On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model

Recent multivariate extensions of the popular heterogeneous autoregressive model (HAR) for realized volatility leave substantial information unmodelled in residuals. We propose to employ a system of seemingly unrelated regressions to model and forecast a realized covariance matrix to capture this information. We find that the newly proposed generalized heterogeneous autoregressive (GHAR) model outperforms competing approaches in terms of economic gains, providing better mean–variance trade‐off, while, in terms of statistical precision, GHAR is not substantially dominated by any other model. Our results provide a comprehensive comparison of the performance when realized covariance, subsampled realized covariance and multivariate realized kernel estimators are used. We study the contribution of the estimators across different sampling frequencies, and show that the multivariate realized kernel and subsampled realized covariance estimators deliver further gains compared to realized covariance estimated on a 5‐minute frequency. In order to show economic and statistical gains, a portfolio of various sizes is used. Copyright © 2016 John Wiley & Sons, Ltd.     

A new parasitoid (Hymenoptera: Braconidae: Aphidiinae) of the invasive bamboo aphids Takecallis spp. (Hemiptera: Aphididae) from Western Europe

A long-term survey of tritrophic (plant–aphid–parasitoid) associations in the urban ecosystems of Lleida (Catalonia) and Paris (France) resulted in the detection of associations of two bamboo aphids, Takecallis arundinariae (Essig) and Takecallis taiwanus (Takahashi), respectively, with a new aphid parasitoid species. Trioxys remaudierei Starý & Rakhshani sp. nov. is described and illustrated as a unique parasitoid of Takecallis aphids outside the area of their origin. The new species is easily distinguishable from its congeners in having the ventral prongs of the abdomen fused over two-thirds of their length, then bifurcated towards the tip. The only morphologically similar species is Trioxys betulae (Marshall), which exhibits a clearly different prong shape (and has a different host range, Symydobius Mordvilko and Clethrobius Mordvilko). The new species is compared with allied taxa associated with bamboo aphids. The occurrence of Takecallis taiwanus on bamboo is recorded in France for the first time.

www.zoobank.org/urn:lsid:zoobank.org:pub:ED15BA16-E8A9-4CEA-BDA7-FBAB02FEB091     

Microhabitat selection in the sand recluse spider (Sicarius thomisoides): the effect of rock size and temperature

In spiders, temperature is considered an important environmental variable for microhabitat selection. In this study, we evaluated the effect of temperature and rock size on the presence of the sand recluse spider Sicarius thomisoides and the degree of selectivity in different locations. This species is a large spider that lives under rocks in desert and semi-desert climates and is particularly active during the summer. In Chile, these spiders can be found at both coastal and inland locations under different thermal conditions, where usually the temperatures are lower near the coast. If large-scale climatic conditions are important for this species, they may be expected to select lower rock temperatures on the coast than at inland locations. In addition, we would expect that the spiders would choose larger rocks in inland compared to coast locations, which reduce the effect of high temperatures. We found that the probability of finding individuals of this species increased according to rock temperature and rock size in the field. Our results suggest that S. thomisoides prefers larger and warmer rocks to shelter under during the day, this selectivity being similar at both coastal and inland locations. Thus, this species tends to select rocks with the same thermal and structural conditions, independent of the climatic conditions.     

Massive glycosaminoglycan-dependent entry of Trp-containing cell-penetrating peptides induced by exogenous sphingomyelinase or cholesterol depletion

Among non-invasive cell delivery strategies, cell-penetrating peptide (CPP) vectors represent interesting new tools. To get fundamental knowledge about the still debated internalisation mechanisms of these peptides, we modified the membrane content of cells, typically by hydrolysis of sphingomyelin or depletion of cholesterol from the membrane outer leaflet. We quantified and visualised the effect of these viable cell surface treatments on the internalisation efficiency of different CPPs, among which the most studied Tat, R₉, penetratin and analogues, that all carry the N-terminal biotin-Gly₄ tag cargo. Under these cell membrane treatments, only penetratin and R₆W₃ underwent a massive glycosaminoglycan (GAG)-dependent entry in cells. Internalisation of the other peptides was only slightly increased, similarly in the absence or the presence of GAGs for R₉, and only in the presence of GAGs for Tat and R₆L₃. Ceramide formation (or cholesterol depletion) is known to lead to the reorganisation of membrane lipid domains into larger platforms, which can serve as a trap and cluster receptors. These results show that GAG clustering, enhanced by formation of ceramide, is efficiently exploited by penetratin and R₆W₃, which contains Trp residues in their sequence but not Tat, R₉ and R₆L₃. Hence, these data shed new lights on the differences in the internalisation mechanism and pathway of these peptides that are widely used in delivery of cargo molecules.     

Forecasting Longevity Gains Using a Seemingly Unrelated Time Series Model

In this paper a multivariate time series model using the seemingly unrelated time series equation (SUTSE) framework is proposed to forecast longevity gains. The proposed model is represented in state space form and uses Kalman filtering to estimate the unobservable components and fixed parameters. We apply the model both to male mortality rates in Portugal and the USA. Our results compare favorably, in terms of mean absolute percentage error, in‐sample and out‐of‐sample, to those obtained by the Lee–Carter method and some of its extensions. Copyright © 2015 John Wiley & Sons, Ltd.     

Year-round activity patterns in a hyperdiverse community of rainforest amphibians in Madagascar

Madagascar hosts a high diversity of amphibians estimated at over 500 species, nearly all of them endemic. Surprisingly few data are available on the activity cycles of this fauna, despite its importance for ecological, evolutionary and conservation research. Here we report the results of a year-round survey of amphibians along a transect bordering the Analamazaotra forest near Andasibe in central eastern Madagascar. During 120 transect walks evenly spaced through the year, a total of 2530 individuals of 40 species of anurans was observed. Abundance was higher during the warm/rainy season (December to April) and peaked in February. Of the five climatic predictors measured, only mean temperature and relative humidity showed high importance values, and multi-model averages indicate that these two variables have a strong effect on amphibian abundance along the transect. Species richness showed no evident peak during the study period and was best explained by a model including average temperature and rainfall. Canonical correspondence analysis indicates that Boophis sibilans, B. tephraeomystax, B. boehmei and Plethodontohyla notosticta were more frequently encountered along the transect on cold and humid days while Plethodontohyla mihanika, Gephyromantis boulengeri and Spinomantis aglavei were distinctly more abundant on cold and dry days, and Paradoxophyla palmata on warm and dry days. The results of our study flag a number of species as suitable candidates for future monitoring initiatives and suggest that a simple combination of visual and acoustic surveys can estimate amphibian activity with high sample sizes in Madagascar’s rainforests.     

A decision rule to minimize daily capital charges in forecasting value‐at‐risk

Under the Basel II Accord, banks and other authorized deposit‐taking institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of value‐at‐risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realized losses are above the estimated risk. In this paper we analyze the profit‐maximizing problem of an ADI subject to capital requirements under the Basel II Accord as ADIs have to choose an optimal VaR reporting strategy that minimizes daily capital charges. Accordingly, we suggest a dynamic communication and forecasting strategy that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor's 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits. Copyright © 2009 John Wiley & Sons, Ltd.