Forecasting commodity prices: GARCH,jumps, and mean reversion

In examining stochastic models for commodity prices, central questions often revolve around time‐varying trend, stochastic convenience yield and volatility, and mean reversion. This paper seeks to assess and compare alternative approaches to modelling these effects, with focus on forecast performance. Three specifications are considered: (i) random‐walk models with GARCH and normal or Student‐t innovations; (ii) Poisson‐based jump‐diffusion models with GARCH and normal or Student‐t innovations; and (iii) mean‐reverting models that allow for uncertainty in equilibrium price. Our empirical application makes use of aluminium spot and futures price series at daily and weekly frequencies. Results show: (i) models with stochastic convenience yield outperform all other competing models, and for all forecast horizons; (ii) the use of futures prices does not always yield lower forecast error values compared to the use of spot prices; and (iii) within the class of (G)ARCH random‐walk models, no model uniformly dominates the other. Copyright © 2008 John Wiley & Sons, Ltd.     

Aluminium in Alzheimer’s disease: are we still at a crossroad?

Aluminium, an environmentally abundant non-redox trivalent cation has long been implicated in the pathogenesis of Alzheimers disease (AD). However, the definite mechanism of aluminium toxicity in AD is not known. Evidence suggests that trace metal homeostasis plays a crucial role in the normal functioning of the brain, and any disturbance in it can exacerbate events associated with AD. The present paper reviews the scientific literature linking aluminium with AD. The focus is on aluminium levels in brain, region-specific and subcellular distribution, its relation to neurofibrillary tangles, amyloid beta, and other metals. A detailed mechanism of the role of aluminium in oxidative stress and cell death is highlighted. The importance of complex speciation chemistry of aluminium in relation to biology has been emphasized. The debatable role of aluminium in AD and the cross-talk between aluminium and genetic susceptibility are also discussed. Finally, it is concluded based on extensive literature that the neurotoxic effects of aluminium are beyond any doubt, and aluminium as a factor in AD cannot be discarded. However, whether aluminium is a sole factor in AD and whether it is a factor in all AD cases still needs to be understood.Received 22 July 2004; received after revision 3 September 2004; accepted 16 September 2004     

Covariance estimation for multivariate conditionally Gaussian dynamic linear models

In multivariate time series, estimation of the covariance matrix of observation innovations plays an important role in forecasting as it enables computation of standardized forecast error vectors as well as the computation of confidence bounds of forecasts. We develop an online, non‐iterative Bayesian algorithm for estimation and forecasting. It is empirically found that, for a range of simulated time series, the proposed covariance estimator has good performance converging to the true values of the unknown observation covariance matrix. Over a simulated time series, the new method approximates the correct estimates, produced by a non‐sequential Monte Carlo simulation procedure, which is used here as the gold standard. The special, but important, vector autoregressive (VAR) and time‐varying VAR models are illustrated by considering London metal exchange data consisting of spot prices of aluminium, copper, lead and zinc. Copyright © 2007 John Wiley & Sons, Ltd.     

泡沫铝汽车碰撞吸能器仿真分析

提出了在汽车保险杠和前纵梁之间安装泡沫铝吸能器的方案,并对此结构进行了总体设计.采用 CATIA ANSYS DYNA3D联合建模求解技术对汽车碰撞进行了仿真分析,得出了安装泡沫铝吸能器前后汽车质心加速度曲线、吸能曲线及车体应力分布图.结果表明,应用泡沫铝汽车碰撞缓冲吸能器可提高汽车的安全性.本研究为泡沫铝在汽车中的应用提供了参考依据,也为汽车满足轻质、节能、环保、安全等方面的需要提供了新途径     

Effects of aluminium hydroxide on restraint-induced and restraint delay-induced gastric ulceration in rats

Summary Rats given aluminium hydroxide after cold-restraint stress but before the post-stress delay period, ulcerated significantly less severely and less frequently than rats given the drug before cold-restraint stress or those given water at either time period. Both aluminium hydroxide treated groups exhibited less ulceration than non-drug groups. These data suggest profound parasympathetic and hence, gastric acid, involvement in restraint delay-induced ulceration in rats.     

制备泡沫铝的一种新方法:烧结溶解法

烧结溶解法是近几年发展起来的一种制造泡沫铝的新工艺，具有可以精确控制孔洞形状，尺寸和孔隙率及其分布等特点，具有较好的质量价格综合指数，是生产均匀或梯度微细开孔中密度泡沫铝的有效方法，所制泡沫铝在吸能，吸音等领域有广泛的应用前景。本文简要介绍烧结溶解法的原理与工艺，所制泡沫铝的组织特征与机械性能，并讨论与其它各类现有方法相比所具有的优势与局限。     

Light metal compound casting

Compound castingsimplifies joining processes by directly casting a metallic melt onto a solid metal substrate.A continuously metallurgic transition is very important for industrial applications,such as joint structures of spaceframe constructions in transport industry.In this project,compound castingof light metals is investigated,aiming at weight-saving.The substrate used is a wrought aluminium alloy of type AA5xxx,containing magnesium as main alloying element. The melts are aluminium alloys,containing var...     

Modelle für Reaktionen zwischen organischen und mineralischen Substanzen im Boden

Summary Low molecular siloxanes, silicagel, aluminium oxide, permutite, and perlite were dissolved by ammoniacal catechol solution. Silicagel was also dissolved by othero-diphenols. Low molecular silicon organic ester or complex compounds were crystallised from the reaction products of silicagel with catechol and 2,3-naphthalenediol. On orthoclase an insoluble brown cover was formed. The reaction ofo-diphenols with silicates may be important in soil formation.     

Reduced carbonic anhydrase and Na−K-ATPase activity in gills of salmonids exposed to aluminium-containing acid water

Summary Exposure of young specimens ofS. salar andS. gairdneri to aluminium concentrations of 200 g/l in water at pH 5 induced reductions of 25–40% in the activity of carbonic anhydrase and Na–K-ATPase in the gills.Fish were generously supplied by Settefiskanlegget A/S, Lundamo and the Research Station for Salmonids, Sunndalsøra.     

Über die Synthese einiger Polychlorpolyene und die Atropisomerie der Oktachlorhexatriene

Summary The synthesis of some unsaturated polychloro compounds, starting from the heptachloropropanes, octachloropropane and hexachloropropane, by means of aluminium in ether is described. For four compounds C₆Cl₈, subject to some conversions, the structure of octachlorohexatriene-(1, 3, 5) has been made probable, and the possibility of a special stereoisomerism is discussed.

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Mitteilung «über Polyhalogenverbindungen»; 1. Mitteilung siehe Chem. Ber.80, 206 (1947). Die ausführliche Veröffentlichung dieser Arbeit folgt ebendort.     

Zur Methodik der Artefaktausschaltung bei Anwendung von Diazoniumsalzen in der Histochemie (Phosphatasen,Esterasen usw.)

Summary A post-incubation with 1% sulfanilic acid solution in 10% CH₃COOH (approx. 2–10 min) or 5–10% potash alum or 0.5 mol AlCl₃ in 0, 1n HCl-after the histochemical reaction with diazonium salt-prevents N₂ formation. This gas originates from decomposition of tissue adsorbed diazonium salt which occurs after mounting in glycerin jelly. The inhibition of diazo-group disintegration depends, in the case of sulfanilic acid, on the formation of a diazoamino compound or double salt production with aluminium ions in the case of AlCl₃.     

The effect of activated dimethicone,other antacid constituents,and kaolin on the absorption of propranolol

Summary A study was made of the effect of 6 commonly used gastrointestinal preparations on the absorption of propranolol using an in vitro experimental model. The constituents examined were activated dimethicone, aluminium hydroxide gel, bismuth carbonate, kaolin, magnesium carbonate, and magnesium trisilicate. A slight decreased propranolol absorption was given by kaolin (−13.0%), the other components showed smaller effects ranging from −6.8% to +6.6%. None of the results were statistically significantly different from control absorption values. Acknowledgment. We are grateful to I.C.I. Ltd, Macclesfield, England, for the gift of propranolol hydrochloride and to Galen Ltd, Craigavon, Northern Ireland, for the gift of dimethicone.     

Leukocyte migration toward the alveoli]

Migratory processes of leukocytes toward alveolus have been studied after intratracheal injection of aluminium or beryllium hydroxide. Migrating cells could only be observed during the first three days following the injection. Three migrating processes were pointed out and especially an emperipolesis phenomenon. This morphological observation and cytokinetic study of septal cells, exclude the existence of a precursor septal pool involved in a maturation process of alveolar macrophages.     

Interaction of digoxin with activated dimethicone and other antacid constituents

Summary A study was made of the effect of activated dimethicone on the absorption of digoxin in relation to other commonly used antacid constituents using an in vitro experimental model. Dimethicone was found not to affect the absorption of digoxin in relation to aluminium hydroxide, bismuth carbonate, light magnesium carbonate and magnesium trisilicate whose effects on the absorption of digoxin were in agreement with values reported in the literature.     

The anatomical and physiological bibliography of George E. Day (1815–1872)

The history of the Greenlandic mineral cryolite is outlined from its discovery in late-eighteenth century to the mid-nineteenth century, when its potential for industrial use was first recognized by the Danish chemist Julius Thomsen. During the 1850s, several attempts were made to exploit cryolite for the production of soda and/or aluminium, of which only the soda process became implemented on an industrial scale. The main part of the paper examines the early cryolite soda manufacture, its chemical basis as well as its industrial significance. The focus is thus the intersection of chemical science and technology. It is argued that Thomsen's process depended intimately on current chemical knowledge, and that, with regard to the science-technology relationship, the cryolite soda manufacture signified a new kind of industrial chemistry.     

Playing with molecules

Recent philosophy of science has seen a number of attempts to understand scientific models by looking to theories of fiction. In previous work, I have offered an account of models that draws on Kendall Walton’s ‘make-believe’ theory of art. According to this account, models function as ‘props’ in games of make-believe, like children’s dolls or toy trucks. In this paper, I assess the make-believe view through an empirical study of molecular models. I suggest that the view gains support when we look at the way that these models are used and the attitude that users take towards them. Users’ interaction with molecular models suggests that they do imagine the models to be molecules, in much the same way that children imagine a doll to be a baby. Furthermore, I argue, users of molecular models imagine themselves viewing and manipulating molecules, just as children playing with a doll might imagine themselves looking at a baby or feeding it. Recognising this ‘participation’ in modelling, I suggest, points towards a new account of how models are used to learn about the world, and helps us to understand the value that scientists sometimes place on three-dimensional, physical models over other forms of representation.     

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.     

Forecasting Performance of Nonlinear Models for Intraday Stock Returns

We studied the predictability of intraday stock market returns using both linear and nonlinear time series models. For the S&P 500 index we compared simple autoregressive and random walk linear models with a range of nonlinear models, including smooth transition, Markov switching, artificial neural network, nonparametric kernel regression and support vector machine models for horizons of 5, 10, 20, 30 and 60 minutes. The empirical results indicate that nonlinear models outperformed linear models on the basis of both statistical and economic criteria. Specifically, although return serial correlation receded by around 10 minutes, return predictability still persisted for up to 60 minutes according to nonlinear models, even though profitability decreases as time elapses. More flexible nonlinear models such as support vector machines and artificial neural network did not clearly outperform other nonlinear models. Copyright © 2011 John Wiley & Sons, Ltd.     

The role of macroeconometric models in forecasting and policy analysis in the united states

This article stresses how little is known about the quality, particularly the relative quality, of macroeconometric models. Most economists make a strict distinction between the quality of a model per se and the accuracy of solutions based on that model. While this distinction is valid, it leaves unanswered how to compare the‘validity’of conditional models. The standard test, the accuracy of ex post simulations, is not definitive when models with differing degrees of exogeneity are compared. In addition, it is extremely difficult to estimate the relative quantitative importance of conceptual problems of models, such as parameter instability across‘policy regimes’ In light of the difficulty in comparisons of conditional macroeconometric models, many model-builders and users assume that the best models are those that have been used to make the most accurate forecasts are those made with the best models. Forecasting experience indicates that forecasters using macroeconometric models have produced more accurate macroeconomic forecasts than either naive or sophisticated unconditional statistical models. It also suggests that judgementally adjusted forecasts have been more accurate than model-based forecasts generated mechanically. The influence of econometrically-based forecasts is now so pervasive that it is difficult to find examples of‘purely judgemental’forecasts.     

Alternative regime switching models for forecasting inflation

US inflation appears to undergo shifts in its mean level and variability. We evaluate the performance of three useful models for capturing such shifts. The models studied are the Markov switching models, state space models with heavy‐tailed errors, and state space models with compound error distributions. Our study shows that all three models have very similar performance when evaluated in terms of the mean squared or mean absolute forecast errors. However, the latter two models are considerably more parsimonious, and easily beat the more profligately parameterized Markov switching models in terms of model selection criteria, such as the AIC or the SBC. Thus, these may serve as useful continuous alternatives to the popular discrete Markov switching models for capturing shifts in time series. Copyright © 2001 John Wiley & Sons, Ltd.