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.

Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency

We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE volatility index (VIX) or the Black-Scholes implied volatility. The theoretical justification for the instrument-based estimator relies on a certain invariance property, which can be exploited when high frequency data is available. The price-only estimator is more robust since it is valid under weaker assumptions. However, in the presence of a valid volatility instrument, the price-only estimator is inefficient as the instrument-based estimator has a faster rate of convergence. We consider two empirical applications, in which we study the relationship between the leverage effect and the debt-to-equity ratio, credit risk, and illiquidity.

PTPN22 Association in Systemic Lupus Erythematosus (SLE) with Respect to Individual Ancestry and Clinical Sub-Phenotypes

Protein tyrosine phosphatase non-receptor type 22 (PTPN22) is a negative regulator of T-cell activation associated with several autoimmune diseases, including systemic lupus erythematosus (SLE). Missense rs2476601 is associated with SLE in individuals with European ancestry. Since the rs2476601 risk allele frequency differs dramatically across ethnicities, we assessed robustness of PTPN22 association with SLE and its clinical subphenotypes across four ethnically diverse populations. Ten SNPs were genotyped in 8220 SLE cases and 7369 controls from in European-Americans (EA), African-Americans (AA), Asians (AS), and Hispanics (HS). We performed imputation-based association followed by conditional analysis to identify independent associations. Significantly associated SNPs were tested for association with SLE clinical sub-phenotypes, including autoantibody profiles. Multiple testing was accounted for by using false discovery rate. We successfully imputed and tested allelic association for 107 SNPs within the PTPN22 region and detected evidence of ethnic-specific associations from EA and HS. In EA, the strongest association was at rs2476601 (P = 4.761029, OR = 1.40 (95% CI = 1.25–1.56)). Independent association with rs1217414 was also observed in EA, and both SNPs are correlated with increased European ancestry. For HS imputed intronic SNP, rs3765598, predicted to be a cis-eQTL, was associated (P = 0.007, OR = 0.79 and 95% CI = 0.67–0.94). No significant associations were observed in AA or AS. Case-only analysis using lupus-related clinical criteria revealed differences between EA SLE patients positive for moderate to high titers of IgG anti-cardiolipin (aCL IgG .20) versus negative aCL IgG at rs2476601 (P = 0.012, OR = 1.65). Association was reinforced when these cases were compared to controls (P = 2.761025, OR = 2.11). Our results validate that rs2476601 is the most significantly associated SNP in individuals with European ancestry. Additionally, rs1217414 and rs3765598 may be associated with SLE. Further studies are required to confirm the involvement of rs2476601 with aCL IgG.

Prevalencia de enfermedad celiaca en Latinoamérica: revisión sistemática de la literatura y meta-análisis

Introducción: La enfermedad celiaca (EC) es una enfermedad autoinmune (EA) intestinal desencadenada por la ingesta de gluten. Por la falta de información de la presencia de EC en Latinoamérica (LA), nosotros investigamos la prevalencia de la enfermedad en esta región utilizando una revisión sistemática de la literatura y un meta-análisis. Métodos y resultados: Este trabajo fue realizado en dos fases: La primera, fue un estudio de corte transversal de 300 individuos Colombianos. La segunda, fue una revisión sistemática y una meta-regresión siguiendo las guías PRSIMA. Nuestros resultados ponen de manifiesto una falta de anti-transglutaminasa tisular (tTG) e IgA anti-endomisio (EMA) en la población Colombiana. En la revisión sistemática, 72 artículos cumplían con los criterios de selección, la prevalencia estimada de EC en LA fue de 0,46% a 0,64%, mientras que la prevalencia en familiares de primer grado fue de 5,5 a 5,6%, y en los pacientes con diabetes mellitus tipo 1 fue de 4,6% a 8,7% Conclusión: Nuestro estudio muestra que la prevalencia de EC en pacientes sanos de LA es similar a la notificada en la población europea.

Frecuencias alélicas y genotípicas de polimorfismos en los genes cyp2c9, vkorc1 y cyp4f2 en pacientes colombianos anticoagulados con warfarina

La warfarina es el anticoagulante oral más usado en todo el mundo, es formulado para el tratamiento y prevención de las enfermedades trombóticas. Tiene un índice terapéutico estrecho y amplia variabilidad entre pacientes haciendo difícil su dosificación, por lo cual es necesario determinar la frecuencia de los polimorfismos en los genes involucrados en el metabolismo de este medicamento.

Dynamic conditional correlation in Latin-American asset markets

In this paper we reviewed the models of volatility for a group of five Latin American countries, mainly motivated by the recent periods of financial turbulence. Our results based on high frequency data suggest that Dynamic multivariate models are more powerful to study the volatilities of asset returns than Constant Conditional Correlation models. For the group of countries included, we identified that domestic volatilities of asset markets have been increasing; but the co-volatility of the region is still moderate.

Sonic to ultrasonic Q of sandstones and limestones: Laboratory measurements at in situ pressures

Laboratory measurements of the attenuation and velocity dispersion of compressional and shear waves at appropriate frequencies, pressures, and temperatures can aid interpretation of seismic and well-log surveys as well as indicate absorption mechanisms in rocks. Construction and calibration of resonant-bar equipment was used to measure velocities and attenuations of standing shear and extensional waves in copper-jacketed right cylinders of rocks (30 cm in length, 2.54 cm in diameter) in the sonic frequency range and at differential pressures up to 65 MPa. We also measured ultrasonic velocities and attenuations of compressional and shear waves in 50-mm-diameter samples of the rocks at identical pressures. Extensional-mode velocities determined from the resonant bar are systematically too low, yielding unreliable Poisson's ratios. Poisson's ratios determined from the ultrasonic data are frequency corrected and used to calculate the sonic-frequency compressional-wave velocities and attenuations from the shear- and extensional-mode data. We calculate the bulk-modulus loss. The accuracies of attenuation data (expressed as 1000/Q, where Q is the quality factor) are +/- 1 for compressional and shear waves at ultrasonic frequency, +/- 1 for shear waves, and +/- 3 for compressional waves at sonic frequency. Example sonic-frequency data show that the energy absorption in a limestone is small (Q(P) greater than 200 and stress independent) and is primarily due to poroelasticity, whereas that in the two sandstones is variable in magnitude (Q(P) ranges from less than 50 to greater than 300, at reservoir pressures) and arises from a combination of poroelasticity and viscoelasticity. A graph of compressional-wave attenuation versus compressional-wave velocity at reservoir pressures differentiates high-permeability (> 100 mD, 9.87 X 10(-14) m(2)) brine-saturated sandstones from low-permeability (< 100 mD, 9.87 X 10 (14) m(2)) sandstones and shales.

The point source method for inverse scattering in the time domain

Many recent inverse scattering techniques have been designed for single frequency scattered fields in the frequency domain. In practice, however, the data is collected in the time domain. Frequency domain inverse scattering algorithms obviously apply to time-harmonic scattering, or nearly time-harmonic scattering, through application of the Fourier transform. Fourier transform techniques can also be applied to non-time-harmonic scattering from pulses. Our goal here is twofold: first, to establish conditions on the time-dependent waves that provide a correspondence between time domain and frequency domain inverse scattering via Fourier transforms without recourse to the conventional limiting amplitude principle; secondly, we apply the analysis in the first part of this work toward the extension of a particular scattering technique, namely the point source method, to scattering from the requisite pulses. Numerical examples illustrate the method and suggest that reconstructions from admissible pulses deliver superior reconstructions compared to straight averaging of multi-frequency data. Copyright (C) 2006 John Wiley & Sons, Ltd.

Vibration-rotation spectra and the harmonic force field of HOCl

Vibration-rotation spectra of HOCl have been measured at a resolution of 0.05 cm−1 to determine vibration rotation constants, and 35–37 Cl isotope shifts in the vibration frequencies. The spectrum of DOCl has also been recorded, and a preliminary analysis for the band origins has been made. The vibrational frequency data and centrifugal distortion constants have been used to determine the harmonic force field in a least-squares refinement; the force field obtained also gives a good fit to data on the vibrational contributions to the inertial defect. The equilibrium rotational constants of HOCl have been obtained, and an equilibrium structure has been estimated.

The general harmonic force field of methyl fluoride

The complete general harmonic force field of methyl flouride was recalculated using the most recent literature frequency, Coriolis ζ, and centrifugal distortion data for 12CH3F, 13CH3F, 12CD3F, 12CHD2F and 12CH2DF. The anharmonic corrections applied to the observed frequency data and the adopted molecular geometry are considered to be more realistic than those used hitherto. There is excellent overall agreement between the fitted force constants and the highest quality ab initio force field currently available.

Stock assessment for fishery management - A framework guide to the stock assessment tools of the Fisheries Management Science Programme (FMSP)

This document provides guidelines for fish stock assessment and fishery management using the software tools and other outputs developed by the United Kingdom's Department for International Development's Fisheries Management Science Programme (FMSP) from 1992 to 2004. It explains some key elements of the precautionary approach to fisheries management and outlines a range of alternative stock assessment approaches that can provide the information needed for such precautionary management. Four FMSP software tools, LFDA (Length Frequency Data Analysis), CEDA (Catch Effort Data Analysis), YIELD and ParFish (Participatory Fisheries Stock Assessment), are described with which intermediary parameters, performance indicators and reference points may be estimated. The document also contains examples of the assessment and management of multispecies fisheries, the use of Bayesian methodologies, the use of empirical modelling approaches for estimating yields and in analysing fishery systems, and the assessment and management of inland fisheries. It also provides a comparison of length- and age-based stock assessment methods. A CD-ROM with the FMSP software packages CEDA, LFDA, YIELD and ParFish is included.

Estimation of population growth or decline in genetically monitored populations

This article introduces a new general method for genealogical inference that samples independent genealogical histories using importance sampling (IS) and then samples other parameters with Markov chain Monte Carlo (MCMC). It is then possible to more easily utilize the advantages of importance sampling in a fully Bayesian framework. The method is applied to the problem of estimating recent changes in effective population size from temporally spaced gene frequency data. The method gives the posterior distribution of effective population size at the time of the oldest sample and at the time of the most recent sample, assuming a model of exponential growth or decline during the interval. The effect of changes in number of alleles, number of loci, and sample size on the accuracy of the method is described using test simulations, and it is concluded that these have an approximately equivalent effect. The method is used on three example data sets and problems in interpreting the posterior densities are highlighted and discussed.

The underlying return generating factors for REIT returns: an application of independent component analysis

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing use of high frequency data and trading strategies and with a growing emphasis on the risks of extreme events, the macro-variable procedure has some deficiencies. This paper explores a third way, with the use of an alternative to the standard principal components approach – independent components analysis (ICA). ICA seeks higher moment independence and maximises in relation to a chosen risk parameter. We apply an ICA based on kurtosis maximisation to weekly US REIT data using a kurtosis maximising algorithm. The results show that ICA is successful in capturing the kurtosis characteristics of REIT returns, offering possibilities for the development of risk management strategies that are sensitive to extreme events and tail distributions.

Pricing and hedging short sterling options using artificial neural networks

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging Short Sterling options positions using Short Sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model.

The challenge of validation: assessing the performance of a test of productive vocabulary

This paper assesses the performance of a vocabulary test designed to measure second language productive vocabulary knowledge.The test, Lex30, uses a word association task to elicit vocabulary, and uses word frequency data to measure the vocabulary produced. Here we report firstly on the reliability of the test as measured by a test-retest study, a parallel test forms experiment and an internal consistency measure. We then investigate the construct validity of the test by looking at changes in test performance over time, analyses of correlations with scores on similar tests, and comparison of spoken and written test performance. Last, we examine the theoretical bases of the two main test components: eliciting vocabulary and measuring vocabulary. Interpretations of our findings are discussed in the context of test validation research literature. We conclude that the findings reported here present a robust argument for the validity of the test as a research tool, and encourage further investigation of its validity in an instructional context