Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

Utility of a panviral microarray for detection of swine respiratory viruses in clinical samples

Several factors have recently converged, elevating the need for highly parallel diagnostic platforms that have the ability to detect many known, novel, and emerging pathogenic agents simultaneously. Panviral DNA microarrays represent the most robust approach for massively parallel viral surveillance and detection. The Virochip is a panviral DNA microarray that is capable of detecting all known viruses, as well as novel viruses related to known viral families, in a single assay and has been used to successfully identify known and novel viral agents in clinical human specimens. However, the usefulness and the sensitivity of the Virochip platform have not been tested on a set of clinical veterinary specimens with the high degree of genetic variance that is frequently observed with swine virus field isolates. In this report, we investigate the utility and sensitivity of the Virochip to positively detect swine viruses in both cell culture-derived samples and clinical swine samples. The Virochip successfully detected porcine reproductive and respiratory syndrome virus (PRRSV) in serum containing 6.10 × 10(2) viral copies per microliter and influenza A virus in lung lavage fluid containing 2.08 × 10(6) viral copies per microliter. The Virochip also successfully detected porcine circovirus type 2 (PCV2) in serum containing 2.50 × 10(8) viral copies per microliter and porcine respiratory coronavirus (PRCV) in turbinate tissue homogenate. Collectively, the data in this report demonstrate that the Virochip can successfully detect pathogenic viruses frequently found in swine in a variety of solid and liquid specimens, such as turbinate tissue homogenate and lung lavage fluid, as well as antemortem samples, such as serum.