Volatility transmission between stock and bond markets

A two-factor no-arbitrage model is used to provide a theoretical link between stock and bond market volatility. While this model suggests that short-term interest rate volatility may, at least in part, drive both stock and bond market volatility, the empirical evidence suggests that past bond market volatility affects both markets and feeds back into short-term yield volatility. The empirical modelling goes on to examine the (time-varying) correlation structure between volatility in the stock and bond markets and finds that the sign of this correlation has reversed over the last 20 years. This has important implications far portfolio selection in financial markets. © 2005 Elsevier B.V. All rights reserved.

Correlates of depression in bipolar disorder

We analyse time series from 100 patients with bipolar disorder for correlates of depression symptoms. As the sampling interval is non-uniform, we quantify the extent of missing and irregular data using new measures of compliance and continuity. We find that uniformity of response is negatively correlated with the standard deviation of sleep ratings (ρ = -0.26, p = 0.01). To investigate the correlation structure of the time series themselves, we apply the Edelson-Krolik method for correlation estimation. We examine the correlation between depression symptoms for a subset of patients and find that self-reported measures of sleep and appetite/weight show a lower average correlation than other symptoms. Using surrogate time series as a reference dataset, we find no evidence that depression is correlated between patients, though we note a possible loss of information from sparse sampling. © 2013 The Author(s).

International stock portfolio selection and performance measures recognizing higher moments of return distributions

Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers (e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)) argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of return distributions on three issues concerning the 14 international stock markets.^ First, the portfolio selection with skewness is determined using: the Polynomial Goal Programming in which investor preferences for skewness can be incorporated. The empirical findings suggest that the return distributions of international stock markets are not normally distributed, and that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of his optimal portfolio. The evidence also indicates that an investor will trade expected return of the portfolio for skewness. Moreover, when short sales are allowed, investors are better off as they attain higher expected return and skewness simultaneously.^ Second, the performance of international stock markets are evaluated using two types of performance measures: (i) the two-moment performance measures of Sharpe (1966), and Treynor (1965), and (ii) the higher-moment performance measures of Prakash and Bear (1986), and Stephens and Proffitt (1991). The empirical evidence indicates that higher moments of return distributions are significant and relevant to the investor's decision. Thus, the higher moment performance measures should be more appropriate to evaluate the performances of international stock markets. The evidence also indicates that various measures provide a vastly different performance ranking of the markets, albeit in the same direction.^ Finally, the inter-temporal stability of the international stock markets is investigated using the Parhizgari and Prakash (1989) algorithm for the Sen and Puri (1968) test which accounts for non-normality of return distributions. The empirical finding indicates that there is strong evidence to support the stability in international stock market movements. However, when the Anderson test which assumes normality of return distributions is employed, the stability in the correlation structure is rejected. This suggests that the non-normality of the return distribution is an important factor that cannot be ignored in the investigation of inter-temporal stability of international stock markets. ^

Empirical likelihood based longitudinal studies

In longitudinal data analysis, our primary interest is in the regression parameters for the marginal expectations of the longitudinal responses; the longitudinal correlation parameters are of secondary interest. The joint likelihood function for longitudinal data is challenging, particularly for correlated discrete outcome data. Marginal modeling approaches such as generalized estimating equations (GEEs) have received much attention in the context of longitudinal regression. These methods are based on the estimates of the first two moments of the data and the working correlation structure. The confidence regions and hypothesis tests are based on the asymptotic normality. The methods are sensitive to misspecification of the variance function and the working correlation structure. Because of such misspecifications, the estimates can be inefficient and inconsistent, and inference may give incorrect results. To overcome this problem, we propose an empirical likelihood (EL) procedure based on a set of estimating equations for the parameter of interest and discuss its characteristics and asymptotic properties. We also provide an algorithm based on EL principles for the estimation of the regression parameters and the construction of a confidence region for the parameter of interest. We extend our approach to variable selection for highdimensional longitudinal data with many covariates. In this situation it is necessary to identify a submodel that adequately represents the data. Including redundant variables may impact the model’s accuracy and efficiency for inference. We propose a penalized empirical likelihood (PEL) variable selection based on GEEs; the variable selection and the estimation of the coefficients are carried out simultaneously. We discuss its characteristics and asymptotic properties, and present an algorithm for optimizing PEL. Simulation studies show that when the model assumptions are correct, our method performs as well as existing methods, and when the model is misspecified, it has clear advantages. We have applied the method to two case examples.

Meta-structure correlation in protein space unveils different selection rules for folded and intrinsically disordered proteins

The number of existing protein sequences spans a very small fraction of sequence space. Natural proteins have overcome a strong negative selective pressure to avoid the formation of insoluble aggregates. Stably folded globular proteins and intrinsically disordered proteins (IDP) use alternative solutions to the aggregation problem. While in globular proteins folding minimizes the access to aggregation prone regions IDPs on average display large exposed contact areas. Here, we introduce the concept of average meta-structure correlation map to analyze sequence space. Using this novel conceptual view we show that representative ensembles of folded and ID proteins show distinct characteristics and responds differently to sequence randomization. By studying the way evolutionary constraints act on IDPs to disable a negative function (aggregation) we might gain insight into the mechanisms by which function - enabling information is encoded in IDPs.

Structure Absorption Spectra Correlation in a Series of 2,6-Dimethyl-4-arylpyrylium Salts

A combined experimental and theoretical study of the absorption spectra of a group of closely related pyrylium perchlorates 1-11 are presented. Minor changes in the position of the substituents lead to drastic changes in the absorption spectra in this series of compounds. We have attempted to explain the observed changes using the x,y-band notation developed by Balaban and co-workers. Absorption spectra of all compounds are compared with results from time-dependent density functional theory (TDDFT) and Zerner’s intermediate neglect of differential overlap (ZINDO/S) level calculations. Results of the calculations are in good agreement with experimental observations and an interesting correlation between Balaban’s notations and the MO transitions are obtained for simple derivatives. It is suggested that for more complex systems such as R- and â-naphthyl substituted systems, the empirical method is not appropriate.

Correlation-type structure activity relationships for the kinetics of gas-phase RO2 self-reactions and reaction with HO2

Structure activity relationships (SARs) are presented for the gas-phase reactions of RO2 with HO2, and the self- and cross-reactions of RO2. For RO2+HO2 the SAR is based upon a correlation between the logarithm of the measured rate coefficient and a calculated ionisation potential for the molecule R-CH=CH2, R being the same group in both the radical and molecular analogue. The correlation observed is strong and only for one RO2 species does the measured rate coefficient deviate by more than a factor of two from the linear least-squares regression line. For the self- and cross-reactions of RO2 radicals, the SAR is based upon a correlation between the logarithm of the measured rate coefficient and the calculated electrostatic potential (ESP) at the equivalent carbon atom in the RH molecule to which oxygen is attached in RO2, again R being the same group in the molecule and the radical. For cases where R is a simple alkyl-group, a strong linear correlation observed. For RO2 radicals which contain lone pair-bearing substituents and for which the calculated ESP<-0.05 self-reaction rate coefficients appear to be insensitive to the value of the ESP. For RO2 of this type with ESP>-0.05 a linear relationship between log k and the ESP is again observed. Using the relationships, 84 out of the 85 rate coefficients used to develop the SARs are predicted to within a factor of three of their measured values. A relationship is also presented that allows the prediction of the Arrhenius parameters for the self-reactions of simple alkyl RO2 radicals. On the basis of the correlations, predictions of room-temperature rate coefficients are made for a number of atmospherically important peroxyl-peroxyl radical reactions. (C) 2003 Elsevier Ltd. All rights reserved.

Asset allocation, cross-class correlation and the structure of property returns

Practical applications of portfolio optimisation tend to proceed on a “top down” basis where funds are allocated first at asset class level (between, say, bonds, cash, equities and real estate) and then, progressively, at sub-class level (within property to sectors, office, retail, industrial for example). While there are organisational benefits from such an approach, it can potentially lead to sub-optimal allocations when compared to a “global” or “side-by-side” optimisation. This will occur where there are correlations between sub-classes across the asset divide that are masked in aggregation – between, for instance, City offices and the performance of financial services stocks. This paper explores such sub-class linkages using UK monthly stock and property data. Exploratory analysis using clustering procedures and factor analysis suggests that property performance and equity performance are distinctive: there is little persuasive evidence of contemporaneous or lagged sub-class linkages. Formal tests of the equivalence of optimised portfolios using top-down and global approaches failed to demonstrate significant differences, whether or not allocations were constrained. While the results may be a function of measurement of market returns, it is those returns that are used to assess fund performance. Accordingly, the treatment of real estate as a distinct asset class with diversification potential seems justified.

Effects of Side-Chain and Electron Exchange Correlation on the Band Structure of Perylene Diimide Liquid Crystals: A Density Functional Study

The structural and electronic properties of perylene diimide liquid crystal PPEEB are studied using ab initio methods based on the density functional theory (I)FT). Using available experimental crystallographic data as a guide, we propose a detailed structural model for the packing of solid PPEEB. We find that due to the localized nature of the band edge wave function, theoretical approaches beyond the standard method, such as hybrid functional (PBE0), are required to correctly characterize the band structure of this material. Moreover, unlike previous assumptions, we observe the formation of hydrogen bonds between the side chains of different molecules, which leads to a dispersion of the energy levels. This result indicates that the side chains of the molecular crystal not only are responsible for its structural conformation but also can be used for tuning the electronic and optical properties of these materials.

Correlation among immune response, morphogenesis of the granulomatous reaction and spleen lymphoid structure in murine experimental paracoccidioidomycosis

We studied the correlation among cellular immune response, the pattern of lung granulomatous lesions and alterations in spleen lymphoid structure in Swiss mice inoculated intravenously with Paracoccidioides brasiliensis strain 18. The animals were evaluated at 24, 48 and 96 h after infection and further studied weekly for 18 weeks by: (i) the macrophage migration inhibition test with phytohemagglutinin (PHA) and P. brasiliensis antigen (PbAg); and (ii) histopathology of the lung and spleen lesions. One group of animals was gamma -irradiated (8 Gy), infected under the same conditions and evaluated for the pattern of lung granulomatous lesions and spleen lymphoid structure at 24, 48 and 96 h after infection. During the first week of infection, the non-irradiated animals presented a positive response to PHA and PbAg, compact granulomas in the lungs and a typical hyperplasia of the spleen white pulp. However, from weeks 2 to 5, a depression of the cell-mediated immunity (CMI) response to PHA and PbAg was observed in association with granulomas presenting only large mononuclear cells and lacking both giant cells and a peripheral halo of small mononuclear cells. This pattern of granuloma formation was similar to that seen in gamma -irradiated animals, whose cells involved in CMI were absent. After week 7, the non-irradiated animals showed granulomas characterized by the presence of giant cells and a peripheral halo of small mononuclear cells. This type of granuloma was formed concomitantly with recovery of the CMI and of the lymphoid structure of the spleen. The results showed a correlation among granulomas composed of large mononuclear cells, hypoplasia of the splenic tissue and impaired CMI. This correlation indicated that although granuloma morphogenesis per se does not depend on the activation of CMI, this response is important at later stages during modulation of the cellular composition of the granulomas.

Correlation between the surface morphology and structure and the photoluminescence of amorphous PbTiO3 thin films obtained by the chemical route

A polymeric precursor method was used to synthesis PbTiO3 amorphous thin film processed at low temperature. The luminescence spectra of PbTiO3 amorphous thin films at room temperature revealed an intense single-emission band in the visible region, the visible emission band was found to be dependent on the thermal treatment history, Photoluminescence properties Versus different annealing temperatures were investigated. The experimental results (XRD, AFM, FL) indicate that the nature of photoluminescence (PL) must be related to the disordered structure of PbTiO3 amorphous thin films, Copyright (C) 2000 John Wiley & Sons, Ltd.

Quantitative structural analysis of the transition from LT-LixCoO2 to HT-LixCoO2 using the rietveld method: correlation between structure and electrochemical performance

A quantitative phase analysis was made of LiXCoO2 powders obtained by two distinct chemical methodologies at different temperatures (from 400 to 700degreesC). A phase analysis was made using Rietveld refinements based on X-ray diffraction data, considering the LiXCoO2 powders as a multiphase system that simultaneously contained two main phases with distinct, layered and spinel-type structures. The sults showed the coexistence of both structures in LiXCoO2 obtained at low temperature (400 and 500degreesC), although only the layered structure was detected at higher temperatures (600 and 700degreesC, regardless of the chemical powder process employed. The electrochemical performance, evaluated mainly by the cycling reversibility of LiXCoO2 in the form of cathode insertion electrodes, revealed that there is a close correlation between structural features and the electrochemical response, with one of the redox processes (3.3 v/3.9 v) associated only with the presence of the spinel-type structure. (C) 2003 Elsevier B.V. All rights reserved.

Quantitative structural analysis of the transition from LT-Li xCoO2 to HT-LixCoO2 using the rietveld method: Correlation between structure and electrochemical performance

A quantitative phase analysis was made of LixCoO2 powders obtained by two distinct chemical methodologies at different temperatures (from 400 to 700°C). A phase analysis was made using Rietveld refinements based on X-ray diffraction data, considering the Li xCoO2 powders as a multiphase system that simultaneously contained two main phases with distinct, layered and spinel-type structures. The results showed the coexistence of both structures in LixCoO 2 obtained at low temperature (400 and 500°C), although only the layered structure was detected at higher temperatures (600 and 700°C), regardless of the chemical powder process employed. The electrochemical performance, evaluated mainly by the cycling reversibility of Li xCoO2 in the form of cathode insertion electrodes, revealed that there is a close correlation between structural features and the electrochemical response, with one of the redox processes (3.3 v/3.9 v) associated only with the presence of the spinel-type structure. © 2003 Elsevier B.V. All rights reserved.