18 resultados para Fama-French 3-factor model


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Ice clouds are an important yet largely unvalidated component of weather forecasting and climate models, but radar offers the potential to provide the necessary data to evaluate them. First in this paper, coordinated aircraft in situ measurements and scans by a 3-GHz radar are presented, demonstrating that, for stratiform midlatitude ice clouds, radar reflectivity in the Rayleigh-scattering regime may be reliably calculated from aircraft size spectra if the "Brown and Francis" mass-size relationship is used. The comparisons spanned radar reflectivity values from -15 to +20 dBZ, ice water contents (IWCs) from 0.01 to 0.4 g m(-3), and median volumetric diameters between 0.2 and 3 mm. In mixed-phase conditions the agreement is much poorer because of the higher-density ice particles present. A large midlatitude aircraft dataset is then used to derive expressions that relate radar reflectivity and temperature to ice water content and visible extinction coefficient. The analysis is an advance over previous work in several ways: the retrievals vary smoothly with both input parameters, different relationships are derived for the common radar frequencies of 3, 35, and 94 GHz, and the problem of retrieving the long-term mean and the horizontal variance of ice cloud parameters is considered separately. It is shown that the dependence on temperature arises because of the temperature dependence of the number concentration "intercept parameter" rather than mean particle size. A comparison is presented of ice water content derived from scanning 3-GHz radar with the values held in the Met Office mesoscale forecast model, for eight precipitating cases spanning 39 h over Southern England. It is found that the model predicted mean I WC to within 10% of the observations at temperatures between -30 degrees and - 10 degrees C but tended to underestimate it by around a factor of 2 at colder temperatures.

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This paper combines and generalizes a number of recent time series models of daily exchange rate series by using a SETAR model which also allows the variance equation of a GARCH specification for the error terms to be drawn from more than one regime. An application of the model to the French Franc/Deutschmark exchange rate demonstrates that out-of-sample forecasts for the exchange rate volatility are also improved when the restriction that the data it is drawn from a single regime is removed. This result highlights the importance of considering both types of regime shift (i.e. thresholds in variance as well as in mean) when analysing financial time series.

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Activating transcription factor 3 (Atf3) is rapidly and transiently upregulated in numerous systems, and is associated with various disease states. Atf3 is required for negative feedback regulation of other genes, but is itself subject to negative feedback regulation possibly by autorepression. In cardiomyocytes, Atf3 and Egr1 mRNAs are upregulated via ERK1/2 signalling and Atf3 suppresses Egr1 expression. We previously developed a mathematical model for the Atf3-Egr1 system. Here, we adjusted and extended the model to explore mechanisms of Atf3 feedback regulation. Introduction of an autorepressive loop for Atf3 tuned down its expression and inhibition of Egr1 was lost, demonstrating that negative feedback regulation of Atf3 by Atf3 itself is implausible in this context. Experimentally, signals downstream from ERK1/2 suppress Atf3 expression. Mathematical modelling indicated that this cannot occur by phosphorylation of pre-existing inhibitory transcriptional regulators because the time delay is too short. De novo synthesis of an inhibitory transcription factor (ITF) with a high affinity for the Atf3 promoter could suppress Atf3 expression, but (as with the Atf3 autorepression loop) inhibition of Egr1 was lost. Developing the model to include newly-synthesised miRNAs very efficiently terminated Atf3 protein expression and, with a 4-fold increase in the rate of degradation of mRNA from the mRNA/miRNA complex, profiles for Atf3 mRNA, Atf3 protein and Egr1 mRNA approximated to the experimental data. Combining the ITF model with that of the miRNA did not improve the profiles suggesting that miRNAs are likely to play a dominant role in switching off Atf3 expression post-induction.