Stochastic processes, non-normal innovations, and the use of scaling ratios

hlarket efficiency tests that rely on the martingale difference behavior of returns can be based on various volatility measures. This paper argues that, to be able to differentiate between dependence and fat-tailedness. one should look simultaneously at plots based on absolute returns and variances. If the distribution is heavy-tailed, this shows up in the absolute moment plots, but not in the variance related plots. Linear dependence. by contrast, is revealed in both plots. We provide and discuss an analytical and a simulation experime illustrating these points

A note on the relationship between GARCH and symmetric stable processes

This note provides some explanations and extensions for the interesting results in Ghose and Kroner (1995). Specifically, we address the following points: (1) It is shown that the stable distribution and the stationary ARCH distributions are partially nested with respect to their tail shapes; (2) A novel interpretation of the McCulloch estimator is developed from the vantage point of extreme value theory; (3) This interpretation not only explains the apparent bias in some of the reported estimates, but it also helps in remedying the problem. Taken together, all three points reinforce the main conclusion of Ghose and Kroner

Factors Associated with Revision Surgery after Internal Fixation of Hip Fractures

Background: Femoral neck fractures are associated with high rates of revision surgery after management with internal fixation. Using data from the Fixation using Alternative Implants for the Treatment of Hip fractures (FAITH) trial evaluating methods of internal fixation in patients with femoral neck fractures, we investigated associations between baseline and surgical factors and the need for revision surgery to promote healing, relieve pain, treat infection or improve function over 24 months postsurgery. Additionally, we investigated factors associated with (1) hardware removal and (2) implant exchange from cancellous screws (CS) or sliding hip screw (SHS) to total hip arthroplasty, hemiarthroplasty, or another internal fixation device. Methods: We identified 15 potential factors a priori that may be associated with revision surgery, 7 with hardware removal, and 14 with implant exchange. We used multivariable Cox proportional hazards analyses in our investigation. Results: Factors associated with increased risk of revision surgery included: female sex, [hazard ratio (HR) 1.79, 95% confidence interval (CI) 1.25-2.50; P = 0.001], higher body mass index (fo

Detecting long-term growth trends using tree rings : A critical evaluation of methods

Tree-ring analysis is often used to assess long-term trends in tree growth. A variety of growth-trend detection methods (GDMs) exist to disentangle age/size trends in growth from long-term growth changes. However, these detrending methods strongly differ in approach, with possible implications for their output. Here, we critically evaluate the consistency, sensitivity, reliability and accuracy of four most widely used GDMs: conservative detrending (CD) applies mathematical functions to correct for decreasing ring widths with age; basal area correction (BAC) transforms diameter into basal area growth; regional curve standardization (RCS) detrends individual tree-ring series using average age/size trends; and size class isolation (SCI) calculates growth trends within separate size classes. First, we evaluated whether these GDMs produce consistent results applied to an empirical tree-ring data set of Melia azedarach, a tropical tree species from Thailand. Three GDMs yielded similar results - a growth decline over time - but the widely used CD method did not detect any change. Second, we assessed the sensitivity (probability of correct growth-trend detection), reliability (100% minus probability of detecting false trends) and accuracy (whether the strength of imposed trends is correctly detected) of these GDMs, by applying them to simulated growth trajectories with different imposed trends: no trend, strong trends (-6% and +6% change per decade) and weak trends (-2%, +2%). All methods except CD, showed high sensitivity, reliability and accuracy to detect strong imposed trends. However, these were considerably lower in the weak or no-trend scenarios. BAC showed good sensitivity and accuracy, but low reliability, indicating uncertainty of trend detection using this method. Our study reveals that the choice of GDM influences results of growth-trend studies. We recommend applying multiple methods when analysing trends and encourage performing sensitivity and reliability analysis. Finally, we recommend SCI and RCS, as these methods showed highest reliability to detect long-term growth trends

Potential of tree-ring analysis in a wet tropical forest: A case study on 22 commercial tree species in Central Africa

Implementing sustainable forest management requires basic information on growth, ages, reproduction and survival of exploited tree species. This information is generally derived from permanent sample plots where individual trees are monitored. Accurately estimating growth rates and especially tree ages from plots is however challenging, as plots often contain only few individuals of the exploited species and monitoring periods cover only a fraction of the life-span of most trees. Alternatively, tree-ring analysis is increasingly used to obtain accurate age estimates and growth rates for tropical tree species, especially in regions with seasonally harsh conditions. However, for species from wet tropical forests (>4000 mm year-1 rainfall) few tree-ring studies exist. Under persistent high levels of rainfall, formation of distinct tree rings is uncertain due to the lack of strong seasonal variation in climate factors. Here we evaluated the potential of applying tree-ring analysis on commercial tree species in a wet tropical forest in Central-Africa. For this purpose we screened the wood anatomy of 22 tree species for the presence of tree-ring structures and, on a subset of five species, we assessed crossdating potential and evaluated the annual character of tree-ring formation by radiocarbon dating. A total of 14 of the 22 tree species showed distinct tree-ring boundaries. Radiocarbon proved annual tree-ring formation in four of the five tested species. Crossdating between trees was problematic for all species and impeded exactly dating each detected ring and building tree-ring chronologies. We also show that diameter growth rates vary strongly between and among species, with important consequences for the calculation of future timber yields. Tree-ring analysis can thus be applied on tree species growing in wet tropical forests to obtain growth rates. We argue that tree-ring analysis should actually be applied on more tree species from different areas to obtain accurate, site specific growth data. This data is urgently required to design and improve sustainable forest management practices

Limitations to sustainable frankincense production: blocked regeneration, high adult mortality and declining populations

1. Resins are highly valued non-timber forest products (NTFP). One of the most widely traded resins is frankincense, tapped from several Boswellia tree species (Burseraceae). Exploited Boswellia populations often show poor regeneration, but the demographic consequences of these bottlenecks are unknown. Here we report on the first large-scale demographic study of frankincense-producing trees. 2. We studied 12 populations of Boswellia papyrifera in northern Ethiopia, varying in altitude and productivity. Six of these populations had been tapped before and were tapped during the study. Survival, growth and fecundity were determined for 4370 trees and 2228 seedlings, in 22.8 ha over a 2-year period. We also studied a remote population where no grazing and tapping took place. Matrix models were used to project population growth and frankincense production under four restoration scenarios. 3. Population structures of both tapped and untapped populations showed clear gaps. Small seedlings were abundant in all populations, but none developed into persistent saplings. Such saplings were only present in the remote population. Fire and grazing are the likely causes of this regeneration bottleneck. 4. Adult mortality was high (6–7% per year) in both tapped and untapped populations, probably caused by beetle attacks and fire. Unexpectedly, tapped populations presented higher diameter growth rates and fecundity compared to untapped populations. These differences are probably caused by non-random selection of exploited populations by tappers. 5. Under the ‘business as usual’ scenario, population models projected a 90% decline in the size of tapped and untapped populations within 50 years and a 50% decline in frankincense yield within 15 years. Model simulations for restoration scenarios revealed that populations and frankincense production could only be sustained with intensive management leading to full sapling recruitment and a 50–75% reduction in adult mortality. 6.Synthesis and applications. Regeneration bottlenecks and high adult mortality are causing rapid decline in frankincense-producing tree populations in Ethiopia. This decline is unlikely to be a consequence of harvesting and is probably driven by fire, grazing and beetle attacks. Fire prevention and the establishment of non-grazing areas are needed. Our results show that other factors than exploitation may seriously threaten populations yielding NTF

A Hybrid Joint Moment Ratio Test for Financial Time Series

We advocate the use of absolute moment ratio statistics in conjunction with standard variance ratio statistics in order to disentangle linear dependence, non-linear dependence, and leptokurtosis in financial time series. Both statistics are computed for multiple return horizons simultaneously, and the results are presented in a comprehensive way using a graphical device. We construct a formal joint testing procedure based on bootstrapped and block-bootstrapped uniform confidence intervals. The methodology is hybrid because it combines a formal testing procedure with volatility curve pattern recognition based on expert opinions. An application to forex data illustrates the procedure