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.

Detection of African Swine Fever Virus Antibodies in Serum and Oral Fluid Specimens Using a Recombinant Protein 30 (p30) Dual Matrix Indirect ELISA

In the absence of effective vaccine(s), control of African swine fever caused by African swine fever virus (ASFV) must be based on early, efficient, cost-effective detection and strict control and elimination strategies. For this purpose, we developed an indirect ELISA capable of detecting ASFV antibodies in either serum or oral fluid specimens. The recombinant protein used in the ELISA was selected by comparing the early serum antibody response of ASFV-infected pigs (NHV-p68 isolate) to three major recombinant polypeptides (p30, p54, p72) using a multiplex fluorescent microbead-based immunoassay (FMIA). Non-hazardous (non-infectious) antibody-positive serum for use as plate positive controls and for the calculation of sample-to-positive (S:P) ratios was produced by inoculating pigs with a replicon particle (RP) vaccine expressing the ASFV p30 gene. The optimized ELISA detected anti-p30 antibodies in serum and/or oral fluid samples from pigs inoculated with ASFV under experimental conditions beginning 8 to 12 days post inoculation. Tests on serum (n = 200) and oral fluid (n = 200) field samples from an ASFV-free population demonstrated that the assay was highly diagnostically specific. The convenience and diagnostic utility of oral fluid sampling combined with the flexibility to test either serum or oral fluid on the same platform suggests that this assay will be highly useful under the conditions for which OIE recommends ASFV antibody surveillance, i.e., in ASFV-endemic areas and for the detection of infections with ASFV isolates of low virulence.