A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Generalized sampling using a compound-eye imaging system for multi-dimensional object acquisition.

In this paper, we propose generalized sampling approaches for measuring a multi-dimensional object using a compact compound-eye imaging system called thin observation module by bound optics (TOMBO). This paper shows the proposed system model, physical examples, and simulations to verify TOMBO imaging using generalized sampling. In the system, an object is modulated and multiplied by a weight distribution with physical coding, and the coded optical signal is integrated on to a detector array. A numerical estimation algorithm employing a sparsity constraint is used for object reconstruction.

Reconstruction of gross avian genome structure, organization and evolution suggests that the chicken lineage most closely resembles the dinosaur avian ancestor.

BACKGROUND: The availability of multiple avian genome sequence assemblies greatly improves our ability to define overall genome organization and reconstruct evolutionary changes. In birds, this has previously been impeded by a near intractable karyotype and relied almost exclusively on comparative molecular cytogenetics of only the largest chromosomes. Here, novel whole genome sequence information from 21 avian genome sequences (most newly assembled) made available on an interactive browser (Evolution Highway) was analyzed. RESULTS: Focusing on the six best-assembled genomes allowed us to assemble a putative karyotype of the dinosaur ancestor for each chromosome. Reconstructing evolutionary events that led to each species' genome organization, we determined that the fastest rate of change occurred in the zebra finch and budgerigar, consistent with rapid speciation events in the Passeriformes and Psittaciformes. Intra- and interchromosomal changes were explained most parsimoniously by a series of inversions and translocations respectively, with breakpoint reuse being commonplace. Analyzing chicken and zebra finch, we found little evidence to support the hypothesis of an association of evolutionary breakpoint regions with recombination hotspots but some evidence to support the hypothesis that microchromosomes largely represent conserved blocks of synteny in the majority of the 21 species analyzed. All but one species showed the expected number of microchromosomal rearrangements predicted by the haploid chromosome count. Ostrich, however, appeared to retain an overall karyotype structure of 2n=80 despite undergoing a large number (26) of hitherto un-described interchromosomal changes. CONCLUSIONS: Results suggest that mechanisms exist to preserve a static overall avian karyotype/genomic structure, including the microchromosomes, with widespread interchromosomal change occurring rarely (e.g., in ostrich and budgerigar lineages). Of the species analyzed, the chicken lineage appeared to have undergone the fewest changes compared to the dinosaur ancestor.