780 resultados para DCC-GARCH


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Mimeographed.

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Vol. 8-17: title page reads Encyclopédie ... mis en ordre et publié par Mr. ***. A Neufchastel : Chez Samuel Faulche, M.DCC.LXV (false imprint --Cf. Darnton).

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This paper investigates risk and return in the banking sector in three Asian markets of Taiwan, China and Hong Kong. The study focuses on the risk-return relation in a conditional factor GARCH-M framework that controls for time-series effects. The factor approach is adopted to incorporate intra-industry contagion and an analysis of spillovers between large banks and small banks. Finally, the study provides evidence on these relations before and after the Asian financial crisis of 1997. The results are generally consistent across the markets and with expectations.

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In the embryonic forebrain, pioneer axons establish a simple topography of dorsoventral and longitudinal tracts. The cues used by these axons during the initial formation of the axon scaffold remain largely unknown. We have investigated the axon guidance role of Neogenin, a member of the immunoglobulin (Ig) superfamily that binds to the chemoattractive ligand Netrin-1, as well as to the chemorepulsive ligand repulsive guidance molecule (RGMa). Here, we show strong expression of Neogenin and both of its putative ligands in the developing Xenopus forebrain. Neogenin loss-of-function mutants revealed that this receptor was essential for axon guidance in an early forming dorsoventral brain pathway. Similar mutant phenotypes were also observed following loss of either RGMa or Netrin-1. Simultaneous partial knock downs of these molecules revealed dosage-sensitive interactions and confirmed that these receptors and ligands were acting in the same pathway. The results provide the first evidence that Neogenin acts as an axon guidance molecule in vivo and support a model whereby Neogenin-expressing axons respond to a combination of attractive and repulsive cues as they navigate their ventral trajectory. (c) 2006 Elsevier Inc. All rights reserved.

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Many studies have demonstrated a role for netrin-1-deleted in colorectal cancer (DCC) interactions in both axon guidance and neuronal migration. Neogenin, a member of the DCC receptor family, has recently been shown to be a chemorepulsive axon guidance receptor for the repulsive guidance molecule (RGM) family of guidance cues [Rajagopalan S, Deitinghoff L, Davis D, Conrad S, Skutella T, Chedotal A, Mueller B, Strittmatter S (2004) Neogenin mediates the action of repulsive guidance molecule. Nat Cell Biol 6:755-762]. Here we show that neogenin is present on neural progenitors, including neurogenic radial glia, in the embryonic mouse forebrain suggesting that neogenin expression is a hallmark of neural progenitor populations. Neogenin-positive progenitors were isolated from embryonic day 14.5 forebrain using flow cytometry and cultured as neurospheres. Neogenin-positive progenitors gave rise to neurospheres displaying a high proliferative and neurogenic potential. In contrast, neogenin-negative forebrain cells did not produce long-term neurosphere cultures and did not possess a significant neurogenic potential. These observations argue strongly for a role for neogenin in neural progenitor biology. In addition, we also observed neogenin on parvalbumin- and calbindin-positive interneuron neuroblasts that were migrating through the medial and lateral ganglionic eminences, suggesting a role for neogenin in tangential migration. Therefore, neogenin may be a multi-functional receptor regulating both progenitor activity and neuroblast migration in the embryonic forebrain. (c) 2006 IBRO. Published by Elsevier Ltd. All rights reserved.

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Neogenin, a close relative of the axon guidance receptor DCC, has been shown to be a receptor for members of the Netrin and Repulsive Guidance Molecule families. Recent studies have begun to uncover a role for Neogenin in organogenesis. Here we examine the localization of Neogenin protein in the developing mouse embryo (embryonic day 14.5) when organogenesis is progressing rapidly. We observe that Neogenin protein is restricted to distinct tissue layers within a given organ. In some embryonic epithelia such as the gut and pancreas, Neogenin protein is predominantly polarized to the basal surfaces of the epithelial cells. In contrast, Neogenin is restricted to mesenchymal cells within the lung and kidney. Neogenin is also seen in differentiating skeletal muscle and condensing cartilage throughout the embryo, and in the trigeminal and dorsal root ganglia of the peripheral nervous system. This study supports the emerging role for Neogenin as a key receptor in the establishment of the morphological architecture in many developing organ systems.

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A complex set of axonal guidance mechanisms are utilized by axons to locate and innervate their targets. In the developing mouse forebrain, we previously described several midline glial populations as well as various guidance molecules that regulate the formation of the corpus callosum. Since agenesis of the corpus callosum is associated with over 50 different human congenital syndromes, we wanted to investigate whether these same mechanisms also operate during human callosal development. Here we analyze midline glial and commissural development in human fetal brains ranging from 13 to 20 weeks of gestation using both diffusion tensor magnetic resonance imaging and immunohistochemistry. Through our combined radiological and histological studies, we demonstrate the morphological development of multiple forebrain commissures/decussations, including the corpus callosum, anterior commissure, hippocampal commissure, and the optic chiasm. Histological analyses demonstrated that all the midline glial populations previously described in mouse, as well as structures analogous to the subcallosal sling and cingulate pioneering axons, that mediate callosal axon guidance in mouse, are also present during human brain development. Finally, by Northern blot analysis, we have identified that molecules involved in mouse callosal development, including Slit, Robo, Netrin1, DCC, Nfia, Emx1, and GAP-43, are all expressed in human fetal brain. These data suggest that similar mechanisms and molecules required for midline commissure formation operate during both mouse and human brain development. Thus, the mouse is an excellent model system for studying normal and pathological commissural formation in human brain development. (c) 2006 Wiley-Liss, Inc.

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Neogenin, a close relative of the axon guidance receptor Deleted in Colorectal Cancer (DCC), has been shown to be a receptor for members of the Netrin and Repulsive Guidance Molecule (RGM) families. While Netrin-l-Neogenin interactions result in a chernoattractive axon guidance response, the interaction between Neogenin and RGMa induces a chemorepulsive response. Evidence is now accumulating that Neogenin is a multi-functional receptor regulating many diverse developmental processes, including neural tube and mammary gland formation, myogenesis and angiogenesis. Little is known of the function of Neogenin in the adult, however, a novel role in the regulation of iron homeostasis is now emerging. While the signal transduction pathways activated by Neogenin are poorly understood, it is clear that the functional outcome of Neogenin activation, at least in the embryo, depends on both the developmental context as well as the nature of the ligand. (c) 2006 Elsevier Ltd. All rights reserved.

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This paper presents a forecasting technique for forward energy prices, one day ahead. This technique combines a wavelet transform and forecasting models such as multi- layer perceptron, linear regression or GARCH. These techniques are applied to real data from the UK gas markets to evaluate their performance. The results show that the forecasting accuracy is improved significantly by using the wavelet transform. The methodology can be also applied to forecasting market clearing prices and electricity/gas loads.

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This paper presents a forecasting technique for forward electricity/gas prices, one day ahead. This technique combines a Kalman filter (KF) and a generalised autoregressive conditional heteroschedasticity (GARCH) model (often used in financial forecasting). The GARCH model is used to compute next value of a time series. The KF updates parameters of the GARCH model when the new observation is available. This technique is applied to real data from the UK energy markets to evaluate its performance. The results show that the forecasting accuracy is improved significantly by using this hybrid model. The methodology can be also applied to forecasting market clearing prices and electricity/gas loads.

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This empirical study examines the extent of non-linearity in a multivariate model of monthly financial series. To capture the conditional heteroscedasticity in the series, both the GARCH(1,1) and GARCH(1,1)-in-mean models are employed. The conditional errors are assumed to follow the normal and Student-t distributions. The non-linearity in the residuals of a standard OLS regression are also assessed. It is found that the OLS residuals as well as conditional errors of the GARCH models exhibit strong non-linearity. Under the Student density, the extent of non-linearity in the GARCH conditional errors was generally similar to those of the standard OLS. The GARCH-in-mean regression generated the worse out-of-sample forecasts.

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We examine the short-term price reaction of 424 UK stocks to large one-day price changes. Using the GJR-GARCH(1,1), we find no statistical difference amongst the cumulative abnormal returns (CARs) of the Single Index, the Fama–French and the Carhart–Fama–French models. Shocks bigger or equal to 5% are followed by a significant one-day CAR of 1% for all the models. Whilst shocks smaller or equal to -5% are followed by a significant one-day CAR of -0.43% for the Single Index, the CARs are around -0.34% for the other two models. Positive shocks of all sizes and negative shocks maller or equal to -5% are followed by return continuations, whilst the market is efficient following larger negative shocks. The price reaction to shocks is unaffected when we estimate the CARs using the conditional covariances of the pricing variables.

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Purpose – The purpose of this paper is to investigate the impact of foreign exchange and interest rate changes on US banks’ stock returns. Design/methodology/approach – The approach employs an EGARCH model to account for the ARCH effects in daily returns. Most prior studies have used standard OLS estimation methods with the result that the presence of ARCH effects would have affected estimation efficiency. For comparative purposes, the standard OLS estimation method is also used to measure sensitivity. Findings – The findings are as follows: under the conditional t-distributional assumption, the EGARCH model generated a much better fit to the data although the goodness-of-fit of the model is not entirely satisfactory; the market index return accounts for most of the variation in stock returns at both the individual bank and portfolio levels; and the degree of sensitivity of the stock returns to interest rate and FX rate changes is not very pronounced despite the use of high frequency data. Earlier results had indicated that daily data provided greater evidence of exposure sensitivity. Practical implications – Assuming that banks do not hedge perfectly, these findings have important financial implications as they suggest that the hedging policies of the banks are not reflected in their stock prices. Alternatively, it is possible that different GARCH-type models might be more appropriate when modelling high frequency returns. Originality/value – The paper contributes to existing knowledge in the area by showing that ARCH effects do impact on measures of sensitivity.