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.

Mass spectrometry-based thermal shift assay for protein-ligand binding analysis.

Described here is a mass spectrometry-based screening assay for the detection of protein-ligand binding interactions in multicomponent protein mixtures. The assay utilizes an oxidation labeling protocol that involves using hydrogen peroxide to selectively oxidize methionine residues in proteins in order to probe the solvent accessibility of these residues as a function of temperature. The extent to which methionine residues in a protein are oxidized after specified reaction times at a range of temperatures is determined in a MALDI analysis of the intact proteins and/or an LC-MS analysis of tryptic peptide fragments generated after the oxidation reaction is quenched. Ultimately, the mass spectral data is used to construct thermal denaturation curves for the detected proteins. In this proof-of-principle work, the protocol is applied to a four-protein model mixture comprised of ubiquitin, ribonuclease A (RNaseA), cyclophilin A (CypA), and bovine carbonic anhydrase II (BCAII). The new protocol's ability to detect protein-ligand binding interactions by comparing thermal denaturation data obtained in the absence and in the presence of ligand is demonstrated using cyclosporin A (CsA) as a test ligand. The known binding interaction between CsA and CypA was detected using both the MALDI- and LC-MS-based readouts described here.

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.

Neural mechanisms of context effects on face recognition: automatic binding and context shift decrements.

Although people do not normally try to remember associations between faces and physical contexts, these associations are established automatically, as indicated by the difficulty of recognizing familiar faces in different contexts ("butcher-on-the-bus" phenomenon). The present fMRI study investigated the automatic binding of faces and scenes. In the face-face (F-F) condition, faces were presented alone during both encoding and retrieval, whereas in the face/scene-face (FS-F) condition, they were presented overlaid on scenes during encoding but alone during retrieval (context change). Although participants were instructed to focus only on the faces during both encoding and retrieval, recognition performance was worse in the FS-F than in the F-F condition ("context shift decrement" [CSD]), confirming automatic face-scene binding during encoding. This binding was mediated by the hippocampus as indicated by greater subsequent memory effects (remembered > forgotten) in this region for the FS-F than the F-F condition. Scene memory was mediated by right parahippocampal cortex, which was reactivated during successful retrieval when the faces were associated with a scene during encoding (FS-F condition). Analyses using the CSD as a regressor yielded a clear hemispheric asymmetry in medial temporal lobe activity during encoding: Left hippocampal and parahippocampal activity was associated with a smaller CSD, indicating more flexible memory representations immune to context changes, whereas right hippocampal/rhinal activity was associated with a larger CSD, indicating less flexible representations sensitive to context change. Taken together, the results clarify the neural mechanisms of context effects on face recognition.