The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility

It is well known that in finance variances and covariances of asset returns move together over time. Recently, much interest has been aroused by an approach involving the use of the realized covariance (RCOV) matrix constructed from high-frequency returns as the ex-post realization of the covariance matrix of low-frequency returns. For the analysis of dynamics of RCOV matrices, we propose the generalized conditional autoregressive Wishart (GCAW) model. Both the noncentrality matrix and scale matrix of the Wishart distribution are driven by the lagged values of RCOV matrices, and represent two different sources of dynamics, respectively. The GCAW is a generalization of the existing models, and accounts for symmetry and positive definiteness of RCOV matrices without imposing any parametric restriction. Some important properties such as conditional moments, unconditional moments, and stationarity are discussed. Empirical examples including sequences of daily RCOV matrices from the New York Stock Exchange illustrate that our model outperforms the existing models in terms of model fitting and forecasting.     

Joint modeling of longitudinal and survival data with the Cox model and two-phase sampling

A common objective of cohort studies and clinical trials is to assess time-varying longitudinal continuous biomarkers as correlates of the instantaneous hazard of a study endpoint. We consider the setting where the biomarkers are measured in a designed sub-sample (i.e., case-cohort or two-phase sampling design), as is normative for prevention trials. We address this problem via joint models, with underlying biomarker trajectories characterized by a random effects model and their relationship with instantaneous risk characterized by a Cox model. For estimation and inference we extend the conditional score method of Tsiatis and Davidian (Biometrika 88(2):447–458, 2001) to accommodate the two-phase biomarker sampling design using augmented inverse probability weighting with nonparametric kernel regression. We present theoretical properties of the proposed estimators and finite-sample properties derived through simulations, and illustrate the methods with application to the AIDS Clinical Trials Group 175 antiretroviral therapy trial. We discuss how the methods are useful for evaluating a Prentice surrogate endpoint, mediation, and for generating hypotheses about biological mechanisms of treatment efficacy.     

A simulation study of methods for selecting subgroup‐specific doses in phase 1 trials

Patient heterogeneity may complicate dose‐finding in phase 1 clinical trials if the dose‐toxicity curves differ between subgroups. Conducting separate trials within subgroups may lead to infeasibly small sample sizes in subgroups having low prevalence. Alternatively,it is not obvious how to conduct a single trial while accounting for heterogeneity. To address this problem,we consider a generalization of the continual reassessment method on the basis of a hierarchical Bayesian dose‐toxicity model that borrows strength between subgroups under the assumption that the subgroups are exchangeable. We evaluate a design using this model that includes subgroup‐specific dose selection and safety rules. A simulation study is presented that includes comparison of this method to 3 alternative approaches,on the basis of nonhierarchical models,that make different types of assumptions about within‐subgroup dose‐toxicity curves. The simulations show that the hierarchical model‐based method is recommended in settings where the dose‐toxicity curves are exchangeable between subgroups. We present practical guidelines for application and provide computer programs for trial simulation and conduct.     

Who Is to Blame?

We present the results of a content analysis of communications related to the act of terrorism at Domodedovo airport. They show that mass media plays a significant role as a source of factual, undigested information. The theoretical value of the results is that they show a significant number of cases where an actor is accused with no reference to his actions or nonactions. The range of types of complicity in terrorist activity was substantial.     

Agreement and discrepancy between children,parents, and social workers on school‐based effort avoidance in child welfare services

A multiperspective approach is beneficial for obtaining reliable and multifaceted pictures of child behaviour problems. The goal of the present study is to examine interrater agreement on school‐based effort avoidance between children receiving child welfare services, parents, and social workers. Given previous findings, interrater agreement is expected to be low. Self‐reported data on school‐based effort avoidance were gathered for children and adolescents in child welfare services. Additionally, social workers (using the Teacher‐Report Checklist for social and learning behaviour) and parents (using the parallel version of the self‐rating questionnaire on school‐based effort avoidance) were asked to complete an external assessment tool to compare children's perspectives with the ratings of significant adults. The results confirmed significant discrepancies between parents' and children's ratings on effort avoidance tendencies. Furthermore, there were only small to moderate correlations between children's self‐ratings and the adults' assessments; however, the consensus between adults was higher than the interrater agreement between children and social workers. Discrepancies in ratings from multiple informants underline the importance of integrating multiple perspectives, especially children's perspectives, in the diagnostic process in order to plan and adapt appropriate care and treatment.     

Context and Scope of Social Work Interventions in Perinatal Mental Health Settings in India

The perinatal period may not be a happy time for all mothers. During this period, some may develop psychiatric complications, which have both biological and psychosocial etiology, and such illness may affect the whole family. Psychosocial aspects may trigger the illness and act as risk and maintaining factors. Social workers need to intervene in this context for optimal functioning of women with perinatal mental health issues and her family. A biopsychosocial framework may be adopted for social work assessment and intervention. Individual, familial, group, and community level intervention is required to address this complex issue, along with other mental health clinicians.     

“Why I Can't Stand Out in Front of My House?”: Street‐Identified Black Youth and Young Adult's Negative Encounters With Police

This street participatory action research (Street PAR) study organized 15 residents to document street‐identified Black youth and adult's negative experiences with police in Wilmington, Delaware. Data were collected on mostly street‐identified Black men and women aged 18–35 in the forms of (1) 520 surveys, (2) 24 individual interviews, (3) four dual interviews, (4) three group interviews, and (5) extensive field observations. Forty‐two percent of survey participants reported being stopped by police in the last year. However, with the exception of being “stopped,” participants overall reported little negative contact with police at least within the past year. Chi‐square and ANOVA analyses suggest an interactional relationship exists between race, gender, and age on experiences with police. Younger Black men (18–21) were found to have the most negative contact with police. Analysis suggests a smaller, more hardened mostly male variant of the larger street community has had repeated contact with police. Qualitative analysis reveals at least two major themes: (1) disrespect and disdain for residents and (2) low motivation for working with police. Street PAR methodology was also found to be instrumental in working with local residents and the Wilmington Police Department to improve conditions between residents and police.     

Medicare and Amyloid PET Imaging: The Battle Over Evidence

We examine a recent dispute regarding the Centers for Medicare and Medicaid Services’ (CMS) refusal to unconditionally pay for amyloid positron emission tomography (PET) imaging for Medicare beneficiaries being assessed for Alzheimer’s disease. CMS will only pay for amyloid PET imaging when patients are enrolled in clinical trials that meet certain criteria. The dispute reflects CMS’s willingness in certain circumstances to require effectiveness evidence that differs from the Food and Drug Administration’s standard for pre-market approval of a medical intervention and reveals how stakeholders with differing perspectives about evidentiary standards have played a role in attempting to shape the Medicare program’s coverage policies.     

Tracking weight change,insulin resistance,stress, and aerobic fitness over 4 years of college

Objective: To determine if weight gain is accompanied by development of insulin resistance (IR) during 4 years in college. Participants: Two cohorts of college students were enrolled in fall semesters 2009 and 2010 and tracked for 4 years. Methods: Following a 12-hour fast, subjects reported for measurement of body mass index (BMI), perceived stress (PSS), aerobic fitness, and blood glucose, insulin, and lipids. Results: In the first year, 33% of subjects were overweight or obese, and 20% were hyperinsulinemic. Year 4 had 29 remaining subjects with disproportionate attrition of overweight and obese individuals. Just over half the subjects gained weight (WI), whereas nearly 30% lost considerable amounts (WD). WD showed significant decline in fasting insulin, low-density lipoprotein (LDL) cholesterol, and PSS from year 1. WI was primarily highly fit men who did not demonstrate increased IR. Conclusion: WI was not associated with IR over 4 years of college.