A cryptic intermediate in the evolution of chameleon tongue projection

An incipient form of tongue projection occurs in Phrynocephalus helioscopus, a generalized agamid lizard. We argue that this condition represents a functional intermediate between typical lingual prehension and chamaeleontid tongue projection, and that tongue projection evolved in chameleons by augmentation of ancestral mechanisms still operating in related, generalized lizards.     

Bayesian Forecasting for Financial Risk Management,Pre and Post the Global Financial Crisis

Value‐at‐risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models is compared, including standard, threshold nonlinear and Markov switching generalized autoregressive conditional heteroskedasticity (GARCH) specifications, plus standard and nonlinear stochastic volatility models, most considering four error probability distributions: Gaussian, Student‐t, skewed‐t and generalized error distribution. Adaptive Markov chain Monte Carlo methods are employed in estimation and forecasting. A portfolio of four Asia–Pacific stock markets is considered. Two forecasting periods are evaluated in light of the recent global financial crisis. Results reveal that: (i) GARCH models outperformed stochastic volatility models in almost all cases; (ii) asymmetric volatility models were clearly favoured pre crisis, while at the 1% level during and post crisis, for a 1‐day horizon, models with skewed‐t errors ranked best, while integrated GARCH models were favoured at the 5% level; (iii) all models forecast VaR less accurately and anti‐conservatively post crisis. Copyright © 2011 John Wiley & Sons, Ltd.     

Licht- und elektronenmikroskopische Befunde an den Geschmacksknospen der Axolotlzunge

Summary The investigation of the taste buds in the tongue of the neotene Mexican axolotl (Siredon mexicanum) by light and electron microscopy demonstrates 4 different cell types: 1) R-cells, marginal cells of less differentiated character. 2) G-cells, granulated cells in basal position. 3) Cells of type A with fibrills, vesicular elements, and dark bodies, showing supporting and secretory function. 4) Cells of type B with an agranular endoplasmic reticulum in stripe like arrangement, supposed to be receptor cells.     

Insolubility of the quantum measurement problem for unsharp observables

The quantum mechanical measurement problem is the difficulty of dealing with the indefiniteness of the pointer observable at the conclusion of a measurement process governed by unitary quantum dynamics. There has been hope to solve this problem by eliminating idealizations from the characterization of measurement. We state and prove two ‘insolubility theorems’ that disappoint this hope. In both the initial state of the apparatus is taken to be mixed rather than pure, and the correlation of the object observable and the pointer observable is allowed to be imperfect. In the insolubility theorem for sharp observables, which is only a modest extension of previous results, the object observable is taken to be an arbitrary projection valued measure. In the insolubility theorem for unsharp observables, which is essentially new, the object observable is taken to be a positive operator valued measure. Both theorems show that the measurement problem is not the consequence of neglecting the ever-present imperfections of actual measurements.     

Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model

A recent study by Rapach, Strauss, and Zhou (Journal of Finance, 2013, 68(4), 1633–1662) shows that US stock returns can provide predictive content for international stock returns. We extend their work from a volatility perspective. We propose a model, namely a heterogeneous volatility spillover–generalized autoregressive conditional heteroskedasticity model, to investigate volatility spillover. The model specification is parsimonious and can be used to analyze the time variation property of the spillover effect. Our in‐sample evidence shows the existence of strong volatility spillover from the US to five major stock markets and indicates that the spillover was stronger during business cycle recessions in the USA. Out‐of‐sample results show that accounting for spillover information from the USA can significantly improve the forecasting accuracy of international stock price volatility.     

Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

The best prediction of generalized autoregressive conditional heteroskedasticity (GARCH) models with α‐stable innovations, α‐stable power‐GARCH models and autoregressive moving average (ARMA) models with GARCH in mean effects (ARMA‐GARCH‐M) are proposed. We present a sufficient condition for stationarity of α‐stable GARCH models. The prediction methods are easy to implement in practice. The proposed prediction methods are applied for predicting future values of the daily SP500 stock market and wind speed data.     

Detrending economic time series: a Bayesian generalization of the Hodrick–Prescott filter

This article develops a new method for detrending time series. It is shown how, in a Bayesian framework, a generalized version of the Hodrick–Prescott filter is obtained by specifying prior densities on the signal‐to‐noise ratio (q) in the underlying unobserved components model. This helps ensure an appropriate degree of smoothness in the estimated trend while allowing for uncertainty in q. The article discusses the important issue of prior elicitation for time series recorded at different frequencies. By combining prior expectations with the likelihood, the Bayesian approach permits detrending in a way that is more consistent with the properties of the series. The method is illustrated with some quarterly and annual US macroeconomic series. Copyright © 2006 John Wiley & Sons, Ltd.     

Mitochondrial abnormalities in fibroblast line GM3093 defective in oxidative metabolism

Summary Fibroblast line GM3093 deficient in the activity of the pyruvate dehydrogenase complex, was derived from a patient reported to have an inherited defect affecting the tricarboxylic acid cycle. Our results suggest a generalized defect consisting of few and abnormal mitochondria and low activities of all mitochondrial enzymes examined.Preliminary reports of aspects of this work appeared as abstracts in Trans. Am. Soc. Neurochem.15 (1984) 178, and Soc. Neurosci.10 (1984) 996.Developmental and Metabolic Neurology Branch.Surgical Neurology Branch.     

Geometry of Light and Shadow: Francesco Maurolyco (1494–1575) and the Pinhole Camera

In his Theoremata de lumine, et umbre (1521), Francesco Maurolyco (1494–1575) discussed, inter alia, the problem of the pinhole camera. Maurolyco outlined a framework based on Euclidean geometry in which he applied the rectilinear propagation of light to the casting of shadow on a screen behind a pinhole. We limit our discussion to the problem of how the image behind an aperture is formed, and follow the way Maurolyco combined theory with instrument to solve the problem of the projection of light through small apertures. We show that Maurolyco not only reformed the classical sources which, he thought, were no longer the authoritative code of textual knowledge, but also established with the dioptra a novel linkage of method, theory, and instrument. He thereby demonstrated the importance of optics to the science of astronomy.     

Prediction in a Generalized Spatial Panel Data Model with Serial Correlation

This paper considers the generalized spatial panel data model with serial correlation proposed by Lee and Yu (Spatial panels: random components versus fixed effects. International Economic Review 2012; 53 : 1369–1412.), which encompasses many of the spatial panel data models considered in the literature, and derives the best linear unbiased predictor (BLUP) for that model. This in turn provides valuable BLUP for several spatial panel models as Special Cases. Copyright © 2016 John Wiley & Sons, Ltd.     

Prediction in the Random Effects Model with MA (q) Remainder Disturbances

This paper considers the problem of forecasting in a panel data model with random individual effects and MA (q) remainder disturbances. It utilizes a recursive transformation for the MA (q) process derived by Baltagi and Li (Econometric Theory 1994; 10 : 396–408) which yields a simple generalized least‐squares estimator for this model. This recursive transformation is used in conjunction with Goldberger's result (Journal of the American Statistical Association 1962; 57 : 369–375) to derive an analytic expression for the best linear unbiased predictor, for the ith cross‐sectional unit, s periods ahead. Copyright © 2011 John Wiley & Sons, Ltd.     

Did Einstein prove E=mc2?

Although Einstein's name is closely linked with the celebrated relation E=mc² between mass and energy, a critical examination of the more than half dozen “proofs” of this relation that Einstein produced over a span of forty years reveals that all these proofs suffer from mistakes. Einstein introduced unjustified assumptions, committed fatal errors in logic, or adopted low-speed, restrictive approximations. He never succeeded in producing a valid general proof applicable to a realistic system with arbitrarily large internal speeds. The first such general proof was produced by Max Laue in 1911 (for “closed” systems with a time-independent energy–momentum tensor) and it was generalized by Felix Klein in 1918 (for arbitrary time-dependent “closed” systems).     

Quantile Double AR Time Series Models for Financial Returns

We develop a novel quantile double autoregressive model for modelling financial time series. This is done by specifying a generalized lambda distribution to the quantile function of the location‐scale double autoregressive model developed by Ling (2004, 2007). Parameter estimation uses Markov chain Monte Carlo Bayesian methods. A simulation technique is introduced for forecasting the conditional distribution of financial returns m periods ahead, and hence any for predictive quantities of interest. The application to forecasting value‐at‐risk at different time horizons and coverage probabilities for Dow Jones Industrial Average shows that our method works very well in practice. Copyright © 2013 John Wiley & Sons, Ltd.     

Uncomfortable bedfellows: Objective quantum Bayesianism and the von Neumann–Lüders projection postulate

In this paper I critically evaluate the justification of the von Neumann–Lüders projection postulate for state changes in projective measurement contexts from the objective quantum Bayesian perspective. I point out that the justification provided so far for the von Neumann–Lüders projection postulate is insufficient. I argue that the best way to correct this problem is to make an assumption, Benign Realism, which is contradictory to the objective quantum Bayesian interpretation of quantum states.     

The total cost of misclassification in credit scoring: A comparison of generalized linear models and generalized additive models

This study examines whether the evaluation of a bankruptcy prediction model should take into account the total cost of misclassification. For this purpose, we introduce and apply a validity measure in credit scoring that is based on the total cost of misclassification. Specifically, we use comprehensive data from the annual financial statements of a sample of German companies and analyze the total cost of misclassification by comparing a generalized linear model and a generalized additive model with regard to their ability to predict a company's probability of default. On the basis of these data, the validity measure we introduce shows that, compared to generalized linear models, generalized additive models can reduce substantially the extent of misclassification and the total cost that this entails. The validity measure we introduce is informative and justifies the argument that generalized additive models should be preferred, although such models are more complex than generalized linear models. We conclude that to balance a model's validity and complexity, it is necessary to take into account the total cost of misclassification.     

Pigment-dispersing hormone in <Emphasis Type="Italic">Daphnia</Emphasis> interneurons,one type homologous to insect clock neurons displaying circadian rhythmicity

We report identification of a beta-type pigment-dispersing hormone (PDH) identical in two water flea species, Daphnia magna and Daphnia pulex. It has been identified by cloning of precursors, chromatographic isolation from tissue extracts followed by immunoassays and de novo-mass spectrometric sequencing. The peptide is restricted to a complex system of distinct interneurons in the brain and visual ganglia, but does not occur in neurosecretory cells projecting to neurohemal organs as in decapod crustaceans. Thirteen neuron types individually identified and reconstructed by immunohistochemistry were almost identical in terms of positions and projection patterns in both species. Several neurons invade and form plexuses in visual ganglia and major brain neuropils including the central body. Five neuron types show contralateral pathways and form plexuses in the lateral, dorsal, or postlateral brain neuropils. Others are local interneurons, and a tritocerebral neuron connects the protocerebrum with the neuropil of the locomotory second antenna. Two visual ganglia neuron types lateral to the medulla closely resemble insect medulla lateral circadian clock neurons containing pigment-dispersing factor based upon positional and projectional criteria. Experiments under 12:12 h light/dark cycles and constant light or darkness conditions showed significant circadian changes in numbers and activities of one type of medulla lateral PDH neuron with an acrophase in the evening. This simple PDH system shows striking homologies to PDH systems in decapod crustaceans and well-known clock neurons in several insects, which suggests evolutionary conservation of an ancient peptidergic interneuronal system that is part of biological clocks.     

Backtesting Value‐at‐Risk: A Generalized Markov Test

Testing the validity of value‐at‐risk (VaR) forecasts, or backtesting, is an integral part of modern market risk management and regulation. This is often done by applying independence and coverage tests developed by Christoffersen (International Economic Review, 1998; 39(4), 841–862) to so‐called hit‐sequences derived from VaR forecasts and realized losses. However, as pointed out in the literature, these aforementioned tests suffer from low rejection frequencies, or (empirical) power when applied to hit‐sequences derived from simulations matching empirical stylized characteristics of return data. One key observation of the studies is that higher‐order dependence in the hit‐sequences may cause the observed lower power performance. We propose to generalize the backtest framework for VaR forecasts, by extending the original first‐order dependence of Christoffersen to allow for a higher‐ or kth‐order dependence. We provide closed‐form expressions for the tests as well as asymptotic theory. Not only do the generalized tests have power against kth‐order dependence by definition, but also included simulations indicate improved power performance when replicating the aforementioned studies. Further, included simulations show much improved size properties of one of the suggested tests. Copyright © 2017 John Wiley & Sons, Ltd.     

Multivariate GARCH Models with Correlation Clustering

A new clustered correlation multivariate generalized autoregressive conditional heteroskedasticity (CC‐MGARCH) model that allows conditional correlations to form clusters is proposed. This model generalizes the time‐varying correlation structure of Tse and Tsui (2002, Journal of Business and Economic Statistics 20 : 351–361) by classifying the correlations among the series into groups. To estimate the proposed model, Markov chain Monte Carlo methods are adopted. Two efficient sampling schemes for drawing discrete indicators are also developed. Simulations show that these efficient sampling schemes can lead to substantial savings in computation time in Monte Carlo procedures involving discrete indicators. Empirical examples using stock market and exchange rate data are presented in which two‐cluster and three‐cluster models are selected using posterior probabilities. This implies that the conditional correlation equation is likely to be governed by more than one set of decaying parameters. Copyright © 2011 John Wiley & Sons, Ltd.     

Volatility impulse response analysis for DCC-GARCH models: The role of volatility transmission mechanisms

This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC-GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y lmaz (Journal of Econometrics, 2014, 182(1), 119–134)—is discussed. The main advantages of this framework are (i) that the time-varying dynamics do not underlie a rolling-window approach and (ii) that it allows us to test whether the propagation mechanism is time varying or not. An empirical analysis on the volatility transmission mechanism across foreign exchange rate returns is illustrated. The results indicate that the Swiss franc and the euro are net transmitters of shocks, whereas the British pound and the Japanese yen are net volatility receivers of shocks. Finally, the findings suggest a high degree of comovement across European currencies, which has important portfolio and risk management implications.