Detecting Regimes of Predictability in the U.S. Equity Premium

We investigate the stability of predictive regression models for the U.S. equity premium. A new approach for detecting regimes of temporary predictability is proposed using se- quential implementations of standard (heteroskedasticity-robust) regression t-statistics for predictability applied over relatively short time periods. Critical values for each test in the sequence are provided using subsampling methods. Our primary focus is to develop a real-time monitoring procedure for the emergence of predictive regimes using tests based on end-of-sample data in the sequential procedure, although the procedure could be used for an historical analysis of predictability. Our proposed method is robust to both the degree of persistence and endogeneity of the regressors in the predictive regression and to certain forms of heteroskedasticity in the shocks. We discuss how the detection procedure can be designed such that the false positive rate is pre-set by the practitioner at the start of the monitoring period. We use our approach to investigate for the presence of regime changes in the predictability of the U.S. equity premium at the one-month horizon by traditional macroeconomic and financial variables, and by binary technical analysis indicators. Our results suggest that the one-month ahead equity premium has temporarily been predictable (displaying so-called ‘pockets of predictability’), and that these episodes of predictability could have been detected in real-time by practitioners using our proposed methodology

Tests for explosive financial bubbles in the presence of non-stationary volatility

This paper studies the impact of permanent volatility shifts in the innovation process on the performance of the test for explosive financial bubbles based on recursive right-tailed Dickey–Fuller-type unit root tests proposed by Phillips, Wu and Yu (2011). We show that, in this situation, their supremum-based test has a non-pivotal limit distribution under the unit root null, and can be quite severely over-sized, thereby giving rise to spurious indications of explosive behaviour. We investigate the performance of a wild bootstrap implementation of their test procedure for this problem, and show it is effective in controlling size, both asymptotically and in finite samples, yet does not sacrifice power relative to an (infeasible) size-adjusted version of their test, even when the shocks are homoskedastic. We also discuss an empirical application involving commodity price time series and find considerably less emphatic evidence for the presence of explosive bubbles in these data when using our proposed wild bootstrap implementation of the Phillips, Wu and Yu (2011) test

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics

In a recent paper, Harvey et al. (2013) (HLT) propose a new unit root test that allows for the possibility of multiple breaks in trend. Their proposed test is based on the infimum of the sequence (across all candidate break points) of local GLS detrended augmented Dickey–Fuller‐type statistics. HLT show that the power of their unit root test is robust to the magnitude of any trend breaks. In contrast, HLT show that the power of the only alternative available procedure of Carrion‐i‐Silvestre et al. (2009), which employs a pretest‐based approach, can be very low indeed (even zero) for the magnitudes of trend breaks typically observed in practice. Both HLT and Carrion‐i‐Silvestre et al. (2009) base their approaches on the assumption of homoskedastic shocks. In this article, we analyse the impact of non‐stationary volatility (for example, single and multiple abrupt variance breaks, smooth transition variance breaks and trending variances) on the tests proposed in HLT. We show that the limiting null distribution of the HLT unit root test statistic is not pivotal under non‐stationary volatility. A solution to the problem, which does not require the practitioner to specify a parametric model for volatility, is provided using the wild bootstrap and is shown to perform well in practice. A number of different possible implementations of the bootstrap algorithm are discussed.</jats:p

Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium

We propose new real-time monitoring procedures for the emergence of end-of-sample predictive regimes using sequential implementations of standard (heteroskedasticity-robust) regression t-statistics for predictability applied over relatively short time periods. The procedures we develop can also be used for detecting historical regimes of temporary predictability. Our proposed methods are robust to both the degree of persistence and endogeneity of the regressors in the predictive regression and to certain forms of heteroskedasticity in the shocks. We discuss how the monitoring procedures can be designed such that their false positive rate can be set by the practitioner at the start of the monitoring period using detection rules based on information obtained from the data in a training period. We use these new monitoring procedures to investigate the presence of regime changes in the predictability of the U.S. equity premium at the one-month horizon by traditional macroeconomic and financial variables, and by binary technical analysis indicators. Our results suggest that the one-month ahead equity premium has temporarily been predictable, displaying so-called 'pockets of predictability', and that these episodes of predictability could have been detected in real-time by practitioners using our proposed methodology

A randomised trial of an internet weight control resource: The UK Weight Control Trial [ISRCTN58621669]

BACKGROUND: Obesity treatment is notoriously unsuccessful and one of the barriers to successful weight loss reported by patients is a lack of social support. The Internet offers a novel and fast approach to the delivery of health information, enabling 24-hour access to help and advice. However, much of the health information available on the Internet is unregulated or not written by qualified health professionals to provide unbiased information. The proposed study aims to compare a web-based weight loss package with traditional dietary treatment of obesity in participants. The project aims to deliver high quality information to the patient and to evaluate the effectiveness of this information, both in terms of weight loss outcomes and cost-effectiveness. METHODS: This study is a randomised controlled trial of a weight loss package against usual care provided within General Practice (GP) surgeries in Leeds, UK. Participants will be recruited via posters placed in participating practices. A target recruitment figure of 220 will enable 180 people to be recruited (allowing for 22% dropout). Participants agreeing to take part in the study will be randomly allocated using minimisation to either the intervention group, receiving access to the Internet site, or the usual care group. The primary outcome of the study will be the ability of the package to promote change in BMI over 6 and 12 months compared with traditional treatment. Secondary outcomes will be the ability of the Internet package to promote change in reported lifestyle behaviours. Data will be collected on participant preferences, adherence to treatment, health care use and time off work. Difference in cost between groups in provision of the intervention and the cost of the primary outcome will also be estimated. CONCLUSION: A positive result from this study would enhance the repertoire of treatment approaches available for the management of obesity. A negative result would be used to inform the research agenda and contribute to redefining future strategies for tackling obesity

Use of Remote Camera Traps to Evaluate Animal-Based Welfare Indicators in Individual Free-Roaming Wild Horses

We previously developed a Ten-Stage Protocol for scientifically assessing the welfare of individual free-roaming wild animals using the Five Domains Model. The protocol includes developing methods for measuring or observing welfare indices. In this study, we assessed the use of remote camera traps to evaluate an extensive range of welfare indicators in individual free-roaming wild horses. Still images and videos were collected and analysed to assess whether horses could be detected and identified individually, which welfare indicators could be reliably evaluated, and whether behaviour could be quantitatively assessed. Remote camera trapping was successful in detecting and identifying horses (75% on still images and 72% on video observation events), across a range of habitats including woodlands where horses could not be directly observed. Twelve indicators of welfare across the Five Domains were assessed with equal frequency on both still images and video, with those most frequently assessable being body condition score (73% and 79% of observation events, respectively), body posture (76% for both), coat condition (42% and 52%, respectively), and whether or not the horse was sweating excessively (42% and 45%, respectively). An additional five indicators could only be assessed on video; those most frequently observable being presence or absence of weakness (66%), qualitative behavioural assessment (60%), presence or absence of shivering (51%), and gait at walk (50%). Specific behaviours were identified in 93% of still images and 84% of video events, and proportions of time different behaviours were captured could be calculated. Most social behaviours were rarely observed, but close spatial proximity to other horses, as an indicator of social bonds, was recorded in 36% of still images, and 29% of video observation events. This is the first study that describes detailed methodology for these purposes. The results of this study can also form the basis of application to other species, which could contribute significantly to advancing the field of wild animal welfare

Wild horse populations in south-east Australia have a high prevalence of Strongylus vulgaris and may act as a reservoir of infection for domestic horses

© 2019 The Authors Australia has over 400,000 wild horses, the largest wild equid population in the world, scattered across a range of different habitats. We hypothesised that wild horse populations unexposed to anthelmintics would have a high prevalence of Strongylus vulgaris infections. Verminous endarteritis and colic due to migrating S. vulgaris larvae is now absent or unreported in domestic horses in Australia, yet wild horses may pose a risk for its re-emergence. A total of 289 faecal egg counts (FECs) were performed across six remote wild horse populations in south-east Australia, of varying densities, herd sizes and habitats. Total strongyle egg counts ranged from 50 to 3740 eggs per gram (EPG, mean 1443) and 89% (257/289) of faecal samples had > 500 EPG, classifying them as ‘high level shedders’. There were significant differences in mean total strongyle FECs between different locations, habitats and population densities. Occurrence of S. vulgaris was not predictable based on FECs of total strongyle eggs or small (<90 μm) strongyle eggs. A high prevalence of S. vulgaris DNA in faecal samples was demonstrated across all six populations, with an overall predicted prevalence of 96.7%. This finding is important, because of the ample opportunity for transmission to domestic horses. The high prevalence of S. vulgaris suggests vigilance is required when adopting wild horses, or when domestic horses graze in environments inhabited by wild horses. Appropriate veterinary advise is required to minimize disease risk due to S. vulgaris. Monitoring horses for S. vulgaris using larval culture or qPCR remains prudent. Gastrointestinal parasites in wild horse populations may also serve as parasite refugia, thus contributing to integrated parasite management when facing emerging anthelmintic resistance

BSHI Guideline: HLA matching and donor selection for haematopoietic progenitor cell transplantation

A review of the British Society for Histocompatibility and Immunogenetics (BSHI) "Guideline for selection and HLA matching of related, adult unrelated donors and umbilical cord units for haematopoietic progenitor cell transplantation" was undertaken by a BSHI appointed writing committee. Literature searches were performed, and the data extracted were presented as recommendations according to the GRADE nomenclature

Recent advances in catalytic and non-catalytic epoxidation of terpenes: a pathway to bio-based polymers from waste biomass

\ua9 2023 The Royal Society of Chemistry.Epoxides derived from waste biomass are a promising avenue for the production of bio-based polymers, including polyamides, polyesters, polyurethanes, and polycarbonates. This review article explores recent efforts to develop both catalytic and non-catalytic processes for the epoxidation of terpene, employing a variety of oxidizing agents and techniques for process intensification. Experimental investigations into the epoxidation of limonene have shown that these methods can be extended to other terpenes. To optimize the epoxidation of bio-based terpene, there is a need to develop continuous processes that address limitations in mass and heat transfer. This review discusses flow chemistry and innovative reactor designs as part of a multi-scale approach aimed at industrial transformation. These methods facilitate continuous processing, improve mixing, and either eliminate or reduce the need for solvents by enhancing heat transfer capabilities. Overall, the objective of this review is to contribute to the development of commercially viable processes for producing bio-based epoxides from waste biomass