Realized kernels in practice: trades and quotes

Summary Realized kernels use high‐frequency data to estimate daily volatility of individual stock prices. They can be applied to either trade or quote data. Here we provide the details of how we suggest implementing them in practice. We compare the estimates based on trade and quote data for the same stock and find a remarkable level of agreement. We identify some features of the high‐frequency data, which are challenging for realized kernels. They are when there are local trends in the data, over periods of around 10 minutes, where the prices and quotes are driven up or down. These can be associated with high volumes. One explanation for this is that they are due to non‐trivial liquidity effects.     

Influential observations in cointegrated VAR models: Danish money demand 1973–2003

Summary This paper suggests a set of simple diagnostic tools for assessing the influence of a patch of κ observations in a cointegrated vector autoregressive model. The diagnostics are based on the leave‐κ‐out principle ( Bruce and Martin, 1989 Journal of the Royal Statistical Society, Series B, 51, 363–424) and the influence is measured by the likelihood displacement ( Cook and Weisberg, 1982 Residuals and Influence in Regression. London: Chapman and Hall). An application to Danish money demand 1973–2003 suggests that the observations for real money in 1999 are affected by institutional factors related to the definition of broad money, and that the dynamic adjustment following the international oil‐price shock in 1973 is very influential for the long‐run parameters.     

Seasonality in twin birth rates, Denmark, 1936-84.

A study was made of seasonality in twin birth rate in Denmark between 1977 and 1984. We studied all twin births (N = 45,550) in all deliveries (N = 3,679,932) during that period. Statistical analysis using a simple harmonic sinusoidal model provided no evidence for seasonality. However, sequential polynomial analysis disclosed a significant fit to a fifth order polynomial curve with peaks in twin birth rates in May-June and December, along with troughs in February and September. A falling trend in twinning rate broke off in Denmark around 1970, and from 1970 to 1984 an increasing trend was found. The results are discussed in terms of possible environmental influences on twinning.     

Population pharmacokinetic model for human growth hormone in adult patients in chronic dialysis compared with healthy subjects

ObjectiveTo develop a population pharmacokinetic (PK) model of recombinant human growth hormone (rhGH) treatment in patients with end-stage renal disease (ESRD) and healthy volunteers (HVs), to support future study design.DesignThis was an open, non-randomized, single-centre parallel-group study lasting 8–9 days. Various compartment models with first-order and Michaëlis-Menten absorption and elimination were explored. Eleven adult ESRD patients and 10 matched HVs received 50 μg/kg/day rhGH (subcutaneous (s.c.) injection) for 8 or 7 days, respectively. Blood samples were drawn every 30 min for 24 h following dosing on Days 0, 7 and 8 (ESRD patients). Influence of the covariates subject group (ESRD/HV), gender, weight, and dialysis flow-rate on model parameters was examined.ResultsThe final model was one-compartmental with Michaëlis-Menten absorption and elimination. The following estimates were obtained: maximum absorption rate (VMA) – 11.3 μg/kg/h (both groups); amount of drug corresponding to half-maximum absorption rate (KMA) – 1.06 and 18.8 μg/kg (ESRD patients and HVs, respectively; P < 0.001); maximum elimination rate (VM) – 9.37 and 13.0 μg/kg/h (ESRD patients and HVs, respectively; P < 0.001); amount of drug corresponding to half-maximum elimination rate – 18.9 μg/kg (both groups). Significant differences in KMA and VM between HVs and ESRD patients corresponded to higher absorption and lower elimination rates in ESRD, but all GH profiles were back to baseline by 20–22 h and no overall accumulation occurred. Simplified posterior predictive checks indicated that the model satisfactorily captured PK. All non-compartmental estimates for AUC_0–24h and C_max lay within 95% confidence limits of the simulated distributions.ConclusionsA population PK model was established, which showed acceptable performance for trial-simulation purposes.     

Physiological measurements of walking and running in people with transtibial amputations with 3 different prostheses.

STUDY DESIGN: A 3-factor (foot type, speed, and mode of ambulation) repeated-measures experimental design was used. OBJECTIVES: To compare the differences in energy expenditure, gait efficiency, and relative exercise intensity in persons with transtibial amputations with various prostheses. BACKGROUND: There is a need for improved prosthetic designs to accommodate physically active persons with lower-extremity amputations. METHODS AND MEASURES: We used progressive speeds of treadmill walking (53.64, 67.05, 80.46, 93.87, and 107.28 m/min) and running (120.69, 134.1, and 147.51 m/min) with 3 different types of prostheses: the Solid Ankle Cushion Heel (SACH) foot, the Flex-Foot (FF), and the Re-Flex Vertical Shock Pylon (VSP) prosthesis. Five physically active men with unilateral transtibial amputations served as subjects (aged 31.6 +/- 4.28 years). RESULTS: The following statistically significant differences (improvements) between the Re-Flex VSP versus the FF and the SACH foot were found. Energy cost: walking (5%), running (11%); gait efficiency: walking (6%), running (9%); relative exercise intensity: walking (4%), running (5%). However, we found no significant differences between the FF and the SACH. CONCLUSIONS: The Re-Flex VSP appears to have a positive effect on energy cost, efficiency, and relative exercise intensity compared with the other prosthetic foot types during walking and running.     

Interobserver variation of angioscintigraphy for deep vein thrombosis

Angioscintigrams of the deep veins in the legs were obtained in a consecutive series of 119 patients, suspected of deep vein thrombosis. Two nuclear medicine specialists independently read the angioscintigrams for presence of focal-filling defects, increased tissue activity, or collaterals and gave a final diagnosis of deep vein thrombosis. The overall agreement for the four findings were 0.83, 0.74, 0.75, and 0.84, respectively. After adjusting the overall agreement for expected chance agreement, kappa values of 0.56, 0.47, 0.21, and 0.64 were obtained. The interobserver variation of the angioscintigraphic diagnosis for deep vein thrombosis is comparable to that of the radiographic phlebography. As the angioscintigraphic technique is almost without any risk and inconvenience to the patient, it constitutes a relevant diagnostic alternative in the diagnosis of deep vein thrombosis.     

Therapeutic value of hysterosalpingography with lipiodol ultra fluid

Hysterosalpingography (HSG) with lipiodol ultra fluid was performed in 294 infertile women with a normal ovulatory temperature curve and at least two years of infertility and a partner with normal sperm. In 21 per cent, pregnancy occurred within 6 months after the examination, and about one third of the women with a normal finding or with intraperitoneal adhesions at HSG conceived. The pregnancy rate was especially high in the first two cycles after HSG. The spontaneous pregnancy rate was 8 per cent, and the difference between this and the total number of pregnancies must be attributed to a therapeutic effect of the procedure. Previous pelvic inflammatory disease was present in 40 per cent of those who did not become pregnant, while only 11 per cent of those who conceived had previous inflammation. Of the women without previous gynecologic disease 30 per cent conceived.