Volume, volatility, and leverage: A dynamic analysis

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.

Bayesian Analysis of Latent Threshold Dynamic Models

We discuss a general approach to dynamic sparsity modeling in multivariate time series analysis. Time-varying parameters are linked to latent processes that are thresholded to induce zero values adaptively, providing natural mechanisms for dynamic variable inclusion/selection. We discuss Bayesian model specification, analysis and prediction in dynamic regressions, time-varying vector autoregressions, and multivariate volatility models using latent thresholding. Application to a topical macroeconomic time series problem illustrates some of the benefits of the approach in terms of statistical and economic interpretations as well as improved predictions. Supplementary materials for this article are available online. © 2013 Copyright Taylor and Francis Group, LLC.

When static meets dynamic: Comparing cone-beam computed tomography and acoustic reflection for upper airway analysis

INTRODUCTION: Upper airway measurement can be important for the diagnosis of breathing disorders. Acoustic reflection (AR) is an accepted tool for studying the airway. Our objective was to investigate the differences between cone-beam computed tomography (CBCT) and AR in calculating airway volumes and areas. METHODS: Subjects with prescribed CBCT images as part of their records were also asked to have AR performed. A total of 59 subjects (mean age, 15 ± 3.8 years) had their upper airway (5 areas) measured from CBCT images, acoustic rhinometry, and acoustic pharyngometry. Volumes and minimal cross-sectional areas were extracted and compared with software. RESULTS: Intraclass correlation on 20 randomly selected subjects, remeasured 2 weeks apart, showed high reliability (r >0.77). Means of total nasal volume were significantly different between the 2 methods (P = 0.035), but anterior nasal volume and minimal cross-sectional area showed no differences (P = 0.532 and P = 0.066, respectively). Pharyngeal volume showed significant differences (P = 0.01) with high correlation (r = 0.755), whereas pharyngeal minimal cross-sectional area showed no differences (P = 0.109). The pharyngeal volume difference may not be considered clinically significant, since it is 758 mm3 for measurements showing means of 11,000 ± 4000 mm3. CONCLUSIONS: CBCT is an accurate method for measuring anterior nasal volume, nasal minimal cross-sectional area, pharyngeal volume, and pharyngeal minimal cross-sectional area.