A multivariate generalized independent factor GARCH model with an application to financial stock returns

We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs). This model applies independent component analysis (ICA) to search the conditionally heteroskedastic latent factors. We will use two ICA approaches to estimate the ICs. The first one estimates the components maximizing their non-gaussianity, and the second one exploits the temporal structure of the data. After estimating the ICs, we fit an univariate GARCH model to the volatility of each IC. Thus, the GICA-GARCH reduces the complexity to estimate a multivariate GARCH model by transforming it into a small number of univariate volatility models. We report some simulation experiments to show the ability of ICA to discover leading factors in a multivariate vector of financial data. An empirical application to the Madrid stock market will be presented, where we compare the forecasting accuracy of the GICA-GARCH model versus the orthogonal GARCH one

A multivariate generalized independent factor GARCH model with an application to financial stock returns

We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs). This model applies independent component analysis (ICA) to search the conditionally heteroskedastic latent factors. We will use two ICA approaches to estimate the ICs. The first one estimates the components maximizing their non-gaussianity, and the second one exploits the temporal structure of the data. After estimating the ICs, we fit an univariate GARCH model to the volatility of each IC. Thus, the GICA-GARCH reduces the complexity to estimate a multivariate GARCH model by transforming it into a small number of univariate volatility models. We report some simulation experiments to show the ability of ICA to discover leading factors in a multivariate vector of financial data. An empirical application to the Madrid stock market will be presented, where we compare the forecasting accuracy of the GICA-GARCH model versus the orthogonal GARCH one.ICA, Multivariate GARCH, Factor models, Forecasting volatility

Exploring ICA for time series decomposition

In this paper, we apply independent component analysis (ICA) for prediction and signal extraction in multivariate time series data. We compare the performance of three different ICA procedures, JADE, SOBI, and FOTBI that estimate the components exploiting either the non-Gaussianity, or the temporal structure of the data, or combining both, non-Gaussianity as well as temporal dependence. Some Monte Carlo simulation experiments are carried out to investigate the performance of these algorithms in order to extract components such as trend, cycle, and seasonal components. Moreover, we empirically test the performance of those three ICA procedures on capturing the dynamic relationships among the industrial production index (IPI) time series of four European countries. We also compare the accuracy of the IPI time series forecasts using a few JADE, SOBI, and FOTBI components, at different time horizons. According to the results, FOTBI seems to be a good starting point for automatic time series signal extraction procedures, and it also provides quite accurate forecasts for the IPIs.ICA, Signal extraction, Multivariate time series, Forecasting

Independent component analysis for time series

El objetivo de esta tesis es aplicar el análisis de componentes independientes (ICA) sobre datos multivariantes de series temporales. También, se propone un nuevo procedimiento para predecir un vector de series temporales a partir de un número reducido de componentes independientesThe aim of this thesis is to analyze the performance of independent component analysis (ICA) when it is applied to a vector of non-Gaussian time series in order to find an "interesting" representation of the observations. First, we give an introduction to the ICA methodology and how it performs on estimating a set of non-Gaussian and statistically independent latent factors. Second, we review some basic ideas of multivariate time series analysis, paying special attention to well known dimension reduction techniques previously proposed in the literature. Third, we give an overview of the existing research that links ICA and time series data. Finally we outline the thesisSEJ2006-04957S2007-HUM-0413SEJ2007-64500ECO2009-1028

Exploring ICA for time series decomposition

In this paper, we apply independent component analysis (ICA) for prediction and signal extraction in multivariate time series data. We compare the performance of three different ICA procedures, JADE, SOBI, and FOTBI that estimate the components exploiting either the non-Gaussianity, or the temporal structure of the data, or combining both, non-Gaussianity as well as temporal dependence. Some Monte Carlo simulation experiments are carried out to investigate the performance of these algorithms in order to extract components such as trend, cycle, and seasonal components. Moreover, we empirically test the performance of those three ICA procedures on capturing the dynamic relationships among the industrial production index (IPI) time series of four European countries. We also compare the accuracy of the IPI time series forecasts using a few JADE, SOBI, and FOTBI components, at different time horizons. According to the results, FOTBI seems to be a good starting point for automatic time series signal extraction procedures, and it also provides quite accurate forecasts for the IPIs

Las diferencias en los síntomas psicológicos durante el embarazo y el postparto antes y después del COVID-19: un estudio transversal

Pregnant women are especially vulnerable to mental health problems, including stress, anxiety, and depression. This risk has been increased during the COVID-19 pandemic and differences in psychological symptoms in pregnancy and postpartum before and during COVID-19 exists. Mental health problems can have adverse effects on both the woman, and the neonate, including miscarriages, premature births, low birth weight, and higher rates of cesarean sections and instrument-assisted deliveries. Aim: To evaluate the prevalence of psychological symptoms of pregnant women before and during the COVID-19 pandemic. Method: A cross-sectional study was carried out to assess the psychological profile in a sample of pregnant women selected before the pandemic and a sample of women studied during the first wave of the pandemic. A total of 122 women were selected prior to the pandemic and 181 women during the COVID-19 outbreak. The Symptom Checklist-90 Revised (SCL-90-R) was used to assess depression and anxiety during pregnancy and in the postpartum period. Results: The prevalence of symptoms of depression and anxiety during pregnancy were higher in the sample of women studied during the pandemic (SCL-90-R: M = 54.6 vs. 42.6 and M = 62.6 vs. 51.7 respectively). In the postpartum the difference between both samples of women was even higher for depression and anxiety (SCL-90-R: M = 50.4 vs. 35.0 and M = 51.3 vs. 36.0 respectively). Being a pregnant woman at the COVID-19 outbreak was directly associated with a higher score of depression symptoms (aOR = 8.67, 95% CI [3.26, 23.02], p < .001). Anxiety during childbirth was more frequently reported by women before the pandemic (aOR = 5.13, 95% CI [2.53, 10.44], p < .001). The variable stage (before /during pandemic) was also associated with having a clinical SCL-90-R score above 70 (aOR = 7.61, 95% CI [2.7, 21.47], p < .001). Conclusion: During the pandemic, pregnancy and postpartum were associated with the presence of anxiety and depression. The main factor associated with postpartum depression was maternal age. These finding highlights the vulnerability of pregnant in front of the pandemic, in which psychological health and mental well-being are affected, not only during pregnancy, but also in the postpartum.Las mujeres embarazadas son especialmente vulnerables a los problemas de salud mental, como el estrés, la ansiedad y la depresión. Este riesgo se ha incrementado durante la pandemia de COVID-19, habiendo diferencias en los síntomas psicológicos en el embarazo y el puerperio antes y después de la pandemia. Los problemas de salud mental pueden tener efectos perjudiciales tanto en la mujer como en el recién nacido, como abortos espontáneos, partos prematuros, bajo peso al nacer y tasas más altas de cesáreas y partos asistidos. Objetivo: Evaluar la prevalencia de síntomas psicológicos de gestantes antes y durante la pandemia de COVID-19. Método: Se realizó un estudio transversal para evaluar el perfil psicológico en una muestra de mujeres embarazadas seleccionadas antes de la pandemia y una muestra de mujeres estudiadas durante la primera ola de la pandemia. Se seleccionó un total de 122 mujeres antes de la pandemia y 181 mujeres durante el brote de COVID-19. Se utilizó la Inventario de Verificación de Síntomas-90 Revisada (SCL-90-R) para evaluar la depresión y la ansiedad durante el embarazo y el puerperio. Resultados: La prevalencia de síntomas de depresión y ansiedad durante el embarazo fue mayor en la muestra de mujeres estudiadas durante la pandemia (SCL-90-R: M = 54.6 vs. 42.6 y M = 62.6 vs. 51.7 respectivamente). En el postparto la diferencia entre ambas muestras de mujeres fue aún mayor para depresión y ansiedad (SCL-90-R: M = 50.4 vs. 35.0 y M = 51.3 vs. 36.0 respectivamente). Ser mujer embarazada en el brote de COVID-19 se asoció directamente con una mayor puntuación de síntomas de depresión (aOR = 8.67, IC 95% [3.26, 23.02, p < .001). Las mujeres manifestaron ansiedad durante el parto con mayor frecuencia antes de la pandemia (aOR = 5.13, IC 95% 2.53, 10.44], p < .001). La variable estadio (antes/durante la pandemia) también se asoció con tener una puntuación clínica SCL- 90-R superior a 70 (aOR = 7.61, IC 95% [2.7, 21.47], p < .001). Conclusión: Durante la pandemia, el embarazo y el postparto se asociaron con la presencia de ansiedad y depresión. El principal factor asociado a la depresión posparto fue la edad materna. Estos hallazgos resaltan la vulnerabilidad de las mujeres embarazadas ante la pandemia, en la que la salud psicológica y el bienestar mental se ven afectados, no solo durante el embarazo, sino también en el posparto.Junta de Andalucía (RH-0069-2021)

Endothelin-1 promotes vascular smooth muscle cell migration across the artery wall: a mechanism contributing to vascular remodelling and intimal hyperplasia in giant-cell arteritis

Background: Giant-cell arteritis (GCA) is an inflammatory disease of large/medium-sized arteries, frequently involving the temporal arteries (TA). Inflammation-induced vascular remodelling leads to vaso-occlusive events. Circulating endothelin-1 (ET1) is increased in patients with GCA with ischaemic complications suggesting a role for ET-1 in vascular occlusion beyond its vasoactive function. Objective: To investigate whether ET-1 induces a migratory myofibroblastic phenotype in human TAderived vascular smooth muscle cells (VSMC) leading to intimal hyperplasia and vascular occlusion in GCA. Methods and results: Immunofluorescence/confocal microscopy showed increased ET-1 expression in GCA lesions compared with control arteries. In inflamed arteries, ET-1 was predominantly expressed by infiltrating mononuclear cells whereas ET receptors, particularly ET-1 receptor B (ETB R), were expressed by both mononuclear cells and VSMC. ET-1 increased TA-derived VSMC migration in vitro and α-smooth muscle actin (αSMA) expression and migration from the media to the intima in cultured TA explants. ET-1 promoted VSMC motility by increasing activation of focal adhesion kinase (FAK), a crucial molecule in the turnover of focal adhesions during cell migration. FAK activation resulted in Y397 autophosphorylation creating binding sites for Src kinases and the p85 subunit of PI3kinases which, upon ET-1 exposure, colocalised with FAK at the focal adhesions of migrating VSMC. Accordingly, FAK or PI3K inhibition abrogated ET-1-induced migration in vitro. Consistently, ET-1 receptor A and ETB R antagonists reduced αSMA expression and delayed VSMC outgrowth from cultured GCA-involved artery explants. Conclusions: ET-1 is upregulated in GCA lesions and, by promoting VSMC migration towards the intimal layer, may contribute to intimal hyperplasia and vascular occlusion in GCA

Blocking interferon γ reduces expression of chemokines CXCL9, CXCL10 and CXCL11 and decreases macrophage infiltration in ex vivo cultured arteries from patients with giant cell arteritis

BACKGROUND: Interferon γ (IFNγ) is considered a seminal cytokine in the pathogenesis of giant cell arteritis (GCA), but its functional role has not been investigated. We explored changes in infiltrating cells and biomarkers elicited by blocking IFNγ with a neutralising monoclonal antibody, A6, in temporal arteries from patients with GCA. METHODS: Temporal arteries from 34 patients with GCA (positive histology) and 21 controls were cultured on 3D matrix (Matrigel) and exposed to A6 or recombinant IFNγ. Changes in gene/protein expression were measured by qRT-PCR/western blot or immunoassay. Changes in infiltrating cells were assessed by immunohistochemistry/immunofluorescence. Chemotaxis/adhesion assays were performed with temporal artery-derived vascular smooth muscle cells (VSMCs) and peripheral blood mononuclear cells (PBMCs). RESULTS: Blocking endogenous IFNγ with A6 abrogated STAT-1 phosphorylation in cultured GCA arteries. Furthermore, selective reduction in CXCL9, CXCL10 and CXCL11 chemokine expression was observed along with reduction in infiltrating CD68 macrophages. Adding IFNγ elicited consistent opposite effects. IFNγ induced CXCL9, CXCL10, CXCL11, CCL2 and intracellular adhesion molecule-1 expression by cultured VSMC, resulting in increased PBMC chemotaxis/adhesion. Spontaneous expression of chemokines was higher in VSMC isolated from GCA-involved arteries than in those obtained from controls. Incubation of IFNγ-treated control arteries with PBMC resulted in adhesion/infiltration by CD68 macrophages, which did not occur in untreated arteries. CONCLUSIONS: Our ex vivo system suggests that IFNγ may play an important role in the recruitment of macrophages in GCA by inducing production of specific chemokines and adhesion molecules. Vascular wall components (ie, VSMC) are mediators of these functions and may facilitate progression of inflammatory infiltrates through the vessel wall

Positron emission tomography assessment of large vessel inflammation in patients with newly diagnosed, biopsy-proven giant cell arteritis: a prospective, case-control study

BACKGROUND: Positron emission tomography (PET) scan is emerging as a promising imaging technique to detect large-vessel inflammation in giant cell arteritis (GCA). However, the lack of a standardised definition of arteritis based on (18)fluorodeoxyglucose (FDG) uptake is an important limitation to the use of PET scan for diagnostic purposes. OBJECTIVE: To prospectively assess the intensity and distribution of FDG uptake at different vascular territories in patients with newly diagnosed GCA compared with controls. METHODS: 32 consecutive, biopsy-proven, GCA patients treated with glucocorticoids for ≤3 days were included. The control group consisted of 20 individuals, who underwent PET/CT for cancer staging. Maximal standardised uptake value (SUVm) was calculated at four aortic segments, supraaortic branches and iliac-femoral territory. Sensitivity and specificity was calculated by receiver-operator characteristic curves (ROC) analysis. RESULTS: Mean SUVm was significantly higher in patients than in controls in all vessels explored and correlated with acute-phase reactants and serum IL-6. Mean of the SUVm at all the vascular territories had an area under the curve (AUC) of 0.830, and a cut-off of 1.89 yielded a sensitivity of 80% and a specificity of 79% for GCA diagnosis. There were no significant differences in AUC among the vascular beds examined. CONCLUSIONS: FDG uptake by large vessels has a substantial sensitivity and specificity for GCA diagnosis

Expression and function of IL12/23 related cytokine subunits (p35, p40, and p19) in giant-cell arteritis lesions: contribution of p40 to Th1- and Th17-mediated inflammatory pathways

Background: Giant-cell arteritis (GCA) is considered a T helper (Th)1- and Th17-mediated disease. Interleukin (IL)-12 is a heterodimeric cytokine (p35/p40) involved in Th1 differentiation. When combining with p19 subunit, p40 compose IL-23, a powerful pro-inflammatory cytokine that maintains Th17 response. Objectives: The aims of this study were to investigate p40, p35, and p19 subunit expression in GCA lesions and their combinations to conform different cytokines, to assess the effect of glucocorticoid treatment on subunit expression, and to explore functional roles of p40 by culturing temporal artery sections with a neutralizing anti-human IL-12/IL-23p40 antibody. Methods and results: p40 and p19 mRNA concentrations measured by real-time RT-PCR were significantly higher in temporal arteries from 50 patients compared to 20 controls (4.35 ± 4.06 vs 0.51 ± 0.75; p < 0.0001 and 20.32 ± 21.78 vs 4.17 ± 4.43 relative units; p < 0.0001, respectively). No differences were found in constitutively expressed p35 mRNA. Contrarily, p40 and p19 mRNAs were decreased in temporal arteries from 16 treated GCA patients vs those from 34 treatment-naïve GCA patients. Accordingly, dexamethasone reduced p40 and p19 expression in cultured arteries. Subunit associations to conform IL-12 and IL-23 were confirmed by proximity-ligation assay in GCA lesions. Immunofluorescence revealed widespread p19 and p35 expression by inflammatory cells, independent from p40. Blocking IL-12/IL-23p40 tended to reduce IFNγ and IL-17 mRNA production by cultured GCA arteries and tended to increase Th17 inducers IL-1β and IL-6. Conclusion: IL-12 and IL-23 heterodimers are increased in GCA lesions and decrease with glucocorticoid treatment. p19 and p35 subunits are much more abundant than p40, indicating an independent role for these subunits or their potential association with alternative subunits. The modest effect of IL-12/IL-23p40 neutralization may indicate compensation by redundant cytokines or cytokines resulting from alternative combinations