Limit theorems for bipower variation in financial econometrics

In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which have been highlighted in recent years in financial econometrics. The analysis is carried out under some rather general Brownian semimartingale assumptions, which allow for standard leverage effects

Power variation & stochastic volatility: a review and some new results

In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in financial econometrics in the analysis of volatility. The paper also provides some new results and discusses open issues.Bipower; Mixed Gaussian limit; Power variation; Quadratic variation; Realised variance; Realised volatility; Stochastic volatility.

Limit theorems for bipower variation in financial econometrics

In this paper we provide an asymptotic analysis of generalised bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation and bipower variations which have been highlighted in recent years in financial econometrics. The analysis is carried out under some rather general Brownian semimartingale assumptions, which allow for standard leverage effects.Bipower variation, Power variation, Quadratic variation, Semimartingales, Stochastic volatility

Surgical treatment of patients with infective endocarditis:changes in temporal use, patient characteristics, and mortality—a nationwide study

BACKGROUND: Valve surgery guidelines for infective endocarditis (IE) are unchanged over decades and nationwide data about the use of valve surgery do not exist. METHODS: We included patients with first-time IE (1999–2018) using Danish nationwide registries. Proportions of valve surgery were reported for calendar periods (1999–2003, 2004–2008, 2009–2013, 2014–2018). Comparing calendar periods in multivariable analyses, we computed likelihoods of valve surgery with logistic regression and rates of 30 day postoperative mortality with Cox regression. RESULTS: We included 8804 patients with first-time IE; 1981 (22.5%) underwent surgery during admission, decreasing by calendar periods (N = 360 [24.4%], N = 483 [24.0%], N = 553 [23.5%], N = 585 [19.7%], P = < 0.001 for trend). For patients undergoing valve surgery, median age increased from 59.7 to 66.9 years (P ≤ 0.001) and the proportion of males increased from 67.8% to 72.6% (P = 0.008) from 1999–2003 to 2014–2018. Compared with 1999–2003, associated likelihoods of valve surgery were: Odds ratio (OR) = 1.14 (95% CI: 0.96–1.35), OR = 1.20 (95% CI: 1.02–1.42), and OR = 1.10 (95% CI: 0.93–1.29) in 2004–2008, 2009–2013, and 2014–2018, respectively. 30 day postoperative mortalities were: 12.7%, 12.8%, 6.9%, and 9.7% by calendar periods. Compared with 1999–2003, associated mortality rates were: Hazard ratio (HR) = 0.96 (95% CI: 0.65–1.41), HR = 0.43 (95% CI: 0.28–0.67), and HR = 0.55 (95% CI 0.37–0.83) in 2004–2008, 2009–2013, and 2014–2018, respectively. CONCLUSIONS: On a nationwide scale, 22.5% of patients with IE underwent valve surgery. Patient characteristics changed considerably and use of valve surgery decreased over time. The adjusted likelihood of valve surgery was similar between calendar periods with a trend towards an increase while rates of 30 day postoperative mortality decreased. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1186/s12872-022-02761-z

Event structures for the reversible early internal pi-calculus

The pi-calculus is a widely used process calculus, which models com-munications between processes and allows the passing of communication links.Various operational semantics of the pi-calculus have been proposed, which canbe classified according to whether transitions are unlabelled (so-called reductions)or labelled. With labelled transitions, we can distinguish early and late semantics.The early version allows a process to receive names it already knows from the en-vironment, while the late semantics and reduction semantics do not. All existingreversible versions of the pi-calculus use reduction or late semantics, despite theearly semantics of the (forward-only) pi-calculus being more widely used than thelate. We define piIH, the first reversible early pi-calculus, and give it a denotationalsemantics in terms of reversible bundle event structures. The new calculus is a re-versible form of the internal pi-calculus, which is a subset of the pi-calculus whereevery link sent by an output is private, yielding greater symmetry between inputsand outputs

Warm‐air advection, air mass transformation and fog causes rapid ice melt

Direct observations during intense warm-air advection over the East Siberian Sea reveal a period of rapid sea-ice melt. A semi-stationary, high-pressure system north of the Bering Strait forced northward advection of warm, moist air from the continent. Air-mass transfor-mation over melting sea ice formed a strong, surface-based temperature inversion in which dense fog formed. This induced a positive net longwave radiation at the surface, while reduc-ing net solar radiation only marginally; the inversion also resulted in downward turbulent heat flux. The sum of these processes enhanced the surface energy flux by an average of ~15 W m-2 for a week. Satellite images before and after the episode show sea-ice concentrations decreasing from > 90% to ~50% over a large area affected by the air-mass transformation. We argue that this rapid melt was triggered by the increased heat flux from the atmosphere due to the warm-air advection

Atmospheric impact of Arctic Sea ice loss in a coupled ocean–atmosphere simulation

The atmospheric response to an idealized decline in Arctic sea ice is investigated in a novel fully coupled climate model experiment. In this experiment two ensembles of single-year model integrations are performed starting on 1 April, the approximate start of the ice melt season. By perturbing the initial conditions of sea ice thickness (SIT), declines in both sea ice concentration and SIT, which result in sea ice distributions that are similar to the recent sea ice minima of 2007 and 2012, are induced. In the ice loss regions there are strong (~3 K) local increases in sea surface temperature (SST); additionally, there are remote increases in SST in the central North Pacific and subpolar gyre in the North Atlantic. Over the central Arctic there are increases in surface air temperature (SAT) of ~8 K due to increases in ocean–atmosphere heat fluxes. There are increases in SAT over continental North America that are in good agreement with recent changes as seen by reanalysis data. It is estimated that up to two-thirds of the observed increase in SAT in this region could be related to Arctic sea ice loss. In early summer there is a significant but weak atmospheric circulation response that projects onto the summer North Atlantic Oscillation (NAO). In early summer and early autumn there is an equatorward shift of the eddy-driven jet over the North Atlantic as a result of a reduction in the meridional temperature gradients. In winter there is no projection onto a particular phase of the NAO

Dietary supplementation of cystinotic mice by lysine inhibits the megalin pathway and decreases kidney cystine content.

peer reviewedMegalin/LRP2 is a major receptor supporting apical endocytosis in kidney proximal tubular cells. We have previously reported that kidney-specific perinatal ablation of the megalin gene in cystinotic mice, a model of nephropathic cystinosis, essentially blocks renal cystine accumulation and partially preserves kidney tissue integrity. Here, we examined whether inhibition of the megalin pathway in adult cystinotic mice by dietary supplementation (5x-fold vs control regular diet) with the dibasic amino-acids (dAAs), lysine or arginine, both of which are used to treat patients with other rare metabolic disorders, could also decrease renal cystine accumulation and protect cystinotic kidneys. Using surface plasmon resonance, we first showed that both dAAs compete for protein ligand binding to immobilized megalin in a concentration-dependent manner, with identical inhibition curves by L- and D-stereoisomers. In cystinotic mice, 2-month diets with 5x-L-lysine and 5x-L-arginine were overall well tolerated, while 5x-D-lysine induced strong polyuria but no weight loss. All diets induced a marked increase of dAA urinary excretion, most prominent under 5x-D-lysine, without sign of kidney insufficiency. Renal cystine accumulation was slowed down approx. twofold by L-dAAs, and totally suppressed by D-lysine. We conclude that prolonged dietary manipulation of the megalin pathway in kidneys is feasible, tolerable and can be effective in vivo

Contribution of sea-ice loss to Arctic amplification is regulated by Pacific Ocean decadal variability

The pace of Arctic warming is about double that at lower latitudes – a robust phenomenon known as Arctic amplification (AA)1. Many diverse climate processes and feedbacks cause AA2-7, including positive feedbacks associated with diminished sea ice6,7. However, the precise contribution of sea-ice loss to AA remains uncertain7,8. Through analyses of both observations and model simulations, we show that the contribution of sea-ice loss to wintertime AA appears dependent on the phase of the Pacific Decadal Oscillation (PDO). Our results suggest that for the same pattern and amount of sea-ice loss, consequent Arctic warming is larger during the negative PDO phase, relative to the positive phase, leading to larger reductions in the poleward gradient of tropospheric thickness and to more pronounced reductions in the upper-level westerlies. Given the oscillatory nature of the PDO, this relationship has the potential to increase skill in decadal-scale predictability of Arctic and sub-Arctic climate. Our results indicate that Arctic warming in response to the ongoing long-term sea-ice decline9,10 is greater (reduced) during periods of negative (positive) PDO phase. We speculate that the observed recent shift to the positive PDO phase, if maintained and all other factors being equal, could act to temporarily reduce the pace of wintertime Arctic warming in the near future.J.A.S. was funded by a UK Natural Environment Research Council (NERC) grants NE/J019585/1 and NE/M006123/1. J.A.F. was supported by an NSF/ARCSS grant (1304097) and NASA grant (NNX14AH896). The model simulations were performed on the ARCHER UK National Supercomputing Service. We thank the NOAA ESRL and Met Office Hadley Centre for provision of observational and reanalysis data sets. We also thank D. Ackerley for helping to diagnose the cause of model crashes, C. Deser for commenting on the manuscript prior to submission, and two anonymous reviewers for constructive criticism