Asymmetric Smiles, Leverage Effects and Structural Parameters.

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture not only the volatility risk and the interest rate risk which potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied volatility curves result from any source of instantaneous correlation between the state variables and either the return on the stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model with latent variables, we specify an equilibrium-based stochastic discount factor with time non-separable preferences. When we calibrate this model to empirically reasonable values of the parameters, we are able to reproduce the various types of implied volatility curves inferred from option market data.

Computation and Analysis of Multiple Structural-Change Models

In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the procedures. We first address the problem of estimation of the break dates and present an efficient algorithm to obtain global minimizers of the sum of squared residuals. This algorithm is based on the principle of dynamic programming and requires at most least-squares operations of order O(T 2) for any number of breaks. Our method can be applied to both pure and partial structural-change models. Secondly, we consider the problem of forming confidence intervals for the break dates under various hypotheses about the structure of the data and the errors across segments. Third, we address the issue of testing for structural changes under very general conditions on the data and the errors. Fourth, we address the issue of estimating the number of breaks. We present simulation results pertaining to the behavior of the estimators and tests in finite samples. Finally, a few empirical applications are presented to illustrate the usefulness of the procedures. All methods discussed are implemented in a GAUSS program available upon request for non-profit academic use.

GLS Detrending, Efficient Unit Root Tests and Structural Change

We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg and Stock (1996) (ERS). Following Perron (1989), we consider two models : one allowing for a change in slope and the other for both a change in intercept and slope. We derive the asymptotic distribution of the tests as well as that of the feasible point optimal tests PT(GLS) suggested by ERS. The asymptotic critical values of the tests are tabulated. Also, we compute the non-centrality parameter used for the local GLS detrending that permits the tests to have 50% asymptotic power at that value. We show that the M(GLS) and PT(GLS) tests have an asymptotic power function close to the power envelope. An extensive simulation study analyzes the size and power in finite samples under various methods to select the truncation lag for the autoregressive spectral density estimator. An empirical application is also provided.

Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

It is well known that standard asymptotic theory is not valid or is extremely unreliable in models with identification problems or weak instruments [Dufour (1997, Econometrica), Staiger and Stock (1997, Econometrica), Wang and Zivot (1998, Econometrica), Stock and Wright (2000, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. One possible way out consists here in using a variant of the Anderson-Rubin (1949, Ann. Math. Stat.) procedure. The latter, however, allows one to build exact tests and confidence sets only for the full vector of the coefficients of the endogenous explanatory variables in a structural equation, which in general does not allow for individual coefficients. This problem may in principle be overcome by using projection techniques [Dufour (1997, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. AR-types are emphasized because they are robust to both weak instruments and instrument exclusion. However, these techniques can be implemented only by using costly numerical techniques. In this paper, we provide a complete analytic solution to the problem of building projection-based confidence sets from Anderson-Rubin-type confidence sets. The latter involves the geometric properties of “quadrics” and can be viewed as an extension of usual confidence intervals and ellipsoids. Only least squares techniques are required for building the confidence intervals. We also study by simulation how “conservative” projection-based confidence sets are. Finally, we illustrate the methods proposed by applying them to three different examples: the relationship between trade and growth in a cross-section of countries, returns to education, and a study of production functions in the U.S. economy.

Bone mineral density measurement and osteoporosis treatment after a fragility fracture in older adults: regional variation and determinants of use in Quebec

Affiliation: Pierre Dagenais : Hôpital Maisonneuve-Rosemont, Faculté de médecine, Université de Montréal

Structural and functional brain abnormalities in children with subclinical depression

Mémoire numérisé par la Division de la gestion de documents et des archives de l'Université de Montréal.

Structural bioinformatics analysis of the family of human ubiquitin-specific proteases

Mémoire numérisé par la Division de la gestion de documents et des archives de l'Université de Montréal.

Structural aspects of the ribosome evolution and function

Les résultats ont été obtenus avec le logiciel "Insight-2" de Accelris (San Diego, CA)

Structural rules for the formation of backbone-backbone interactions between closely packed RNA double helices

Les interactions entre les squelettes sucre-phosphate de nucléotides jouent un rôle important dans la stabilisation des structures tertiaires de larges molécules d’ARN. Elles sont régies par des règles particulières qui gouverne leur formation mais qui jusque là demeure quasiment inconnues. Un élément structural d’ARN pour lequel les interactions sucre-phosphate sont importantes est le motif d’empaquetage de deux doubles hélices d’ARN le long du sillon mineur. Ce motif se trouve à divers endroits dans la structure du ribosome. Il consiste en deux doubles hélices interagissant de manière à ce que le squelette sucre-phosphate de l’une se niche dans le sillon mineur de l’autre et vice versa. La surface de contact entre les deux hélices est majoritairement formée par les riboses et implique au total douze nucléotides. La présente thèse a pour but d’analyser la structure interne de ce motif et sa dépendance de stabilité résultant de l’association optimale ou non des hélices, selon leurs séquences nucléotidiques. Il est démontré dans cette thèse qu’un positionnement approprié des riboses leur permet de former des contacts inter-hélices, par l’entremise d’un choix particulier de l’identité des pairs de bases impliquées. Pour différentes pairs de bases participant à ce contact inter-hélices, l’identité optimale peut être du type Watson-Crick, GC/CG, or certaines pairs de bases non Watson-Crick. Le choix adéquat de paires de bases fournit une interaction inter-hélice stable. Dans quelques cas du motif, l’identité de certaines paires de bases ne correspond pas à la structure la plus stable, ce qui pourrait refléter le fait que ces motifs devraient avoir une liberté de formation et de déformation lors du fonctionnement du ribosome.