Forecasting high‐frequency financial data with the ARFIMA–ARCH model

Financial data series are often described as exhibiting two non‐standard time series features. First, variance often changes over time, with alternating phases of high and low volatility. Such behaviour is well captured by ARCH models. Second, long memory may cause a slower decay of the autocorrelation function than would be implied by ARMA models. Fractionally integrated models have been offered as explanations. Recently, the ARFIMA–ARCH model class has been suggested as a way of coping with both phenomena simultaneously. For estimation we implement the bias correction of Cox and Reid ( 1987 ). For daily data on the Swiss 1‐month Euromarket interest rate during the period 1986–1989, the ARFIMA–ARCH (5,d,2/4) model with non‐integer d is selected by AIC. Model‐based out‐of‐sample forecasts for the mean are better than predictions based on conditionally homoscedastic white noise only for longer horizons (τ > 40). Regarding volatility forecasts, however, the selected ARFIMA–ARCH models dominate. Copyright © 2001 John Wiley & Sons, Ltd.     

Rock outcrops harbor native perennials in type-converted coastal scrub

Type-conversion of coastal scrub to exotic annual grassland has been extensive in certain parts of southern California, especially in drier inland locales. Field observations suggest that rock outcrops harbor native perennials associated with coastal scrub vegetation after conversion to exotic annual grassland has occurred. Surveys were conducted to test this observation. In addition, measures of fossorial mammal disturbance, soil depth, exotic annual plant abundance, and soil moisture were collected and used to infer potential mechanisms that may influence patterns of native and exotic vegetation. Results showed that larger outcrops are associated with more native perennial species than smaller outcrops, consistent with predictions based on species-area relationships. In addition, the edges of rock outcrops were shown to have greater native perennial species richness than the surrounding exotic annual grassland matrix. Higher soil moisture, lower soil depth, and less disturbance by Botta’s pocket gopher ( Thomomys bottae ) were also found at the edge of rock outcrops compared to the surrounding grassland matrix. Furthermore, soil depth was positively correlated with pocket gopher disturbance and with exotic annual grass cover. Rock outcrops serve as refuge habitat for native coastal scrub perennials in areas where exotic annual grasses have become dominant. Rock outcrops may become increasingly important for conservation efforts if remaining coastal scrub vegetation continues to deteriorate. Ha sido extensa la conversión de matorral costero a pradera anual exótica en ciertas partes del sur de California, especialmente en localidades áridas del interior. Observaciones de campo indican que los afloramientos rocosos albergan plantas perennes nativas asociadas con vegetación de matorral costero después de la conversión a pradera anual exótica. Llevamos a cabo estudios para comprobar esta observación. También medimos la perturbación por mamíferos fosoriales, la profundidad del suelo, la abundancia de plantas anuales exóticas y la humedad del suelo para inferir los posibles mecanismos que pudieran influenciar la distribución de vegetación nativa y foránea. Los resultados mostraron que los afloramientos rocosos grandes se asocian con más especies de plantas perennes nativas que los afloramientos pequeños; esto concuerda con predicciones basadas en relaciones especies-área. Además, los bordes de los afloramientos rocosos demostraron tener mayor riqueza de especies de plantas perennes nativas que la pradera exótica circundante. También encontramos mayor humedad del suelo, menor profundidad del suelo y menos perturbación ocasionada por la tuza de Botta ( Thomomys bottae ) en el borde de los afloramientos rocosos en comparación con la pradera circundante. Además, la profundidad del suelo estuvo correlacionada positivamente con la perturbación por tuzas y con la cubierta de pastos anuales exóticos. En resumen, los afloramientos rocosos probaron servir de hábitat de refugio para plantas perennes nativas del matorral costero donde han llegado a dominar los pastos anuales exóticos. Los afloramientos rocosos podrían volverse cada vez más importantes para los esfuerzos de conservación si la vegetación restante del matorral costero sigue deteriorándose.     

Revised checklist of the vascular plants of Bryce Canyon National Park, Utah

Prior to 1960, when the senior author wrote a dissertation on the plant ecology of the Paunsaugunt Plateau forests of Bryce Canyon National Park, relatively little plant taxonomic work had been done in the area. A checklist was prepared in 1971 that included 218 species of higher plants. During the field seasons 1978, 1979, and 1980, additional plants were collected during a second plant community study of the forests. The junior author spent the summer of 1980 at the park collecting plants in additional plant communities and organizing the herbarium collection. This checklist includes the additional species collected and updates the nomenclature of the vascular plants presently known to occur within the boundaries of Bryce Canyon National Park.     

Knowing of the Unknowable

A number of systemic theories appear to be converging in conclusion. The conclusion is that things are inherently unknowable to the human mind. People are coming to know of the unknowable. This paper introduces such ideas in the context of systemic practice. Implications for efficiency, effectiveness, and ethical matters are discussed.     

Editorial

Systemic Practice and Action Research -     

Predicting the signs of forecast errors

The signs of forecast errors can be predicted using the difference between individuals' forecasts and the average of earlier forecasts of the same variable. It is possible to improve forecasts without worsening any. It is difficult to reconcile this result with the rational expectations hypothesis because the average of earlier forecasts is in the information set of the forecasters. Copyright © 2009 John Wiley & Sons, Ltd.     

Ablation of cyclase-associated protein 2 (CAP2) leads to cardiomyopathy

Cyclase-associated proteins are highly conserved proteins that have a role in the regulation of actin dynamics. Higher eukaryotes have two isoforms, CAP1 and CAP2. To study the in vivo function of CAP2, we generated mice in which the CAP2 gene was inactivated by a gene-trap approach. Mutant mice showed a decrease in body weight and had a decreased survival rate. Further, they developed a severe cardiac defect marked by dilated cardiomyopathy (DCM) associated with drastic reduction in basal heart rate and prolongations in atrial and ventricular conduction times. Moreover, CAP2-deficient myofibrils exhibited reduced cooperativity of calcium-regulated force development. At the microscopic level, we observed disarrayed sarcomeres with development of fibrosis. We analyzed CAP2’s role in actin assembly and found that it sequesters G-actin and efficiently fragments filaments. This activity resides completely in its WASP homology domain. Thus CAP2 is an essential component of the myocardial sarcomere and is essential for physiological functioning of the cardiac system, and a deficiency leads to DCM and various cardiac defects.     

The implications of viral reservoirs on the elite control of HIV-1 infection

The mechanisms by which a small percentage of HIV-1 infected individuals known as elite suppressors or controllers are able to control viral replication are not fully understood. Early cases of viremic control were attributed to infection with defective virus, but subsequent work has demonstrated that infection with a defective virus is not the exclusive cause of control. Replication-competent virus has been isolated from patients who control viral replication, and studies have demonstrated that evolution occurs in plasma virus but not in virus isolates from the latent reservoir. Additionally, transmission pair studies have demonstrated that patients infected with similar viruses can have dramatically different outcomes of infection. An increased understanding of the viral factors associated with control is important to understand the interplay between viral replication and host control, and has implications for the design of an effective therapeutic vaccine that can lead to a functional cure of HIV-1 infection.