The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study

In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this speciÞcation. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the nuisance-parameter free property to hold, and address the issue of their necessity, using the ßexible framework offered by the GARCH(1,1) model in terms of moment, memory and time heterogeneity properties. By means of Monte Carlo simulations, we show that the BDS test statistic still approximates the standard null distribution even for mildly explosive processes that violate the majority of the conditions. Thus, the test performs reasonably well, its empirical size being rather close to the nominal one. As a by-product of this study, we also shed light on the related issue of consistency of the QML estimators of the conditional variance parameters under various parameter conÞgurations and alternative distributional assumptions on the innovation process

Transplacental transmission of field and rescued strains of BTV-2 and BTV-8 in experimentally infected sheep

Transplacental transmission of bluetongue virus has been shown previously for the North European strain of serotype 8 (BTV-8) and for tissue culture or chicken egg-adapted vaccine strains but not for field strains of other serotypes. In this study, pregnant ewes (6 per group) were inoculated with either field or rescued strains of BTV-2 and BTV-8 in order to determine the ability of these viruses to cross the placental barrier. The field BTV-2 and BTV-8 strains was passaged once in Culicoides KC cells and once in mammalian cells. All virus inoculated sheep became infected and seroconverted against the different BTV strains used in this study. BTV RNA was detectable in the blood of all but two ewes for over 28 days but infectious virus could only be detected in the blood for a much shorter period. Interestingly, transplacental transmission of BTV-2 (both field and rescued strains) was demonstrated at high efficiency (6 out of 13 lambs born to BTV-2 infected ewes) while only 1 lamb of 12 born to BTV-8 infected ewes showed evidence of in utero infection. In addition, evidence for horizontal transmission of BTV-2 between ewes was observed. As expected, the parental BTV-2 and BTV-8 viruses and the viruses rescued by reverse genetics showed very similar properties to each other. This study showed, for the first time, that transplacental transmission of BTV-2, which had been minimally passaged in cell culture, can occur; hence such transmission might be more frequent than previously thought

Modelling volatility of cryptocurrencies using Markov-Switching GARCH models

© 2018 The Authors. This paper aims to select the best model or set of models for modelling volatility of the four most popular cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1000 GARCH models are fitted to the log returns of the exchange rates of each of these cryptocurrencies to estimate a one-step ahead prediction of Value-at-Risk (VaR) and Expected Shortfall (ES) on a rolling window basis. The best model or superior set of models is then chosen by backtesting VaR and ES as well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH models may yield incorrect VaR and ES predictions, and hence result in ineffective risk-management, portfolio optimisation, pricing of derivative securities etc. These could be improved by using instead the model specifications allowing for asymmetries and regime switching suggested by our analysis, from which both investors and regulators can benefit. Graphical abstract Prices were transformed into log returns by taking first differences of their logarithm. They are negatively skewed in the case of Bitcoin and positively skewed in all other cases. [see PDF for image

Volatility persistence in the Russian stock market

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility indices (namely the originally created RTSVX and the new RVI that has replaced it) using daily data over the period 2010–2018. The empirical findings are consistent and imply in all cases that the two series are mean-reverting, i.e. they are not highly persistent and the effects of shocks disappear over time. This is true regardless of whether the errors are assumed to follow a white noise or autocorrelated process; this is confirmed by the rolling window estimation, and it holds for both subsamples, before and after the detected break. On the whole, it seems shocks do not have permanent effects on volatility in the Russian stock market

Interplay of the electronic and lattice degrees of freedom in A_{1-x}Fe_{2-y}Se_{2} superconductors under pressure

The local structure and electronic properties of Rb$_{1-x}$Fe$_{2-y}$Se$_2$ are investigated by means of site selective polarized x-ray absorption spectroscopy at the iron and selenium K-edges as a function of pressure. A combination of dispersive geometry and novel nanodiamond anvil pressure-cell has permitted to reveal a step-like decrease in the Fe-Se bond distance at $p\simeq11$ GPa. The position of the Fe K-edge pre-peak, which is directly related to the position of the chemical potential, remains nearly constant until $\sim6$ GPa, followed by an increase until $p\simeq 11$ GPa. Here, as in the local structure, a step-like decrease of the chemical potential is seen. Thus, the present results provide compelling evidence that the origin of the reemerging superconductivity in $A_{1-x}$Fe$_{2-y}$Se$_2$ in vicinity of a quantum critical transition is caused mainly by the changes in the electronic structure

Volatility Persistence In The Russian Stock Market

© 2019 The Authors. This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility indices (namely the originally created RTSVX and the new RVI that has replaced it) using daily data over the period 2010-2018. The empirical findings are consistent and imply in all cases that the two series are mean-reverting, i.e. they are not highly persistent and the effects of shocks disappear over time. This is true regardless of whether the errors are assumed to follow a white noise or autocorrelated process; this is confirmed by the rolling window estimation, and it holds for both subsamples, before and after the detected break. On the whole, it seems shocks do not have permanent effects on volatility in the Russian stock market.Ministerio de Economía y Competitividad (ECO2017-85503-R)

Hospitalization costs for heart failure in people with type 2 diabetes: Cost-effectiveness of its prevention measured by a simulated preventive treatment

Objectives: To estimate the cost-consequence of interventions to prevent hospitalizations for heart failure (HF) in people with type 2 diabetes. Methods: In HF events (63) from type 2 diabetes-related hospitalizations (N = 462) recorded in an Argentine hospital (March 2004April 2005), we verified 1) the presence of one metabolic HF predictor (glycosylated hemoglobin [HbA1c] value) before hospitalization; and 2) in a simulation model, the resources needed for its prevention controlling such predictor during 6 months before and after the event. Sensitivity analysis of HF risk reduction, hospitalization cost, and cost of different treatments to achieve HbA1c 7% or less was performed with a Monte Carlo simulation (10,000 iterations). Results: HF represented 14% of hospitalizations, with a 44% rehospitalization rate for the same cause. Due to the total estimated cost for an HF hospitalization event was $437.31, the prevention attained using our simulated treatment was$2326.51. The number needed to treat to prevent an HF event under any of the proposed alternatives to reduce HbA1c would be 3.57 (95% confidence interval 2.0016.67). The additional cost of the simulated treatment versus the real one oscillates between $6423.91 and$8455.68. Conclusions: HbA1c control to reduce the number of HF events would be economically beneficial for health care payers.Centro de Endocrinología Experimental y Aplicad

Hospitalization costs for heart failure in people with type 2 diabetes: Cost-effectiveness of its prevention measured by a simulated preventive treatment

Objectives: To estimate the cost-consequence of interventions to prevent hospitalizations for heart failure (HF) in people with type 2 diabetes. Methods: In HF events (63) from type 2 diabetes-related hospitalizations (N = 462) recorded in an Argentine hospital (March 2004April 2005), we verified 1) the presence of one metabolic HF predictor (glycosylated hemoglobin [HbA1c] value) before hospitalization; and 2) in a simulation model, the resources needed for its prevention controlling such predictor during 6 months before and after the event. Sensitivity analysis of HF risk reduction, hospitalization cost, and cost of different treatments to achieve HbA1c 7% or less was performed with a Monte Carlo simulation (10,000 iterations). Results: HF represented 14% of hospitalizations, with a 44% rehospitalization rate for the same cause. Due to the total estimated cost for an HF hospitalization event was $437.31, the prevention attained using our simulated treatment was$2326.51. The number needed to treat to prevent an HF event under any of the proposed alternatives to reduce HbA1c would be 3.57 (95% confidence interval 2.0016.67). The additional cost of the simulated treatment versus the real one oscillates between $6423.91 and$8455.68. Conclusions: HbA1c control to reduce the number of HF events would be economically beneficial for health care payers.Centro de Endocrinología Experimental y Aplicad

Lung adenocarcinoma originates from retrovirus infection of proliferating type 2 pneumocytes during pulmonary post-natal development or tissue repair

Jaagsiekte sheep retrovirus (JSRV) is a unique oncogenic virus with distinctive biological properties. JSRV is the only virus causing a naturally occurring lung cancer (ovine pulmonary adenocarcinoma, OPA) and possessing a major structural protein that functions as a dominant oncoprotein. Lung cancer is the major cause of death among cancer patients. OPA can be an extremely useful animal model in order to identify the cells originating lung adenocarcinoma and to study the early events of pulmonary carcinogenesis. In this study, we demonstrated that lung adenocarcinoma in sheep originates from infection and transformation of proliferating type 2 pneumocytes (termed here lung alveolar proliferating cells, LAPCs). We excluded that OPA originates from a bronchioalveolar stem cell, or from mature post-mitotic type 2 pneumocytes or from either proliferating or non-proliferating Clara cells. We show that young animals possess abundant LAPCs and are highly susceptible to JSRV infection and transformation. On the contrary, healthy adult sheep, which are normally resistant to experimental OPA induction, exhibit a relatively low number of LAPCs and are resistant to JSRV infection of the respiratory epithelium. Importantly, induction of lung injury increased dramatically the number of LAPCs in adult sheep and rendered these animals fully susceptible to JSRV infection and transformation. Furthermore, we show that JSRV preferentially infects actively dividing cell in vitro. Overall, our study provides unique insights into pulmonary biology and carcinogenesis and suggests that JSRV and its host have reached an evolutionary equilibrium in which productive infection (and transformation) can occur only in cells that are scarce for most of the lifespan of the sheep. Our data also indicate that, at least in this model, inflammation can predispose to retroviral infection and cancer

The Framingham cardiovascular risk score in multiple sclerosis

Background and purpose: Cardiovascular risk factors can increase the risk of multiple sclerosis (MS) and modify its course. However, such factors possibly interact, determining a global cardiovascular risk. Our aim was to compare the global cardiovascular risk of subjects with and without MS with the simplified 10-year Framingham General Cardiovascular Disease Risk Score (FR) and to evaluate its importance on MS-related outcomes. Methods: Age, gender, smoking status, body mass index, systolic blood pressure, type II diabetes and use of antihypertensive medications were recorded in subjects with and without MS to estimate the FR, an individualized percentage risk score estimating the 10-year likelihood of cardiovascular events. Results: In total, 265 MS subjects were identified with 530 matched controls. A t test showed similar FR in cases and controls (P = 0.212). Secondary progressive MS presented significantly higher FR compared to relapsing-remitting MS (P < 0.001). Linear regression analysis showed a direct relationship between FR and Expanded Disability Status Scale (P < 0.001) and MS Severity Scale (P < 0.001). Conclusion: The FR, evaluating the global cardiovascular health by the interaction amongst different risk factors, relates to MS disability, severity and course