An outlier robust GARCH model and forecasting volatility of exchange rate returns

Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for doing so. It appears, however, from some empirical studies that the GARCH model tends to provide poor volatility forecasts in the presence of additive outliers. To overcome the forecasting limitation, this paper proposes a robust GARCH model (RGARCH) using least absolute deviation estimation and introduces a valuable estimation method from a practical point of view. Extensive Monte Carlo experiments substantiate our conjectures. As the magnitude of the outliers increases, the one‐step‐ahead forecasting performance of the RGARCH model has a more significant improvement in two forecast evaluation criteria over both the standard GARCH and random walk models. Strong evidence in favour of the RGARCH model over other competitive models is based on empirical application. By using a sample of two daily exchange rate series, we find that the out‐of‐sample volatility forecasts of the RGARCH model are apparently superior to those of other competitive models. Copyright © 2002 John Wiley & Sons, Ltd.     

Pathogenic mutation in the ALS/FTD gene, <Emphasis Type="Italic">CCNF,</Emphasis> causes elevated Lys48-linked ubiquitylation and defective autophagy

Amyotrophic lateral sclerosis (ALS) and frontotemporal dementia (FTD) are fatal neurodegenerative disorders that have common molecular and pathogenic characteristics, such as aberrant accumulation and ubiquitylation of TDP-43; however, the mechanisms that drive this process remain poorly understood. We have recently identified CCNF mutations in familial and sporadic ALS and FTD patients. CCNF encodes cyclin F, a component of an E3 ubiquitin–protein ligase (SCF^{cyclin F}) complex that is responsible for ubiquitylating proteins for degradation by the ubiquitin–proteasome system. In this study, we examined the ALS/FTD-causing p.Ser621Gly (p.S621G) mutation in cyclin F and its effect upon downstream Lys48-specific ubiquitylation in transfected Neuro-2A and SH-SY5Y cells. Expression of mutant cyclin F^S621G caused increased Lys48-specific ubiquitylation of proteins in neuronal cells compared to cyclin F^WT. Proteomic analysis of immunoprecipitated Lys48-ubiquitylated proteins from mutant cyclin F^S621G-expressing cells identified proteins that clustered within the autophagy pathway, including sequestosome-1 (p62/SQSTM1), heat shock proteins, and chaperonin complex components. Examination of autophagy markers p62, LC3, and lysosome-associated membrane protein 2 (Lamp2) in cells expressing mutant cyclin F^S621G revealed defects in the autophagy pathway specifically resulting in impairment in autophagosomal–lysosome fusion. This finding highlights a potential mechanism by which cyclin F interacts with p62, the receptor responsible for transporting ubiquitylated substrates for autophagic degradation. These findings demonstrate that ALS/FTD-causing mutant cyclin F^S621G disrupts Lys48-specific ubiquitylation, leading to accumulation of substrates and defects in the autophagic machinery. This study also demonstrates that a single missense mutation in cyclin F causes hyper-ubiquitylation of proteins that can indirectly impair the autophagy degradation pathway, which is implicated in ALS pathogenesis.     

On a robust test for SETAR‐type nonlinearity in time series analysis

There has been growing interest in exploiting potential forecast gains from the nonlinear structure of self‐exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR‐type nonlinearities in observed time series. However, previous studies show that classical nonlinearity tests are not robust to additive outliers. In practice, time series outliers are not uncommonly encountered. It is important to develop a more robust test for SETAR‐type nonlinearity in time series analysis and forecasting. In this paper we propose a new robust nonlinearity test and the asymptotic null distribution of the test statistic is derived. A Monte Carlo experiment is carried out to compare the power of the proposed test with other existing tests under the influence of time series outliers. The effects of additive outliers on nonlinearity tests with misspecification of the autoregressive order are also studied. The results indicate that the proposed method is preferable to the classical tests when the observations are contaminated with outliers. Finally, we provide illustrative examples by applying the statistical tests to three real datasets. Copyright © 2009 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.     

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.     

Indian hedgehog is a major mediator of progesterone signaling in the mouse uterus

The hedgehog family of morphogens are regulators of cell proliferation, differentiation and cell-cell communication. These morphogens have been shown to have important roles in organogenesis, spermatogenesis, stem cell maintenance and oncogenesis. Indian hedgehog (encoded by Ihh) has been shown to be expressed in the uterine epithelium under the control of the steroid hormone, progesterone. Although in vivo and in vitro studies have shown that progesterone achieves its effects on uterine function through epithelial-stromal cross-talk, molecular mediator(s) for this cellular communication pathway have not been elucidated. Using new experimental approaches that ablate Ihh specifically in Pgr-positive uterine cells of the mouse, we demonstrate that Ihh is an essential mediator of Pgr action in the uterus, and expression of this factor is critical in mediating the communication between the uterine epithelium and stroma required for embryo implantation.