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Authors: Tang, Mingyu | Weller, Grant B.

Article Type: Research Article

Abstract: Quantifying the nature of extreme value dependence in high-frequency fluctuations of asset prices is an important yet difficult problem. In this work, we propose a two-stage estimation procedure for conditional joint distribution of high-frequency extremes, given past information on returns. The model combines an intraday volatility component and GARCH model for marginal time dependence with a tail dependence model for extreme values which is based on the framework of regular variation. Examining 15-second returns of four banking sector securities, we find that there exists tail dependence in the detrended residuals. The proposed model outperforms a benchmark Gaussian model in predicting …conditional value-at-risk and expected shortfall, as well as in predicting the probability of jointly extreme returns. Show more

Keywords: Extreme value theory, heavy tails, high-frequency returns, portfolio risk, tail dependence, time series

DOI: 10.3233/MAS-160379

Citation: Model Assisted Statistics and Applications, vol. 12, no. 1, pp. 1-14, 2017

Authors: Tang, Mingyu | Su, Ning | Zhang, Dingding | Dai, Yi | Yao, Ming | Zhou, Lixin | Cui, Liying | Zhang, Shuyang | Zhu, Yicheng | Ni, Jun

Article Type: Research Article

Abstract: Background: Apolipoprotein E (APOE) is closely related to Alzheimer’s disease and other age-related diseases. In recent years, several studies have shown an interaction of APOE by age on brain volume. However, validation in larger cohorts is required. Objective: We explored the age-related effect of APOE on brain volumes in a community-dwelling cohort. Methods: Inhabitants in Shunyi District in Beijing aged≥35 years were invited to join this study from 2013 to 2016. The baseline assessments, APOE genotyping and brain magnetic resonance imaging were performed. Neuroimaging small vessel disease characteristics and brain volumes (global measures, cerebral lobes, hippocampus, brainstem, and subcortical nuclei) …were acquired. The general linear model was used to analyze the interaction of APOE genotypes by age on brain volumes, and the age of 60 years was chosen as a cut-off value for stratification analysis. Results: A total of 1,105 subjects were enrolled in the final analysis with a mean age of 56.18 (9.30) years, and 37.7% were men. APOE ɛ 3/ɛ 3 carriers account for 71.8%, ɛ 2 (+) 14.0%, and ɛ 4 (+) 14.2%. Compared with APOE ɛ 3/ɛ 3, a significant protective effect for APOE ɛ 4 (+) on brain parenchyma fraction (β  =  0.450, p  = 0.048) was observed in subjects aged≤60 years; in participants aged > 60 years, a negative effect for APOE ɛ 4 (+) on hippocampus (β  =  1.087, p  = 0.021) was found. Conclusion: Our study reveals that APOE ɛ 4 has differential effects on cerebral structures in different stages of lifespan, suggesting its complicated biological function and underlying antagonistic pleiotropy. Show more

Keywords: Age stratification, antagonistic pleiotropy, APOE ɛ4, brain structure, interaction

DOI: 10.3233/JAD-220834

Citation: Journal of Alzheimer's Disease, vol. 92, no. 2, pp. 691-700, 2023