Forecasting volatility by means of threshold models

The aim of this paper is to compare the forecasting performance of competing threshold models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out‐of‐sample forecasting ability of the SETAR‐Threshold GARCH (SETAR‐TGARCH) and the SETAR‐Threshold Stochastic Volatility (SETAR‐THSV) models compared to the GARCH model and Stochastic Volatility (SV) model. However, the main problem in evaluating the predictive ability of volatility models is that the ‘true’ underlying volatility process is not observable and thus a proxy must be defined for the unobservable volatility. For the class of nonlinear state space models (SETAR‐THSV and SV), a modified version of the SIR algorithm has been used to estimate the unknown parameters. The forecasting performance of competing models has been compared for two return time series: IBEX 35 and S&P 500. We explore whether the increase in the complexity of the model implies that its forecasting ability improves. Copyright © 2007 John Wiley & Sons, Ltd.     

Karyotypes of seven species of bats from Thailand (Chiroptera,Mammalia)

Summary Karyotypes ofMyotis siligorensis, Myotis mystacinus, Pipistrellus pulveratus, Tylonycteris robustula, Miniopterus schreibersi fuliginosus, Hipposideros fulvus andAselliscus stoliczkanus from Thailand are investigated.Acknowledgment. The authors are very grateful to Dr N. Ratanawarabhan, Mrs S. Sittilert, P. Noonpakdee and S. Kuanchalern of Thailand Institute of Scientific and Technological Research for their valuable advice and assistance during our field survey in Thailand.     

Mutation of the matrix metalloproteinase 2 gene (MMP2) causes a multicentric osteolysis and arthritis syndrome.

The inherited osteolyses or 'vanishing bone' syndromes are a group of rare disorders of unknown etiology characterized by destruction and resorption of affected bones. The multicentric osteolyses are notable for interphalangeal joint erosions that mimic severe juvenile rheumatoid arthritis (OMIMs 166300, 259600, 259610 and 277950). We recently described an autosomal recessive form of multicentric osteolysis with carpal and tarsal resorption, crippling arthritic changes, marked osteoporosis, palmar and plantar subcutaneous nodules and distinctive facies in a number of consanguineous Saudi Arabian families. We localized the disease gene to 16q12-21 by using members of these families for a genome-wide search for homozygous-by-descent microsatellite markers. Haplotype analysis narrowed the critical region to a 1.2-cM region that spans the gene encoding MMP-2 (gelatinase A, collagenase type IV; (ref. 3). We detected no MMP2 enzymatic activity in the serum or fibroblasts of affected family members. We identified two family-specific homoallelic MMP2 mutations: R101H and Y244X. The nonsense mutation effects a deletion of the substrate-binding and catalytic sites and the fibronectin type II-like and hemopexin/TIMP2 binding domains. Based on molecular modeling, the missense mutation disrupts hydrogen bond formation within the highly conserved prodomain adjacent to the catalytic zinc ion.     

Using genetically-defined rodent strains for the identification of hippocampal traits relevant for two-way avoidance behavior: a non-invasive approach

Summary Genetically-defined rodent strains permit the identification of hippocampal traits which are of functional relevance for the performance of two-way avoidance behavior. This is exemplified here by analyzing the relationship between infrapyramidal mossy fibers (a tiny projection terminating upon the basal dendrites of hippocampal pyramidal neurons) and two-way avoidance learning in about 800 animals. The necessary steps include 1) identification of structural traits sensitive to selective breeding for extremes in two-way avoidance, 2) testing the robustness of the associations found by studying individual and genetical correlations between hippocampal traits and behavior, 3) establishing causal relationships by Mendelian crossing of strains with extreme structural traits and studying the behavioral consequences of such structural randomization, 4) confirming causal relationships by manipulating the structural variable in inbred (isogenic) strains, thereby eliminating the possibility of genetic linkage, and 5) ruling out the possibility of spurious associations by studying the correlations between the hippocampal trait and other behaviors known to depend on hippocampal functioning.In comparison with the classical lesion approach for identifying relationships between brain and behavior, the present procedure appears to be superior in two aspects: it is non-invasive, and it focuses automatically on those brain traits which are used by natural selection to shape behaviorally-defined animal populations, i.e., it reveals the natural regulators of behavior.