Miracle-dz/UniFAR-FTUs huggingface dataset:
Model Uncertainty and Pricing Performance in Option Valuation

The objective of this article is to evaluate the performance of the option pricing model at the cross-sectional level. For that purpose, the authors propose a statistical framework, in which they in particular account for the uncertainty associated with the reported pricing performance. Instead of a single figure, the authors determine an entire probability distribution function for the loss function that is used to measure the performance of the option pricing model. This method enables them to visualize the effect of parameter uncertainty on the reported pricing performance. Using a data-driven approach, the authors confirm previous evidence that standard volatility models with clustering and leverage effects are sufficient for the option pricing purpose. In addition, they demonstrate that there is short-term persistence but long-term heterogeneity in cross-sectional option pricing information. This finding has two important implications. First, it justifies the practitioner’s routine to refrain from time series approaches and instead estimate option pricing models on a cross section by cross section basis. Second, the long-term heterogeneity in option prices pinpoints the importance of measuring, comparing, and testing the option pricing model for each cross section separately. To the authors’ knowledge no statistical testing framework has previously been applied to a single cross section of option prices. They propose a method that addresses that need. The proposed framework can be applied to a broad set of models and data. In the empirical part of the article, they show by means of example, an application that uses a discrete time volatility model on S&P 500 index options. TOPICS: Options, volatility measures Key Findings • Absolute pricing performance, measured by a loss-function, is an inappropriate criteria to benchmark competing option pricing models at the cross-sectional level. • The long-term heterogeneity in cross-sectional option pricing information and the uncertainty of reported pricing performance calls for the necessity to rely on an entire probability distribution function of the loss function when comparing models performance. • This article proposes a statistical framework, based on a data-driven approach, to compare model performance accounting for model uncertainty applicable to a single cross-section of option prices.
Testing for time-varying stochastic volatility in Bitcoin returns

The study will be the first to offer empirical justification for time-varying stochastic volatility in Bitcoin returns. Specifically, it tests for time variation in both the trend and transitory components of the stochastic volatility using the unobserved components model that accounts for same. Thereafter, it calculates the Bayes factor using the approach of Chan (2018) which involves the Savage-Dickey density ratio in order to avoid the computation of the marginal likelihood. The results overwhelmingly support at least one time-varying stochastic volatility component in Bitcoin returns and the transitory component is favoured in this regard. These results are robust to different data frequencies.
Sickle cell bone disease: Response to vitamin D and calcium

Bone disease with osteoporosis and osteomalacia are common in sickle cell disease (SCD). Some patients have vitamin D deficiency and low bone mineral density (BMD). The role of vitamin D and calcium supplementation to restore bone health in SCD has not been well studied. In 14 adults with SCD, we measured 25(OH)D (25‐hydroxyvitamin D) and BMD at the femoral neck, lumbar spine, and distal third of the ulna plus radius, along with markers of bone resorption (CTx; C‐terminal component of pro‐collagen type I) and bone formation (osteocalcin) before and after 12 months of vitamin D2 and calcium carbonate treatment. Pretreatment, all patients were vitamin D deficient with a mean 25(OH)D level of 10.7 ± 4.7 ng/ml, had low BMD at the lumbar spine (L‐spine), 0.87 ± 0.11 g/cm2 (mean Z‐score of –2.6 3 ± 0.71 SD and T score of –2.31 ± 0.75 SD), femoral neck, 0.8 ± 0.18 g/cm2 (mean Z‐score –1.36 ± 0.84, T‐score –1.14 ± 0.75), and the distal radius and ulna, 0.6 ± 0.17 g/cm2 (mean Z‐score –1.18 ± 0.79, T‐score –1.01 ± 0.74) and had elevated CTx (0.87 ± 0.5 ng/ml) and osteocalcin levels (12.3 ± 3.7 ng/μl). After treatment, all patients corrected their 25(OH)D level (38.8 ± 13.9 ng/ml) (P < 0.001) with a 3.6% ± 3.9% increase in BMD at the L‐spine (P = 0.009), 4.6% ± 8.5% increase at the femoral neck (P = 0.05) and 6.5% ± 12.6% increase at the distal radius plus ulna (P = 0.09). CTx, osteocalcin, and PTH(i) levels were unchanged. Treatment of adult SCD with vitamin D and calcium can restore 25(OH)D levels to normal and improve BMD, but, markers of bone resorption remained unchanged. Screening for vitamin D deficiency and BMD in SCD patients seems warranted. Am. J. Hematol. , 2008. © 2007 Wiley‐Liss, Inc.
Fiscal multipliers: a SVAR approach for the US

Within the current debate about the magnitude of fiscal multipliers and the persistent effect of a fiscal policy shock, we propose an empirical analysis that aims at two main objectives: exploring the possibly different effects of specific classes of government spending and assessing the degree of persistence in the dynamic impact on GDP. In particular, we identify and characterize the historical role played by different components of public expenditure in the US by breaking-down the total government expenditure into investment and consumption. Using quarterly data for the period 1947-2017, in the spirit of Blanchard and Perotti (2002) and Auerbach and Gorodnichenko (2012) models, we implement a time series analysis based on a Structural Vector Autoregressive (SVAR) methodology that considers a set of alternative specifications in order to achieve robust conclusions. We choose SVAR model for a number of reasons: (i) SVAR model allows us to isolate the exogenous component of the fiscal variables via a chosen identification strategy; (ii) it gives us the chance to consider the effects of a broader set of fiscal interventions; (iii) it allows us to provide an objective quantitative estimate of the effects of an average increase in different categories of government spending; (iv) Finally, it is important not to disregard the possibly rich dynamic interactions between the relevant variables. A SVAR framework is in this respect the most general approach, giving us the possibility not only to assess the effects of a fiscal stimulus over different time horizons, but also to characterize the time profile of a typical government spending episode, while accounting for all possible dynamic feedback within the economy. Our results indicate that total public expenditure has a significant impact multiplier equal to 0.68, a significant peak multiplier of 1.72 and a significant long-run multiplier of 0.79. On the contrary, taxes show a negative but not significant effect on GDP. When considering the two components of public spending, we obtain a significant impact multiplier of 1.86 and 0.36, a significant peak multiplier of 3.15 and 1.95, and a long-run multiplier of 1.65 and 1.36, for investment and consumption respectively. The main results of analysis can be summarised as follows: (i) spending multipliers are generally larger than 1 and bigger than tax multiplier (in absolute value); (ii) public investment generates a larger effect on GDP than public consumption; (iii) fiscal policies shocks generate persistent and positive effect on the output level.
Risk Factors for the Introduction of Avian Influenza Virus into Commercial Layer Chicken Farms During the Outbreaks Caused by a Low‐Pathogenic H5N2 Virus in Japan in 2005

Avian influenza outbreaks caused by a low‐pathogenic H5N2 virus occurred in Japan from June to December 2005. All 41 affected farms housed layer chickens. Therefore, we conducted a case–control study targeting all commercial layer chicken farms within the movement restriction areas in Ibaraki prefecture, where most outbreaks were detected, to investigate the risk factors for the introduction of avian influenza virus (AIV). Four variables were identified as risk factors associated with the introduction of AIV by multivariate logistic regression: ‘introduction of end‐of‐lay chickens ‘ (odds ratio (OR) = 36.6), ‘sharing of farm equipment among farms’ (OR = 29.4), ‘incomplete hygiene measures of farm visitors on shoes, clothes and hands’ (OR = 7.0), and ‘direct distance to the nearest case farm’ (0–500 m, OR = 8.6; 500–1000 m, OR = 0.8; 1000–1500 m, OR = 20.1; referenced more than 1500 m). We fully believe that strict biosecurity measures should be applied against any incursion points so as not to introduce AIV into more farms.
Agricultural Commodity Trading: Is it Destabilizing Spot Markets?

Executive Summary The future trading has been held responsible by certain political and interest groups of enhancing speculative trading activities and causing volatility in the spot market, thereby further spiralling up inflation. This study examines the effect of future of trading activity on spot market volatility. The study first determined the Granger causal relationship between unexpected future trading volume and spot market volatility. It then examined the Granger causal relationship between unexpected open interest and spot market volatility. The spot volatility and liquidity was modelled using EGARCH and unexpected trading volume. The expected trading volume and open interest was calculated by using the 21-day moving average, and the difference between actual and expected component was treated as the unexpected trading volume and unexpected open interest. Empirical results confirm that for chickpeas (channa), cluster bean (guar seed), pepper, refined soy oil, and wheat, the future (unexpected) liquidity leads spot market volatility. The causal relationship implies that trading volume, which is a proxy for speculators and day traders, is dominant in the future market and leads volatility in the spot market. The results are in conformity with earlier empirical findings —Yang, Balyeat and Leathan (2005) and Nath and Lingareddy (2008)—that future trading destabilizes the spot market for agricultural commodities. Results show that there is no causal relationship between future open interest and spot volatility for all commodities except refined soy oil and wheat. The findings imply that open interest, which is a proxy of hedging activity, is leading to volatility in spot market for refined soy oil and wheat. The results are in conformity to earlier empirical studies that there is a weak causal feedback between future unexpected open interest and volatility in spot market (Yang et al., 2005). For chickpeas (channa), the increase in volatility in the spot market increases trading activity in the future market. The findings are contrary to earlier empirical evidence (Chatrath, Ramchander, & Song, 1996; Yang et al., 2005) that increase in spot volatility reduces future trading activity. However, they are in conformity to Chen, Cuny and Haugen (1995) that increase in spot volatility increases future open interest. The results reveal that the future market has been unable to engage sufficient hedging activity. Thereby, a causal relationship exists only for future trading volume and spot volatility, and not for future open interest and spot volatility. The results have major implications for policymakers, investment managers, and for researchers as well. The study contributes to literature on price discovery, spillovers, and price destabilization for Indian commodity markets.
Enhancement of persistent Na+ current by sea anemone toxin (ATX II) exerts dual action on hippocampal excitability

We used anemone toxin II (ATX II) to study how a selective enhancement of persistent Na+ current (INaP) would affect the excitability of CA1 pyramidal neurons in the hippocampal slice. In whole‐cell recordings from CA1 cell somata, local application of ATX II (10 μm) into the stratum pyramidale invariably depolarized the neurons and produced sustained burst discharges with depolarizing plateau potentials of variable amplitude and length. However, the strong excitatory action of ATX II, observed on the single cell level, was not mirrored in field potential recordings from the same hippocampal subfield. The amplitude of the electrically evoked population spike declined, reflecting the decreased availability of fast Na+ channels, and the intracellulary recorded burst discharges were not detected by the field electrode. The lacking synchronization of cellular bursting activity was seen during both local and bath application of ATX II, suggesting that the toxin, in addition to promoting burst discharges of individual neurons, simultaneously dampens network excitability. In fact, ATX II reduced afferent fibre volleys (reflecting axonal excitability) and field excitatory postsynaptic potentials (EPSPs) in a similar fashion. As the expression of different Na+ channel subtypes appears to be compartmentalized within hippocampal neurons, we propose that point mutations leading to pathologically enhanced INaP might exert quite opposite effects, depending on the type and location of the Na+ channel affected. Whereas alterations of somatodendritic Na+ channels would give rise to bursting activity, alterations of axonal Na+ channels would primarily decrease network excitability.
Identification of Anaplasma marginale Outer Membrane Protein Antigens Conserved between A. marginale Sensu Stricto Strains and the Live A. marginale subsp. centrale Vaccine

ABSTRACT Live vaccination with Anaplasma marginale subsp. centrale (synonym for Anaplasma centrale) induces protection against severe disease upon challenge with A. marginale sensu stricto strains. Despite over a century of field use, the targets of protective immunity remained unknown. Using a broad proteomic approach, we identified the proteins in a challenge sensu stricto strain that were bound by the relevant antibody isotype induced by live vaccination with Anaplasma marginale subsp. centrale. A core of 15 proteins was identified in vaccinated animals across multiple major histocompatibility complex (MHC) haplotypes. This core separated into two structural/functional classes: “housekeeping” proteins involved in replication and metabolism and outer membrane proteins (OMPs). Orthologous proteins of both classes were identified within the vaccine strain and among sensu stricto strains. In contrast to the broad conservation among strains in the sequences of the housekeeping proteins, there was significantly greater divergence in the OMPs and greater divergence in both OMP sequences and the encoding locus structure between the vaccine strain and the sensu stricto strains than among the sensu stricto strains. The OMPs bound by live vaccine-induced antibody overlapped with OMPs that were immunogenic in animals vaccinated with inactivated vaccines and subsequently protected against bacteremia and disease. The identification of this core set of OMPs is consistent with the hypothesis that “subdominant” immunogens are required for vaccine-induced protection against A. marginale and provides clear direction for development of a safer, more effective vaccine.
Do European Central Bank Asset Purchase Programmes Matter for the Euro-area Stock Markets and Brent Crude Market?

This paper examines macroeconomic impacts of European Central Bank (ECB) unconventional policy on Euro stock markets and Brent crude market respectively. We use actual and confidential asset purchase programmes (APPs) data to capture the unconventional effect and apply the vector auto-regression (VAR) model. We find that when the percentage change in ECB APPs leads stock market returns in French, England and Italy as controlling either the Germany or French stock market. Controlling both French and Germany stock markets simultaneously, we find that the percentage change in ECB APPs leads stock market returns only in Italy, suggesting that ECB APPs for the segments of European stock markets matter. Finally, we find the causality from the percentage change in APPs to crude oil returns. Similar results are obtained when controlling positive percentage change in APPs. Hence, our results shed valuable lights on conducting conventional monetary policy in times of crisis.
Prevalence of ganglion cysts originating from the proximal tibiofibular joint: A magnetic resonance imaging study.

PURPOSE To determine the prevalence of proximal tibiofibular ganglion cysts in patients undergoing outpatient magnetic resonance imaging (MRI) of the knee. TYPE OF STUDY Observational cross-sectional study. METHODS From November 2000 to June 2001, every MRI of the knee performed at an outpatient imaging center was reviewed by a single examiner for the presence of a proximal tibiofibular ganglion cyst. In addition to the reason for ordering the MRI, demographic information on all patients was gathered. RESULTS A total of 654 knee MRI scans were performed at the outpatient imaging center during the study period. This study population consisted of 310 men and 344 women, with an average age of 43.4 years (range, 11 to 88 years). There were 308 left and 346 right knees imaged. The most common clinical diagnosis in these 654 patients was meniscal tear (42.8%). A total of 5 patients had a proximal tibiofibular ganglion cyst detected on MRI, yielding a prevalence of 0.76% (95% confidence interval [CI] = 0.1% to 1.4%). These cysts ranged in size from 1.0 to 2.8 cm in maximum diameter. Three were found in men and 2 in women. The mean age of these patients was 47.6 years (range, 42 to 54 years). The most common preimaging diagnosis in these patients was a medial meniscal tear (in 3 of 5). CONCLUSIONS This study is the first to provide data on the prevalence of proximal tibiofibular ganglion cysts in a population of patients with knee pain significant enough to warrant MRI. Over half of the patients found to have proximal tibiofibular ganglion cysts had no symptoms or signs attributable to them.
Social class is an important and independent prognostic factor of breast cancer mortality

Reasons of the important impact of socioeconomic status on breast cancer prognosis are far from established. This study aims to evaluate and explain the social disparities in breast cancer survival in the Swiss canton of Geneva, where healthcare costs and life expectancy are among the highest in the world. This population‐based study included all 3,920 female residents of Geneva, who were diagnosed with invasive breast cancer before the age of 70 years between 1980 and 2000. Patients were divided into 4 socioeconomic groups, according to the woman's last occupation. We used Cox multivariate regression analysis to identify reasons for the socioeconomic inequalities in breast cancer survival. Compared to patients of high social class, those of low social class had an increased risk (unadjusted hazard ratio [HR] 2.4, 95% CI: 1.6–3.5) of dying as a result of breast cancer. These women were more often foreigners, less frequently had screen‐detected cancer and were at more advanced stage at diagnosis. They less frequently underwent breast‐conserving surgery, hormonal therapy, and chemotherapy, in particular, in case of axillary lymph node involvement. When adjusting for all these factors, patients of low social class still had a significantly increased risk of dying of breast cancer (HR 1.8, 95% CI: 1.2–2.6). Overmortality linked to low SES is only partly explained by delayed diagnosis, unfavorable tumor characteristics and suboptimal treatments. Other factors, not measured in this study, also could play a role. While waiting for the outcome of other researches, we should consider socioeconomic status as an independent prognostic factor and provide intensified support and surveillance to women of low social class. © 2006 Wiley‐Liss, Inc.
Damian Grimshaw, Colette Fagan, Gail Hebson and Isabel Tavora (Eds), Making Work More Equal: A New Labour Market Segmentation Approach

nomic instability. The book is an essential read for scholars and students in industrial relations, comparative political economy and labour history. Even since the publication of the book there have been examples in the case study countries which support the broader argument. Take France for example, with wins for the government on the liberalisation of the railways, the bastion of French trade unionism, which means an inevitable increase in employer discretion. However, the book leaves readers with unanswered questions including ‘where do we go from here? ’. The authors only briefly reflect on the future of capitalism, arguing that it ‘depends crucially on its ability to recreate institutions that reconnect aggregate demand and aggregate supply, enabling demand to expand in parallel with the productive capacities of the economy’ (p. 222). The authors postulate that this could be achieved either by a new form of internationalism that coordinates demand expansion across countries, which could rekindle capitalist growth, or through re-embedding capitalism that would require a fundamental rethinking of the current globalisation regime and a return to national economic sovereignty. The latter, they argue, is probably the more viable long-term option. While recognising the significance and sophistication of the argument, the book also leaves us with little hope in what Ana Dinerstein describes as the deepening ‘hopelessness’ of neoliberalism. We are left with the idea that everything that has happened and will happen in industrial relations was and will lead to enhanced employer discretion. Yet counter-movements, such as trade unions and social movements, have the potential to expose the worst effects of neoliberalism and offer alternatives. The UK, for example, is witnessing a growth of mobilising and coordinated strikes among precarious workers in the ‘gig economy’ sector, organised by unions that have emerged to tackle injustices in precarious sectors. Perhaps we should be looking for hope for a re-embedding of capitalism within such counter-movements.
The Child Report Form of the CHIP–Child Edition: Reliability and Validity

BackgroundThere is increasing recognition of the importance of obtaining children’s reports of their health, but significant challenges must be overcome to do so in a systematic, population-based manner. ObjectiveThe objective of this study was to present the initial tests of the Child Report Form of the Child Health and Illness Profile–Child Edition (CHIP-CE/CRF), a self-report health status instrument for children 6 to 11 years old. MethodsThree studies iteratively evaluated revisions of the CHIP-CE/CRF in 4 geographic locations in the United States. Children (N = 1708) whose families represent the low to middle socioeconomic strata and predominant U.S. racial/ethnic groups were involved. ResultsThe final CHIP-CE/CRF includes 5 domains: Satisfaction (with self and health), Comfort (emotional and physical symptoms and limitations), Resilience (positive activities that promote health), Risk Avoidance (risky behaviors that influence future health), and Achievement (of social expectations in school and with peers). The internal consistency and test–retest reliability of the domains are good to excellent, with a definite age gradient such that younger children’s responses are less reliable although still acceptable. Validity is supported through criterion and construct validity tests and structural analyses. Standard scores (mean, 50; standard deviation, 10) were established. ConclusionsHealth status can be reliably and validly assessed directly from children 6 to 11 years old on the CHIP-CE/CRF. In combination with the CHIP-AE, self-reported health status can now be obtained from youth 6 to 18 years old using a consistent conceptual framework. This can greatly improve the precision and comparability of health assessments of youth, enhancing the validity of outcome research and longitudinal studies across childhood and adolescence.