545 research outputs found
Predictions of short-term rates and the expectations hypothesis
No full textThis paper emphasizes that traditional tests of the EH are based on two assumptions: the expectations hypothesis (EH) per se and an assumption about the expectations generating process (EGP) for the short-term rate. Arguing that conventional tests of the EH need to assume EGPs that may be significantly at odds with the true EGP, we investigate this possibility by analyzing the out-of-sample predictive performances of several models for predicting interest rates, including a few models which assume that the EH holds in its functional form that relates long- to short-term yields. Using US riskless yield data for a 1970–2016 monthly sample and testing methods that take into account the parameter uncertainty, the null hypothesis of an equal predictive accuracy of each model relative to the random walk alternative is hardly ever rejected at intermediate and long horizons. This confirms that, at least at a practical level, the main difficulty with the EH is represented by the effective prediction of short-term rates. We discuss the relevance of these findings for central banks’ use of forward guidance
Primi dati di distribuzione del visone americano (Neovison vison) nella provincia di Vicenza. First data on the distribution of the American mink in the Province of Vicenza
No full textNatura Vicentin
Size and Value Anomalies under Regime Shifts
No full textThis paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size- and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that introduce short-run market timing opportunities for investors. The magnitude of the premia on the size and value portfolios and their hedging properties are found to vary across regimes. Regimes are shown to have a large impact both on the optimal asset allocation--especially under rebalancing--and on investors' utility. Regimes also have a considerable impact on hedging demands, which are positive when the investor starts from more favorable regimes and negative when starting from bad states. Recursive out-of-sample forecasting experiments show that portfolio strategies based on models that account for regimes dominate single-state benchmarks. Copyright The Author 2007. Published by Oxford University Press. All rights reserved. For Permissions, please email: [email protected], Oxford University Press.
Worsening in seizure frequency and severity in relation to folic acid administration
No full textWe report a case of increase in seizure frequency and severity in a 26-year-old woman receiving folic acid at a dosage of 0.8 mg/day. She had symptomatic partial epilepsy with simple and complex seizures treated with carbamazepine. She was planning pregnancy and we prescribed folic acid for prevention of neural-tube defects. In the next few days she had a generalized tonic-clonic seizure for the first time and a significant increase in seizure frequency. Because of the temporal relation between the seizure worsening and the administration of folic acid, we hypothesize a role of folic acid in provoking seizures, as has been reported in the literature
International asset allocation under regime switching, skew, and kurtosis preferences
No full textThis paper investigates the international asset allocation effects of time-variations in higher-order moments of stock returns such as skewness and kurtosis. In the context of a four-moment International Capital Asset Pricing Model (ICAPM) specification that relates stock returns in five regions to returns on a global market portfolio and allows for time-varying prices of covariance, co-skewness, and co-kurtosis risk, we find evidence of distinct bull and bear regimes. Ignoring such regimes, an unhedged US investor's optimal portfolio is strongly diversified internationally. The presence of regimes in the return distribution leads to a substantial increase in the investor's optimal holdings of US stocks, as does the introduction of skewness and kurtosis preferences. The Author 2008. Published by Oxford University Press on behalf of the Society for Financial Studies. All rights reserved. For permissions, please e-mail: [email protected]., Oxford University Press.
Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective
No full textIn the empirical portfolio choice literature it is often invoked that through the choice of predictors that may closely track business cycle conditions and market sentiment, simple Vector Autoregressive (VAR) models could produce optimal strategic portfolio allocations that hedge against the bull and bear dynamics typical of financial markets. However, a distinct literature exists that shows that non-linear econometric frameworks, such as Markov switching, are also natural tools to compute optimal portfolios arising from the existence of good and bad market states. In this paper we examine whether and how simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond strategic asset allocation problem on US data, we compute the out-of-sample certainty equivalent returns for a wide range of VARs and compare these measures of performance with those typical of non-linear models that account for bull-bear dynamics and characterize the differences in the implied hedging demands for a long-horizon investor with constant relative risk aversion preferences. We conclude that most (if not all) VARs cannot produce portfolio rules, hedging demands, or out-of-sample performances that approximate those obtained from equally simple non-linear frameworks.Econometric models ; Vector autoregression ; Asset pricing ; Rate of return
Responses of Niphargus montellianus and Gammarus balcanicus (Crustacea, Amphipoda) from karst waters to heavy metal exposure
No full textThe response to some heavy metals (Cd, Cu, and Zn) was examined in two amphipods, Niphargus montellianus and Gammarus balcanicus, living in karst waters and endowed with different ecological characteristics. Exposure experiments were made, in the controlled conditions of a biospeleology laboratory, to increasing concentrations of metals in the range 0.1-10 μg ml-1 for up to 10 days. Hypogean and epigean amphipods differed in their responses, G. balcanicus being more sensitive to the toxic effects of heavy metals than the hypogean N. montellianus. The degree of tolerance was Cu<Cd<Zn in both organisms. Metal contents were checked in amphipods in natural conditions and after metal exposure; differences in accumulation rates suggest the potential use of Niphargus as a biological indicator for monitoring groundwater heavy metal pollution
Effect on joint tissues of intra-articular treatment with 500-730 kDa hyaluronan: insight into the mechanism of action
No full textEffects of nitric oxide inhibition on the spread of biotinylated dextran and on extracellular space parameters in the neostriatum of the male rat
No full textVolume transmission in the brain is mediated by the diffusion of neurotransmitters, modulators and other neuroactive substances in the extracellular space. The effects of nitric oxide synthase inhibition on extracellular space diffusion properties were studied using two different approaches, the histological dextran method and the real-time iontophoretic tetramethylammonium method. The spread of biotinylated dextran (mol. wt 3000) in the extracellular space was measured morphometrically following microinjection into the neostriatum of male rats. Two parameters were used to describe the spread of biotinylated dextran in brain tissue, namely, total volume of spread and the mean grey value. The nonspecific nitric oxide synthase inhibitors NG-nitro-L-arginine methyl ester (10-100 mg/kg) and NG-monomethyl-L-arginine acetate (30-200 mg/kg) decreased the total volume of spread of dextran in a dose-dependent manner. 7-Nitroindazole monosodium salt (50-100 mg/kg), a specific neuronal nitric oxide synthase inhibitor, did not change the total volume of spread of dextran. Using the tetramethylammonium method, the extracellular space diffusion properties can be described by the volume fraction (alpha = extracellular space volume/total tissue volume), tortuosity lambda (lambda2 = free diffusion coefficient/apparent diffusion coefficient in tissue), and non-specific uptake kappa' [Nicholson C. and Sykova E. (1998) Trends Neurosci. 21, 207-215]. Nitric oxide synthase inhibition by NG-nitro-L-arginine methyl ester (50 mg/kg) had relatively little effect on volume fraction and tortuosity, and no changes were observed after NG-monomethyl-L-arginine acetate (20 mg/kg) or 7-nitroindazole monosodium salt (100 mg/kg) treatment. A substantial increase was found only in non-specific uptake, by 13% after NG-nitro-L-arginine methyl ester and by 16% after NG-monomethyl-L-arginine acetate, which correlates with the decreased total volume of spread of dextran observed with the dextran method. NG-Nitro-L-arginine methyl ester treatment (100 mg/kg) decreased striatal blood flow and increased mean arterial blood pressure. The changes in dextran spread and non-specific uptake can be explained by an increased capillary clearance following the inhibition of endothelial nitric oxide synthase, as neuronal nitric oxide synthase inhibition had no effect. The observed changes after non-specific nitric oxide synthase inhibition may affect the extracellular space concentration of neurotransmitters and modulators, and influence volume transmission pathways in the central nervous system by increased capillary and/or cellular clearance rather than by changes in extracellular space diffusion
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