Structural change and spurious persistence in stochastic volatility

We extend the well established link between structural change and estimated persistence from GARCH to stochastic volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the squares of the underlying time series, the persistence in volatility implied by the estimated model parameters follows suit. This explains why stochastic volatility often appears to be more persistent when estimated from a larger sample as then the likelihood increases that there might have been some structural change in between

Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing

GARCH- and Stochastic Volatility (SV)-models are the main workhorses for describing unobserved volatility in asset returns. Because economic theory behind these models is not the same and estimating SV-models is much more difficult, discriminating between these two rival models is of interest. This paper suggests a nonnested testing procedure going back to Davidson and MacKinnon (1981) that does not implicitly assume that one of the models is the correct one. We illustrate the proposed test by applying it to ten daily stock index return series and five exchange rate return series

Autism and attachment disorder symptoms in the general population : Prevalence, overlap, and burden

Acknowledgements: This work was supported by the Chief Scientist Office of the Scottish Government (CZG/2/565) and the Gillberg Neuropsychiatry Centre. We are grateful to all of the participants and to the Growing up in Scotland team for their support with this study. Funding: The author(s) received no financial support for the research, authorship, and/or publication of this articlePeer reviewedPublisher PD

Study protocol for COVID-RV: a multicentre prospective observational cohort study of right ventricular dysfunction in ventilated patients with COVID-19

Introduction: COVID-19 can cause severe acute respiratory failure requiring management in intensive care unit with invasive ventilation and a 40% mortality rate. Cardiovascular manifestations are common and studies have shown an increase in right ventricular (RV) dysfunction associated with mortality. These studies, however, comprise heterogeneous patient groups with few requiring invasive ventilation. This study will investigate the prevalence and prognostic significance of RV dysfunction in ventilated patients with COVID-19 which may lead to targeted interventions to improve patient outcomes. Methods and analysis: This prospective multicentre observational cohort study will perform transthoracic echocardiography (TTE) in 150 patients with COVID-19 requiring invasive ventilation for more than 48 hours. RV dysfunction will be defined as TTE evidence of RV dilatation along with the presence of septal flattening. Baseline demographics, disease severity data and clinical information relating to proposed aetiological mechanisms of RV dysfunction (acute respiratory distress syndrome (ARDS), disordered coagulation, direct myocardial injury and ventilation) will be collected and analysed. Primary outcome measures include the prevalence of RV dysfunction and its association with 30-day mortality. Exploratory outcome measures will investigate the association of the proposed aetiological mechanisms of RV dysfunction to the primary outcomes. Prevalence of RV dysfunction will be determined along with 95% Clopper-Pearson CIs and 30-day survival will be analysed using logistic regression adjusting for patient demographics, phase of disease and baseline severity of illness. The role of potential aetiological factors (ARDS, disordered coagulation, direct myocardial injury and ventilation) in relation to the primary outcomes will be analysed using logistic regression. Ethics and dissemination: Approval was gained from Scotland A Research Ethics Committee (REC reference 20/SS/0059). Findings will be disseminated by various methods including webinars, international presentations and publication in peer-reviewed journals

Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model

Synthetic Collateralized Debt Obligations (CDOs) were among the driving forces of the rapid growth of the market for credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is the Random-Factor-Loading-Model of Andersen and Sidenius (2005). We extend this model by allowing more than two regimes of default correlations. The model is calibrated to market spreads at times of financial distress and during calm periods. For both points in time the model correlation skews are similar to the steep skews observed in the market and lead to an improvement to the standard Random-Factor-Loading-Model.Einer der maßgeblichen Faktoren für das rasante Wachstum des Kreditderivatemarktes der letzten Jahre sind synthetische Collateralized Debt Obligations (CDO). Zur Bepreisung von CDOs werden in der Praxis vor allem die Gauss'sche Copula als auch das bekannte 'Random-Factor-Loading'-Modell von Andersen und Sidenius (2005) benutzt. Im Rahmen dieser Arbeit wird dieses Modell von zwei auf drei mögliche Korrelationsregime erweitert und empirisch überprüft. Hierfür werden sowohl Marktdaten aus ruhigen und turbulenten Phasen an den Finanzmärkten verwendet. Für beide Zeitpunkte sind die Modellspreads ähnlich wie die am Markt beobachtbaren Spreads

The PrEscription of intraDialytic exercise to improve quAlity of Life in patients with chronic kidney disease trial:study design and baseline data for a multicentre randomized controlled trial

Background: Exercise interventions designed to improve physical function and reduce sedentary behaviour in haemodialysis (HD) patients might improve exercise capacity, reduce fatigue and lead to improved quality of life (QOL). The PEDAL study aimed to evaluate the effectiveness of a 6-month intradialytic exercise programme on quality of life (QOL) and physical function, compared to usual care for patients on HD in the UK.Methods: We conducted a prospective, pragmatic multicentre randomised controlled trial (RCT) in 335 HD patients and randomly (1:1) assigned them to either, i) intradialytic exercise training plus usual care maintenance HD, or ii) usual care maintenance HD. The primary outcome of the study was the change in Kidney Disease Quality of Life (KDQOL-SF 1.3) Physical Component Score between baseline and 6 months. Additional secondary outcomes included changes in: peak aerobic capacity, physical fitness, habitual physical activity levels and falls (International Physical Activity Questionnaire, Duke’s Activity Status Index and Tinetti Falls Efficacy Scale), quality of life and symptom burden assessments (EQ5D), arterial stiffness (pulse wave velocity), anthropometric measures, resting blood pressure, clinical chemistry, safety and harms associated with the intervention, hospitalisations, and cost-effectiveness. A nested qualitative study investigated the experience and acceptability of the intervention for both participants and members of the renal healthcare team.Results: At baseline assessment, 62.4% of the randomised cohort were male, the median age was 59.3 years, and 50.4% were White. Prior cerebrovascular events and myocardial infarction (MI) were present in 8 and 12% of the cohort, respectively, 77.9% of patients had 3hypertension and 39.4% had diabetes. Baseline clinical characteristic and laboratory data for the randomised cohort were generally concordant with data from the UK Renal Registry.Conclusion: The results from this study will address a significant knowledge gap in the prescription of exercise interventions for patients receiving maintenance HD therapy and inform the development of intradialytic exercise programmes both nationally and internationally.Trial Registration: ISRCTN N83508514; registered on 17th December 2014.</p

Randomized Trial-PrEscription of intraDialytic exercise to improve quAlity of Life in Patients Receiving Hemodialysis

Introduction: Whether clinically implementable exercise interventions in people receiving hemodialysis (HD) therapy improve health-related quality of life (HRQoL) remains unknown. The PrEscription of intraDialytic exercise to improve quAlity of Life PEDAL) study evaluated the clinical benefit and cost-effectiveness of a 6-month intradialytic exercise program. Methods: In a multicenter, single-blinded, randomized, controlled trial, people receiving HD were randomly assigned to (i) intradialytic exercise training (exercise intervention group [EX]) and (ii) usual care (control group [CON]). Primary outcome was change in Kidney Disease Quality of Life Short-Form Physical Component Summary (KDQOL-SF 1.3 PCS) from baseline to 6 months. Cost-effectiveness was determined using health economic analysis; physiological impairment was evaluated by peak oxygen uptake; and harms were recorded. Results: We randomized 379 participants; 335 and 243 patients (EX  = 127; CON  = 116) completed baseline and 6-month assessments, respectively. Mean difference in change PCS from baseline to 6 months between EX and CON was 2.4 (95% confidence interval [CI]: -0.1 to 4.8) arbitrary units ( = 0.055); no improvements were observed in peak oxygen uptake or secondary outcome measures. Participants in the intervention group had poor compliance (47%) and poor adherence (18%) to the exercise prescription. Cost of delivering intervention ranged from US$598 to US$1092 per participant per year. The number of participants with harms was similar between EX ( = 69) and CON ( = 56). A primary limitation was the lack of an attention CON. Many patients also withdrew from the study or were too unwell to complete all physiological outcome assessments. Conclusions: A 6-month intradialytic aerobic exercise program was not clinically beneficial in improving HRQoL as delivered to this cohort of deconditioned patients on HD