Fixed bandwidth inference for fractional cointegration

In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are constructed as ratios of weighted periodogram averages. These estimators offer improved limiting properties over those of more standard approaches like OLS or NBLS estimation. These advantages have been justified by means of traditional asymptotic theory and here we explore whether these improvements still hold when considering the alternative fixed bandwidth theory and, more importantly, whether this latter approach provides a more accurate approximation to the sampling distribution of the corresponding test statistics. This appears to be relevant, especially in view of the typical oversizing displayed by Wald statistics when confronted to the standard limiting theory. A Monte Carlo study of finite-sample behaviour is included

Discrete sine transform for multi-scale realized volatility measures

In this study we present a new realized volatility estimator based on a combination of the multi-scale regression and discrete sine transform (DST) approaches. Multi-scale estimators similar to that recently proposed by Zhang (2006) can, in fact, be constructed within a simple regression-based approach by exploiting the linear relation existing between the market microstructure bias and the realized volatilities computed at different frequencies. We show how such a powerful multi-scale regression approach can also be applied in the context of the Zhou [Nonlinear Modelling of High Frequency Financial Time Series, pp. 109–123, 1998] or DST orthogonalization of the observed tick-by-tick returns. Providing a natural orthonormal basis decomposition of observed returns, the DST permits the optimal disentanglement of the volatility signal of the underlying price process from the market microstructure noise. The robustness of the DST approach with respect to the more general dependent structure of the microstructure noise is also shown analytically. The combination of the multi-scale regression approach with DST gives a multi-scale DST realized volatility estimator similar in efficiency to the optimal Cramer–Rao bounds and robust against a wide class of noise contamination and model misspecification. Monte Carlo simulations based on realistic models for price dynamics and market microstructure effects show the superiority of DST estimators over alternative volatility proxies for a wide range of noise-to-signal ratios and different types of noise contamination. Empirical analysis based on six years of tick-by-tick data for the S&P 500 index future, FIB 30, and 30 year U.S. Treasury Bond future confirms the accuracy and robustness of DST estimators for different types of real data

Entropy and Efficiency of the ETF Market

We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol discretisations of the data. Analysing 1-min and 5-min price time series of 55 Exchange Traded Funds traded at the New York Stock Exchange, we develop a methodology to isolate residual inefficiencies from other sources of regularities, such as the intraday pattern, the volatility clustering and the microstructure effects. The first two are modelled as multiplicative factors, while the microstructure is modelled as an ARMA noise process. Following an analytical and empirical combined approach, we find a strong relationship between low entropy and high relative tick size and that volatility is responsible for the largest amount of regularity, averaging 62% of the total regularity against 18% of the intraday pattern regularity and 20% of the microstructure

Volatility forecasting in the Chinese commodity futures market with intraday data

Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel oil, and sugar at the daily and three intraday sampling frequencies. We adopt popular volatility models in the literature and assess the forecasts obtained via these models against alternative proxies for the true volatility. Our results suggest that the long memory property is an essential feature in the commodity futures volatility dynamics and that the ARFIMA model consistently produces the best forecasts or forecasts not inferior to the best in statistical terms

Measuring and Modeling Risk Using High-Frequency Data

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure of volatility. Moreover, non-parametric measures of systematic risk are attainable, that can straightforwardly be used to model the commonly observed time-variation in the betas. The discussion of these new measures and methods is accompanied by an empirical illustration using high-frequency data of the IBM incorporation and of the DJIA index

Crystal structures of a GABAA-receptor chimera reveal new endogenous neurosteroid-binding sites.

γ-Aminobutyric acid receptors (GABAARs) are vital for controlling excitability in the brain. This is emphasized by the numerous neuropsychiatric disorders that result from receptor dysfunction. A critical component of most native GABAARs is the α subunit. Its transmembrane domain is the target for many modulators, including endogenous brain neurosteroids that impact anxiety, stress and depression, and for therapeutic drugs, such as general anesthetics. Understanding the basis for the modulation of GABAAR function requires high-resolution structures. Here we present the first atomic structures of a GABAAR chimera at 2.8-Å resolution, including those bound with potentiating and inhibitory neurosteroids. These structures define new allosteric binding sites for these modulators that are associated with the α-subunit transmembrane domain. Our findings will enable the exploitation of neurosteroids for therapeutic drug design to regulate GABAARs in neurological disorders

EMU sovereign spreads and macroeconomic news

We investigate the relationship between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Our focus lies in the role played by macroeconomic announcements. To this aim we augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by aggregating deviations between data releases and market expectations on a set of indicators chosen for being closely watched by economic analysts and financial operators. We find that the dissemination of macroeconomic data on the US economy affects the level of sovereign spreads, i.e. the better the news the lower the spreads. Moreover, the dissemination of bad news on the euro area economy affects negatively the volatility, i.e. the worse the news the higher the volatility

Important steps towards a big change for lung health: a joint approach by the European Respiratory Society, the European Society of Radiology and their partners to facilitate implementation of the European Union's new recommendations on lung cancer screening.

Enormous progress has been made on the epic journey towards implementation of lung cancer screening in Europe. A breakthrough for lung health has been achieved with the EU proposal for a Council recommendation on cancer screening. https://bit.ly/3J4O0Jb

Reporting of loss to follow-up information in randomised controlled trials with time-to-event outcomes: a literature survey

<p>Abstract</p> <p>Background</p> <p>To assess the reporting of loss to follow-up (LTFU) information in articles on randomised controlled trials (RCTs) with time-to-event outcomes, and to assess whether discrepancies affect the validity of study results.</p> <p>Methods</p> <p>Literature survey of all issues of the BMJ, Lancet, JAMA, and New England Journal of Medicine published between 2003 and 2005. Eligible articles were reports of RCTs including at least one Kaplan-Meier plot. Articles were classified as "assessable" if sufficient information was available to assess LTFU. In these articles, LTFU information was derived from Kaplan-Meier plots, extracted from the text, and compared. Articles were then classified as "consistent" or "not consistent". Sensitivity analyses were performed to assess the validity of study results.</p> <p>Results</p> <p>319 eligible articles were identified. 187 (59%) were classified as "assessable", as they included sufficient information for evaluation; 140 of 319 (44%) presented consistent LTFU information between the Kaplan-Meier plot and text. 47 of 319 (15%) were classified as "not consistent". These 47 articles were included in sensitivity analyses. When various imputation methods were used, the results of a chi²-test applied to the corresponding 2 × 2 table changed and hence were not robust in about half of the studies.</p> <p>Conclusions</p> <p>Less than half of the articles on RCTs using Kaplan-Meier plots provide assessable and consistent LTFU information, thus questioning the validity of the results and conclusions of many studies presenting survival analyses. Authors should improve the presentation of both Kaplan-Meier plots and LTFU information, and reviewers of study publications and journal editors should critically appraise the validity of the information provided.</p

Microbial catabolic activities are naturally selected by metabolic energy harvest rate

The fundamental trade-off between yield and rate of energy harvest per unit of substrate has been largely discussed as a main characteristic for microbial established cooperation or competition. In this study, this point is addressed by developing a generalized model that simulates competition between existing and not experimentally reported microbial catabolic activities defined only based on well-known biochemical pathways. No specific microbial physiological adaptations are considered, growth yield is calculated coupled to catabolism energetics and a common maximum biomass-specific catabolism rate (expressed as electron transfer rate) is assumed for all microbial groups. Under this approach, successful microbial metabolisms are predicted in line with experimental observations under the hypothesis of maximum energy harvest rate. Two microbial ecosystems, typically found in wastewater treatment plants, are simulated, namely: (i) the anaerobic fermentation of glucose and (ii) the oxidation and reduction of nitrogen under aerobic autotrophic (nitrification) and anoxic heterotrophic and autotrophic (denitrification) conditions. The experimentally observed cross feeding in glucose fermentation, through multiple intermediate fermentation pathways, towards ultimately methane and carbon dioxide is predicted. Analogously, two-stage nitrification (by ammonium and nitrite oxidizers) is predicted as prevailing over nitrification in one stage. Conversely, denitrification is predicted in one stage (by denitrifiers) as well as anammox (anaerobic ammonium oxidation). The model results suggest that these observations are a direct consequence of the different energy yields per electron transferred at the different steps of the pathways. Overall, our results theoretically support the hypothesis that successful microbial catabolic activities are selected by an overall maximum energy harvest rate