Bias in the estimation of non‐linear transformations of the integrated variance of returns

Volatility models such as GARCH, although misspecified with respect to the data‐generating process, may well generate volatility forecasts that are unconditionally unbiased. In other words, they generate variance forecasts that, on average, are equal to the integrated variance. However, many applications in finance require a measure of return volatility that is a non‐linear function of the variance of returns, rather than of the variance itself. Even if a volatility model generates forecasts of the integrated variance that are unbiased, non‐linear transformations of these forecasts will be biased estimators of the same non‐linear transformations of the integrated variance because of Jensen's inequality. In this paper, we derive an analytical approximation for the unconditional bias of estimators of non‐linear transformations of the integrated variance. This bias is a function of the volatility of the forecast variance and the volatility of the integrated variance, and depends on the concavity of the non‐linear transformation. In order to estimate the volatility of the unobserved integrated variance, we employ recent results from the realized volatility literature. As an illustration, we estimate the unconditional bias for both in‐sample and out‐of‐sample forecasts of three non‐linear transformations of the integrated standard deviation of returns for three exchange rate return series, where a GARCH(1, 1) model is used to forecast the integrated variance. Our estimation results suggest that, in practice, the bias can be substantial. Copyright © 2006 John Wiley & Sons, Ltd.     

Anthropogenic ocean acidification over the twenty-first century and its impact on calcifying organisms

Today's surface ocean is saturated with respect to calcium carbonate, but increasing atmospheric carbon dioxide concentrations are reducing ocean pH and carbonate ion concentrations, and thus the level of calcium carbonate saturation. Experimental evidence suggests that if these trends continue, key marine organisms--such as corals and some plankton--will have difficulty maintaining their external calcium carbonate skeletons. Here we use 13 models of the ocean-carbon cycle to assess calcium carbonate saturation under the IS92a 'business-as-usual' scenario for future emissions of anthropogenic carbon dioxide. In our projections, Southern Ocean surface waters will begin to become undersaturated with respect to aragonite, a metastable form of calcium carbonate, by the year 2050. By 2100, this undersaturation could extend throughout the entire Southern Ocean and into the subarctic Pacific Ocean. When live pteropods were exposed to our predicted level of undersaturation during a two-day shipboard experiment, their aragonite shells showed notable dissolution. Our findings indicate that conditions detrimental to high-latitude ecosystems could develop within decades, not centuries as suggested previously.     

Influence of the Gulf Stream on the troposphere

The Gulf Stream transports large amounts of heat from the tropics to middle and high latitudes, and thereby affects weather phenomena such as cyclogenesis and low cloud formation. But its climatic influence, on monthly and longer timescales, remains poorly understood. In particular, it is unclear how the warm current affects the free atmosphere above the marine atmospheric boundary layer. Here we consider the Gulf Stream's influence on the troposphere, using a combination of operational weather analyses, satellite observations and an atmospheric general circulation model. Our results reveal that the Gulf Stream affects the entire troposphere. In the marine boundary layer, atmospheric pressure adjustments to sharp sea surface temperature gradients lead to surface wind convergence, which anchors a narrow band of precipitation along the Gulf Stream. In this rain band, upward motion and cloud formation extend into the upper troposphere, as corroborated by the frequent occurrence of very low cloud-top temperatures. These mechanisms provide a pathway by which the Gulf Stream can affect the atmosphere locally, and possibly also in remote regions by forcing planetary waves. The identification of this pathway may have implications for our understanding of the processes involved in climate change, because the Gulf Stream is the upper limb of the Atlantic meridional overturning circulation, which has varied in strength in the past and is predicted to weaken in response to human-induced global warming in the future.     

HIV preferentially infects HIV-specific CD4+ T cells

HIV infection is associated with the progressive loss of CD4(+) T cells through their destruction or decreased production. A central, yet unresolved issue of HIV disease is the mechanism for this loss, and in particular whether HIV-specific CD4(+) T cells are preferentially affected. Here we show that HIV-specific memory CD4(+) T cells in infected individuals contain more HIV viral DNA than other memory CD4(+) T cells, at all stages of HIV disease. Additionally, following viral rebound during interruption of antiretroviral therapy, the frequency of HIV viral DNA in the HIV-specific pool of memory CD4(+) T cells increases to a greater extent than in memory CD4(+) T cells of other specificities. These findings show that HIV-specific CD4(+) T cells are preferentially infected by HIV in vivo. This provides a potential mechanism to explain the loss of HIV-specific CD4(+) T-cell responses, and consequently the loss of immunological control of HIV replication. Furthermore, the phenomenon of HIV specifically infecting the very cells that respond to it adds a cautionary note to the practice of structured therapy interruption.     

Information and the mechanistic metaphor: The place of information in organizational thought

The purpose of this paper is to examine the possibilities for extending organisational metaphors into the area of information systems. The mechanistic metaphor is used as a relevant example because analysing the assumptions behind it offers a particularly revealing insight into common assumptions in the field of management studies and information systems. These assumptions were developed in a specific historical context, that of the development of bureaucratic forms in a government and industry and the acceptance of what Weber described as instrumental rationality. Three elements of a characteristically mechanistic view of information management are identified: corporate ownership of information, a formal division of information work and a definition of the nature of information as data whose meaning is noncontroversial. It is argued that this view of information is too restricted to allow for creative development of information use, but that the corporate ownership of information continues to be relevant because of the notion of formal rights which has been developed from it.     

Diversification of Sisorid catfishes (Teleostei: Siluriformes) in relation to the orogeny of the Himalayan Plateau

Science Bulletin - Sisorid catfishes are primarily limited in distribution to rivers of the Himalayan region and Tibetan Plateau. These species have external morphologies that are adapted for...