Combining multivariate volatility forecasts using weighted losses

The ability to improve out-of-sample forecasting performance by combining forecasts is well established in the literature. This paper advances this literature in the area of multivariate volatility forecasts by developing two combination weighting schemes that exploit volatility persistence to emphasise certain losses within the combination estimation period. A comprehensive empirical analysis of the out-of-sample forecast performance across varying dimensions, loss functions, sub-samples and forecast horizons show that new approaches significantly outperform their counterparts in terms of statistical accuracy. Within the financial applications considered, significant benefits from combination forecasts relative to the individual candidate models are observed. Although the more sophisticated combination approaches consistently rank higher relative to the equally weighted approach, their performance is statistically indistinguishable given the relatively low power of these loss functions. Finally, within the applications, further analysis highlights how combination forecasts dramatically reduce the variability in the parameter of interest, namely the portfolio weight or beta.     

Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility

This paper considers how information from the implied volatility (IV) term structure can be harnessed to improve stock return volatility forecasting within the state-of-the-art HAR model. Factors are extracted from the IV term structure and included as exogenous variables in the HAR framework. We found that including slope and curvature factors leads to significant forecast improvements over the HAR benchmark at a range of forecast horizons, compared with the standard HAR model and HAR model with VIX as IV information set.     

Between meaning culture and presence effects: contemporary biomedical objects as a challenge to museums

The acquisition and display of material artefacts is the raison d’être of museums. But what constitutes a museum artefact? Contemporary medicine (biomedicine) is increasingly producing artefacts that do not fit the traditional museological understanding of what constitutes a material, tangible artefact. Museums today are therefore caught in a paradox. On the one hand, medical science and technologies are having an increasing pervasive impact on the way contemporary life is lived and understood and is therefore a central part of the contemporary world. On the other hand, the objects involved in medical diagnostics and therapies are becoming increasingly invisible and intangible and therefore seem to have no role to play as artefacts in a museum context. Consequently, museums are at risk of becoming alienated from an increasingly important part of contemporary society. This essay elaborates the paradox by employing Gumbrecht’s (2004) distinction between ‘presence’ and ‘meaning’.     

Changes in kit fox–coyote–prey relationships in the Great Basin Desert, Utah

Variation in kit fox ( Vulpes macrotis ) population parameters can be influenced by vegetative cover and the distribution and abundance of other predator and prey species. Dramatic changes to Great Basin Desert habitats, which can potentially impact mammalian species, have occurred in some areas in Utah. We examined kit fox demographics and prey populations from 1999 to 2001 on Dugway Proving Ground (DPG), a U.S. Army facility in Utah, and compared some parameters to historical levels (1956–1958, 1966–1969). Adult survival rates were fairly consistent between 1999 and 2000 and between 1999 and 2001; however, survival was greater in 2001 than in 2000. Reproductive rates ranged from 1.0 to 3.8 pups per female in 1999–2000 and were similar to historical numbers (1.0–4.2 pups per female). We found a decrease in pre-whelping kit fox density from the 1960s (0.12 foxes ? km –2 ) to 1999–2001 (0.04 foxes ? km –2 ); however, densities were similar between the current study and the 1950s (0.08 foxes ? km –2 ). Using 9 years of data, we found density dependence between reproductive rates of the current year and annual fox density from the previous year. Using 7 years of data, we found a slight correlation between kit fox annual density and a 1-year lag in leporid abundance, even though leporid abundance was lower during the present study than it was historically. Compared to historical levels, current small mammal abundance and species composition has changed in several habitats. Kit fox breeding density and annual density were inversely correlated with coyote ( Canis latrans ) density. Changes to the landscape at DPG, especially due to invasion of cheatgrass ( Bromus tectorum ) and addition of artificial water sources, have caused a change in available kit fox habitat and prey species, and have increased the abundance of coyotes, the kit fox's major competitor.     

Diurnal change in stature: effects of sleep deprivation in young men and middle-aged men

Summary Sleep deprivation was associated with decreased stature and it blunted the normal 24-h rhythm in young and in middle-aged men. Loss in stature was regained during the first recovery night of sleep. The 24-h rhythm in height is not an endogenous circadian rhythm but depends upon the periods of recumbency over the sleep/wake cycle.Acknowledgments. The first author was a Medical Research Council scholar; the second was supported by the Scottish Hospital Endowments Research Trust.     

On the limitations of comparing mean square forecast errors

Linear models are invariant under non-singular, scale-preserving linear transformations, whereas mean square forecast errors (MSFEs) are not. Different rankings may result across models or methods from choosing alternative yet isomorphic representations of a process. One approach can dominate others for comparisons in levels, yet lose to another for differences, to a second for cointegrating vectors and to a third for combinations of variables. The potential for switches in ranking is related to criticisms of the inadequacy of MSFE against encompassing criteria, which are invariant under linear transforms and entail MSFE dominance. An invariant evaluation criterion which avoids misleading outcomes is examined in a Monte Carlo study of forecasting methods.     

大科学:跌入凡尘奈若何

国际空间站和欧洲核子中心的大型强子对撞机 (LHC)计划目前都面临资金上的窘境 ;……除了对项目 (尤其是耗资巨大的项目 )预算的科学化 ,管理的科学化在其中尤显重要