Conditional CAPM in financial risk management: a quantile autoregression approach

Paper presented at Strathmore International Math Research Conference on July 23 - 27, 2012The study aims to provide a comprehensive description of dependence pattern of a stock by studying a range of betas derived as quantiles of conditional return distribution using quantile regression based on moving window regression.We investigate predictability of various parts of the conditional return distribution in a linear, autoregressive framework. We also aim to capture a state of dependence at dierent quantiles of the conditional return distribution. A good (bad) state is associated with upper (lower) quantiles,thus the impact of lagged returns is dierent across quantiles. Our empirical ndings are based on daily returns of major European stocks-sample data. Lower quantiles exhibit positive dependence with past returns while upper quantiles are marked by negative dependence. Central quantiles exhibit weak dependence. Keeping the sign of returns, we discover that positive previous day's return leads to strong positive returns with today's positive return and marked negative with today's negative return. The opposite pattern is visible for past negative returns.The study aims to provide a comprehensive description of dependence pattern of a stock by studying a range of betas derived as quantiles of conditional return distribution using quantile regression based on moving window regression.We investigate predictability of various parts of the conditional return distribution in a linear, autoregressive framework. We also aim to capture a state of dependence at di erent quantiles of the conditional return distribution. A good (bad) state is associated with upper (lower) quantiles,thus the impact of lagged returns is di erent across quantiles. Our empirical ndings are based on daily returns of major European stocks-sample data. Lower quantiles exhibit positive dependence with past returns while upper quantiles are marked by negative dependence. Central quantiles exhibit weak dependence. Keeping the sign of returns, we discover that positive previous day's return leads to strong positive returns with today's positive return and marked negative with today's negative return. The opposite pattern is visible for past negative returns

Structure-Integrated Thin-Film Supercapacitor as a Sensor

Today, aircraft composite structures are generally over-dimensioned to avoid catastrophic failure by unseen damages. This leads to a higher system weight and therefore an unwanted increase in greenhouse gas emissions. To reduce this parasitic mass, load monitoring can play an important role in damage detection. Additionally, the weight and volume of future aircraft structures can also be reduced by energy storing and load carrying structures: so-called power composites. In this study a novel method of combining both approaches for maximum weight reduction is shown. This is achieved by using power composites as load monitoring sensors and energy suppliers. Therefore, supercapacitors are integrated into fiber reinforced polymers and are then used to investigate the mechanical load influence. By using four-point bending experiments and in situ electrochemical impedance spectroscopy, a strong relation between the mechanical load and the electrochemical system is found and analyzed using a model. For the first time, it is possible to detect small strain values down to 0.2% with a power composite. This strain is considerably lower than the conventional system load. The developed model and the impedance data indicate the possibility of using the composite as an energy storage as well as a strain sensor

Stable computation of probability densities for metastable dynamical systems

Whenever the invariant stationary density of metastable dynamical systems decomposes into almost invariant partial densities, its computation as eigenvector of some transition probability matrix is an ill-conditioned problem. In order to avoid this computational difficulty, we suggest applying an aggregation/disaggregation method which addresses only well-conditioned subproblems aud thus results in a stable algorithm. In contrast to existing methods, the aggregation step is done via a sampling algorithm which covers only small patches of the sampling space. Finally, the theoretical analysis is illustrated by two biomolecular examples

final results of a noninterventional study

Background Data are limited regarding routine use of everolimus after initial vascular endothelial growth factor (VEGF)–targeted therapy. The aim of this prospective, noninterventional, observational study was to assess efficacy and safety of everolimus after initial VEGF-targeted treatment in patients with metastatic renal cell carcinoma (mRCC) in routine clinical settings. Methods Everolimus was administered per routine clinical practice. Patients with mRCC of any histology from 116 active sites in Germany were included. The main objective was to determine everolimus efficacy in time to progression (TTP). Progression-free survival (PFS), treatment duration, tumor response, adherence to everolimus regimen, treatment after everolimus, and safety were also assessed. Results In the total population (N = 334), median follow-up was 5.2 months (range, 0–32 months). Median treatment duration (safety population, n = 318) was 6.5 months (95% confidence interval [CI], 5–8 months). Median TTP and median PFS were similar in populations investigated. In patients who received everolimus as second-line treatment (n = 211), median (95% CI) TTP was 7.1 months (5–9 months) and median PFS was 6.9 months (5–9 months). Commonly reported adverse events (safety population, n = 318) were dyspnea (17%), anemia (15%), and fatigue (12%). Limitations of the noninterventional design should be considered. Conclusions This study reflects routine clinical use of everolimus in a large sample of patients with mRCC. Favorable efficacy and safety were seen for everolimus after previous therapy with one VEGF-targeted agent. Results of this study confirm everolimus as one of the standard options in second-line therapy for patients with mRCC. Novartis study code, CRAD001LD27: VFA registry for noninterventional studies (http://www.vfa.de/de/forschung/nisdb/ webcite)

Everolimus in metastatic renal cell carcinoma after failure of initial anti-VEGF therapy: final results of a noninterventional study

Background: Data are limited regarding routine use of everolimus after initial vascular endothelial growth factor (VEGF)-targeted therapy. The aim of this prospective, noninterventional, observational study was to assess efficacy and safety of everolimus after initial VEGF-targeted treatment in patients with metastatic renal cell carcinoma (mRCC) in routine clinical settings. Methods: Everolimus was administered per routine clinical practice. Patients with mRCC of any histology from 116 active sites in Germany were included. The main objective was to determine everolimus efficacy in time to progression (TTP). Progression-free survival (PFS), treatment duration, tumor response, adherence to everolimus regimen, treatment after everolimus, and safety were also assessed. Results: In the total population (N = 334),median follow-up was 5.2 months (range, 0-32 months). Median treatment duration (safety population, n = 318) was 6.5 months (95% confidence interval [CI], 5-8 months). Median TTP and median PFS were similar in populations investigated. In patients who received everolimus as second-line treatment (n = 211),median (95% CI) TTP was 7.1 months (5-9 months) and median PFS was 6.9 months (5-9 months). Commonly reported adverse events (safety population, n = 318) were dyspnea (17%),anemia (15%), and fatigue (12%). Limitations of the noninterventional design should be considered. Conclusions: This study reflects routine clinical use of everolimus in a large sample of patients with mRCC. Favorable efficacy and safety were seen for everolimus after previous therapy with one VEGF-targeted agent. Results of this study confirm everolimus as one of the standard options in second-line therapy for patients with mRCC

Immunocytochemistry and DNA-image Cytometry in Diagnostic Effusion Cytology. II. Diagnostic Accuracy in Equivocal Smears

To determine sensitivity and specificity of different antibodies for the immunocytochemical detection of malignant cells in diagnostically equivocal effusions in comparison with those achieved by DNA‐image cytometry. 65 cytologically doubtful effusions of the serous cavities were stained with twelve antibodies. Furthermore, DNA‐image cytometry was performed. Data were correlated with patient follow‐up. Sensitivity of cellular staining of Ber‐EP4 for the identification of malignant cells was 77.8%, specificity of absent staining for benign cells was 100%. Positive predictive value for the identification of malignant cells was 100%, negative value 65.5%. Sensitivity of DNA‐aneuploidy for the identification of malignancy was 82.9%, specificity of DNA‐non‐aneuploidy for benignity 94.7%. The positive predictive value of DNA‐aneuploidy for the occurrence of malignant cells was 96.7%. Negative predictive value of DNA‐non‐aneuploidy was 72.0%. Combining immunocytochemistry applying Ber‐EP4 only and DNA‐cytometry in equivocal effusions resulted in a sensitivity of 88.9% for the identification of malignant cells associated with a 95.0% specificity. Positive predictive value was 97.7%, the negative one 79.2%

Immunocytochemistry and DNA-Image Cytometry in Diagnostic Effusion Cytology I. Prevalence of Markers in Tumour Cell Positive and Negative Smears

To determine the prevalence of immunocytochemical positivities for a panel of antibodies in benign and malignant cells in effusions with known follow‐up in order to use these as diagnostic markers. Besides their ability to identify malignant epithelial cells their contribution to the differential diagnosis between carcinomatoses and mesotheliomas was investigated. 101 tumour cell positive and 53 negative effusions were stained with 12 different antibodies. Results were scored semiquantitatively per cell type. Furthermore, DNA‐image cytometry was performed. While prevalence of Ber‐EP4 positivity was 95.4% in metastatic carcinoma cells, it was 0% in those from mesotheliomas. No cell type reacted with this marker in benign effusions (0%). Ber‐EP4 correctly differentiated between metastatic carcinoma and mesothelioma in 98.0%. Prevalence of DNA‐aneuploidy was 95.4% in metastatic carcinomas, 57.1% in mesotheliomas and 0% in reactive effusions. Combining immunocytochemistry (Ber‐EP4 positivity) and DNA‐image cytometry (aneuploidy) results in a 100% detection of metastatic carcinomatoses and 57.1% of mesotheliomas. Both markers furthermore allowed a correct differentiation of these entities in 98%