Vine copula-based asymmetry and tail dependence modeling

© Springer International Publishing AG, part of Springer Nature 2018. Financial variables such as asset returns in the massive market contain various hierarchical and horizontal relationships that form complicated dependence structures. Modeling these structures is challenging due to the stylized facts of market data. Many research works in recent decades showed that copula is an effective method to describe relations among variables. Vine structures were introduced to represent the decomposition of multivariate copula functions. However, the model construction of vine structures is still a tough problem owing to the geometrical data, conditional independent assumptions and the stylized facts. In this paper, we introduce a new bottom-to-up method to construct regular vine structures and applies the model to 12 currencies over 16 years as a case study to analyze the asymmetric and fat tail features. The out-of-sample performance of our model is evaluated by Value at Risk, a widely used industrial benchmark. The experimental results show that our model and its intrinsic design significantly outperform industry baselines, and provide financially interpretable knowledge and profound insights into the dependence structures of multi-variables with complex dependencies and characteristics

HQET at order 1/m1/m: II. Spectroscopy in the quenched approximation

Using Heavy Quark Effective Theory with non-perturbatively determined parameters in a quenched lattice calculation, we evaluate the splittings between the ground state and the first two radially excited states of the $B_s$ system at static order. We also determine the splitting between first excited and ground state, and between the $B_s^*$ and $B_s$ ground states to order $1/m_b$. The Generalized Eigenvalue Problem and the use of all-to-all propagators are important ingredients of our approach.Comment: (1+18) pages, 3 figures (4 pdf files); pdflatex; v2: corrections to table 1, results unaffecte

Activation of chloride transport in CF airway epithelial cell lines and primary CF nasal epithelial cells by S-nitrosoglutathione

BACKGROUND: It has been suggested that low μM concentrations of S-nitrosoglutathione (GSNO), an endogenous bronchodilator, may promote maturation of the defective cystic fibrosis (CF) transmembrane conductance regulator (CFTR). Because nitric oxide (NO) and GSNO levels appear to be low in the CF airway, there is an interest in the possibility that GSNO replacement could be of therapeutic benefit in CF. METHODS: The effect of GSNO on chloride (Cl(-)) transport was investigated in primary nasal epithelial cells obtained from CF patients homozygous for the delF508 mutation, as well as in two CF cell lines (CFBE and CFSME), using both a fluorescent Cl(- )indicator and X-ray microanalysis. Maturation of delF508 CFTR was determined by immunoblotting. RESULTS: Treatment with 60 μM GSNO for 4 hours increased cAMP-induced chloride efflux in nasal epithelial cells from 18 out of 21 CF patients, but did not significantly affect Cl(- )efflux in cells from healthy controls. This Cl(- )efflux was confirmed by measurements with a fluorescent Cl(- )indicator in the CFBE and CFSME cell lines. The effect of GSNO on Cl(- )efflux in CFBE cells could be inhibited both by a specific thiazolidinone CFTR inhibitor (CFTR(inh)-172) and by 4,4'-diisothiocyanatodihydrostilbene-2,2'-disulfonic acid (H(2)DIDS). X-ray microanalysis showed that, following 4 hours incubation with 60 μM GSNO, cAMP agonists caused a decrease in the cellular Cl(- )concentration in CFBE cells, corresponding to Cl(- )efflux. GSNO exposure resulted in an increase in the protein expression and maturation, as shown by immunoblot analysis. GSNO did not increase the cytosolic Ca(2+ )concentration in cultured airway epithelial cells. CONCLUSION: Previous studies have suggested that treatment with GSNO promotes maturation of delF508-CFTR, consistent with our results in this study. Here we show that GSNO increases chloride efflux, both in the two CF cell lines and in primary nasal epithelial cells from delF508-CF patients. This effect is at least in part mediated by CFTR. GSNO may be a candidate for pharmacological treatment of the defective chloride transport in CF epithelial cells

Growing at the limit: Reef growth sensitivity to climate and oceanographic changes in the South Western Atlantic

This is the author accepted manuscript. The final version is available from Elsevier via the DOI in this recordWhilst the impacts of climatic and oceanographic change on lower latitude reefs are increasingly well documented, our understanding of how reef-building has fluctuated in higher latitude settings remains limited. Here, we explore the timing and longevity of reef-building through the mid- to late Holocene in the most southerly known reef (24°S) in the Western Atlantic. Reef core data show that reef growth was driven by a single coral species, Madracis decactis, and occurred over two phases since ~6000 calibrated (cal.) yr B.P.. These records further indicate that there was a clear growth hiatus from ~5500 to 2500 cal. yr B.P., and that there is no evidence of reef accretion on the Queimada Grande Reef (QGR) over the past 2000 yrs. It thus presently exists as a submerged senescent structure colonized largely by non-reef building organisms. Integration of these growth data with those from sites further north (18°S and 21°S) suggests that Intertropical Convergence Zone (ITCZ), South Westerlies Winds (SWW) and El Niño-Southern Oscillation (ENSO) variability and shifts during the Holocene drove changes in the position of the Brazil-Falklands/Malvinas Confluence (BFMC), and that this has had a strong regional influence on the timing and longevity of reef growth. Our results add new evidence to the idea that reef growth in marginal settings can rapidly turn-on or -off according to regional environmental changes, and thus are of relevance for predicting high latitude reef growth potential under climate change.Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)razilian Research Council (CNPq

The Pioneer Anomaly

Radio-metric Doppler tracking data received from the Pioneer 10 and 11 spacecraft from heliocentric distances of 20-70 AU has consistently indicated the presence of a small, anomalous, blue-shifted frequency drift uniformly changing with a rate of ~6 x 10^{-9} Hz/s. Ultimately, the drift was interpreted as a constant sunward deceleration of each particular spacecraft at the level of a_P = (8.74 +/- 1.33) x 10^{-10} m/s^2. This apparent violation of the Newton's gravitational inverse-square law has become known as the Pioneer anomaly; the nature of this anomaly remains unexplained. In this review, we summarize the current knowledge of the physical properties of the anomaly and the conditions that led to its detection and characterization. We review various mechanisms proposed to explain the anomaly and discuss the current state of efforts to determine its nature. A comprehensive new investigation of the anomalous behavior of the two Pioneers has begun recently. The new efforts rely on the much-extended set of radio-metric Doppler data for both spacecraft in conjunction with the newly available complete record of their telemetry files and a large archive of original project documentation. As the new study is yet to report its findings, this review provides the necessary background for the new results to appear in the near future. In particular, we provide a significant amount of information on the design, operations and behavior of the two Pioneers during their entire missions, including descriptions of various data formats and techniques used for their navigation and radio-science data analysis. As most of this information was recovered relatively recently, it was not used in the previous studies of the Pioneer anomaly, but it is critical for the new investigation.Comment: 165 pages, 40 figures, 16 tables; accepted for publication in Living Reviews in Relativit

The macroecology of phylogenetically structured hummingbird-plant networks

Aim To investigate the association between species richness, species' phylogenetic signal, insularity and historical and current climate with hummingbird-plant network structure. Location 54 communities along a c. 10,000 kilometer latitudinal gradient across the Americas (39ºN - 32ºS), ranging from sea level to c. 3700 m asl, located on the mainland and on islands, and covering a wide range of climate regimes. Methods We measured null-modeled corrected complementary specialization and bipartite modularity (compartmentalization) in networks of quantitative interactions between hummingbird and plant species. Using an ordinary least squares multi-model approach, we examined the influence of species richness, phylogenetic signal, insularity, and current and historical climate conditions on network structure. Results Phylogenetically-related species, especially plants, showed a tendency to interact with a similar array of partners. The spatial variation in network structure exhibited a constant association with species' phylogeny (R2=0.18-0.19). Species richness and environmental factors showed the strongest associations with network structure (R2=0.20-0.44; R2138 =0.32-0.45, respectively). Specifically, higher levels of complementary specialization and modularity were associated to species-rich communities and communities in which closely-related hummingbirds visited distinct sets of flowering species. On the mainland, warmer temperatures and higher historical temperature stability associated to higher levels of complementary specialization. Main conclusions Previous macroecological studies of interaction networks have highlighted the importance of environment and species richness in determining network structure. Here, for the first time, we report an association between species phylogenetic signal and network structure at macroecological scale. Specifically, null model corrected complementary specialization and modularity exhibited a positive association with species richness and a negative association with hummingbird phylogenetic signal, indicating that both high richness and high inter-specific competition among closely-related 150 hummingbirds exhibit important relationships with specialization in hummingbird-plant networks. Our results document how species richness, phylogenetic signal and climate associate with network structure in complex ways at macroecological scale