Efficient Estimation of Conditional Asset Pricing Models

A semiparametric efficient estimation procedure is developed for the parameters of multivariate GARCH-in-mean models when the disturbances have a distribution that is assumed to be elliptically symmetric but is otherwise unrestricted. Under high level restrictions, the resulting estimator achieves the asymptotic semiparametric efficiency bound. The elliptical symmetry assumption allows us to avert the curse of dimensionality problem that would otherwise arise in estimating the unknown error distribution. This framework is suitable for the estimation and testing of conditional asset pricing models such as the conditional CAPM, and we apply our estimator in an empirical study of stock prices, with Monte Carlo simulation results also being reported. Nous développons un nouvel estimateur pour les paramètres d'un modèle de GARCH en moyenne (" GARCH-M ") avec plusieurs variables. L'estimateur a l'efficacité semiparamétrique quand les erreurs suivent une loi de probabilité qui est elliptiquement symétrique mais n'aucune autre restriction. Sous les hypothèses de haut niveau, notre estimateur obtient la limite d'efficacité semiparamétrique. L'hypothèse de la symétrie elliptique nous permet d'éviter le problème d'estimer non-paramétriquement une fonction de haut dimension, parce qu'on peut écrire la densité d'un loi elliptique comme un fonction d'une transformation unidimensionnelle de la variable aléatoire multidimensionnelle. Ce cadre est approprié pour analyser des modèles conditionnels des prix des actifs financiers, comme le CAPM conditionnel. Nous appliquons notre méthodologie à l'étude des prix des actions, et nous rendons compte des résultats d'une étude simulation "Monte-Carlo".Capital asset pricing model, elliptical symmetry, semiparametric efficiency, GARCH.

Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

We develop new tests of the capital asset pricing model (CAPM) that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric, but otherwise unrestricted. The elliptical symmetry assumption allows us to avert the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. The elliptically symmetric family includes a number of thick-tailed distributions and so is potentially relevant in financial applications. Our estimated betas are lower than the OLS estimates, and our parameter estimates are much less consistent with the CAPM restrictions than the corresponding OLS estimates. Nous développons de nouveaux tests du modèle d'évaluation des actifs financiers (" CAPM ") qui tiennent compte de, et sont valides sous, l'hypothèse que les retours des actifs découlent d'un loi de probabilité elliptiquement symétrique. Cette hypothèse est nécessaire et suffisante pour la validité du CAPM. Notre test utilise un estimateur des paramètres du modèle qui a l'efficacité semiparamétrique quand on a un modèle de régression apparemment sans relation et qui a des erreurs qui suivent une loi elliptiquement symétrique. L'hypothèse de la symétrie elliptique nous permet d'éviter le problème d'estimer non-paramétriquement une fonction de haute dimension parce qu'on peut écrire la densité d'une loi elliptique comme une fonction d'une transformation unidimensionnelle de la variable aléatoire multidimensionnelle. La famille des lois elliptiquement symétriques inclue plusieurs lois leptokurtiques, donc elle est pertinente à des applications financières. Les bêtas obtenus avec notre estimateur sont plus bas que ceux qui sont obtenus en utilisant des moindres carrés, et sont moins compatibles avec le CAPM.Adaptive estimation, capital asset pricing model, elliptical symmetry, semiparametric efficiency

A revised position for the rotated Falkland Islands microplate

The early stages of transform margin formation are associated with crustal fragmentation and block rotation. The restricted size of the resultant microcontinental blocks precludes palaeogeographical reconstructions and reliable estimations of the amount of rotation they can undergo. An example considered here is the Falkland Plateau. This is located adjacent to the Agulhas–Falkland Fracture Zone and its westernmost province is the Falkland Islands microcontinent. The position of the plateau and the islands prior to Gondwana break-up remains contentious. This study integrates seismic reflection and gravity data to propose a revised position of the Falkland Islands microcontinent constrained by (1) the presence of a mega-décollement, controlling the Gondwanide Orogen, described north of the Falkland Islands and underneath South Africa and the Outeniqua Basin, and (2) the similar architecture of fault networks mapped north of the islands and in the northernmost Outeniqua Basin. This revised position requires a re-evaluation of the timing and rate of rotation of the Falkland Islands microcontinent and affects the expected crustal architecture adjacent to the islands. Our model yields rotation rates between 5.5° and 8° Ma−1 and two potential times for rotation, and predicts more unstretched crust beneath the basin east of the Falkland Islands than previous model

The ethos of physical activity delivery in mental health: a narrative study of service user experiences.

Our research into the physical activity experiences of people with severe mental illness has led us to take seriously the social and cultural environment in which physical activity is delivered. In this study, through narrative methodology, we examine service user accounts of physical activity to illuminate the characteristics of physical activity groups that are experienced as positive, helpful, or beneficial. We present several qualities and show how effective leadership and coaching is central to these qualities being present. We conclude that it is not so much what activity is delivered, but how it is delivered that is critical for sustained participation and positive outcomes

Evaluating cortical responses to speech in children: A functional near-infrared spectroscopy (fNIRS) study.

Functional neuroimaging of speech processing has both research and clinical potential. This work is facilitating an ever-increasing understanding of the complex neural mechanisms involved in the processing of speech. Neural correlates of speech understanding also have potential clinical value, especially for infants and children, in whom behavioural assessments can be unreliable. Such measures would not only benefit normally hearing children experiencing speech and language delay, but also hearing impaired children with and without hearing devices. In the current study, we examined cortical correlates of speech intelligibility in normally hearing paediatric listeners. Cortical responses were measured using functional near-infrared spectroscopy (fNIRS), a non-invasive neuroimaging technique that is fully compatible with hearing devices, including cochlear implants. In nineteen normally hearing children (aged 6 – 13 years) we measured activity in temporal and frontal cortex bilaterally whilst participants listened to both clear- and noise-vocoded sentences targeting four levels of speech intelligibility. Cortical activation in superior temporal and inferior frontal cortex was generally stronger in the left hemisphere than in the right. Activation in left superior temporal cortex grew monotonically with increasing speech intelligibility. In the same region, we identified a trend towards greater activation on correctly vs. incorrectly perceived trials, suggesting a possible sensitivity to speech intelligibility per se, beyond sensitivity to changing acoustic properties across stimulation conditions. Outside superior temporal cortex, we identified other regions in which fNIRS responses varied with speech intelligibility. For example, channels overlying posterior middle temporal regions in the right hemisphere exhibited relative deactivation during sentence processing (compared to a silent baseline condition), with the amplitude of that deactivation being greater in more difficult listening conditions. This finding may represent sensitivity to components of the default mode network in lateral temporal regions, and hence effortful listening in normally hearing paediatric listeners. Our results indicate that fNIRS has the potential to provide an objective marker of speech intelligibility in normally hearing children. Should these results be found to apply to individuals experiencing language delay or to those listening through a hearing device, such as a cochlear implant, fNIRS may form the basis of a clinically useful measure of speech understanding

A descriptive study of UK cancer genetics services: an emerging clinical response to the new genetics

The objective was to describe NHS cancer genetic counselling services and compare UK regions. The study design was a cross-sectional study over 4 weeks and attendee survey. The setting was 22 of the 24 regional cancer genetics services in the UK NHS. Participants were individuals aged over 18 attending clinics at these services. Outcome measures were staff levels, referral rates, consultation rates, follow-up plans, waiting time. There were only 11 dedicated cancer geneticists across the 22 centres. Referrals were mainly concerned with breast (63%), bowel (18%) and ovarian (12%) cancers. Only 7% of referrals were for men and 3% were for individuals from ethnic minorities. Referral rates varied from 76 to 410 per million per annum across the regions. Median waiting time for an initial appointment was 19 weeks, ranging across regions from 4 to 53 weeks. Individuals at population-level genetic risk accounted for 27% of consultations (range 0%, 58%). Shortfalls in cancer genetics staff and in the provision of genetic testing and cancer surveillance have resulted in large regional variations in access to care. Initiatives to disseminate referral and management guidelines to cancer units and primary care should be adequately resourced so that clinical genetics teams can focus on the genetic testing and management of high-risk families. © 2001 Cancer Research Campaign http://www.bjcancer.co

Cruciferous vegetable intake is inversely associated with extensive abdominal aortic calcification in elderly women: a cross-sectional study

We have previously shown higher intake of cruciferous vegetables is inversely associated with carotid artery intima-media thickness. To further test the hypothesis that an increased consumption of cruciferous vegetables is associated with reduced indicators of structural vascular disease in other areas of the vascular tree, we aimed to investigate the cross-sectional association between cruciferous vegetable intake and extensive calcification in the abdominal aorta. Dietary intake was assessed, using a food frequency questionnaire, in 684 older women from the Calcium Intake Fracture Outcome Study. Cruciferous vegetables included cabbage, Brussels sprouts, cauliflower and broccoli. Abdominal aortic calcification (AAC) was scored using the Kauppila AAC24 scale on dual energy x-ray absorptiometry (DXA) lateral spine images, and was categorised as “not extensive” (0-5) or “extensive” (≥6). Mean age was 74.9 (SD 2.6) y, median cruciferous vegetable intake was 28.2 (IQR 15.0-44.7) g/d, and 128/684 (18.7%) women had extensive AAC scores. Those with higher intakes of cruciferous vegetables ( \u3e 44.6 g/d) were associated with a 46% lower odds of having extensive AAC in comparison to those with lower intakes ( \u3c 15.0 g/d) after adjustment for lifestyle, dietary and cardiovascular disease risk factors (ORQ4 vs Q1=0.54, 95%CI 0.30, 0.97, P=0.036). Total vegetable intake and each of the other vegetable types were not related to extensive AAC (P \u3e 0.05 for all). This study strengthens the hypothesis that higher intake of cruciferous vegetables may protect against vascular calcification

Standardization of the antibody-dependent respiratory burst assay with human neutrophils and Plasmodium falciparum malaria.

The assessment of naturally-acquired and vaccine-induced immunity to blood-stage Plasmodium falciparum malaria is of long-standing interest. However, the field has suffered from a paucity of in vitro assays that reproducibly measure the anti-parasitic activity induced by antibodies in conjunction with immune cells. Here we optimize the antibody-dependent respiratory burst (ADRB) assay, which assesses the ability of antibodies to activate the release of reactive oxygen species from human neutrophils in response to P. falciparum blood-stage parasites. We focus particularly on assay parameters affecting serum preparation and concentration, and importantly assess reproducibility. Our standardized protocol involves testing each serum sample in singlicate with three independent neutrophil donors, and indexing responses against a standard positive control of pooled hyper-immune Kenyan sera. The protocol can be used to quickly screen large cohorts of samples from individuals enrolled in immuno-epidemiological studies or clinical vaccine trials, and requires only 6 μL of serum per sample. Using a cohort of 86 samples, we show that malaria-exposed individuals induce higher ADRB activity than malaria-naïve individuals. The development of the ADRB assay complements the use of cell-independent assays in blood-stage malaria, such as the assay of growth inhibitory activity, and provides an important standardized cell-based assay in the field