The effect of skewness and kurtosis on the Kenward-Roger approximation when group distributions differ

Resumen tomado de la publicaci??n

Autoregressive conditional kurtosis

This article proposes a new model for autoregressive conditional heteroscedasticity and kurtosis. Via a time-varying degrees of freedom parameter, the conditional variance and conditional kurtosis are permitted to evolve separately. The model uses only the standard Student’s t-density and consequently can be estimated simply using maximum likelihood. The method is applied to a set of four daily financial asset return series comprising U.S. and U.K. stocks and bonds, and significant evidence in favor of the presence of autoregressive conditional kurtosis is observed. Various extensions to the basic model are proposed, and we show that the response of kurtosis to good and bad news is not significantly asymmetric.

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion is robust within various multifactor models based on size, value, past performance, liquidity and total volatility and also holds within an ICAPM specification of the risk–return relationship. Our findings thus indicate that investors demand an additional return for bearing the idiosyncratic volatility of poorly-diversified portfolios.

The idiosyncratic movement potential of the dancer's subject body in the work "Deep map"

An investigation into choreographic processes employed within contemporary modern dance. This involved the exploration of working methods used in the making of "Deep map" nos.1, 2 & 3, presented in Melbourne from 1997-2000. The focus of that method was the placement of the dancer as 'subject' whilst maintaining the role of the choreographer as 'auteur'.

Least squares asymptotics in spurious and cointegrated panel regressions with common and idiosyncratic stochastic trends

This article makes an analytical study of the effects of the presence of both common and idiosyncratic stochastic trends on the pooled least squares estimator. The results suggest that the usual result of asymptotic normality depends critically on the absence of the common stochastic trend.

Microeconomic instability and children's human capital accumulation: the effects of idiosyncratic shocks to father's income on child labor, school drop-outs and repetition rates in Brazil

This paper evaluates the long-run effects of economic instability. In particular, we study the impact of idiosyncratic shocks to father’s income on children’s human capital accumulation variables such as school drop-outs, repetition rates and domestic and non-domestic labor. Although, the problem of child labor in Brazil has declined greatly during the last decade, the number of children working is still substantial. The low levels of educational attainment in Brazil are also a main cause for concern. The large rotating panel data set used allows for the estimation of the impacts of changes in occupational and income status of fathers on changes in his child’s time allocation circumstances. The empirical analysis is restricted to families with fathers, mothers and at least one child between 10 and 15 years of age in the main Brazilian metropolitan areas during the 1982-1999 period. We perform logistic regressions controlling for child characteristics (gender, age, if he/she is behind in school for age), parents characteristics (grade attainment and income) and time and location variables. The main variables analyzed are dynamic proxies of impulses and responses, namely: shocks to household head’s income and unemployment status, on the one hand and child’s probability of dropping out of school, of repeating a grade and of start working, on the other. The findings suggest that father’s income has a significant positive correlation with child’s dropping out of school and of repeating a grade. The findings do not suggest a significant relationship between a father’s becoming unemployed and a child entering the non-domestic labor market. However, the results demonstrate a significant positive relationship between a father becoming unemployed and a child beginning to work in domestic labor. There was also a positive correlation between father becoming unemployed and a child dropping out and repeating a grade. Both gender and age were highly significant with boys and older children being more likely to work, drop-out and repeat grades.

Evolutionary History of the PER3 Variable Number of Tandem Repeats (VNTR): Idiosyncratic Aspect of Primate Molecular Circadian Clock

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

"Leiomyomatoid angiomatous neuroendocrine tumor" (LANT) of the pituitary reflects idiosyncratic angiogenesis in adenomas of the gonadotroph cell lineage.

Based on a single-case observation, the descriptive label "leiomyomatoid angiomatous neuroendocrine tumor" (LANT) has been tentatively applied to what was perceived as a possible novel type of dual-lineage pituitary neoplasm with biphasic architecture. We report on two additional examples of an analogous phenomenon encountered in male patients, aged 59 years (Case 1) and 91 years (Case 2). Both tumors were intra- and suprasellar masses, measuring 5.6 cm × 4.4 cm × 3.4 cm, and 2.7 cm × 2 cm × 1.7 cm, respectively. Histologically, Case 1 was an FSH-cell adenoma interwoven by vascularized connective tissue septa that tended to exhibit incremental stages of adventitial overgrowth. The epithelial component of Case 2 corresponded to an LH-cell adenoma, and lay partitioned by a maze of paucicellular to hyalinized vascular axes. Irrespective of architectural variations, perivascular spindle cells exhibited immunopositivity for vimentin, muscular actin, and smooth muscle actin. Conversely, negative results were obtained for CD34, EMA, S100 protein, GFAP, and TTF-1. Ultrastructural study failed to reveal metaplastic cell forms involving transitional features between adenohypophyseal-epithelial and mesenchymal-contractile phenotype. We propose that LANT be regarded as a peculiar reflection of maladaptive angiogenesis in some pituitary adenomas, rather than a genuine hybrid neoplasm. While no mechanistic clue is forthcoming to account for this distinctive pattern, hemodynamic strain through direct arterial - rather than portal - supply of the adenoma's capillary bed may be one such explanatory factor. The apparent predilection of the LANT pattern for macroadenomas of the gonadotroph cell lineage remains unexplained.

The effect of alcohol consumption on mortality among idiosyncratic drug induced liver injury (IDILI) patients

Severe liver injury (SLI) due to drugs is a frequent cause of catastrophic illness and hospitalization. Due to significant morbidity, mortality, and excess medical care costs, this poses a challenge as a public health problem. The role of associated risk factors like alcohol consumption in contributing to the high mortality remains to be studied. This study was conducted to assess the impact of alcohol use on mortality in IDILI patients, while adjusting for age, gender, race/ethnicity, and education level. The data from this study indicate only a small excess risk of death among IDILI patients using alcohol, but the difference was not statistically significant. The major contribution of this study to the field of public health is that it excludes a large hazard of alcohol consumption on the mortality among idiosyncratic drug induced liver injury (IDILI) patients. ^