Zero-non-zero patterned vector error correction modeling for I(2) cointegrated time series with applications in testing PPP and stock market relationships

Vector error-correction models (VECMs) have become increasingly important in their application to financial markets. Standard full-order VECM models assume non-zero entries in all their coefficient matrices. However, applications of VECM models to financial market data have revealed that zero entries are often a necessary part of efficient modelling. In such cases, the use of full-order VECM models may lead to incorrect inferences. Specifically, if indirect causality or Granger non-causality exists among the variables, the use of over-parameterised full-order VECM models may weaken the power of statistical inference. In this paper, it is argued that the zero–non-zero (ZNZ) patterned VECM is a more straightforward and effective means of testing for both indirect causality and Granger non-causality. For a ZNZ patterned VECM framework for time series of integrated order two, we provide a new algorithm to select cointegrating and loading vectors that can contain zero entries. Two case studies are used to demonstrate the usefulness of the algorithm in tests of purchasing power parity and a three-variable system involving the stock market.

Spreading and synchronization of intrinsic signals in visual cortex of macaque monkey evoked by a localized visual stimulus

Spatio-temporal maps of the occipital cortex of macaque monkeys were analyzed using optical imaging of intrinsic signals. The images obtained during localized visual stimulation (IS) were compared with the images obtained on presentation of a blank screen (IB). We first investigated spontaneous variations of the intrinsic signals by analyzing the 100 IBs for each of the three cortical areas. Slow periodical activation was observed in alternation over the cortical areas. Cross-correlation analysis indicated that synchronization of spontaneous activation only took place within each cortical area, but not between them. When a small, drifting grating (2degreesX2degrees) was presented on the fovea. a dark spot appeared in the optical image at the cortical representation of this retinal location. It spread bilaterally along the border between V1 and V2, continuing as a number of parallel dark bands covering a large area of the lateral surface of V1. Cross-correlation analysis showed that during visual stimulation the intrinsic signals over all of the three cortical areas were synchronized, with in-phase activation of V1 and V2 and anti-phase activation of V4 and V1/V2. The significance of these extensive synergistic and antagonistic interactions between different cortical areas is discussed. (C) 2003 Elsevier B.V. All rights reserved.

Motor unit synchronization between medial and lateral vasti muscles

Objective: Accurate neuromuscular control of the patellofemoral joint is important in knee joint mechanics. Strategies to coordinate the vasti muscles, such as motor unit synchronization, may simplify control of patellar tracking. This study investigated motor unit synchronization between vastus medialis (VM) and lateralis (VL). Methods: Electromyographic (EMG) recordings of single motor unit action potentials (MUAPs) were made from VM and single- and multi-unit recordings were made from VL. Synchronization was quantified from peaks in the cross-correlogram generated from single MUAP pairs in VL and VM. The proportion of motor units in VM with synchronized firing in VL was also quantified from peaks in averages of multiunit VL EMG triggered from the VM MUAP. Results: A high degree of synchronization of motor unit firing between VM and VL was identified. Results were similar for cross-correlation (similar to 45% of cases) and triggered averages (similar to 41% of cases). Conclusions: The data suggest that synchronization between VM and VL is higher than expected. Agreement between traditional cross-correlation and triggered averaging methods suggest that this new technique may provide a more clinically viable method to quantify synchronization. Significance: High synchronization between VM and VL may provide a solution to simplify control of the mechanically unstable patellofemoral joint. (c) 2005 International Federation of Clinical Neurophysiology. Published by Elsevier Ireland Ltd. All rights reserved.

Asset Price Instability and Policy Responses: The Legacy of Liberalization

The problem of asset price bubbles, and more generally of instability in the financial system, has been a matter of concern since the 1980s but has only recently moved to the center of the macroeconomic policy debate. The main concern with bubbles arises when they burst, imposing losses on investors holding the bubble assets and potentially on the financial institutions that have extended credit to them. Asset price volatility is an inevitable consequence of financial market liberalization and, in extreme cases, generates asset price bubbles, the bursting of which can impose substantial economic and social costs. Policy responses within the existing liberalized financial system face daunting levels of uncertainty and risk. Given the pattern of increasing asset market volatility over recent decades and the policy issues highlighted in this paper, the future looks uncertain. Another significant cycle of asset price movements, especially in one of the major economies, could see a fundamental revision of thinking about the costs and benefits of liberalized financial systems.

Correlations between the satellite-derived seasonal cycle of phytoplankton biomass and aerosol optical depth in the Southern Ocean: Evidence for the influence of sea ice

The relationship between the production of dimethylsulfide (DMS) in the upper ocean and atmospheric sulfate aerosols has been confirmed through local shipboard measurements, and global modeling studies alike. In order to examine whether such a connection may be recoverable in the satellite record, we have analyzed the correlation between mean surface chlorophyll (CHL) and aerosol optical depth (AOD) in the Southern Ocean, where the marine atmosphere is relatively remote from anthropogenic and continental influences. We carried out the analysis in 5-degree zonal bands between 50 degrees S and 70 degrees S, for the period ( 1997 - 2004), and in smaller meridional sectors in the Eastern Antarctic, Ross and Weddell seas. Seasonality is moderate to strong in both CHL and AOD signatures throughout the study regions. Coherence in the CHL and AOD time series is strong in the band between 50 degrees S and 60 degrees S, however this synchrony is absent in the sea-ice zone (SIZ) south of 60 degrees S. Marked interannual variability in CHL occurs south of 60 degrees S, presumably related to variability in sea-ice production during the previous winter. We find a clear latitudinal difference in the cross correlation between CHL and AOD, with the AOD peak preceding the CHL bloom by up to 6 weeks in the SIZ. This suggests that substantial trace gas emissions ( aerosol precursors) are being produced over the SIZ in spring ( October - December) as sea ice melts. This hypothesis is supported by field data that record extremely high levels of sulfur species in sea ice, surface seawater, and the overlying atmosphere during ice melt.

The relationship between knee strength and functional stability before and after anterior cruciate ligament reconstruction

Functional stability of the knee is dependent on an intact ligamentous system and the timely and efficient contraction of supporting musculature. The aim of this study was to assess the relationship between muscle strength and functional stability in 31 patients pre- and post-operatively, following a unilateral anterior cruciate ligament rupture. All subjects underwent reconstructive surgery using semitendonosis and gracilis tendons. Isokinetic strength assessment of quadriceps and hamstring muscles was performed at a rate of movement of 60% and 120degrees/s. Functional stability was determined by performance during five functional stability tests that included the shuttle run, side step, carioca, single and triple hop tests. Pearson's correlation coefficient statistics were applied to pre-operative and post-operative data respectively. These analyses demonstrated a significant positive correlation between quadriceps strength indices at both testing speeds and the two hop tests pre-operatively (p's < 0.007) and between quadriceps strength indices at both speeds and all five functional tests post-operatively (p's < 0.01). Assessed using Steiger's formula, there was a significant increase in the correlation between quadriceps strength indices and three functional tests post-operatively compared to pre-operatively (p < 0.05). No significant correlation between hamstring strength indices and functional scores existed pre- or post-operatively. This study has shown a significant correlation exists between quadriceps strength indices and functional stability both before and after surgery, this relationship does not reach significance between hamstring strength indices and functional stability. (C) 2002 Orthopaedic Research Society. Published by Elsevier Science Ltd. All rights reserved.