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.

Infralimbic cortex controls the activity of the hypothalamus-pituitary adrenal axis and the formation of aversive memory: effects of environmental enrichment

The aim of the present study was to investigate the effects of the stimulation and inhibition of the ventral part of the medial prefrontal cortex (infralimbic cortex) on basal and stress-induced plasma levels of corticosterone and on the acquisition of aversive memory in animals maintained in control and environmental enrichment (EE) conditions. Intracortical microinjections of the GABAA antagonist picrotoxin and agonist muscimol were performed in male Wistar rats to stimulate and inhibit, respectively, the activity of the infralimbic cortex. Injections were performed 60 min before foot shock stress and training in the inhibitory avoidance task. Picrotoxin injections into the infralimbic cortex increased basal plasma levels of corticosterone. These increases were higher in EE rats which suggest that EE enhances the control exerted by infralimbic cortex over the hypothalamus-pituitary-adrenal (HPA) axis and corticosterone release. Muscimol injections into the infralimbic cortex reduced the stress-induced plasma levels of corticosterone and the retention latency 24 h after training in the inhibitory avoidance performance in control and EE animals, respectively. These results further suggest that the infralimbic cortex is required for the activation of the HPA axis during stress and for the acquisition of contextual aversive memories.