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.     

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.     

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’.     

Boltzmann's H-theorem, its discontents, and the birth of statistical mechanics

A comparison is made of the traditional Loschmidt (reversibility) and Zermelo (recurrence) objections to Boltzmann's H-theorem, and its simplified variant in the Ehrenfests’ 1912 wind-tree model. The little-cited 1896 (measure-theoretic) objection of Zermelo (similar to an 1889 argument due to Poincaré) is also analysed. Significant differences between the objections are highlighted, and several old and modern misconceptions concerning both them and the H-theorem are clarified. We give particular emphasis to the radical nature of Poincaré's and Zermelo's attack, and the importance of the shift in Boltzmann's thinking in response to the objections taken together.     

Conservation, status, and life history of the endangered White River spinedace, Lepidomeda albivallis (Cyprinidae)

Lepidomeda albivallis (White River spinedace), a fish species endemic to the White River, Nevada, appeared headed toward extinction. In 1991 only 1 population remained, and it comprised fewer than 50 individuals in a 70-m stream reach. We monitored population recruitment and distribution and studied life history and habitat use from 1993 through 1998. We determined that L. albivallis was not reproducing and was continuing to decline, and as an emergency measure we relocated the population (14 in spring 1995 and 6 in spring 1996) downstream 200 m to a secure habitat that we judged more favorable for reproduction. The relocated population reproduced, and by September 1998 it had increased to 396 individuals that inhabited more than 1 km of stream including both pond and stream habitats. In streams they oriented near the bottom but frequently moved up in the water column to strike at drift items. Gut analysis of museum specimens indicated L. albivallis is omnivorous but feeds primarily upon aquatic invertebrates. Conservation of L. albivallis will require reestablishing additional populations within its former range.     

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.     

Clonal selection drives genetic divergence of metastatic medulloblastoma

Medulloblastoma, the most common malignant paediatric brain tumour, arises in the cerebellum and disseminates through the cerebrospinal fluid in the leptomeningeal space to coat the brain and spinal cord. Dissemination, a marker of poor prognosis, is found in up to 40% of children at diagnosis and in most children at the time of recurrence. Affected children therefore are treated with radiation to the entire developing brain and spinal cord, followed by high-dose chemotherapy, with the ensuing deleterious effects on the developing nervous system. The mechanisms of dissemination through the cerebrospinal fluid are poorly studied, and medulloblastoma metastases have been assumed to be biologically similar to the primary tumour. Here we show that in both mouse and human medulloblastoma, the metastases from an individual are extremely similar to each other but are divergent from the matched primary tumour. Clonal genetic events in the metastases can be demonstrated in a restricted subclone of the primary tumour, suggesting that only rare cells within the primary tumour have the ability to metastasize. Failure to account for the bicompartmental nature of metastatic medulloblastoma could be a major barrier to the development of effective targeted therapies.     

Driver mutations in histone H3.3 and chromatin remodelling genes in paediatric glioblastoma

Glioblastoma multiforme (GBM) is a lethal brain tumour in adults and children. However, DNA copy number and gene expression signatures indicate differences between adult and paediatric cases. To explore the genetic events underlying this distinction, we sequenced the exomes of 48 paediatric GBM samples. Somatic mutations in the H3.3-ATRX-DAXX chromatin remodelling pathway were identified in 44% of tumours (21/48). Recurrent mutations in H3F3A, which encodes the replication-independent histone 3 variant H3.3, were observed in 31% of tumours, and led to amino acid substitutions at two critical positions within the histone tail (K27M, G34R/G34V) involved in key regulatory post-translational modifications. Mutations in ATRX (α-thalassaemia/mental retardation syndrome X-linked) and DAXX (death-domain associated protein), encoding two subunits of a chromatin remodelling complex required for H3.3 incorporation at pericentric heterochromatin and telomeres, were identified in 31% of samples overall, and in 100% of tumours harbouring a G34R or G34V H3.3 mutation. Somatic TP53 mutations were identified in 54% of all cases, and in 86% of samples with H3F3A and/or ATRX mutations. Screening of a large cohort of gliomas of various grades and histologies (n = 784) showed H3F3A mutations to be specific to GBM and highly prevalent in children and young adults. Furthermore, the presence of H3F3A/ATRX-DAXX/TP53 mutations was strongly associated with alternative lengthening of telomeres and specific gene expression profiles. This is, to our knowledge, the first report to highlight recurrent mutations in a regulatory histone in humans, and our data suggest that defects of the chromatin architecture underlie paediatric and young adult GBM pathogenesis.