Singular spectrum analysis for value at risk in stochastic volatility models

Estimation of the value at risk (VaR) requires prediction of the future volatility. Whereas this is a simple task in ARCH and related models, it becomes much more complicated in stochastic volatility (SV) processes where the volatility is a function of a latent variable that is not observable. In-sample (present and past values) and out-of-sample (future values) predictions of that unobservable variable are thus necessary. This paper proposes singular spectrum analysis (SSA), which is a fully nonparametric technique that can be used for both purposes. A combination of traditional forecasting techniques and SSA is also considered to estimate the VaR. Their performance is assessed in an extensive Monte Carlo and with an application to a daily series of S&P500 returns.     

Characterization of the role of the antioxidant proteins metallothioneins 1 and 2 in an animal model of Alzheimer’s disease

Alzheimer’s disease (AD) is by far the most commonly diagnosed dementia, and despite multiple efforts, there are still no effective drugs available for its treatment. One strategy that deserves to be pursued is to alter the expression and/or physiological action of endogenous proteins instead of administering exogenous factors. In this study, we intend to characterize the roles of the antioxidant, anti-inflammatory, and heavy-metal binding proteins, metallothionein-1?+?2 (MT1?+?2), in a mouse model of Alzheimer’s disease, Tg2576 mice. Contrary to expectations, MT1?+?2-deficiency rescued partially the human amyloid precursor protein-induced changes in mortality and body weight in a gender-dependent manner. On the other hand, amyloid plaque burden was decreased in the cortex and hippocampus in both sexes, while the amyloid cascade, neuroinflammation, and behavior were affected in the absence of MT1?+?2 in a complex manner. These results highlight that the control of the endogenous production and/or action of MT1?+?2 could represent a powerful therapeutic target in AD.     

The first shrimp preserved in mid-cretaceous Kachin amber:systematics,palaeoecology,and taphonomy

Amber from Kachin,Myanmar offers a unique window into mid-Cretaceous ecosystems because it provides large sample sets that span a wide range of taxa preserved i...     

Independent genome-wide scans identify a chromosome 18 quantitative-trait locus influencing dyslexia.

Developmental dyslexia is defined as a specific and significant impairment in reading ability that cannot be explained by deficits in intelligence, learning opportunity, motivation or sensory acuity. It is one of the most frequently diagnosed disorders in childhood, representing a major educational and social problem. It is well established that dyslexia is a significantly heritable trait with a neurobiological basis. The etiological mechanisms remain elusive, however, despite being the focus of intensive multidisciplinary research. All attempts to map quantitative-trait loci (QTLs) influencing dyslexia susceptibility have targeted specific chromosomal regions, so that inferences regarding genetic etiology have been made on the basis of very limited information. Here we present the first two complete QTL-based genome-wide scans for this trait, in large samples of families from the United Kingdom and United States. Using single-point analysis, linkage to marker D18S53 was independently identified as being one of the most significant results of the genome in each scan (P< or =0.0004 for single word-reading ability in each family sample). Multipoint analysis gave increased evidence of 18p11.2 linkage for single-word reading, yielding top empirical P values of 0.00001 (UK) and 0.0004 (US). Measures related to phonological and orthographic processing also showed linkage at this locus. We replicated linkage to 18p11.2 in a third independent sample of families (from the UK), in which the strongest evidence came from a phoneme-awareness measure (most significant P value=0.00004). A combined analysis of all UK families confirmed that this newly discovered 18p QTL is probably a general risk factor for dyslexia, influencing several reading-related processes. This is the first report of QTL-based genome-wide scanning for a human cognitive trait.     

Ultrastructural study of somatotroph cells from mice bearing a fast growing transplanted hepatoma,in different periods of the tumor development

Summary The presence of a transplanted, fast-growing hepatoma (SS1-K) produces conspicuous ultrastructural changes in pituitary STH cells of C3H-S male mice. These changes are suggestive of an increased secretion of growth hormone only during the first stages of the tumor development. The hepatoma influence does not seem to be clearly related to the illumination regimen or time of killing.Acknowledgments. The authors wish to thank Miss G. Neira for technical assistance.     

Widespread active detachment faulting and core complex formation near 13 degrees N on the Mid-Atlantic Ridge

Oceanic core complexes are massifs in which lower-crustal and upper-mantle rocks are exposed at the sea floor. They form at mid-ocean ridges through slip on detachment faults rooted below the spreading axis. To date, most studies of core complexes have been based on isolated inactive massifs that have spread away from ridge axes. Here we present a survey of the Mid-Atlantic Ridge near 13 degrees N containing a segment in which a number of linked detachment faults extend for 75 km along one flank of the spreading axis. The detachment faults are apparently all currently active and at various stages of development. A field of extinct core complexes extends away from the axis for at least 100 km. Our observations reveal the topographic characteristics of actively forming core complexes and their evolution from initiation within the axial valley floor to maturity and eventual inactivity. Within the surrounding region there is a strong correlation between detachment fault morphology at the ridge axis and high rates of hydroacoustically recorded earthquake seismicity. Preliminary examination of seismicity and seafloor morphology farther north along the Mid-Atlantic Ridge suggests that active detachment faulting is occurring in many segments and that detachment faulting is more important in the generation of ocean crust at this slow-spreading ridge than previously suspected.     

Discovery of a magma chamber and faults beneath a Mid-Atlantic Ridge hydrothermal field

Crust at slow-spreading ridges is formed by a combination of magmatic and tectonic processes, with magmatic accretion possibly involving short-lived crustal magma chambers. The reflections of seismic waves from crustal magma chambers have been observed beneath intermediate and fast-spreading centres, but it has been difficult to image such magma chambers beneath slow-spreading centres, owing to rough seafloor topography and associated seafloor scattering. In the absence of any images of magma chambers or of subsurface near-axis faults, it has been difficult to characterize the interplay of magmatic and tectonic processes in crustal accretion and hydrothermal circulation at slow-spreading ridges. Here we report the presence of a crustal magma chamber beneath the slow-spreading Lucky Strike segment of the Mid-Atlantic Ridge. The reflection from the top of the magma chamber, centred beneath the Lucky Strike volcano and hydrothermal field, is approximately 3 km beneath the sea floor, 3-4 km wide and extends up to 7 km along-axis. We suggest that this magma chamber provides the heat for the active hydrothermal vent field above it. We also observe axial valley bounding faults that seem to penetrate down to the magma chamber depth as well as a set of inward-dipping faults cutting through the volcanic edifice, suggesting continuous interactions between tectonic and magmatic processes.     

Visualizing molecular juggling within a B12-dependent methyltransferase complex

Derivatives of vitamin B(12) are used in methyl group transfer in biological processes as diverse as methionine synthesis in humans and CO(2) fixation in acetogenic bacteria. This seemingly straightforward reaction requires large, multimodular enzyme complexes that adopt multiple conformations to alternately activate, protect and perform catalysis on the reactive B(12) cofactor. Crystal structures determined thus far have provided structural information for only fragments of these complexes, inspiring speculation about the overall protein assembly and conformational movements inherent to activity. Here we present X-ray crystal structures of a complete 220?kDa complex that contains all enzymes responsible for B(12)-dependent methyl transfer, namely the corrinoid iron-sulphur protein and its methyltransferase from the model acetogen Moorella thermoacetica. These structures provide the first three-dimensional depiction of all protein modules required for the activation, protection and catalytic steps of B(12)-dependent methyl transfer. In addition, the structures capture B(12) at multiple locations between its 'resting' and catalytic positions, allowing visualization of the dramatic protein rearrangements that enable methyl transfer and identification of the trajectory for B(12) movement within the large enzyme scaffold. The structures are also presented alongside in crystallo spectroscopic data, which confirm enzymatic activity within crystals and demonstrate the largest known conformational movements of proteins in a crystalline state. Taken together, this work provides a model for the molecular juggling that accompanies turnover and helps explain why such an elaborate protein framework is required for such a simple, yet biologically essential reaction.