio, 0.66; 95% CI, 0.53 to 0.81; P<0.001), and the relative risk of end-stage kidney disease was lower by 32% (hazard ratio, 0.68; 95% CI, 0.54 to 0.86; P=0.002). The canagliflozin group also had a lower risk of cardiovascular death, myocardial infarction, or stroke (hazard ratio, 0.80; 95% CI, 0.67 to 0.95; P=0.01) and hospitalization for heart failure (hazard ratio, 0.61; 95% CI, 0.47 to 0.80; P<0.001). There were no significant differences in rates of amputation or fracture. CONCLUSIONS In patients with type 2 diabetes and kidney disease, the risk of kidney failure and cardiovascular events was lower in the canagliflozin group than in the placebo group at a median follow-up of 2.62 years

Multiorgan MRI findings after hospitalisation with COVID-19 in the UK (C-MORE): a prospective, multicentre, observational cohort study

Introduction: The multiorgan impact of moderate to severe coronavirus infections in the post-acute phase is still poorly understood. We aimed to evaluate the excess burden of multiorgan abnormalities after hospitalisation with COVID-19, evaluate their determinants, and explore associations with patient-related outcome measures. Methods: In a prospective, UK-wide, multicentre MRI follow-up study (C-MORE), adults (aged ≥18 years) discharged from hospital following COVID-19 who were included in Tier 2 of the Post-hospitalisation COVID-19 study (PHOSP-COVID) and contemporary controls with no evidence of previous COVID-19 (SARS-CoV-2 nucleocapsid antibody negative) underwent multiorgan MRI (lungs, heart, brain, liver, and kidneys) with quantitative and qualitative assessment of images and clinical adjudication when relevant. Individuals with end-stage renal failure or contraindications to MRI were excluded. Participants also underwent detailed recording of symptoms, and physiological and biochemical tests. The primary outcome was the excess burden of multiorgan abnormalities (two or more organs) relative to controls, with further adjustments for potential confounders. The C-MORE study is ongoing and is registered with ClinicalTrials.gov, NCT04510025. Findings: Of 2710 participants in Tier 2 of PHOSP-COVID, 531 were recruited across 13 UK-wide C-MORE sites. After exclusions, 259 C-MORE patients (mean age 57 years [SD 12]; 158 [61%] male and 101 [39%] female) who were discharged from hospital with PCR-confirmed or clinically diagnosed COVID-19 between March 1, 2020, and Nov 1, 2021, and 52 non-COVID-19 controls from the community (mean age 49 years [SD 14]; 30 [58%] male and 22 [42%] female) were included in the analysis. Patients were assessed at a median of 5·0 months (IQR 4·2–6·3) after hospital discharge. Compared with non-COVID-19 controls, patients were older, living with more obesity, and had more comorbidities. Multiorgan abnormalities on MRI were more frequent in patients than in controls (157 [61%] of 259 vs 14 [27%] of 52; p<0·0001) and independently associated with COVID-19 status (odds ratio [OR] 2·9 [95% CI 1·5–5·8]; padjusted=0·0023) after adjusting for relevant confounders. Compared with controls, patients were more likely to have MRI evidence of lung abnormalities (p=0·0001; parenchymal abnormalities), brain abnormalities (p<0·0001; more white matter hyperintensities and regional brain volume reduction), and kidney abnormalities (p=0·014; lower medullary T1 and loss of corticomedullary differentiation), whereas cardiac and liver MRI abnormalities were similar between patients and controls. Patients with multiorgan abnormalities were older (difference in mean age 7 years [95% CI 4–10]; mean age of 59·8 years [SD 11·7] with multiorgan abnormalities vs mean age of 52·8 years [11·9] without multiorgan abnormalities; p<0·0001), more likely to have three or more comorbidities (OR 2·47 [1·32–4·82]; padjusted=0·0059), and more likely to have a more severe acute infection (acute CRP >5mg/L, OR 3·55 [1·23–11·88]; padjusted=0·025) than those without multiorgan abnormalities. Presence of lung MRI abnormalities was associated with a two-fold higher risk of chest tightness, and multiorgan MRI abnormalities were associated with severe and very severe persistent physical and mental health impairment (PHOSP-COVID symptom clusters) after hospitalisation. Interpretation: After hospitalisation for COVID-19, people are at risk of multiorgan abnormalities in the medium term. Our findings emphasise the need for proactive multidisciplinary care pathways, with the potential for imaging to guide surveillance frequency and therapeutic stratification

A Simulation Approach to Dynamic Portfolio Choice With An Application to Learning . . .

We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning. We first establish the properties of the method for the portfolio choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is uncertain about the parameters of the data generating process. The investo