WTI crude oil option implied VaR and CVaR: An empirical application

Using option market data we derive naturally forward‐looking, nonparametric and model‐free risk estimates, three desired characteristics hardly obtainable using historical returns. The option‐implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option‐implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results show that the option‐implied risk metrics are valid alternatives to the statistically based historical models.     

A closely packed system of low-mass, low-density planets transiting Kepler-11

When an extrasolar planet passes in front of (transits) its star, its radius can be measured from the decrease in starlight and its orbital period from the time between transits. Multiple planets transiting the same star reveal much more: period ratios determine stability and dynamics, mutual gravitational interactions reflect planet masses and orbital shapes, and the fraction of transiting planets observed as multiples has implications for the planarity of planetary systems. But few stars have more than one known transiting planet, and none has more than three. Here we report Kepler spacecraft observations of a single Sun-like star, which we call Kepler-11, that reveal six transiting planets, five with orbital periods between 10 and 47?days and a sixth planet with a longer period. The five inner planets are among the smallest for which mass and size have both been measured, and these measurements imply substantial envelopes of light gases. The degree of coplanarity and proximity of the planetary orbits imply energy dissipation near the end of planet formation.     

Mechanisms regulating immune surveillance of cellular stress in cancer

The purpose of this review is to explore immune-mediated mechanisms of stress surveillance in cancer, with particular emphasis on the idea that all cancers have classical hallmarks (Hanahan and Weinberg in Cell 100:57–70, 67; Cell 144:646–674, 68) that could be interrelated. We postulate that hallmarks of cancer associated with cellular stress pathways (Luo et al. in Cell 136:823–837, 101) including oxidative stress, proteotoxic stress, mitotic stress, DNA damage, and metabolic stress could define and modulate the inflammatory component of cancer. As such, the overarching goal of this review is to define the types of cellular stress that cancer cells undergo, and then to explore mechanisms by which immune cells recognize, respond to, and are affected by each stress response.     

The cystic fibrosis transmembrane conductance regulator (CFTR) and its stability

The cystic fibrosis transmembrane conductance regulator (CFTR) is responsible for the disease cystic fibrosis (CF). It is a membrane protein belonging to the ABC transporter family functioning as a chloride/anion channel in epithelial cells around the body. There are over 1500 mutations that have been characterised as CF-causing; the most common of these, accounting for ~70 % of CF cases, is the deletion of a phenylalanine at position 508. This leads to instability of the nascent protein and the modified structure is recognised and then degraded by the ER quality control mechanism. However, even pharmacologically ‘rescued’ F508del CFTR displays instability at the cell’s surface, losing its channel function rapidly and it is rapidly removed from the plasma membrane for lysosomal degradation. This review will, therefore, explore the link between stability and structure/function relationships of membrane proteins and CFTR in particular and how approaches to study CFTR structure depend on its stability. We will also review the application of a fluorescence labelling method for the assessment of the thermostability and the tertiary structure of CFTR.     

Revisiting Targeted Factors

This paper proposes new methods for ‘targeting’ factors estimated from a big dataset. We suggest that forecasts of economic variables can be improved by tuning factor estimates: (i) so that they are both more relevant for a specific target variable; and (ii) so that variables with considerable idiosyncratic noise are down‐weighted prior to factor estimation. Existing targeted factor methodologies are limited to estimating the factors with only one of these two objectives in mind. We therefore combine these ideas by providing new weighted principal components analysis (PCA) procedures and a targeted generalized PCA (TGPCA) procedure. These methods offer a flexible combination of both types of targeting that is new to the literature. We illustrate this empirically by forecasting a range of US macroeconomic variables, finding that our combined approach yields important improvements over competing methods, consistently surviving elimination in the model confidence set procedure. Copyright © 2016 John Wiley & Sons, Ltd.     

Common variants at 12q14 and 12q24 are associated with hippocampal volume

Aging is associated with reductions in hippocampal volume that are accelerated by Alzheimer's disease and vascular risk factors. Our genome-wide association study (GWAS) of dementia-free persons (n = 9,232) identified 46 SNPs at four loci with P values of <4.0 × 10(-7). In two additional samples (n = 2,318), associations were replicated at 12q14 within MSRB3-WIF1 (discovery and replication; rs17178006; P = 5.3 × 10(-11)) and at 12q24 near HRK-FBXW8 (rs7294919; P = 2.9 × 10(-11)). Remaining associations included one SNP at 2q24 within DPP4 (rs6741949; P = 2.9 × 10(-7)) and nine SNPs at 9p33 within ASTN2 (rs7852872; P = 1.0 × 10(-7)); along with the chromosome 12 associations, these loci were also associated with hippocampal volume (P < 0.05) in a third younger, more heterogeneous sample (n = 7,794). The SNP in ASTN2 also showed suggestive association with decline in cognition in a largely independent sample (n = 1,563). These associations implicate genes related to apoptosis (HRK), development (WIF1), oxidative stress (MSR3B), ubiquitination (FBXW8) and neuronal migration (ASTN2), as well as enzymes targeted by new diabetes medications (DPP4), indicating new genetic influences on hippocampal size and possibly the risk of cognitive decline and dementia.     

Breeding ecology of Long-billed Curlews at Great Salt Lake, Utah

We qualified nest site characteristics, breeding densities, and migratory chronology of Long-billed Curlews at the Great Salt Lake, Utah. The species is apparently declining in Utah, and little is known about their breeding in the eastern Great Basin Desert. This study was designed to provide wildlife biologist with the baseline data useful for their successful management. Curlews arrived in northern Utah in late March and generally departed by mid-August. Nest densities at Great Salt Lake ranged from 0.64 to 2.36 males/km 2 . The habitat at curlew nest sites consisted of significantly shorter vegetation than nearby random locations ( ˉx = 5.7 versus 9.0 cm, respectively; P < .01). Nests tended to be located in small patches of vegetation near barren ground. Maintenance of relatively short vegetation appears to be important in managing curlew habitat. In addition, only 2 of 10 nests we monitored in 1992 were successful, with most lost to mammalian predators. Further research is needed to determine impact of mammalian predators on curlew populations.     

Genome-wide association and linkage identify modifier loci of lung disease severity in cystic fibrosis at 11p13 and 20q13.2

A combined genome-wide association and linkage study was used to identify loci causing variation in cystic fibrosis lung disease severity. We identified a significant association (P = 3.34 × 10(-8)) near EHF and APIP (chr11p13) in p.Phe508del homozygotes (n = 1,978). The association replicated in p.Phe508del homozygotes (P = 0.006) from a separate family based study (n = 557), with P = 1.49 × 10(-9) for the three-study joint meta-analysis. Linkage analysis of 486 sibling pairs from the family based study identified a significant quantitative trait locus on chromosome 20q13.2 (log(10) odds = 5.03). Our findings provide insight into the causes of variation in lung disease severity in cystic fibrosis and suggest new therapeutic targets for this life-limiting disorder.