Cross-sectional dependence in idiosyncratic volatility

This paper introduces a framework for analysis of cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the idiosyncratic volatilities such as covariances and correlations. Next, we study an idiosyncratic volatility factor model, in which we decompose the co-movements in idiosyncratic volatilities into two parts: those related to factors such as the market volatility, and the residual co-movements. When using high frequency data, naive estimators of all of the above measures are biased due to the estimation errors in idiosyncratic volatility. We provide bias-corrected estimators and establish their asymptotic properties. We apply our estimators to high-frequency data on 27 individual stocks from nine different sectors, and document strong cross-sectional dependence in their idiosyncratic volatilities. We also find that on average 74% of this dependence can be explained by the market volatility.

Comorbid Depression Among Untreated Illicit Opiate Users : Results From a Multisite Canadian Study

This study aimed to describe patterns of major depression (MDD) in a cohort of untreated illicit opiate users recruited from 5 Canadian urban centres, identify sociodemographic characteristics of opiate users that predict MDD, and determine whether opiate users suffering from depression exhibit different drug use patterns than do participants without depression. Baseline data were collected from 679 untreated opiate users in Vancouver, Edmonton, Toronto, Montreal, and Quebec City. Using the Composite International Diagnostic Interview Short Form for Major Depression, we assessed sociodemographics, drug use, health status, health service use, and depression. We examined depression rates across study sites; logistic regression analyses predicted MDD from demographic information and city. Chi-square analyses were used to compare injection drug use and cocaine or crack use among participants with and without depression. Almost one-half (49.3%) of the sample met the cut-off score for MDD. Being female, white, and living outside Vancouver independently predicted MDD. Opiate users suffering from depression were more likely than users without depression to share injection equipment and paraphernalia and were also more likely to use cocaine (Ps < 0.05). Comorbid depression is common among untreated opiate users across Canada; targeted interventions are needed for this population.