Markov-Switching GARCH Modelling of Value-at-RisK

This paper proposes an asymmetric Markov regime-switching (MS) GARCH model to estimate value-at-risk (VaR) for both long and short positions. This model improves on existing VaR methods by taking into account both regime change and skewness or leverage effects. The performance of our MS model and single-regime models is compared through an innovative backtesting procedure using daily data for UK and US market stock indices. The findings from exceptions and regulatory-based tests indicate the MS-GARCH specifications clearly outperform other models in estimating the VaR for both long and short FTSE positions and also do quite well for S&P positions. We conclude that ignoring skewness and regime changes has the effect of imposing larger than necessary conservative capital requirements

Some Weyl modules of the algebraic groups of type E6E_6

Let $G$ be a simple algebraic group of type $E_6$ over an algebraically closed field of characteristic $p>0$. We determine the submodule structure of the Weyl modul es with highest weight $r\omega_1$ for $0\leq r\leq p-1$, where $\omega_1$ is the fundamental weight of the standard $27$-dimensional module. In the process, the structures of other Weyl modules with highest weights linked to $r\omega_1$ are also found. %We also give some computations for the Weyl modules with highest weights %of the form $r(\omega_1+\omega_6)$, which arise in the study of %the graph automorphism and associated twisted finite groups.Comment: 25 page

Fluorescent Plasmodium berghei sporozoites and pre-erythrocytic stages: a new tool to study mosquito and mammalian host interactions with malaria parasites.

To track malaria parasites for biological studies within the mosquito and mammalian hosts, we constructed a stably transformed clonal line of Plasmodium berghei, PbFluspo, in which sporogonic and pre-erythrocytic liver-stage parasites are autonomously fluorescent. A cassette containing the structural gene for the FACS-adapted green fluorescent protein mutant 2 (GFPmut2), expressed from the 5' and 3' flanking sequences of the circumsporozoite (CS) protein gene, was integrated and expressed at the endogenous CS locus. Recombinant parasites, which bear a wild-type copy of CS, generated highly fluorescent oocysts and sporozoites that invaded mosquito salivary glands and were transmitted normally to rodent hosts. The parasites infected cultured hepatocytes in vitro, where they developed into fluorescent pre-erythrocytic forms. Mammalian cells infected by these parasites can be separated from non-infected cells by fluorescence activated cell sorter (FACS) analysis. These fluorescent insect and mammalian stages of P. berghei should be useful for phenotypic studies in their respective hosts, as well as for identification of new genes expressed in these parasite stages

Progression of endothelial dysfunction, atherosclerosis, and arterial stiffness in stable kidney transplant patients: a pilot study.

BACKGROUND: Kidney transplant patients suffer from vascular abnormalities and high cardiovascular event rates, despite initial improvements post-transplantation. The nature of the progression of vascular abnormalities in the longer term is unknown. This pilot study investigated changes in vascular abnormalities over time in stable kidney transplant patients long after transplantation. METHODS: Brachial artery flow-mediated dilation (FMD), nitroglycerin-mediated dilation, carotid-femoral pulse wave velocity (cf-PWV), ankle-brachial pressure index, and common carotid artery intima-media thickness (CCA-IMT) were assessed in 18 kidney transplant patients and 17 controls at baseline and 3-6 months after. RESULTS: There was no difference in age (51 ± 13 vs. 46 ± 11; P = 0.19), body mass index (26 ± 5 vs. 25 ± 3; P = 0.49), serum cholesterol (4.54 ± 0.96 vs. 5.14 ± 1.13; P = 0.10), systolic blood pressure (BP) (132 ± 12 vs. 126 ± 12; P = 0.13), diastolic BP (82 ± 9 vs. 77 ± 8; P = 0.10), or diabetes status (3 vs. 0; P = 0.08) between transplant patients and controls. No difference existed in vascular markers between patients and controls at baseline. In transplant patients, FMD decreased (- 1.52 ± 2.74; P = 0.03), cf-PWV increased (0.62 ± 1.06; P = 0.03), and CCA-IMT increased (0.35 ± 0.53; P = 0.02). No changes were observed in controls. CONCLUSION: Markers of vascular structure and function worsen in the post-transplant period on long-term follow-up, which may explain the continued high cardiovascular event rates in this population

Social/health maintenance organization and fee-for-service health outcomes over time.

Evaluating the performance of long-term care (LTC) demonstrations requires longitudinal assessment of multiple outcomes where selective mortality and disenrollment, if not accounted for, can give the appearance of reduced (or enhanced) efficacy. We assessed outcomes in social/health maintenance organizations (S/HMOs) and Medicare fee-for-service (FFS) care using a multivariate model to estimate active life expectancy (ALE). S/HMO enrollees and samples of FFS clients in four sites were analyzed and outcome differences assessed for a 3-year period. Results provide insights into S/HMO performance under different conditions and, more generally, into evaluating LTC demonstrations without randomized client and control groups

The role of traction in membrane curvature generation.

Curvature of biological membranes can be generated by a variety of molecular mechanisms including protein scaffolding, compositional heterogeneity, and cytoskeletal forces. These mechanisms have the net effect of generating tractions (force per unit length) on the bilayer that are translated into distinct shapes of the membrane. Here, we demonstrate how the local shape of the membrane can be used to infer the traction acting locally on the membrane. We show that buds and tubes, two common membrane deformations studied in trafficking processes, have different traction distributions along the membrane and that these tractions are specific to the molecular mechanism used to generate these shapes. Furthermore, we show that the magnitude of an axial force applied to the membrane as well as that of an effective line tension can be calculated from these tractions. Finally, we consider the sensitivity of these quantities with respect to uncertainties in material properties and follow with a discussion on sources of uncertainty in membrane shape

Mechanical Systems with Symmetry, Variational Principles, and Integration Algorithms

This paper studies variational principles for mechanical systems with symmetry and their applications to integration algorithms. We recall some general features of how to reduce variational principles in the presence of a symmetry group along with general features of integration algorithms for mechanical systems. Then we describe some integration algorithms based directly on variational principles using a discretization technique of Veselov. The general idea for these variational integrators is to directly discretize Hamilton’s principle rather than the equations of motion in a way that preserves the original systems invariants, notably the symplectic form and, via a discrete version of Noether’s theorem, the momentum map. The resulting mechanical integrators are second-order accurate, implicit, symplectic-momentum algorithms. We apply these integrators to the rigid body and the double spherical pendulum to show that the techniques are competitive with existing integrators

Aperiodic String Transducers

Regular string-to-string functions enjoy a nice triple characterization through deterministic two-way transducers (2DFT), streaming string transducers (SST) and MSO definable functions. This result has recently been lifted to FO definable functions, with equivalent representations by means of aperiodic 2DFT and aperiodic 1-bounded SST, extending a well-known result on regular languages. In this paper, we give three direct transformations: i) from 1-bounded SST to 2DFT, ii) from 2DFT to copyless SST, and iii) from k-bounded to 1-bounded SST. We give the complexity of each construction and also prove that they preserve the aperiodicity of transducers. As corollaries, we obtain that FO definable string-to-string functions are equivalent to SST whose transition monoid is finite and aperiodic, and to aperiodic copyless SST

Swift development of protective effector functions in naive CD8(+) T cells against malaria liver stages.

We generated T cell receptor transgenic mice specific for the liver stages of the rodent malaria parasite Plasmodium yoelii and studied the early events in the development of in vivo effector functions in antigen-specific CD8(+) T cells. Differently to activated/memory cells, naive CD8(+) T cells are not capable of exerting antiparasitic activity unless previously primed by parasite immunization. While naive cells need to differentiate before achieving effector status, the time required for this process is very short. Indeed, interferon (IFN)-gamma and perforin mRNA are detectable 24 h after immunization and IFN-gamma secretion and cytotoxic activity are detected ex vivo 24 and 48 h after immunization, respectively. In contrast, the proliferation of CD8(+) T cells begins after 24 h and an increase in the total number of antigen-specific cells is detected only after 48 h. Remarkably, a strong CD8(+) T cell-mediated inhibition of parasite development is observed in mice challenged with viable parasites only 24 h after immunization with attenuated parasites. These results indicate that differentiation of naive CD8(+) T cells does not begin only after extensive cell division, rather this process precedes or occurs simultaneously with proliferation

Doppler lidar observations of sensible heat flux and intercomparisons with a ground-based energy balance station and WRF model output

This is an open access article - Copyright @ 2009 E. Schweizerbart'sche VerlagsbuchhandlungDuring the Convective and Orographically induced Precipitation Study (COPS), a scanning Doppler lidar was deployed at Achern, Baden-Wüttemberg, Germany from 13th June to 16th August 2007. Vertical velocity profiles ('rays') through the boundary layer were measured every 3 seconds with vertical profiles of horizontal wind velocity being derived from performing azimuth scans every 30 minutes. During Intense Observation Periods radiosondes were launched from the site. In this paper, a case study of convective boundary layer development on 15th July 2007 is investigated. Estimates of eddy dissipation rate are made from the vertically pointing lidar data and used as one input to the velocity-temperature co-variance equation to estimate sensible heat flux. The sensible heat flux values calculated from Doppler lidar data are compared with a surface based energy balance station and output from the Weather Research and Forecasting (WRF) model.Funding is obtained from NER