The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the corresponding test statistic. The limiting distributions depend on nuisance parameters. To construct consistent confidence intervals we employ the stationary bootstrap procedure; we show the consistency of this bootstrap. Also, we consider the self-normalized approach, which is shown to be asymptotically pivotal under the null hypothesis of no predictability. We provide simulation studies and two empirical applications. First, we use the cross-quantilogram to detect predictability from stock variance to excess stock return. Compared to existing tools used in the literature of stock return predictability, our method provides a more complete relationship between a predictor and stock return. Second, we investigate the systemic risk of individual financial institutions, such as JP Morgan Chase, Goldman Sachs and AIG. This article has supplementary materials online

The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross-quantilogram and the corresponding test statistic. The limiting distributions depend on nuisance parameters. To construct consistent confidence intervals we employ a stationary bootstrap procedure; we establish consistency of this bootstrap. Also, we consider a self-normalized approach, which yields an asymptotically pivotal statistic under the null hypothesis of no predictability. We provide simulation studies and two empirical applications. First, we use the cross-quantilogram to detect predictability from stock variance to excess stock return. Compared to existing tools used in the literature of stock return predictability, our method provides a more complete relationship between a predictor and stock return. Second, we investigate the systemic risk of individual financial institutions, such as JP Morgan Chase, Morgan Stanley and AIG.Cambridge INETThis is the author accepted manuscript. The final version is available from Elsevier via http://dx.doi.org/10.1016/j.jeconom.2016.03.00

Synthetic DNA immunotherapy in biochemically relapsed prostate cancer

Background: INO-5150 (PSA and PSMA) +/- INO-9012 (IL-12), a synthetic DNA immunotherapy, was assessed for safety, immunogenicity and efficacy in biochemically recurrent prostate cancer patients (pts). Methods: Phase I, open-label, multi-center study in the US included pts with rising PSA after surgery and/or RT, PSA doubling time (PSADT) \u3e3 months (mos), testosterone \u3e150 ng/dL and no concurrent ADT. Safety, immunogenicity and efficacy (PSA kinetics, PFS) were evaluated in 4 treatment arms of 15 pts each. Arms A: 2mg INO-5150, B: 8.5 mg INO-5150, C: 2mg INO-5150 + 1mg INO-9012 and D: 8.5mg INO-5150 + 1mg INO-9012. Pts received 4 IM doses of vaccine followed by electroporation on day 0, wks 3, 12 and 24 and were followed for 72 wks. Results: 50/61 (82%) pts completed all visits and treatments were well tolerated with no safety concerns. Median PFS for overall population [N = 61, baseline (D0) PSADT range (mos) 1.5-217.1, median 9.8] and for a subset of pts with D0 PSADT ≤12mos (N = 36) has not yet been reached (FU 3-19 mos). 86% of pts with D0 PSADT ≤12 mos were progression free through 19mos FU. 27 out of 36 (75%) pts with D0 PSADT≤ 12 mos had disease stabilization at wks 27 evidenced by significant improvement in log2PSA change over time (slope) and PSADT from D0 (Slope=0.19 declined to 0.1, PSADT=5.3 improved to 10.1 mos, p = \u3c0.0001). This effect was maintained at wk 72 (Slope=0.09, PSADT=10.6, p = \u3c0.0001). Immunogenicity was observed in 77% (47/61) of pts by multiple immunologic assessments. Patient immunogenicity to INO-5150 as determined by CD38 and Perforin + CD8 T cell immune reactivity correlated with attenuated % PSA rise compared to pts without reactivity (p = 0.05, n = 50). Conclusions: INO-5150 +/- INO-9012 was safe, well tolerated and immunogenic. Clinical efficacy was observed in the patients with D0 PSADT≤ 12 mos as evidenced by a significant dampening of log2PSA change over time and increased PSADT up to 72 weeks FU. Additional genomic analyses are ongoing to further elucidate the correlation of immunologic efficacy and clinical benefit. (NCT02514213)

Women, but not men, have prolonged QT interval if depressed after an acute coronary syndrome

Aims Depression is a mortality risk marker for acute coronary syndrome (ACS) patients. We hypothesized that the QT interval, a predictor for risk of sudden cardiac death, was related to depressive symptoms in ACS. Methods and results We performed an analysis of admission electrocardiograms from hospitalized patients with unstable angina or non-ST elevation myocardial infarction from two prospective observational studies of depression in ACS. Depressive symptoms were assessed with the Beck Depression Inventory (BDI), and depression was defined as BDI score ≥10, compared with <5. Patients with QRS duration ≥120 ms and/or who were prescribed antidepressants were excluded. QT intervals were adjusted for heart rate by two methods. Our analyses included 243 men (40.0% with BDI ≥10) and 139 women (62.0% with BDI ≥ 10). Among women, average QT corrected by Fridericia's method (QTcF) was 435.4 ± 26.6 ms in the depressed group, vs. 408.6 ± 24.3 ms in the non-depressed group (P< 0.01). However, among men, average QTcF was not significantly different between the depressed and non-depressed groups (415.4 ± 23.6 vs. 412.0 ± 25.8 ms, P= 0.29). In multivariable analyses that included hypertension, diabetes, ACS type, left ventricular ejection fraction <0.40, and use of QT-prolonging medication, there was a statistically significant interaction between depressive symptoms and gender (P< 0.001). Conclusions In this ACS sample, prolongation of the QT interval was associated with depressive symptoms in women, but not in men. Further investigation of the mechanism of the relationship between depression and abnormal cardiac repolarization, particularly in women, is warranted to develop treatment strategies

Knowing one's future preferences: A correlated agent model with Bayesian updating

We generalize two classes of statistical sequential incomplete information games: (1) those resembling typical signaling games, in which a single agent represents each player, allowing for information to be revealed about future play; and (2) those in which each player is represented by a set of independent agents, where moves do not reveal private information. The generalized model we develop, the Correlated Agent Model, relies on a parameter, ρ, which denotes the correlation between two agents’ private information, i.e. the extent to which a player knows the future private component of her preferences. The independent agent and single agent models are special cases, where ρ=0 and ρ=1, respectively. The model also allows 0 < ρ < 1, a class of games which have not yet been considered. We apply the model to crisis bargaining and demonstrate how to estimate ρ, as well as parameters associated with utilities.Governmen

Elevated calcitonin precursor levels are related to mortality in an animal model of sepsis

BACKGROUND: Increased serum levels of procalcitonin (ProCT) and its component peptides have been reported in humans with sepsis. Using a hamster model of bacterial peritonitis, we investigated whether serum ProCT levels are elevated and correlate with mortality and hypocalcemia. RESULTS: Incremental increases in doses of bacteria resulted in proportional increases in 72h mortality rates (0, 20, 70, and 100%) as well as increases in serum total immunoreactive calcitonin (iCT) levels at 12 h (250, 380, 1960, and 4020 pg/ml, respectively, vs control levels of 21 pg/ml). Gel filtration studies revealed that ProCT was the predominant (> 90%) molecular form of serum iCT secreted. In the metabolic experiments, total iCT peaked at 12 h concurrent with the maximal decrease in serum calcium. CONCLUSIONS: In this animal model, hyper-procalcitoninemia was an early systemic marker of sepsis which correlated closely with mortality and had an inverse correlation with serum calcium levels

An exploratory study of how a Korean chaebol’s learning culture facilitates customer service

This paper explains how the organizational learning concept is used by managers in a global Korean company to promote group work, information sharing and an open communication style in order to produce a high level of customer service. Previously collected data from a set of in-depth personal interviews undertaken with three senior managers in a Korean electronics company were analyzed and interpreted using the grounded theory approach, and a number of propositions are put forward. The research findings show that managers in a chaebol deploy organizational learning to identify skilled and knowledgeable staff, and improve the organization’s capability by placing emphasis on developing harmonious, mutually oriented relationships that permeate throughout the organization. Top management demand that staff identify with government economic objectives and align the organization’s strategy accordingly so that the products produced are marketable. To achieve this, the organization fosters continual interaction among managers throughout the organization’s hierarchy. The chaebol’s organizational learning model encapsulates a “corollary” (continual communication) and “tools” (cultural influence and relationship management), and manifests in a unique strategy that allows management systems to evolve naturally

Correlating perceived arrhythmia symptoms and QoL in the elderly with Heart Failure in an urban clinic: A prospective, single center study

Aims and objectives To determine the relationship between quality of life and perceived self-reported symptoms in an older, ambulatory, urban population living with heart failure. Background While arrhythmias in older individuals with heart failure are well documented, the association between perceived arrhythmia symptoms and quality of life is not well-defined. Design Prospective, cross-sectional single-centre study. Methods A single-centre, prospective study was conducted with heart failure patients recruited from an urban outpatient cardiology clinic in the United States. Fifty-seven patients completed a baseline quality of life survey with 42 of these completing the six-month follow-up survey. Quality of life was evaluated with the SF-36v2™ and frequency of symptoms with the Atrial Fibrillation Severity Scale. Subjects wore an auto triggered cardiac loop monitor (LifeStar AF Express®) for two weeks to document arrhythmias. Data analysis utilised Spearman's rank correlation and logistic regression. Results Baseline and six-month quality of life measures did not correlate with recorded arrhythmias. However, perceptions of diminished general health correlated significantly with symptoms of exercise intolerance, lightheadedness/dizziness, palpitations and chest pain/pressure. By multivariable logistic regression, more severe perceived episodes, symptoms of exercise intolerance and lightheadedness/dizziness were independently associated with diminished quality of life. Conclusion Quality of life was significantly worse in patients with perceptions of severe arrhythmic episodes and in those with symptoms of dizziness and exercise intolerance. Relevance to clinical practice The findings of this study indicate that symptomatic heart failure patients suffer from poor quality of life and that interventions are needed to improve quality of life and decrease symptom severity. Nurses who care for heart failure patients play an essential role in symptom evaluation and management and could significantly improve overall quality of life in these patients by carefully evaluating symptomatology and testing interventions and educational programmes aimed at improving quality of life