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.

Novel associations of UDP-glucuronosyltransferase 2B gene variants with prostate cancer risk in a multiethnic study.

BACKGROUND: We have previously shown that a functional polymorphism of the UGT2B15 gene (rs1902023) was associated with increased risk of prostate cancer (PC). Novel functional polymorphisms of the UGT2B17 and UGT2B15 genes have been recently characterized by in vitro assays but have not been evaluated in epidemiologic studies. METHODS: Fifteen functional SNPs of the UGT2B17 and UGT2B15 genes, including cis-acting UGT2B gene SNPs, were genotyped in African American and Caucasian men (233 PC cases and 342 controls). Regression models were used to analyze the association between SNPs and PC risk. RESULTS: After adjusting for race, age and BMI, we found that six UGT2B15 SNPs (rs4148269, rs3100, rs9994887, rs13112099, rs7686914 and rs7696472) were associated with an increased risk of PC in log-additive models (p < 0.05). A SNP cis-acting on UGT2B17 and UGT2B15 expression (rs17147338) was also associated with increased risk of prostate cancer (OR = 1.65, 95% CI = 1.00-2.70); while a stronger association among men with high Gleason sum was observed for SNPs rs4148269 and rs3100. CONCLUSIONS: Although small sample size limits inference, we report novel associations between UGT2B15 and UGT2B17 variants and PC risk. These associations with PC risk in men with high Gleason sum, more frequently found in African American men, support the relevance of genetic differences in the androgen metabolism pathway, which could explain, in part, the high incidence of PC among African American men. Larger studies are required.