Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?

In this paper we compare the in-sample fit and out-of-sample forecasting performance of no-arbitrage quadratic and essentially affine term structure models, as well as the dynamic Nelson-Siegel model. In total eleven model variants are evaluated, comprising five quadratic, four affine and two Nelson-Siegel models. Recursive re-estimation and out-of-sample one-, six- and twelve-months ahead forecasts are generated and evaluated using monthly US data for yields observed at maturities of 1, 6, 12, 24, 60 and 120 months. Our results indicate that quadratic models provide the best in-sample fit, while the best out-of-sample performance is generated by three-factor affine models and the dynamic Nelson-Siegel model variants. However, statistical tests fail to identify one single-best forecasting model class. JEL Classification: C14, C15, G12Affine term structure models, forecast performance, Nelson-Siegel model, quadratic yield curve models

How arbitrage-free is the Nelson-Siegel Model?

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely heavily on it. Using a non-parametric resampling technique and zero-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those obtained from the NS model, at a 95 percent confidence level. We therefore conclude that the Nelson and Siegel yield curve model is compatible with arbitrage-freeness. To corroborate this result, we show that the Nelson-Siegel model performs as well as its no-arbitrage counterpart in an out-of-sample fore-casting experiment. JEL Classification: C14, C15, G12Affine term structure models, Nelson-Siegel model, No-arbitrage restrictions, non-parametric test

Health technology assessment of imaging technologies for breast cancer screening and follow-up

Het doel van dit proefschrift is het uitvoeren van een doelmatigheidsonderzoek naar de verschillende beeldvormingstechnieken die worden toegepast bij het screenen op borstkanker, bij het stellen van de diagnose bij recidief van de ziekte en bij de behandeling van patiënten met uitzaaiingen. Belangrijkste resultaten: 1. De resultaten van de economische modellen voor screening van borstkanker een hoog risico op bias hebben. Ze overschatten de sterftevermindering door borstkankerscreening: 11-24% vergeleken met geobserveerde data 10%, 95% betrouwbaarheidsinterval:2-21%. De door de modellen verwachte sterftevermindering in Nederland was zelfs nog hoger, 26-30%. 2. Onze analyse toont aan dat regelmatige borstkankerscreening op jongere leeftijd (46 of 48) kan resulteren in een toename van de levensverwachting en een vermindering van aan borstkanker gerelateerd overlijden. Bovendien is screenen op jongere leeftijd kosteneffectief uit het oogpunt van kosten per gewonnen levensjaar. 3. De toepassing van niet-hormonaal gerichte therapieën verlengde de mediane progressievrije overleving van receptorpositieve patiënten met 3,3 maanden en de mediane algehele overleving met 3,5 maanden. 4. De toepassing van PET/CT met FES en 89Zr-trastuzumab in eerstelijnsbehandelingsselectie bij patiënten met uitzaaiingen van borstkanker heeft de mogelijkheid om een kosteneffectieve interventie te zijn. 5. De diagnostische FES-PET/CT-strategie verminderde het aantal fout-negatieve diagnoses en het aantal te nemen biopten. Zowel FES- als FDG- PET/CT verminderden het aantal fout-positieve resultaten van beeldvorming. De totale kosten van PET/CT (met FES- en FDG-tracers) waren hoger dan bij de conventionele werkwijze, hoewel de totale hoeveelheid beeldvorming in beide PET/CT-strategieën lager was in vergelijking met de standaardwerkwijze

How arbitrage-free is the Nelson-Siegel model?

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely heavily on it. Using a non-parametric resampling technique and zero-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those obtained from the NS model, at a 95 percent confidence level. We therefore conclude that the Nelson and Siegel yield curve model is compatible with arbitrage-freeness. To corroborate this result, we show that the Nelson-Siegel model performs as well as its no-arbitrage counterpart in an out-of-sample forecasting experiment

NAFLD IN WISTAR RATS AFTER FRUCTOSE CONSUMPTION - ULTRASOUND, BIOCHEMICAL AND HISTOLOGICAL CHANGES

The aim of the study was to model hepatic steatosis as a manifestation of metabolic syndrome in male Wistar rats after an 8-week administration of 15% fructose. Ultrasonographic evaluation of the experimental group showed evidence of non-alcoholic fatty liver disease (NAFLD). Alanine aminotransferase (ALT), aspartate aminotransferase (AST) and uric acid were significantly elevated in sera from the treated rats. Histological examination found development of hepatic steatosis in rats of the fructose group compared with controls. The current study showed the risk associated with fructose overconsumption in food and beverages for the development of metabolic syndrome and related fatty liver disease, gout, type 2 diabetes, arterial hypertension and other disorders

Cost–effectiveness and budget impact analysis of screening strategies for maturity-onset diabetes of the young in three European countries

Background: Correct diagnosis of maturity-onset diabetes of the young (MODY), which is often misdiagnosed as Type 1 or 2 diabetes, is important for providing appropriate treatment. Materials & Methods: A diabetes model was adapted to Hungary, the Netherlands, and the UK to analyse the cost–effectiveness and budget impact of different screening strategies for MODY with 20 years time horizon. Results: Compared with no screening, screening with the MODY calculator then genetic testing is considered cost-effective with respect to each country’s willingness to pay threshold. The addition of autoantibody testing dominated the no screening strategy. The budget impact of the strategies ranges between 0.001 and 0.025% of annual public healthcare spending. Conclusion: The analysed strategies are considered good value for money with potential cost savings in the long term

Cost–effectiveness of extended DPYD testing before fluoropyrimidine chemotherapy in metastatic breast cancer in the UK

The aim of this study was to evaluate the cost–effectiveness of ToxNavC , a multivariant genetic test, to screen for DPYD followed by personalized chemotherapy dosing for metastatic breast cancer in the UK compared with no testing followed by standard dose, standard of care. In the main analysis, ToxNav was dominant over standard of care, producing 0.19 additional quality-adjusted life years and savings of £78,000 per patient over a lifetime. The mean additional quality-adjusted life years per person from 1000 simulations was 0.23 savings (95% CI: 0.22–0.24) at £99,000 (95% CI: £95–102,000). Varying input parameters independently by range of 20% was unlikely to change the results in the main analysis. The probabilistic sensitivity analysis showed ∼97% probability of the ToxNav strategy to be dominant

Lessons learned from the application of the HEcoPerMed guidance to three modeling case studies

Background: The HEcoPerMed consortium developed a methodological guidance for the harmonization and improvement of economic evaluations in personalized medicine. Materials & methods: In three therapeutic areas, health economic models were developed to scrutinize the recommendations of the guidance. Results: Altogether, 20 of the 23 recommendations of the guidance were addressed by the models. Seven recommendations were applied in all studies, six in two of the studies and seven in one of the studies. Recommendations with an essential role on the final conclusions of the analyses were identified in each study. Conclusion: The guidance was found to be best used as a tool to identify and prioritize issues, verify solutions and justify decisions during the economic analysis of personalized interventions

Cost-effectiveness of alternative <i>NTRK </i>testing strategies in cancer patients followed by histology-independent therapy with entrectinib:an analysis of three European countries

Aim: To explore variations in the cost-effectiveness of entrectinib across different testing strategies and settings. Methods: Four testing strategies where adult cancer patients received entrectinib if they tested positive for NTRK gene fusions compared with 'no testing' and standard of care (SoC) for all patients were evaluated. Results: Immunohistochemistry for all patients followed by RNA-based next-generation sequencing after a positive result was the optimal strategy in all included countries. However, the incremental net monetary benefit compared with SoC was negative in all countries, ranging between international euros (int€) -206 and -404. In a subgroup analysis with only NTRK-positive patients, the incremental net monetary benefit was int€ 8405 in England, int€ -53,088 in Hungary and int€ 54,372 in The Netherlands. Conclusion: Using the cost-effectiveness thresholds recommended by national guidelines, none of the testing strategies were cost-effective compared with no testing. The implementation of entrectinib is unlikely to become cost-effective in Hungary, due to the large cost difference between the entrectinib and SoC arms, while there might be more potential in England and The Netherlands.</p