Nelson–Siegel,Affine and Quadratic Yield Curve Specifications: Which One is Better at Forecasting?

In this paper we compare the in‐sample fit and out‐of‐sample forecasting performance of no‐arbitrage quadratic, essentially affine and dynamic Nelson–Siegel term structure models. In total, 11 model variants are evaluated, comprising five quadratic, four affine and two Nelson–Siegel models. Recursive re‐estimation and out‐of‐sample 1‐, 6‐ and 12‐month‐ahead forecasts are generated and evaluated using monthly US data for yields observed at maturities of 1, 6, 12, 24, 60 and 120 months. Our results indicate that quadratic models provide the best in‐sample fit, while the best out‐of‐sample performance is generated by three‐factor affine models and the dynamic Nelson–Siegel model variants. Statistical tests fail to identify one single best forecasting model class. Copyright © 2011 John Wiley & Sons, Ltd.     

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.     

Loci on 20q13 and 21q22 are associated with pediatric-onset inflammatory bowel disease

Inflammatory bowel disease (IBD) is a common inflammatory disorder with complex etiology that involves both genetic and environmental triggers, including but not limited to defects in bacterial clearance, defective mucosal barrier and persistent dysregulation of the immune response to commensal intestinal bacteria. IBD is characterized by two distinct phenotypes: Crohn's disease (CD) and ulcerative colitis (UC). Previously reported GWA studies have identified genetic variation accounting for a small portion of the overall genetic susceptibility to CD and an even smaller contribution to UC pathogenesis. We hypothesized that stratification of IBD by age of onset might identify additional genes associated with IBD. To that end, we carried out a GWA analysis in a cohort of 1,011 individuals with pediatric-onset IBD and 4,250 matched controls. We identified and replicated significantly associated, previously unreported loci on chromosomes 20q13 (rs2315008[T] and rs4809330[A]; P = 6.30 x 10(-8) and 6.95 x 10(-8), respectively; odds ratio (OR) = 0.74 for both) and 21q22 (rs2836878[A]; P = 6.01 x 10(-8); OR = 0.73), located close to the TNFRSF6B and PSMG1 genes, respectively.     

Common sequence variants on 20q11.22 confer melanoma susceptibility

We conducted a genome-wide association pooling study for cutaneous melanoma and performed validation in samples totaling 2,019 cases and 2,105 controls. Using pooling, we identified a new melanoma risk locus on chromosome 20 (rs910873 and rs1885120), with replication in two further samples (combined P < 1 x 10(-15)). The per allele odds ratio was 1.75 (1.53, 2.01), with evidence for stronger association in early-onset cases.     

Testing for Granger (non‐)causality in a time‐varying coefficient VAR model

In this paper we propose Granger (non‐)causality tests based on a VAR model allowing for time‐varying coefficients. The functional form of the time‐varying coefficients is a logistic smooth transition autoregressive (LSTAR) model using time as the transition variable. The model allows for testing Granger non‐causality when the VAR is subject to a smooth break in the coefficients of the Granger causal variables. The proposed test then is applied to the money–output relationship using quarterly US data for the period 1952:2–2002:4. We find that causality from money to output becomes stronger after 1978:4 and the model is shown to have a good out‐of‐sample forecasting performance for output relative to a linear VAR model. Copyright © 2008 John Wiley & Sons, Ltd.     

Cellular and secreted tumor plasminogen activator: The effects of NaCl

Summary Plasminogen activator, secreted by metastatic tumor cells, was strongly inhibited in buffer or tissue culture medium containing physiological concentrations of NaCl. Intact cells, however, expressed strong activity under similar conditions. Thus, if plasminogen activator is involved in invasion and metastasis, the cellular activity, acting as an ectoenzyme, may be more important than secreted enzyme under physiological conditions.     

Random walk hypothesis in exchange rate reconsidered

An econometric model for exchange rate based on the behavior of dynamic international asset allocation is considered. The capital movement intensity index is constructed from the adjustment of a fully hedged international portfolio. Including this index as an additional explanatory variable helps to explain the fluctuation of the exchange rate and predict better than the competing random walk model. Supporting empirical evidence is found in Germany–USA, Japan–USA, Singapore–USA and Taiwan–USA exchange markets. Copyright © 2006 John Wiley & Sons, Ltd.     

Water alteration of rocks and soils on Mars at the Spirit rover site in Gusev crater

Gusev crater was selected as the landing site for the Spirit rover because of the possibility that it once held a lake. Thus one of the rover's tasks was to search for evidence of lake sediments. However, the plains at the landing site were found to be covered by a regolith composed of olivine-rich basaltic rock and windblown 'global' dust. The analyses of three rock interiors exposed by the rock abrasion tool showed that they are similar to one another, consistent with having originated from a common lava flow. Here we report the investigation of soils, rock coatings and rock interiors by the Spirit rover from sol (martian day) 1 to sol 156, from its landing site to the base of the Columbia hills. The physical and chemical characteristics of the materials analysed provide evidence for limited but unequivocal interaction between water and the volcanic rocks of the Gusev plains. This evidence includes the softness of rock interiors that contain anomalously high concentrations of sulphur, chlorine and bromine relative to terrestrial basalts and martian meteorites; sulphur, chlorine and ferric iron enrichments in multilayer coatings on the light-toned rock Mazatzal; high bromine concentration in filled vugs and veins within the plains basalts; positive correlations between magnesium, sulphur and other salt components in trench soils; and decoupling of sulphur, chlorine and bromine concentrations in trench soils compared to Gusev surface soils, indicating chemical mobility and separation.     

CD1c-mediated T-cell recognition of isoprenoid glycolipids in Mycobacterium tuberculosis infection

The discovery of the CD1 antigen presentation pathway has expanded the spectrum of T-cell antigens to include lipids, but the range of natural lipid antigens and functions of CD1-restricted T cells in vivo remain poorly understood. Here we show that the T-cell antigen receptor and the CD1c protein mediate recognition of an evolutionarily conserved family of isoprenoid glycolipids whose members include essential components of protein glycosylation and cell-wall synthesis pathways. A CD1c-restricted, mycobacteria-specific T-cell line recognized two previously unknown mycobacterial hexosyl-1-phosphoisoprenoids and structurally related mannosyl-beta1-phosphodolichols. Responses to mannosyl-beta1-phosphodolichols were common among CD1c-restricted T-cell lines and peripheral blood T lymphocytes of human subjects recently infected with M. tuberculosis, but were not seen in naive control subjects. These results define a new class of broadly distributed lipid antigens presented by the CD1 system during infection in vivo and suggest an immune mechanism for recognition of senescent or transformed cells that are known to have altered dolichol lipids.