Temporal aggregation of random walk processes and implications for economic analysis

2019 ◽  
Vol 24 (2) ◽  
Author(s):  
Yamin S Ahmad ◽  
Ivan Paya
Keyword(s):  
Random Walk ◽  
Autoregressive Process ◽  
Potential Effect ◽  
Temporal Aggregation ◽  
Time Averaging ◽  
Fat Tails ◽  
Data Generating Process ◽  
Variance Ratios ◽  
Interval Sampling ◽  
The Impact

AbstractThis paper examines the impact of time averaging and interval sampling data assuming that the data generating process for a given series follows a random walk with iid errors. We provide exact expressions for the corresponding variances, and covariances, for both levels and higher order differences of the aggregated series, as well as that for the variance ratio, demonstrating exactly how the degree of temporal aggregation impacts these properties. We empirically investigate this issue on exchange rates and find that the values of the variance ratios and autocorrelation coefficients at different frequencies are consistent with our theoretical results. We also conduct a simulation exercise that illustrates the potential effect that conditional heteroskedasticity and fat tails may have on the temporal aggregation of a random walk and of a highly persistent autoregressive process.

News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*

2020 ◽  
Author(s):  
Robert F Engle ◽  
Martin Klint Hansen ◽  
Ahmet K Karagozoglu ◽  
Asger Lunde
Keyword(s):  
Information Processing ◽  
Public Information ◽  
Selection Procedure ◽  
Autoregressive Process ◽  
Return Volatility ◽  
Market Outcomes ◽  
The Public ◽  
Additional Information ◽  
Financial News ◽  
The Impact

Abstract Motivated by the recent availability of extensive electronic news databases and advent of new empirical methods, there has been renewed interest in investigating the impact of financial news on market outcomes for individual stocks. We develop the information processing hypothesis of return volatility to investigate the relation between firm-specific news and volatility. We propose a novel dynamic econometric specification and test it using time series regressions employing a machine learning model selection procedure. Our empirical results are based on a comprehensive dataset comprised of more than 3 million news items for a sample of 28 large U.S. companies. Our proposed econometric specification for firm-specific return volatility is a simple mixture model with two components: public information and private processing of public information. The public information processing component is defined by the contemporaneous relation with public information and volatility, while the private processing of public information component is specified as a general autoregressive process corresponding to the sequential price discovery mechanism of investors as additional information, previously not publicly available, is generated and incorporated into prices. Our results show that changes in return volatility are related to public information arrival and that including indicators of public information arrival explains on average 26% (9–65%) of changes in firm-specific return volatility.

scholarly journals Amikacin or Vancomycin Exposure Alters the Postnatal Serum Creatinine Dynamics in Extreme Low Birth Weight Neonates

2021 ◽  
Vol 18 (2) ◽  
pp. 662
Author(s):  
Tamara van Donge ◽  
Anne Smits ◽  
John van den Anker ◽  
Karel Allegaert
Keyword(s):  
Birth Weight ◽  
Low Birth Weight ◽  
Serum Creatinine ◽  
Potential Effect ◽  
Extremely Low Birth Weight ◽  
Treatment Modalities ◽  
Antibiotic Exposure ◽  
Sensitive Tool ◽  
Elbw Neonates ◽  
The Impact

Background: Disentangling renal adverse drug reactions from confounders remains a major challenge to assess causality and severity in neonates, with additional limitations related to the available tools (modified Kidney Disease Improving Global Outcome, or Division of Microbiology and Infectious Diseases pediatric toxicity table). Vancomycin and amikacin are nephrotoxic while still often prescribed in neonates. We selected these compounds to assess their impact on creatinine dynamics as a sensitive tool to detect a renal impairment signal. Methods: A recently developed dynamical model that characterized serum creatinine concentrations of 217 extremely low birth weight (<1000 g, ELBW) neonates (4036 observations) was enhanced with data on vancomycin and/or amikacin exposure to identify a potential effect of antibiotic exposure by nonlinear mixed-effects modelling. Results: Seventy-seven percent of ELBW patients were exposed to either vancomycin or amikacin. Antibiotic exposure resulted in a modest increase in serum creatinine and a transient decrease in creatinine clearance. The serum creatinine increase was dependent on gestational age, illustrated by a decrease with 56% in difference in serum creatinine between a 24 or 32-week old neonate, when exposed in the 3rd week after birth. Conclusions: A previously described model was used to explore and quantify the impact of amikacin or vancomycin exposure on creatinine dynamics. Such tools serve to explore minor changes, or compare minor differences between treatment modalities.

scholarly journals Specialized Pro-Resolving Lipid Mediators in Neonatal Cardiovascular Physiology and Diseases

Antioxidants ◽  
2021 ◽  
Vol 10 (6) ◽  
pp. 933
Author(s):  
Andrea Gila-Diaz ◽  
Gloria Herranz Carrillo ◽  
Pratibha Singh ◽  
David Ramiro-Cortijo
Keyword(s):  
Tissue Repair ◽  
Cardiovascular Health ◽  
Critical Role ◽  
Potential Effect ◽  
Lipid Mediators ◽  
Physiological Effects ◽  
Therapeutic Approaches ◽  
The Impact ◽  
Long Chain

Cardiovascular disease remains a leading cause of mortality worldwide. Unresolved inflammation plays a critical role in cardiovascular diseases development. Specialized Pro-Resolving Mediators (SPMs), derived from long chain polyunsaturated fatty acids (LCPUFAs), enhances the host defense, by resolving the inflammation and tissue repair. In addition, SPMs also have anti-inflammatory properties. These physiological effects depend on the availability of LCPUFAs precursors and cellular metabolic balance. Most of the studies have focused on the impact of SPMs in adult cardiovascular health and diseases. In this review, we discuss LCPUFAs metabolism, SPMs, and their potential effect on cardiovascular health and diseases primarily focusing in neonates. A better understanding of the role of these SPMs in cardiovascular health and diseases in neonates could lead to the development of novel therapeutic approaches in cardiovascular dysfunction.

scholarly journals The impact of teaching on the duration of common urological operations

2016 ◽  
Vol 10 (5-6) ◽  
pp. 172 ◽  
Author(s):  
Blayne Welk ◽  
Jennifer Winick-Ng ◽  
Andrew McClure ◽  
Chris Vinden ◽  
Sumit Dave ◽  
...  
Keyword(s):  
Radical Prostatectomy ◽  
Negative Binomial ◽  
Negative Binomial Regression ◽  
Potential Effect ◽  
Sensitivity Analyses ◽  
Teaching Hospitals ◽  
Operative Duration ◽  
Open Radical Prostatectomy ◽  
Academic Hospitals ◽  
The Impact

Introduction: The ability of academic (teaching) hospitals to offer the same level of efficiency as non-teaching hospitals in a publicly funded healthcare system is unknown. Our objective was to compare the operative duration of general urology procedures between teaching and non-teaching hospitals. Methods: We used administrative data from the province of Ontario to conduct a retrospective cohort study of all adults who underwent a specified elective urology procedure (2002–2013). Primary outcome was duration of surgical procedure. Primary exposure was hospital type (academic or non-teaching). Negative binomial regression was used to adjust relative time estimates for age, comorbidity, obesity, anesthetic, and surgeon and hospital case volume.Results: 114 225 procedures were included (circumcision n=12 280; hydrocelectomy n=7221; open radical prostatectomy n=22 951; transurethral prostatectomy n=56 066; or mid-urethral sling n=15 707). These procedures were performed in an academic hospital in 14.8%, 13.3%, 28.6%, 17.1%, and 21.3% of cases, respectively. The mean operative duration across all procedures was higher in academic centres; the additional operative time ranged from 8.3 minutes (circumcision) to 29.2 minutes (radical prostatectomy). In adjusted analysis, patients treated in academic hospitals were still found to have procedures that were significantly longer (by 10‒21%). These results were similar in sensitivity analyses that accounted for the potential effect of more complex patients being referred to tertiary academic centres.Conclusions: Five common general urology operations take significantly longer to perform in academic hospitals. The reason for this may be due to the combined effect of teaching students and residents or due to inherent systematic inefficiencies within large academic hospitals.

scholarly journals Wolbachia-Mediated Antiviral Protection in Drosophila Larvae and Adults following Oral Infection

2015 ◽  
Vol 81 (23) ◽  
pp. 8215-8223 ◽  
Author(s):  
Aleksej L. Stevanovic ◽  
Pieter A. Arnold ◽  
Karyn N. Johnson
Keyword(s):  
Virus Infection ◽  
Oral Delivery ◽  
Life Stage ◽  
Potential Effect ◽  
Oral Exposure ◽  
Viral Dynamics ◽  
Content Type ◽  
Viral Spread ◽  
Infected Insect ◽  
The Impact

ABSTRACTUnderstanding viral dynamics in arthropods is of great importance when designing models to describe how viral spread can influence arthropod populations. The endosymbiotic bacteriumWolbachiaspp., which is present in up to 40% of all insect species, has the ability to alter viral dynamics in bothDrosophilaspp. and mosquitoes, a feature that in mosquitoes may be utilized to limit spread of important arboviruses. To understand the potential effect ofWolbachiaon viral dynamics in nature, it is important to consider the impact of natural routes of virus infection onWolbachiaantiviral effects. Using adultDrosophilastrains, we show here thatDrosophila-Wolbachiaassociations that have previously been shown to confer antiviral protection following systemic viral infection also confer protection against virus-induced mortality following oral exposure to Drosophila C virus in adults. Interestingly, a different pattern was observed when the same fly lines were challenged with the virus when still larvae. Analysis of the fourDrosophila-Wolbachiaassociations that were protective in adults indicated that only the w1118-wMelPop association conferred protection in larvae following oral delivery of the virus. Analysis ofWolbachiadensity using quantitative PCR (qPCR) showed that a highWolbachiadensity was congruent with antiviral protection in both adults and larvae. This study indicates thatWolbachia-mediated protection may vary between larval and adult stages of a givenWolbachia-host combination and that the variations in susceptibility by life stage correspond withWolbachiadensity. The differences in the outcome of virus infection are likely to influence viral dynamics inWolbachia-infected insect populations in nature and could also have important implications for the transmission of arboviruses in mosquito populations.

Studying Subjective Well-Being during a Quarantine

2021 ◽  
Author(s):  
Samuel Browning ◽  
E. Scott Geller
Keyword(s):  
Positive Psychology ◽  
Mood State ◽  
Well Being ◽  
Potential Effect ◽  
Mood States ◽  
Control Group ◽  
Subjective Well Being ◽  
Psychology Class ◽  
Significant Difference ◽  
The Impact

To investigate the impact of writing a gratitude letter on particular mood states, we asked students in two university classes (a research class and a positive psychology class) to complete a 15-item mood assessment survey (MAS) twice a day (once in the morning and once at night). The research students who signed up for one or two pass/fail field-study credits in a research class also completed the MAS twice a day, but they did not write the weekly gratitude letter that was expected from the students in the positive psychology class. Each mood state was averaged per each day for the participants in each group and compared between the Gratitude Group and the Control Group. No group difference occurred for some mood states like “incompetent,” but for the “unmotivated” mood state, a significant difference was found. To investigate the potential effect of weekday, we compared the average mood rating between groups for each day of the week. For the mood state of “unmotivated”, a remarkable dip occurred on Wednesday for the Gratitude group, but not for the Control group. These results indicated that writing a gratitude letter increased the benefactor’s motivation, especially on the day when it was accomplished.

scholarly journals The impact of temporal aggregation on supply chains with ARMA(1,1) demand processes

2019 ◽  
Vol 273 (3) ◽  
pp. 920-932 ◽  
Author(s):  
Bahman Rostami-Tabar ◽  
M. Zied Babai ◽  
Mohammad Ali ◽  
John E. Boylan
Keyword(s):  
Supply Chains ◽  
Temporal Aggregation ◽  
The Impact ◽  
Demand Processes

Does Learners’ Proficiency Level Affect Oral Corrective Feedback Preferences?

2016 ◽  
Vol 8 (4) ◽  
pp. 150 ◽  
Author(s):  
Nesa Bandarchian Rashti ◽  
Maryam Danaye Tous
Keyword(s):  
Error Correction ◽  
Corrective Feedback ◽  
Good Deal ◽  
Potential Effect ◽  
Factors Affecting ◽  
Proficiency Level ◽  
Oral Corrective Feedback ◽  
One Step ◽  
Feedback Preferences ◽  
The Impact

<p>For decades now, there has been a good deal of research on factors affecting students’ oral corrective feedback preferences. Although it has been proven that learners’ characteristics such as their verbal intelligence and attitude toward error correction are highly effective in students’ preferred type of oral corrective feedback, the claims regarding the impact of learners’ proficiency level on their choice of oral corrective feedback have yet to be fully substantiated. In order to take this line of research one step forward, it is important to examine the potential effect of students’ level of proficiency in error correction literature. To this end, this paper aims to shed light on lower and higher level learners’ opinion about corrective feedback issues in an EFL context.</p>

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