Estimation of tail thickness parameters from GJR-GARCH models

We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model. The method is based on some recent work on the extremes of GARCH-type processes and extends the method proposed by Berkes, Horváth and Kokoszka (2003). We show that the estimator of tail thickness is consistent and converges at rate ?T to a normal distribution (where T is the sample size), provided the model for conditional variance is correctly specified as a GJR-GARCH. This is much faster than the convergence rate of the Hill estimator, since that procedure only uses a vanishing fraction of the sample. We also develop new specification tests based on this method and propose new alternative estimates of unconditional value at risk. We show in Monte Carlo simulations the advantages of our procedure in finite samples; and finally an application concludes the paperPareto tail thickness parameter, GARCH-type models, Value-at-Risk, Extreme value theory, Heavy tails

Design considerations in a clinical trial of a cognitive behavioural intervention for the management of low back pain in primary care : Back Skills Training Trial

Background Low back pain (LBP) is a major public health problem. Risk factors for the development and persistence of LBP include physical and psychological factors. However, most research activity has focused on physical solutions including manipulation, exercise training and activity promotion. Methods/Design This randomised controlled trial will establish the clinical and cost-effectiveness of a group programme, based on cognitive behavioural principles, for the management of sub-acute and chronic LBP in primary care. Our primary outcomes are disease specific measures of pain and function. Secondary outcomes include back beliefs, generic health related quality of life and resource use. All outcomes are measured over 12 months. Participants randomised to the intervention arm are invited to attend up to six weekly sessions each of 90 minutes; each group has 6–8 participants. A parallel qualitative study will aid the evaluation of the intervention. Discussion In this paper we describe the rationale and design of a randomised evaluation of a group based cognitive behavioural intervention for low back pain

Corticotropin-releasing hormone, its binding protein and receptors in human cervical tissue at preterm and term labor in comparison to non-pregnant state

BACKGROUND: Preterm birth is still the leading cause of neonatal morbidity and mortality. The level of corticotropin-releasing hormone (CRH) is known to be significantly elevated in the maternal plasma at preterm birth. Although, CRH, CRH-binding protein (CRH-BP), CRH-receptor 1 (CRH-R1) and CRH-R2 have been identified both at mRNA and protein level in human placenta, deciduas, fetal membranes, endometrium and myometrium, no corresponding information is yet available on cervix. Thus, the aim of this study was to compare the levels of the mRNA species coding for CRH, CRH-BP, CRH-R1 and CRH-R2 in human cervical tissue and myometrium at preterm and term labor and not in labor as well as in the non-pregnant state, and to localize the corresponding proteins employing immunohistochemical analysis. METHODS: Cervical, isthmic and fundal (from non-pregnant subjects only) biopsies were taken from 67 women. Subjects were divided in 5 groups: preterm labor (14), preterm not in labor (7), term labor (18), term not in labor (21) and non-pregnant (7). Real-time RT-PCR was employed for quantification of mRNA levels and the corresponding proteins were localized by immunohistochemical analysis. RESULTS: The levels of CRH-BP, CRH-R1 and CRH-R2 mRNA in the pregnant tissues were lower than those in non-pregnant subjects. No significant differences were observed between preterm and term groups. CRH-BP and CRH-R2 mRNA and the corresponding proteins were present at lower levels in the laboring cervix than in the non-laboring cervix, irrespective of gestational age. In most of the samples, with the exception of four myometrial biopsies the level of CRH mRNA was below the limit of detection. All of these proteins could be detected and localized in the cervix and the myometrium by immunohistochemical analysis. CONCLUSION: Expression of CRH-BP, CRH-R1 and CRH-R2 in uterine tissues is down-regulated during pregnancy. The most pronounced down-regulation of CRH-BP and CRH-R2 occurred in laboring cervix, irrespective the length of gestation. The detection of substantial expression of the CRH and its receptor proteins, as well as receptor mRNA in the cervix suggests that the cervix may be a target for CRH action. Further studies are required to elucidate the role of CRH in cervical ripening

Ophthalmology research in the UK’s National Health Service: the structure and performance of the NIHR’s Ophthalmology research portfolio

Purpose- To report on the composition and performance of the portfolio of Ophthalmology research studies in the United Kingdom’s National Institute for Health Research (NIHR) Clinical Research Network (UK CRN). Methods- Ophthalmology studies open to recruitment between 1 April 2010 and 31 March 2018 were classified by: sub-specialty, participant age, gender of Chief Investigator, involvement of genetic investigations, commercial/ non-commercial, interventional/observational design. Frequency distributions for each covariate and temporal variation in recruitment to time and target were analysed. Results- Over 8 years, 137,377 participants were recruited (average of 15,457 participants/year; range: 5485–32,573) with growth by year in proportion of commercial studies and hospital participation in England (76% in 2017/18). Fourteen percent of studies had a genetic component and most studies (82%) included only adults. The majority of studies (41%) enrolled patients with retinal diseases, followed by glaucoma (17%), anterior segment and cataract (13%), and ocular inflammation (6%). Overall, 68% of non-commercial studies and 55% of commercial studies recruited within the anticipated time set by the study and also recruited to or exceeded the target number of participants. Conclusions- High levels of clinical research activity, growth and improved performance have been observed in Ophthalmology in UK over the past 8 years. Some sub-specialties that carry substantial morbidity and a very high burden on NHS services are underrepresented and deserve more patient-centred research. Yet the NIHR and its CRN Ophthalmology National Specialty Group has enabled key steps in achieving the goal of embedding research into every day clinical care