An Empirical Study of Asian Stock Volatility Using Stochastic Volatility Factor Model: Factor Analysis and Forecasting

This paper is an empirical study of Asian stock volatility using stochastic volatility factor (SVF) model of Cipollini and Kapetanios (2005). We adopt their approach to carry out factor analysis and to forecast volatility. Our results show some Asian factors exhibit long memory that is in line with existing empirical findings in financial volatility. However, their local-factor SVF model is not powerful enough in forecasting Asian volatility. This has led us to propose an extension to a multi-factor SVF model. We also discuss how to produce forecast using this multi-factor model.Stochastic volatility, Local-factor model, Multi-factor model, Principal components, Forecasting

A Study Of Stock Volatility In The Context Of Factor Volatility Models For Large Datasets: Factor Analysis And Forecasting

PhDThis thesis is a study of stock volatility adopting two factor volatility models for large datasets: the orthogonal GARCH model and the stochastic volatility factor model. An application is made to the constituent stocks of five Asian indexes. Factor analysis and volatility forecasting exercise are carried out. Chapter 1 is an empirical application of the orthogonal GARCH model to Asian stock returns. Correlation analysis, eigenvalue and eigenvector analysis and several diagnostic tests are carried out. Our results show that using large number of principal components cannot guarantee an improvement in capturing dynamics. Moreover, GARCH(l,l) is the appropriate specification for the principal components of stock returns of some datasets. An empirical example of how GARCH analysis of all series in the entire dataset can be summarised by a univariate GARCH analysis of the first principal component is also provided. Chapter 2 is a factor analysis using stochastic volatility factor models. In contrast to the first part of the study, common factors are estimated from large datasets of Asian stock volatilities via principal components. Correlation analysis of stock volatilities is performed. Examinations of the dynamics of factor estimates and their explanatory power are also carried out. Our results 3 confirm that large dataset with many cross-sectional series from the same category may not always be desirable for factor analysis. Evidence of long memory is found in the first principal component of some datasets but not all of them. Chapter 3 is a volatility forecasting exercise. In-sample analysis is implemented using the stochastic volatility factor models and the orthogonal GARCH model. Moreover, we propose an extension of a local-factor model to a multi-factor model. Testing of factor significance is scrutinised. A comparison of forecasting performance shows that the stochastic volatility factor models outperform the orthogonal GARCH model in forecasting Asian volatilities

OCUPAÇÃO HUMANA E TRANSFORMAÇÃO DAS PAISAGENS NA AMAZÔNIA BRASILEIRA

Despite the romantic common sense view of the Amazon forest as an uniform and pristine environment, its landscapes are characterized by both diversity and long coexistence with human beings. Employing evolutionary, historical, and social approaches, this article aims to characterize the diverse settlement dynamics in the Amazon landscapes, from the arrival of the first human groups to the present, in order to understand how social development and the advance of new technologies were responsible for landscape changes in the past, and how it happens today. Three distinct settlement dynamics were observed, considering different levels of landscape transformation, along with the historical contexts: (1) Dynamic of Diversification (9000 BC to 1600 AD); (2) Dynamic of Simplification (1600 to 1960 AD); and (3) Dynamic of Suppression (from 1960 AD onwards). Keywords: Amazon, landscape, human settlement.A despeito da visão romântica que domina o senso comum, sobre a homogeneidade e a virgindade da floresta amazônica, as paisagens dessa região são caracterizadas pela diversidade e pela longa convivência com o ser humano. Por meio da complementação das perspectivas evolutivas, históricas e sociais, o presente artigo se propõe a caracterizar as diferentes dinâmicas de ocupação nessas paisagens, buscando compreender como o desenvolvimento das tecnologias e da organização sócio-política foram capazes de modificar as paisagens no passado e como o fazem atualmente. Os dados foram analisados em função de um sequenciamento temporal que abrange desde a chegada do ser humano à Amazônia até os dias de hoje. Três dinâmicas de ocupação distintas foram caracterizadas em função dos diferentes níveis de transformação da paisagem: Dinâmica da Diversificação (9000 a.C. a 1600 d.C.); Dinâmica da Simplificação (1600 a 1960 d.C.) e Dinâmica da Supressão (a partir de 1960 d.C.). Palavras-chave: Amazônia, paisagem, ocupação humana

Quantitative multidimensional phenotypes improve genetic analysis of laterality traits

The UK Medical Research Council and Wellcome (Grant ref: 217065/Z/19/Z) and the University of Bristol provide core support for ALSPAC. This publication is the work of the authors and SP and JS will serve as guarantors for the analysis of the ALSPAC data presented in this paper. GWAS data were generated by Sample Logistics and Genotyping Facilities at Wellcome Sanger Institute and LabCorp (Laboratory Corporation of America) using support from 23andMe. Support to the genetic analysis was provided by the St Andrews Bioinformatics Unit funded by the Wellcome Trust [grant 105621/Z/14/Z]. The Hong Kong sample was funded through a Collaborative Research Fund from the Hong Kong Special Administrative Region Research Grants Council (CUHK8/CRF/13G, and C4054-17WF). JS is funded by the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation, 418445085) and supported by the Wellcome Trust [Institutional Strategic Support fund, Grant number 204821/Z/16/Z]. SP is funded by the Royal Society (UF150663).Handedness is the most commonly investigated lateralised phenotype and is usually measured as a binary left/right category. Its links with psychiatric and neurodevelopmental disorders prompted studies aimed at understanding the underlying genetics, while other measures and side preferences have been less studied. We investigated the heritability of hand, as well as foot, and eye preference by assessing parental effects (n ≤ 5028 family trios) and SNP-based heritability (SNP-h2, n ≤ 5931 children) in the Avon Longitudinal Study of Parents and Children (ALSPAC). An independent twin cohort from Hong Kong (n = 358) was used to replicate results from structural equation modelling (SEM). Parental left-side preference increased the chance of an individual to be left-sided for the same trait, with stronger maternal than paternal effects for footedness. By regressing out the effects of sex, age, and ancestry, we transformed laterality categories into quantitative measures. The SNP-h2 for quantitative handedness and footedness was 0.21 and 0.23, respectively, which is higher than the SNP-h2 reported in larger genetic studies using binary handedness measures. The heritability of the quantitative measure of handedness increased (0.45) compared to a binary measure for writing hand (0.27) in the Hong Kong twins. Genomic and behavioural SEM identified a shared genetic factor contributing to handedness, footedness, and eyedness, but no independent effects on individual phenotypes. Our analysis demonstrates how quantitative multidimensional laterality phenotypes are better suited to capture the underlying genetics than binary traits.Publisher PDFPeer reviewe

A genome-wide association study of Chinese and English language phenotypes in Hong Kong Chinese children

Funding: This study was partially supported by a Theme-based Research Scheme (T44-410/21-N) and a Collaborative Research Fund (CRF) (C4054-17W) from the Research Grants Council. HCS was partially supported by the KIZ-CUHK Joint Laboratory of Bioresources and Molecular Research of Common Diseases, and the Hong Kong Branch of the Chinese Academy of Sciences Center for Excellence in Animal Evolution and Genetics, as well as the Lo Kwee Seong Biomedical Research Fund.Dyslexia and developmental language disorders are important learning difficulties. However, their genetic basis remains poorly understood, and most genetic studies were performed on Europeans. There is a lack of genome-wide association studies (GWAS) on literacy phenotypes of Chinese as a native language and English as a second language (ESL) in a Chinese population. In this study, we conducted GWAS on 34 reading/language-related phenotypes in Hong Kong Chinese bilingual children (including both twins and singletons; total N = 1046). We performed association tests at the single-variant, gene, and pathway levels. In addition, we tested genetic overlap of these phenotypes with other neuropsychiatric disorders, as well as cognitive performance (CP) and educational attainment (EA) using polygenic risk score (PRS) analysis. Totally 5 independent loci (LD-clumped at r2 = 0.01; MAF > 0.05) reached genome-wide significance (p 0.3 and having at least 2 correlated SNPs (r2 > 0.5) with p < 1e-3). The loci were associated with a range of language/literacy traits such as Chinese vocabulary, character and word reading, and rapid digit naming, as well as English lexical decision. Several SNPs from these loci mapped to genes that were reported to be associated with EA and other neuropsychiatric phenotypes, such as MANEA and PLXNC1. In PRS analysis, EA and CP showed the most consistent and significant polygenic overlap with a variety of language traits, especially English literacy skills. To summarize, this study revealed the genetic basis of Chinese and English abilities in a group of Chinese bilingual children. Further studies are warranted to replicate the findings.Peer reviewe

Education and its Effects on Income and Mortality of Men aged Sixty-five and over in Great Britain

We explore the effects of income and, additionally education on the income, selfreported health and survival of people aged sixty-five and over in Great Britain in order to identify benefits resulting from education which are omitted in the conventional analysis with its focus on labour income excluding employer contributions. We find, for men, that income at the age of sixty-five is significantly influenced by educational attainment and has a significant effect on survival. Even after controlling for circumstances at age sixty-five or when first observed, we identify benefits discounted to age sixty-five of £115,000 for men with higher education qualifications as compared to those with minimal qualifications

The effect of lifelong learning on men's wages

This paper develops a model of earnings and applies this to an examination of the effect of lifelong learning on men’s wages. Using data from the British Household Panel Survey, a variant of the mover–stayer model is developed in which hourly wages are either taken from a stationary distribution (movers) or closely related to the hourly wage one year earlier (stayers). Mover–stayer status is not observed, and we therefore model wages using an endogenous switching regression, estimated by maximum likelihood. Methodologically, the results support the mover–stayer characterisation since the restrictions required for the simpler specifications popular in the literature are rejected. Substantively, simulation of the estimated model shows some statistically significant effects from acquiring qualifications of a higher level than those previously held, but not from acquiring qualifications of the same level

Evolving trends in the management of acute appendicitis during COVID-19 waves. The ACIE appy II study

Background: In 2020, ACIE Appy study showed that COVID-19 pandemic heavily affected the management of patients with acute appendicitis (AA) worldwide, with an increased rate of non-operative management (NOM) strategies and a trend toward open surgery due to concern of virus transmission by laparoscopy and controversial recommendations on this issue. The aim of this study was to survey again the same group of surgeons to assess if any difference in management attitudes of AA had occurred in the later stages of the outbreak. Methods: From August 15 to September 30, 2021, an online questionnaire was sent to all 709 participants of the ACIE Appy study. The questionnaire included questions on personal protective equipment (PPE), local policies and screening for SARS-CoV-2 infection, NOM, surgical approach and disease presentations in 2021. The results were compared with the results from the previous study. Results: A total of 476 answers were collected (response rate 67.1%). Screening policies were significatively improved with most patients screened regardless of symptoms (89.5% vs. 37.4%) with PCR and antigenic test as the preferred test (74.1% vs. 26.3%). More patients tested positive before surgery and commercial systems were the preferred ones to filter smoke plumes during laparoscopy. Laparoscopic appendicectomy was the first option in the treatment of AA, with a declined use of NOM. Conclusion: Management of AA has improved in the last waves of pandemic. Increased evidence regarding SARS-COV-2 infection along with a timely healthcare systems response has been translated into tailored attitudes and a better care for patients with AA worldwide

Infected pancreatic necrosis: outcomes and clinical predictors of mortality. A post hoc analysis of the MANCTRA-1 international study

: The identification of high-risk patients in the early stages of infected pancreatic necrosis (IPN) is critical, because it could help the clinicians to adopt more effective management strategies. We conducted a post hoc analysis of the MANCTRA-1 international study to assess the association between clinical risk factors and mortality among adult patients with IPN. Univariable and multivariable logistic regression models were used to identify prognostic factors of mortality. We identified 247 consecutive patients with IPN hospitalised between January 2019 and December 2020. History of uncontrolled arterial hypertension (p = 0.032; 95% CI 1.135-15.882; aOR 4.245), qSOFA (p = 0.005; 95% CI 1.359-5.879; aOR 2.828), renal failure (p = 0.022; 95% CI 1.138-5.442; aOR 2.489), and haemodynamic failure (p = 0.018; 95% CI 1.184-5.978; aOR 2.661), were identified as independent predictors of mortality in IPN patients. Cholangitis (p = 0.003; 95% CI 1.598-9.930; aOR 3.983), abdominal compartment syndrome (p = 0.032; 95% CI 1.090-6.967; aOR 2.735), and gastrointestinal/intra-abdominal bleeding (p = 0.009; 95% CI 1.286-5.712; aOR 2.710) were independently associated with the risk of mortality. Upfront open surgical necrosectomy was strongly associated with the risk of mortality (p &lt; 0.001; 95% CI 1.912-7.442; aOR 3.772), whereas endoscopic drainage of pancreatic necrosis (p = 0.018; 95% CI 0.138-0.834; aOR 0.339) and enteral nutrition (p = 0.003; 95% CI 0.143-0.716; aOR 0.320) were found as protective factors. Organ failure, acute cholangitis, and upfront open surgical necrosectomy were the most significant predictors of mortality. Our study confirmed that, even in a subgroup of particularly ill patients such as those with IPN, upfront open surgery should be avoided as much as possible. Study protocol registered in ClinicalTrials.Gov (I.D. Number NCT04747990)