Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model

In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student’s-t innovation, copula functions and extreme value theory. A Bayesian Markov-switching GJR-GARCH(1,1) model that identifies non-constant volatility over time and allows the GARCH parameters to vary over time following a Markov process, is combined with copula functions and EVT to formulate the Bayesian Markov-switching GJR-GARCH(1,1) copula-EVT VaR model, which is then used to forecast the level of risk on financial asset returns. We further propose a new method for threshold selection in EVT analysis, which we term the hybrid method. Empirical and back-testing results show that the proposed VaR models capture VaR reasonably well in periods of calm and in periods of crisis

Iron Behaving Badly: Inappropriate Iron Chelation as a Major Contributor to the Aetiology of Vascular and Other Progressive Inflammatory and Degenerative Diseases

The production of peroxide and superoxide is an inevitable consequence of aerobic metabolism, and while these particular "reactive oxygen species" (ROSs) can exhibit a number of biological effects, they are not of themselves excessively reactive and thus they are not especially damaging at physiological concentrations. However, their reactions with poorly liganded iron species can lead to the catalytic production of the very reactive and dangerous hydroxyl radical, which is exceptionally damaging, and a major cause of chronic inflammation. We review the considerable and wide-ranging evidence for the involvement of this combination of (su)peroxide and poorly liganded iron in a large number of physiological and indeed pathological processes and inflammatory disorders, especially those involving the progressive degradation of cellular and organismal performance. These diseases share a great many similarities and thus might be considered to have a common cause (i.e. iron-catalysed free radical and especially hydroxyl radical generation). The studies reviewed include those focused on a series of cardiovascular, metabolic and neurological diseases, where iron can be found at the sites of plaques and lesions, as well as studies showing the significance of iron to aging and longevity. The effective chelation of iron by natural or synthetic ligands is thus of major physiological (and potentially therapeutic) importance. As systems properties, we need to recognise that physiological observables have multiple molecular causes, and studying them in isolation leads to inconsistent patterns of apparent causality when it is the simultaneous combination of multiple factors that is responsible. This explains, for instance, the decidedly mixed effects of antioxidants that have been observed, etc...Comment: 159 pages, including 9 Figs and 2184 reference

Intraday empirical analysis and modeling of diversified world stock indices

This paper proposes an approach to the intraday analysis of diversified world stock accumulation indices. The growth optimal portfolio (GOP) is used as reference unit or benchmark in a continuous financial market model. Diversified portfolios, covering the world stock market, are constructed and shown to approximate the GOP, providing the basis for a range of financial applications. The normalized GOP is modeled as a time transformed square root process of dimension four. Its dynamics are empirically verified for several world stock indices. Furthermore, the evolution of the transformed time is modeled as the integral over a rapidly evolving mean-reverting market activity process with deterministic volatility. The empirical findings suggest a rather simple and robust model for a world stock index that reflects the historical evolution, by using only a few readily observable parameters

Risk Factors for Distal Contegra Stenosis: Results of a Prospective European Multicentre Study

Objectives The EUCon study was designed to identify risk factors for distal anastomotic stenosis after bovine jugular vein (Contegra) implantation in children. Methods Between March 2006 and August 2008, 104 devices were implanted in nine European centers. Preoperative, intraoperative, and follow-up data (at discharge, 6, 12, 24 months) including standardized echocardiography were prospectively registered, source data verified and collected in a central database. Main endpoint was distal stenosis (either postvalvular gradient of ≥50 mm Hg or need for intervention for distal stenosis). Eight potential risk factors (age <2 years, diagnosis, running suture, use of glue, flapless anastomosis, oversizing less than + 2 z, anticoagulation, implantation site) were investigated. Cox regression, decision tree analyses, and "Clustering by Response" were applied. Results Patient age ranged from 0 to18 years, mean 6.0 ± 6.1, median 3.2 years. Implantation reasons: 88% congenital malformations, 12% Ross operations. Follow-up was 88.3% complete. Durability (freedom from death, reoperation, degeneration, endocarditis, and explantation) compared well to corresponding homograft literature. Sixteen patients reached study endpoints. Age <2 years was the only invariably significant risk factor (p = 0.044); "Clustering By Response" found young anticoagulated patients with oversized conduits to be at a higher risk than the others (p = 0.018, OR = 3.2). Conclusion Patient age is the main risk factor for development of distal anastomosis stenosis after Contegra implantation. The influence of the other investigated factors is too small to be proven in 104 patients after 2 years, or other risk factors must be taken into consideration to explain outcome differences among recipients under 2 years

Risk Factors for Distal Contegra Stenosis: Results of a Prospective European Multicentre Study

Cardiolog

European Contegra Multicentre Study: 7-Year Results after 165 Valved Bovine Jugular Vein Graft Implantations

Abstract OBJECTIVE: The valved bovine conduit "Contegra" for RVOT reconstruction became available for clinical use within a 100 % source data monitored and echo core lab controlled prospective European Multicentre Study, carried out from 1999 to 2006. We present the results of this study. METHODS: A total of 165 Contegras were implanted in 8 centres. The mean patient age was 3.9 years (2 days - 18 years, median 2.0). Total follow-up was 687 patient years. Diagnoses included: tetralogy of Fallot (64 patients, 39 %), truncus arteriosus (50, 30 %), double outlet right ventricle (16, 10 %), aortic valve disease/Ross procedure (11, 7 %), pulmonary valve atresia (10, 6 %), transposition of the great arteries (10, 6 %), 4 other malformations (2 %). Previous procedures were: 82 patients (50 %) - none; 37 (22 %) - valved conduit implantation; 14 (8 %) aortopulmonary shunt; 6 (4 %) catheter intervention. Follow-up appointments which included standardised echocardiography investigations were scheduled at 1, 3, 6, and 12 months, then annually. We evaluated freedom from death, explantation, intervention, stenosis, insufficiency, and degeneration. Results were stratified by age, diagnosis group and conduit size. RESULTS: The 5-year freedom-from rates were: explantation - 90 % (for patients aged 1 to 10 years) and 68 % (for younger patients); endocarditis - over 92 %; catheter intervention - 74 % (patients with congenital malformations); stenosis - 75 % and more (any group); insufficiency - 50 % (12 and 14 mm diameter conduits); any event - 13 % (patients under 1 year), 58 % (1 to 10 years), 82 % (> 10 years). Trace or mild insufficiency was a frequent, but not progressive finding. Mild calcification was detected in only 8 examinations. CONCLUSIONS: The performance of the Contegra conduit compares well with that of homografts when used to reconstruct paediatric right ventricular outflow tracts