Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

Ferrochelatase is a conserved downstream target of the blue light-sensing White collar complex in fungi.

Light is a universal signal perceived by organisms, including fungi, in which light regulates common and unique biological processes depending on the species. Previous research has established that conserved proteins, originally called White collar 1 and 2 from the ascomycete Neurospora crassa, regulate UV/blue light sensing. Homologous proteins function in distant relatives of N. crassa, including the basidiomycetes and zygomycetes, which diverged as long as a billion years ago. Here we conducted microarray experiments on the basidiomycete fungus Cryptococcus neoformans to identify light-regulated genes. Surprisingly, only a single gene was induced by light above the commonly used twofold threshold. This gene, HEM15, is predicted to encode a ferrochelatase that catalyses the final step in haem biosynthesis from highly photoreactive porphyrins. The C. neoformans gene complements a Saccharomyces cerevisiae hem15Delta strain and is essential for viability, and the Hem15 protein localizes to mitochondria, three lines of evidence that the gene encodes ferrochelatase. Regulation of HEM15 by light suggests a mechanism by which bwc1/bwc2 mutants are photosensitive and exhibit reduced virulence. We show that ferrochelatase is also light-regulated in a white collar-dependent fashion in N. crassa and the zygomycete Phycomyces blakesleeanus, indicating that ferrochelatase is an ancient target of photoregulation in the fungal kingdom.

Discovery of the Elusive UDP-Diacylglucosamine Hydrolase in the Lipid A Biosynthetic Pathway in Chlamydia trachomatis.

Constitutive biosynthesis of lipid A via the Raetz pathway is essential for the viability and fitness of Gram-negative bacteria, includingChlamydia trachomatis Although nearly all of the enzymes in the lipid A biosynthetic pathway are highly conserved across Gram-negative bacteria, the cleavage of the pyrophosphate group of UDP-2,3-diacyl-GlcN (UDP-DAGn) to form lipid X is carried out by two unrelated enzymes: LpxH in beta- and gammaproteobacteria and LpxI in alphaproteobacteria. The intracellular pathogenC. trachomatislacks an ortholog for either of these two enzymes, and yet, it synthesizes lipid A and exhibits conservation of genes encoding other lipid A enzymes. Employing a complementation screen against aC. trachomatisgenomic library using a conditional-lethallpxHmutantEscherichia colistrain, we have identified an open reading frame (Ct461, renamedlpxG) encoding a previously uncharacterized enzyme that complements the UDP-DAGn hydrolase function inE. coliand catalyzes the conversion of UDP-DAGn to lipid Xin vitro LpxG shows little sequence similarity to either LpxH or LpxI, highlighting LpxG as the founding member of a third class of UDP-DAGn hydrolases. Overexpression of LpxG results in toxic accumulation of lipid X and profoundly reduces the infectivity ofC. trachomatis, validating LpxG as the long-sought-after UDP-DAGn pyrophosphatase in this prominent human pathogen. The complementation approach presented here overcomes the lack of suitable genetic tools forC. trachomatisand should be broadly applicable for the functional characterization of other essentialC. trachomatisgenes.IMPORTANCEChlamydia trachomatisis a leading cause of infectious blindness and sexually transmitted disease. Due to the lack of robust genetic tools, the functions of manyChlamydiagenes remain uncharacterized, including the essential gene encoding the UDP-DAGn pyrophosphatase activity for the biosynthesis of lipid A, the membrane anchor of lipooligosaccharide and the predominant lipid species of the outer leaflet of the bacterial outer membrane. We designed a complementation screen against theC. trachomatisgenomic library using a conditional-lethal mutant ofE. coliand identified the missing essential gene in the lipid A biosynthetic pathway, which we designatedlpxG We show that LpxG is a member of the calcineurin-like phosphatases and displays robust UDP-DAGn pyrophosphatase activityin vitro Overexpression of LpxG inC. trachomatisleads to the accumulation of the predicted lipid intermediate and reduces bacterial infectivity, validating thein vivofunction of LpxG and highlighting the importance of regulated lipid A biosynthesis inC. trachomatis.

The Abundance and Behavioral Ecology of Cape Cod Gray Seals Under Predation Risk From White Sharks

The ultimate goal of wildlife recovery is abundance growth of a species, though it must also involve the reestablishment of the species’ ecological role within ecosystems frequently modified by humans. Reestablishment and subsequent recovery may depend on the species’ degree of adaptive behavior as well as the duration of their functional absence and the extent of ecosystem alteration. In cases of long extirpations or extensive alteration, successful reestablishment may entail adjusting foraging behavior, targeting new prey species, and encountering unfamiliar predatory or competitive regimes. Recovering species must also increasingly tolerate heightened anthropogenic presence, particularly within densely inhabited coastal zones. In recent decades, gray seals (Halichoerus grypus) recovered from exploitation, depletion, and partial extirpation in the Northwest Atlantic. On Cape Cod, MA, USA, gray seals have reestablished growing breeding colonies and seasonally interact with migratory white sharks (Carcarodon carcharias). Though well-studied in portions of their range due to concerns over piscivorous impacts on valuable groundfish, there are broad knowledge gaps regarding their ecological role to US marine ecosystems. Furthermore, there are few studies that explicitly analyze gray seal behavior under direct risk of documented shark predation.

In this dissertation, I apply a behavioral and movement ecology approach to telemetry data to understand gray seal abundance and activity patterns along the coast of Cape Cod. This coastal focus complements extensive research documenting and describing offshore movement and foraging behavior and allows me to address questions about movement decisions and risk allocation. Using beach counts of seals visible in satellite imagery, I estimate the total regional abundance of gray seals using correction factors from haul out behavior and demonstrate a sizeable prey base of gray seals locally. Analyzing intra-annual space use patterns, I document small, concentrated home ranges utilizing nearshore habitats that rapidly expand with shifting activity budgets to target disperse offshore habitats following seasonal declines in white sharks. During the season of dense shark presence, seals conducted abbreviated nocturnal foraging trips structured temporally around divergent use of crepuscular periods. The timing of coastal behavior with different levels of twilight indicate risk allocation patterns with diel cycles of empirical white shark activity. The emergence of risk allocation to explain unique behavioral and spatial patterns observed in these gray seals points to the importance of the restored predator-prey dynamic in gray seal behavior along Cape Cod.

Capacity Investment in Renewable and Conventional Energy Sources

This dissertation studies capacity investments in energy sources, with a focus on renewable technologies, such as solar and wind energy. We develop analytical models to provide insights for policymakers and use real data from the state of Texas to corroborate our findings.

We first take a strategic perspective and focus on electricity pricing policies. Specifically, we investigate the capacity investments of a utility firm in renewable and conventional energy sources under flat and peak pricing policies. We consider generation patterns and intermittency of solar and wind energy in relation to the electricity demand throughout a day. We find that flat pricing leads to a higher investment level for solar energy and it can still lead to more investments in wind energy if considerable amount of wind energy is generated throughout the day.

In the second essay, we complement the first one by focusing on the problem of matching supply with demand in every operating period (e.g., every five minutes) from the perspective of a utility firm. We study the interaction between renewable and conventional sources with different levels of operational flexibility, i.e., the possibility

of quickly ramping energy output up or down. We show that operational flexibility determines these interactions: renewable and inflexible sources (e.g., nuclear energy) are substitutes, whereas renewable and flexible sources (e.g., natural gas) are complements.

In the final essay, rather than the capacity investments of the utility firms, we focus on the capacity investments of households in rooftop solar panels. We investigate whether or not these investments may cause a utility death spiral effect, which is a vicious circle of increased solar adoption and higher electricity prices. We observe that the current rate-of-return regulation may lead to a death spiral for utility firms. We show that one way to reverse the spiral effect is to allow the utility firms to maximize their profits by determining electricity prices.