Contemporaneous aggregation of GARCH processes

In this article, the effect of contemporaneous aggregation of heterogeneous generalized autoregressive conditionally heteroskedastic (GARCH) processes, as the cross-sectional size diverges to infinity is studied. We analyse both cases of cross-sectionally dependent and independent individual processes. The limit aggregate does not belong to the class of GARCH processes. Dynamic conditional heteroskedasticity is only preserved when the individual processes are sufficiently cross-correlated, although long memory for the limit aggregate volatility is not attainable. We also explore more general forms of cross-sectional dependence and various types of aggregation schemes. Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.

Model Averaging in Risk Management with an Application to Futures Markets

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average ’ models. The asymptotic as well as the exact finite-sample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns on six currencies, four equity indices, four ten year government bonds and four commodities over the period 1991-2007. The empirical evidence supports the use of ‘thick’ model averaging strategies over single models or Bayesian type model averaging procedures

ALE manifolds and Conformal Field Theory

We address the problem of constructing the family of (4,4) theories associated with the sigma-model on a parametrized family ${\cal M}_{\zeta}$ of Asymptotically Locally Euclidean (ALE) manifolds. We rely on the ADE classification of these manifolds and on their construction as HyperK\"ahler quotients, due to Kronheimer. So doing we are able to define the family of (4,4) theories corresponding to a ${\cal M}_{\zeta}$ family of ALE manifolds as the deformation of a solvable orbifold ${\bf C}^2 \, / \, \Gamma$ conformal field-theory, $\Gamma$ being a Kleinian group. We discuss the relation among the algebraic structure underlying the topological and metric properties of self-dual 4-manifolds and the algebraic properties of non-rational (4,4)-theories admitting an infinite spectrum of primary fields. In particular, we identify the Hirzebruch signature $\tau$ with the dimension of the local polynomial ring {\cal R}=\o {{\bf C}[x,y,z]}{\partial W} associated with the ADE singularity, with the number of non-trivial conjugacy classes in the corresponding Kleinian group and with the number of short representations of the (4,4)-theory minus four.Comment: 48 pages, Latex, SISSA/44/92/EP, IFUM/443/F

Eigenvalue Ratio Estimators for the Number of Dynamic Factors

In this paper we introduce three dynamic eigenvalue ratio estimators for the number of dynamic factors. Two of them, the Dynamic Eigenvalue Ratio (DER) and the Dynamic Growth Ratio (DGR) are dynamic counterparts of the eigenvalue ratio estimators (ER and GR) proposed by Ahn and Horenstein (2013). The third, the Dynamic eigenvalue Difference Ratio (DDR), is a new one but closely related to the test statistic proposed by Onatsky (2009). The advantage of such estimators is that they do not require preliminary determination of discretionary parameters. Finally, a static counterpart of the latter estimator, called eigenvalue Difference Ratio estimator (DR), is also proposed. We prove consistency of such estimators and evaluate their performance under simulation. We conclude that both DDR and DR are valid alternatives to existing criteria. Application to real data gives new insights on the number of factors driving the US economy

Long memory affine term structure models

We develop a Gaussian discrete time essentially affine term structure model with long memory state variables. This feature reconciles the strong persistence observed in nominal yields and inflation with the theoretical implications of affine models, especially for long maturities. We characterize in closed-form the dynamic and cross-sectional implications of long memory for our model. We explain how long memory can naturally arise within the term structure of interest rates, providing a theoretical underpinning for our model. Despite the infinite-dimensional structure that long memory implies, we show how to cast the model in state space and estimate it by maximum likelihood. An empirical application of our model is presented

AB0565 JAK INHIBITORS AND PSORIATIC ARTHRITIS: A SYSTEMATIC REVIEW AND META-ANALYSIS

Background:Despite the therapeutic armamentarium for the treatment of psoriatic arthritis (PsA) has considerably expanded over the last thirty years, there is a huge necessity of finding effective drugs for this disease. JAK inhibitors (JAKi) are small molecules able to interfere with the JAK/STAT pathway, involved in the pathogenesis of PsA (1). Up to now Tofacitinib is the only JAKi approved by the European Medicines Agency (EMA) for the treatment of PsA but in the next few years the number of approved JAKi is expected to rise significantly.Objectives:To assess the efficacy and safety of different JAKi for the treatment of PsA.Methods:A systematic review of the literature was performed to identify randomized controlled trials (RCTs), by electronic search of MEDLINE and EMBASE database until October 2020. Studies were considered eligible if they met the following criteria: I) study was a RCT; II) only patients with PsA were included; III) JAKi was compared to placebo in addition to the standard of care. Two reviewers (FC and AZ) performed study selection, with disagreements solved by the opinion of an expert reviewer (AS). The outcomes were expressed as odds ratio (OR) and 95% confidence intervals (95% CI). Statistical heterogeneity was assessed with the I2 statistic.Results:We identified 557 potentially relevant studies. A total of 554 studies were excluded based on title and/or abstract screening. Three RCTs for a total of 947 PsA patients treated with JAKi were included (2,3,4). Two were phase III studies on the efficacy and safety of Tofacitinib (OPAL Beyond and OPAL Broaden) and one was a phase II study on Filgotinib (Equator). All three studies were judged at low risk of bias according to Cochrane criteria (5). The primary efficacy outcome in all the studies was the number of patients who achieved the response rate of the American College of Rheumatology 20 score (ACR20). The outcomes evaluation was performed at 12 week for the Filgotinib trial and at 16 week for the Tofacitinib trials. We used for the main analyses the group of patients randomized to Tofacitinib 5 mg because this is the only dosage approved by the EMA for the treatment of PsA. JAKi showed a significantly higher ACR20 response rate compared to placebo (OR 3.54, 95% CI 1.76 - 7.09, I^2 = 74%). JAKi also showed a significantly higher ACR50 response rate (OR 3.36, 95% CI 2.22 - 5.09, I^2 = 0%), ACR70 response rate (OR 2.82, 95% CI 1.67 - 4.76, I^2 = 20%), PsARC response rate (OR 2.67, 95% CI 1.26 - 5.65, I^2 = 79%), PASI75 response rate (OR 3.15, 95% CI 1.61 - 6.15, I^2 = 45%) compared to placebo. JAKi were also associated with significantly better HAQ-DI (mean difference -0.23 95% CI -0.31 - -0.14) and fatigue, measured with FACIT-F (mean difference 3.54 95% CI 2.13 - 4.94). JAKi compared to placebo were associated with a non-statistically significant different risk of serious adverse events (OR 0.56, 95% CI 0.11 - 2.91, I^2 = 38%).Conclusion:This is the first published systematic review that performed a comprehensive and simultaneous evaluation of the efficacy and safety of JAKi for PsA in RCTs. Our analysis suggests a statistically significant benefit of JAKi, that appears to be effective and safe over placebo. The impact of these data on international clinical guidelines needs further investigation.References:[1]George E Fragoulis, et al. JAK-inhibitors. New players in the field of immune-mediated diseases, beyond rheumatoid arthritis, Rheumatology, Volume 58, Issue Supplement_1, February 2019, Pages i43–i54[2]Mease P, et al. Tofacitinib or adalimumab versus placebo for psoriatic arthritis. N Engl J Med 2017; 377: 1537-50.[3]Gladman D, et al. Tofacitinib for psoriatic arthritis in patients with an inadequate response to TNF inhibitors. N Engl J Med 2017; 377: 1525-36.[4]Mease P, et al. Efficacy and safety of filgotinib, a selective Janus kinase 1 inhibitor, in patients with active psoriatic arthritis (EQUATOR): results from a randomised, placebo-controlled, phase 2 trial. Lancet 2018;392:2367–77.[5]Higgins JP, et Al. Measuring inconsistency in meta-analyses. BMJ 2003;327:557-560Figure 1.ACR20 response rate of Jaki over PlaceboDisclosure of Interests:None declared

Time series aggregation, disaggregation and long memory

We study the aggregation/disaggregation problem of random parameter AR(1) processes and its relation to the long memory phenomenon. We give a characterization of a subclass of aggregated processes which can be obtained from simpler, "elementary", cases. In particular cases of the mixture densities, the structure (moving average representation) of the aggregated process is investigated

PP-wave and Non-supersymmetric Gauge Theory

We extend the pp-wave correspondence to a non supersymmetric example. The model is the type 0B string theory on the pp-wave R-R background. We explicitly solve the model and give the spectrum of physical states. The field theory counterpart is given by a sector of the large N SU(N) x SU(N) CFT living on a stack of N electric and N magnetic D3-branes. The relevant effective coupling constant is g_{eff}=g_sN/J^2. The string theory has a tachyon in the spectrum, whose light-cone energy can be exactly computed as a function of g_{eff}. We argue that the perturbative analysis in g_{eff} in the dual gauge theory is reliable, with corrections of non perturbative type. We find a precise state/operator map, showing that the first perturbative corrections to the anomalous dimensions of the operators have the behavior expected from the string analysis.Comment: 19 pages. Revised versio