Beyond Stochastic Volatility and Jumps in Returns and Volatility

While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. Under the risk-neutral measure, for example, this can be seen from variation across time in the shape of Black-Scholes implied volatility smiles. This paper investigates model characteristics that are consistent with variation in the shape of return distributions using a stochastic volatility model with a regime-switching feature to allow for random changes in the parameters governing volatility of volatility, leverage effect and jump intensity. The analysis consists of two steps. First, the models are estimated using only information from observed returns and option-implied volatility. Standard model assessment tools indicate a strong preference in favor of the proposed models. Since the information from option-implied skewness and kurtosis is not used in fitting the models, it is available for diagnostic purposes. In the second step of the analysis, regressions of option-implied skewness and kurtosis on the filtered state variables (and some controls) suggest that the models have strong explanatory power for these characteristics

Estimating Long-Term Survival of Critically Ill Patients: The PREDICT Model

BACKGROUND: Long-term survival outcome of critically ill patients is important in assessing effectiveness of new treatments and making treatment decisions. We developed a prognostic model for estimation of long-term survival of critically ill patients. METHODOLOGY AND PRINCIPAL FINDINGS: This was a retrospective linked data cohort study involving 11,930 critically ill patients who survived more than 5 days in a university teaching hospital in Western Australia. Older age, male gender, co-morbidities, severe acute illness as measured by Acute Physiology and Chronic Health Evaluation II predicted mortality, and more days of vasopressor or inotropic support, mechanical ventilation, and hemofiltration within the first 5 days of intensive care unit admission were associated with a worse long-term survival up to 15 years after the onset of critical illness. Among these seven pre-selected predictors, age (explained 50% of the variability of the model, hazard ratio [HR] between 80 and 60 years old = 1.95) and co-morbidity (explained 27% of the variability, HR between Charlson co-morbidity index 5 and 0 = 2.15) were the most important determinants. A nomogram based on the pre-selected predictors is provided to allow estimation of the median survival time and also the 1-year, 3-year, 5-year, 10-year, and 15-year survival probabilities for a patient. The discrimination (adjusted c-index = 0.757, 95% confidence interval 0.745-0.769) and calibration of this prognostic model were acceptable. SIGNIFICANCE: Age, gender, co-morbidities, severity of acute illness, and the intensity and duration of intensive care therapy can be used to estimate long-term survival of critically ill patients. Age and co-morbidity are the most important determinants of long-term prognosis of critically ill patients

Shedding light on the ‘dark side’ of phylogenetic comparative methods

ORCID: 0000-0003-4919-8655© 2016 The Authors. Methods in Ecology and Evolution published by John Wiley & Sons Ltd on behalf of British Ecological Society This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. The attached file is the published version of the article

The frequency of osteogenic activities and the pattern of intermittence between periods of physical activity and sedentary behaviour affects bone mineral content: the cross-sectional NHANES study

BACKGROUND: Sedentary behaviours, defined as non exercising seated activities, have been shown to have deleterious effects on health. It has been hypothesised that too much sitting time can have a detrimental effect on bone health in youth. The aim of this study is to test this hypothesis by exploring the association between objectively measured volume and patterns of time spent in sedentary behaviours, time spent in specific screen-based sedentary pursuits and bone mineral content (BMC) accrual in youth. METHODS: NHANES 2005–2006 cycle data includes BMC of the femoral and spinal region via dual-energy X-ray absorptiometry (DEXA), assessment of physical activity and sedentary behaviour patterns through accelerometry, self reported time spent in screen based pursuits (watching TV and using a computer), and frequency of vigorous playtime and strengthening activities. Multiple regression analysis, stratified by gender was performed on N = 671 males and N = 677 females aged from 8 to 22 years. RESULTS: Time spent in screen-based sedentary behaviours is negatively associated with femoral BMC (males and females) and spinal BMC (females only) after correction for time spent in moderate and vigorous activity. Regression coefficients indicate that an additional hour per day of screen-based sitting corresponds to a difference of −0.77 g femoral BMC in females [95% CI: -1.31 to −0.22] and of −0.45 g femoral BMC in males [95% CI: -0.83 to −0.06]. This association is attenuated when self-reported engagement in regular (average 5 times per week) strengthening exercise (for males) and vigorous playing (for both males and females) is taken into account. Total sitting time and non screen-based sitting do not appear to have a negative association with BMC, whereas screen based sedentary time does. Patterns of intermittence between periods of sitting and moderate to vigorous activity appears to be positively associated with bone health when activity is clustered in time and inter-spaced with long continuous bouts of sitting. CONCLUSIONS: Some specific sedentary pursuits (screen-based) are negatively associated with bone health in youth. This association is specific to gender and anatomical area. This relationship between screen-based time and bone health is independent of the total amount of physical activity measured objectively, but not independent of self-reported frequency of strengthening and vigorous play activities. The data clearly suggests that the frequency, rather than the volume, of osteogenic activities is important in counteracting the effect of sedentary behaviour on bone health. The pattern of intermittence between sedentary periods and activity also plays a role in bone accrual, with clustered short bouts of activity interspaced with long periods of sedentary behaviours appearing to be more beneficial than activities more evenly spread in time

Multiple human papillomavirus infection is associated with high-risk infection in male genital warts in Ulsan, Korea

Further understanding of male human papillomavirus (HPV) infection is necessary to prevent infection in men, as well as transmission to women. In our current study, we investigated patterns of HPV infection and genotype distributions in male genital warts using the Anyplex II HPV28 Detection kit. We reviewed the medical records of 80 male patients who presented to 5 neighborhood clinics in Ulsan, Korea, for the treatment of genital warts between April 2014 and January 2015. All patients underwent HPV genotyping. The prevalence and characteristics of HPV infection were analyzed, and the patterns of HPV infection according to age were assessed. Among the study patients, 13 (16.3%) were negative for HPV infection, 46 (57.3%) were infected with low-risk HPV, and 21 (26.3%) were infected with high-risk HPV. Patients with multiple HPV infection were more likely to have high-risk HPV infection (P = 0.001). The prevalence of HPV infection was much higher in samples obtained by tissue excision due to a definite lesion (P = 0.001). There were no differences in high-risk HPV infection (P = 0.459), multiple HPV infection (P = 0.185), and recurrence at diagnosis (P = 0.178) according to age. HPV-6 and HPV-11 were the most common type overall (39.7% and 13.8%, respectively). HPV- 16 and HPV-18 were the most common high-risk infections (both 3.4%). HPV infection is not only commonly encountered in male genital warts, but is also accompanied by highrisk HPV and multiple infections. © 2016 The Korean Academy of Medical Sciencesopen

Evolutionary Changes in the Complexity of the Tectum of Nontetrapods: A Cladistic Approach

Background: The tectum is a structure localized in the roof of the midbrain in vertebrates, and is taken to be highly conserved in evolution. The present article assessed three hypotheses concerning the evolution of lamination and citoarchitecture of the tectum of nontetrapod animals: 1) There is a significant degree of phylogenetic inertia in both traits studied (number of cellular layers and number of cell classes in tectum); 2) Both traits are positively correlated accross evolution after correction for phylogeny; and 3) Different developmental pathways should generate different patterns of lamination and cytoarchitecture. Methodology/Principal Findings: The hypotheses were tested using analytical-computational tools for phylogenetic hypothesis testing. Both traits presented a considerably large phylogenetic signal and were positively associated. However, no difference was found between two clades classified as per the general developmental pathways of their brains. Conclusions/Significance: The evidence amassed points to more variation in the tectum than would be expected by phylogeny in three species from the taxa analysed; this variation is not better explained by differences in the main course of development, as would be predicted by the developmental clade hypothesis. Those findings shed new light on th

Incidence of genital warts among the Hong Kong general adult population

<p>Abstract</p> <p>Background</p> <p>The objective of this study is to estimate the incidence of genital warts in Hong Kong and explore a way to establish a surveillance system for genital warts among the Hong Kong general population.</p> <p>Methods</p> <p>A total of 170 private doctors and all doctors working in the 5 local Social Hygiene Clinics (SHC) participated in this study. During the 14-day data collection period (January 5 through18, 2009), the participating doctors filled out a log-form on a daily basis to record the number of patients with genital warts. The total number of new cases of genital warts presented to private and public doctors in Hong Kong was projected using the stratification sampling method.</p> <p>Results</p> <p>A total of 721 (0.94%) adults presented with genital warts to the participating doctors during the two-week study period, amongst them 73 (10.1%) were new cases. The projected number of new cases of genital warts among Hong Kong adults was 442 (297 male and 144 female) during the study period. The incidence of genital warts in Hong Kong was estimated to be 203.7 per 100,000 person-years (respectively 292.2 and 124.9 per 100,000 person-years for males and females).</p> <p>Conclusions</p> <p>The incidence of genital warts is high among adults in Hong Kong. The study demonstrates the importance of collecting surveillance data from both private and public sectors.</p

Short term association between ozone and mortality: global two stage time series study in 406 locations in 20 countries

Objective To assess short term mortality risks and excess mortality associated with exposure to ozone in several cities worldwide. Design Two stage time series analysis. Setting 406 cities in 20 countries, with overlapping periods between 1985 and 2015, collected from the database of Multi-City Multi-Country Collaborative Research Network. Population Deaths for all causes or for external causes only registered in each city within the study period. Main outcome measures Daily total mortality (all or non-external causes only). Results A total of 45 165 171 deaths were analysed in the 406 cities. On average, a 10 μg/m 3 increase in ozone during the current and previous day was associated with an overall relative risk of mortality of 1.0018 (95% confidence interval 1.0012 to 1.0024). Some heterogeneity was found across countries, with estimates ranging from greater than 1.0020 in the United Kingdom, South Africa, Estonia, and Canada to less than 1.0008 in Mexico and Spain. Short term excess mortality in association with exposure to ozone higher than maximum background levels (70 μg/m 3) was 0.26% (95% confidence interval 0.24% to 0.28%), corresponding to 8203 annual excess deaths (95% confidence interval 3525 to 12 840) across the 406 cities studied. The excess remained at 0.20% (0.18% to 0.22%) when restricting to days above the WHO guideline (100 μg/m 3), corresponding to 6262 annual excess deaths (1413 to 11 065). Above more lenient thresholds for air quality standards in Europe, America, and China, excess mortality was 0.14%, 0.09%, and 0.05%, respectively. Conclusions Results suggest that ozone related mortality could be potentially reduced under stricter air quality standards. These findings have relevance for the implementation of efficient clean air interventions and mitigation strategies designed within national and international climate policies. © Published by the BMJ Publishing Group Limited. For permission to use (where not already granted under a licence) please go to

HST/WFPC2 morphologies and bar structures of field galaxies at 0.4<z<1

To address how the galaxy Hubble sequence is established and what physical processes are involved, we studied morphological properties and internal structures of field galaxies in the past (0.4<z<1). In addition to structural parameters derived from bulge+disk decomposition, Zheng et al. (2004) introduced color maps in recognizing galaxies and properly classified morphologies of 36 luminous infrared galaxies (LIRGs, Lir(8-1000um)>=10^11 L_sun). Here we presented morphological classification of a parallel 75 non-LIRG sample. Our examination revealed that a significant fraction of the galaxies shows remarkable morphological evolution, most likely related to the present-day spiral galaxies. Comparison of the morphological properties between LIRGs and non-LIRGs shows that the LIRGs contain a higher fraction of ongoing major mergers and systems with signs of merging/interaction. This suggests that the merging process is one of the major mechanisms to trigger star formation. We found that spiral LIRGs probably host much fewer bars than spiral non-LIRGs, suggesting that a bar is not efficient in triggering violent star formation. Differing from Abraham et al. (1999), no dramatic change of the bar frequency is detected up to redshift ~0.8. The bar frequency of the distant spirals is similar to (and may be higher than) the present-day spirals in the rest-frame $B$ band. We conclude that bar-driven secular evolution is not a major mechanism to drive morphological evolution of field galaxies, especially their bulge formation, which is more likely related to multiple intense star formation episodes during which the galaxies appear as LIRGs (Hammer et al. 2005).Comment: 19 pages, 6 figures and 2 tables, A&A in pres

The value of including boys in an HPV vaccination programme: a cost-effectiveness analysis in a low-resource setting

We assessed the cost-effectiveness of including boys vs girls alone in a pre-adolescent vaccination programme against human papillomavirus (HPV) types 16 and 18 in Brazil. Using demographic, epidemiological, and cancer data from Brazil, we developed a dynamic transmission model of HPV infection between males and females. Model-projected reductions in HPV incidence under different vaccination scenarios were applied to a stochastic model of cervical carcinogenesis to project lifetime costs and benefits. We assumed vaccination prevented HPV-16 and -18 infections in individuals not previously infected, and protection was lifelong. Coverage was varied from 0-90% in both genders, and cost per-vaccinated individual was varied from I$25 to 400. At 90$50, vaccinating girls alone was <$200 per year of life saved (YLS), while including boys ranged from$810–18 650 per YLS depending on coverage. For all coverage levels, increasing coverage in girls was more effective and less costly than including boys in the vaccination programme. In a resource-constrained setting such as Brazil, our results support that the first priority in reducing cervical cancer mortality should be to vaccinate pre-adolescent girls