Gaussian Process Conditional Copulas with Applications to Financial Time Series

The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is assumed to be constant but this may be inaccurate when there are covariates that could have a large influence on the dependence structure of the data. To account for this, a Bayesian framework for the estimation of conditional copulas is proposed. In this framework the parameters of a copula are non-linearly related to some arbitrary conditioning variables. We evaluate the ability of our method to predict time-varying dependencies on several equities and currencies and observe consistent performance gains compared to static copula models and other time-varying copula methods

RGS14 (414)-mediated prevention of an episodic memory loss: a study of molecular mechanism

A large proportion of human populations suffer memory impairments either caused by normal aging or afflicted by diverse neurological and neurodegenerative diseases. Memory enhancers and other drugs tested so far against memory loss have failed to produce therapeutic efficacy in clinical trials and thus, there is a need to find remedy for this mental disorder. In search for cure of memory loss, our laboratory discovered a robust memory enhancer called RGS14(414). A treatment in brain with its gene produces an enduring effect on memory that lasts for lifetime of rats. Therefore, current thesis work was designed to investigate whether RGS14(414) treatment can prevent memory loss and furthermore, explore through biological processes responsible for RGS-mediated memory enhancement. We found that RGS14(414) gene treatment prevented episodic memory loss in rodent models of normal aging and Alzheimer´s disease. A memory loss was observed in normal rats at 18 months of age; however, when they were treated with RGS14(414) gene at 3 months of age, they abrogated this deficit and their memory remained intact till the age of 22 months. In addition to normal aging rats, effect of memory enhancer treatment in mice model of Alzheimer´s disease (AD-mice) produced a similar effect. AD-mice subjected to treatment with RGS14(414) gene at the age of 2 months, a period when memory was intact, showed not only a prevention in memory loss observed at 4 months of age but also they were able to maintain normal memory after 6 months of the treatment. We posit that long-lasting effect on memory enhancement and prevention of memory loss mediated through RGS14(414) might be due to a permanent structural change caused by a surge in neuronal connections and enhanced neuronal remodeling, key processes for long-term memory formation. A neuronal arborization analysis of both pyramidal and non-pyramidal neurons in brain of RGS14(414)-treated rats exhibited robust rise in neurites outgrowth of both kind of cells, and an increment in number of branching from the apical dendrite of pyramidal neurons, reaching to almost three times of the control animals. To further understand of underlying mechanism by which RGS14(414) induces neuronal arborization, we investigated into neurotrophic factors. We observed that RGS14 treatment induces a selective increase in BDNF. Role of BDNF in neuronal arborization, as well as its implication in learning and memory processes is well described. In addition, our results showing a dynamic expression pattern of BDNF during ORM processing that overlapped with memory consolidation further support the idea of the implication of this neurotrophin in formation of long-term memory in RGS-animals. On the other hand, in studies of expression profiling of RGS-treated animals, we have demonstrated that 14-3-3ζ protein displays a coherent relationship to RGS-mediated ORM enhancement. Recent studies have demonstrated that the interaction of receptor for activated protein kinase 1 (RACK1) with 14-3-3ζ is essential for its nuclear translocation, where RACK1-14-3-3ζ complex binds at promotor IV region of BDNF and promotes an increase in BDNF gene transcription. These observations suggest that 14-3-3ζ might regulate the elevated level of BDNF seen in RGS14(414) gene treated animals. Therefore, it seems that RGS-mediated surge in 14-3-3ζ causes elevated BDNF synthesis needed for neuronal arborization and enhanced ORM. The prevention of memory loss might be mediated through a restoration in BDNF and 14-3-3ζ protein levels, which are significantly decreased in aging and Alzheimer’s disease. Additionally, our results demonstrate that RGS14(414) treatment could be a viable strategy against episodic memory loss

The limits and possibilities of ICT in education

I will begin this article by clarifying the concept of Educational Technology and its related terms. I will then go on to analyse the more conclusive results of research in this field in order to describe the projects in which I have been involved, where technology was used to produce innovation. This article does not mention any cognitive or educational “revolutionary experience”, since this would surpass the limits of what technology is capable of accomplishing. Part of the education of the new generations has to be conservative, i.e., the experience and knowledge constructed by earlier generations has to be passed down. Disciplinary knowledge is an exemplary condensation of human effort and talent. How can technology support the transmission and acquisition of such knowledge? Besides being capable of using technology, should the new generations not also have a rational and educated discourse on the subject? Is this not the role of the school also? These are some of the main issues I wish to address

A Consistent Test for the Martingale Difference Assumption

This paper considers testing that an economic time series follows a martingale difference process. The martingale difference hypothesis has been typically tested using information contained in the second moments of a process, that is, using test statistics based on the sample autocovariances or in the periodograms. Tests based on these statistics are inconsistent since they just test necessary conditions of the null hypothesis. In this paper we consider tests that are consistent against all fixed alternatives and against Pitman's local alternatives. Since the asymptotic distributions of the tests statistics depend on the data generating process, the tests are implemented using a modification of the wild bootstrap procedure. The paper justifies theoretically the proposed tests and examines their finite sample behavior by means of Monte Carlo experiments. In addition we include an application to exchange rate data.

Efficient wald tests for fractional unit roots

In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we propose a simple and efficient two-step test that avoids the estimation of a nonlinear regression model. In addition, the first-order asymptotic properties of the proposed tests are not affected by the preestimation of short or long memory parameters.Publicad

A simple test for normality for time series

This paper considers testing for normality for correlated data. The proposed test procedure employs the skewness-kurtosis test statistic, but studentized by standard error estimators that are consistent under serial dependence of the observations. The standard error estimators are sample versions of the asymptotic quantities that do not incorporate any downweighting, and, hence, no smoothing parameter is needed. Therefore, the main feature of our proposed test is its simplicity, because it does not require the selection of any user-chosen parameter such as a smoothing number or the order of an approximating model.Publicad

Power comparison among tests for fractional unit roots

This article compares the asymptotic power properties of the Wald, the Lagrange Multiplier and the Likelihood Ratio test for fractional unit roots. The paper shows that there is an asymptotic inequality between the three tests that holds under fixed alternatives.Publicad