73 research outputs found

    Memory in returns and volatilities of futures' contracts

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    The Local Whittle Estimator of Long Memory Stochastic Volatility

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    We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model. Finite-sample and asymptotic standard errors for the estimator are provided. An extensive simulation study reveals that the local Whittle estimator is much less biased and yields more accurate confidence intervals than the widely-used GPH estimator. In an empirical analysis of the daily Deutschemark/Dollar exchange rate, the new estimator indicates stronger persistence in volatility than the GPH estimator, provided that a large number of frequencies is used.Statistics Working Papers Serie

    The Local Whittle Estimator of Long Memory Stochastic Volatility

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    We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model. Finite-sample and asymptotic standard errors for the estimator are provided. An extensive simulation study reveals that the local Whittle estimator is much less biased and that the finite-sample standard errors yield more accurate confidence intervals than the widely-used GPH estimator. The estimator is also found to be robust against possible leverage effects. In an empirical analysis of the daily Deutsche Mark/US Dollar exchange rate, the new estimator indicates stronger persistence in volatility than the GPH estimator, provided that a large number of frequencies is used.Statistics Working Papers Serie

    A note on moving average forecasts of long memory processes with an application to quality control

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    Standard quality control chart interpretation assumes that the observed data are uncorrelated. The presence of autocorrelation in process data has adverse effects on the performance of control charts. The objective of this paper is to assess the behavior of moving average forecast-based control charts on data having correlation that is persistent over very long time horizons, i.e., long-range dependent. We show that charts based on exponentially weighted moving average (EWMA) prediction do not perform well at detecting process shifts in long-range dependent data. We then introduce a new type of control chart, the hyperbolically weighted moving average (HWMA) chart, designed specifically for long-range dependent data. The HWMA charts perform better than the EWMA charts at detecting changes in the level of a long-memory process and also provide competitive performance for process data having only short-range dependence.info:eu-repo/semantics/publishedVersio

    The Local Whittle Estimator of Long Memory Stochastic Volatility

    Get PDF
    We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model. Finite-sample and asymptotic standard errors for the estimator are provided. An extensive simulation study reveals that the local Whittle estimator is much less biased and yields more accurate confidence intervals than the widely-used GPH estimator. In an empirical analysis of the daily Deutschemark/Dollar exchange rate, the new estimator indicates stronger persistence in volatility than the GPH estimator, provided that a large number of frequencies is used.Statistics Working Papers Serie

    The Local Whittle Estimator of Long Memory Stochastic Volatility

    Get PDF
    We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model. Finite-sample and asymptotic standard errors for the estimator are provided. An extensive simulation study reveals that the local Whittle estimator is much less biased and that the finite-sample standard errors yield more accurate confidence intervals than the widely-used GPH estimator. The estimator is also found to be robust against possible leverage effects. In an empirical analysis of the daily Deutsche Mark/US Dollar exchange rate, the new estimator indicates stronger persistence in volatility than the GPH estimator, provided that a large number of frequencies is used.Statistics Working Papers Serie

    Does prenatal micronutrient supplementation improve children's mental development? A systematic review

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    <p>Abstract</p> <p>Background</p> <p>Although maternal nutrient status influences all aspects of fetal development including the brain, the impact of micronutrient supplementation on the baby's mental function is a topic of debate. This systematic review assesses the effect of single and multiple micronutrient supplementation during pregnancy on offspring mental development.</p> <p>Methods</p> <p>Eleven electronic literature databases were searched using key terms of various combinations and filter string terms. Reference lists of articles selected for review were scanned for citations fitting the same inclusion criteria. Each stage of the literature retrieval and review process was conducted independently by two reviewers. The CONSORT checklist was used to assess study quality.</p> <p>Results</p> <p>A total of 1316 articles were retrieved from the electronic database search, of which 18 met the inclusion criteria and were evaluated. The selected studies were randomized controlled trials published from 1983 to 2010, with high variance in sample size, intervention type, and outcome measures. The median CONSORT score was 15 (range 12 - 19). Due to inconsistent interventions and outcome measures among the studies, no conclusive evidence was found that enhancing the intrauterine environment through micronutrient supplementation was associated with child mental development in a number of dimensions. There was some evidence to support n-3 fatty acids or multi-micronutrients having some positive effect on mental development, but the evidence for single nutrients was much weaker.</p> <p>Conclusions</p> <p>The study of children's mental outcomes as a function of prenatal supplementation is still relatively new, but the results of this systematic review suggest that further work with multiple micronutrients and/or n-3 fatty acids should be conducted.</p

    Ideas and Perspectives: A Strategic Assessment of Methane and Nitrous Oxide Measurements In the Marine Environment

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    In the current era of rapid climate change, accurate characterization of climate-relevant gas dynamics-namely production, consumption, and net emissions-is required for all biomes, especially those ecosystems most susceptible to the impact of change. Marine environments include regions that act as net sources or sinks for numerous climateactive trace gases including methane (CH4) and nitrous oxide (N2O). The temporal and spatial distributions of CH4 and N2O are controlled by the interaction of complex biogeochemical and physical processes. To evaluate and quantify how these mechanisms affect marine CH4 and N2O cycling requires a combination of traditional scientific disciplines including oceanography, microbiology, and numerical modeling. Fundamental to these efforts is ensuring that the datasets produced by independent scientists are comparable and interoperable. Equally critical is transparent communication within the research community about the technical improvements required to increase our collective understanding of marine CH4 and N2O. A workshop sponsored by Ocean Carbon and Biogeochemistry (OCB) was organized to enhance dialogue and collaborations pertaining to marine CH4 and N2O. Here, we summarize the outcomes from the workshop to describe the challenges and opportunities for near-future CH4 and N2O research in the marine environment

    31st Annual Meeting and Associated Programs of the Society for Immunotherapy of Cancer (SITC 2016) : part two

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    Background The immunological escape of tumors represents one of the main ob- stacles to the treatment of malignancies. The blockade of PD-1 or CTLA-4 receptors represented a milestone in the history of immunotherapy. However, immune checkpoint inhibitors seem to be effective in specific cohorts of patients. It has been proposed that their efficacy relies on the presence of an immunological response. Thus, we hypothesized that disruption of the PD-L1/PD-1 axis would synergize with our oncolytic vaccine platform PeptiCRAd. Methods We used murine B16OVA in vivo tumor models and flow cytometry analysis to investigate the immunological background. Results First, we found that high-burden B16OVA tumors were refractory to combination immunotherapy. However, with a more aggressive schedule, tumors with a lower burden were more susceptible to the combination of PeptiCRAd and PD-L1 blockade. The therapy signifi- cantly increased the median survival of mice (Fig. 7). Interestingly, the reduced growth of contralaterally injected B16F10 cells sug- gested the presence of a long lasting immunological memory also against non-targeted antigens. Concerning the functional state of tumor infiltrating lymphocytes (TILs), we found that all the immune therapies would enhance the percentage of activated (PD-1pos TIM- 3neg) T lymphocytes and reduce the amount of exhausted (PD-1pos TIM-3pos) cells compared to placebo. As expected, we found that PeptiCRAd monotherapy could increase the number of antigen spe- cific CD8+ T cells compared to other treatments. However, only the combination with PD-L1 blockade could significantly increase the ra- tio between activated and exhausted pentamer positive cells (p= 0.0058), suggesting that by disrupting the PD-1/PD-L1 axis we could decrease the amount of dysfunctional antigen specific T cells. We ob- served that the anatomical location deeply influenced the state of CD4+ and CD8+ T lymphocytes. In fact, TIM-3 expression was in- creased by 2 fold on TILs compared to splenic and lymphoid T cells. In the CD8+ compartment, the expression of PD-1 on the surface seemed to be restricted to the tumor micro-environment, while CD4 + T cells had a high expression of PD-1 also in lymphoid organs. Interestingly, we found that the levels of PD-1 were significantly higher on CD8+ T cells than on CD4+ T cells into the tumor micro- environment (p < 0.0001). Conclusions In conclusion, we demonstrated that the efficacy of immune check- point inhibitors might be strongly enhanced by their combination with cancer vaccines. PeptiCRAd was able to increase the number of antigen-specific T cells and PD-L1 blockade prevented their exhaus- tion, resulting in long-lasting immunological memory and increased median survival
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