Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Vascular structures for volumetric cooling and mechanical strength

When solid material is removed in order to create flow channels in a load carrying structure, the strength of the structure decreases. On the other hand, a structure with channels is lighter and easier to transport as part of a vehicle. Here, we show that this trade off can be used for benefit, to design a vascular mechanical structure. When the total amount of solid is fixed and the sizes, shapes, and positions of the channels can vary, it is possible to morph the flow architecture such that it endows the mechanical structure with maximum strength. The result is a multifunctional structure that offers not only mechanical strength but also new capabilities necessary for volumetric functionalities such as self-healing and self-cooling. We illustrate the generation of such designs for strength and fluid flow for several classes of vasculatures: parallel channels, trees with one, two, and three bifurcation levels. The flow regime in every channel is laminar and fully developed. In each case, we found that it is possible to select not only the channel dimensions but also their positions such that the entire structure offers more strength and less flow resistance when the total volume (or weight) and the total channel volume are fixed. We show that the minimized peak stress is smaller when the channel volume (φ) is smaller and the vasculature is more complex, i.e., with more levels of bifurcation. Diminishing returns are reached in both directions, decreasing φ and increasing complexity. For example, when φ=0.02 the minimized peak stress of a design with one bifurcation level is only 0.2% greater than the peak stress in the optimized vascular design with two levels of bifurcation. © 2010 American Institute of Physics.

Beyond signaling and human capital: Education and the revelation of ability

We provide evidence that college graduation plays a direct role in revealing ability to the labor market. Using the NLSY79, our results suggest that ability is observed nearly perfectly for college graduates, but is revealed to the labor market more gradually for high school graduates. Consequently, from the beginning of their careers, college graduates are paid in accordance with their own ability, while the wages of high school graduates are initially unrelated to their own ability. This view of ability revelation in the labor market has considerable power in explaining racial differences in wages, education, and returns to ability.

The distribution of sales revenues from pharmaceutical innovation.

OBJECTIVE: This report updates our earlier work on the returns to pharmaceutical research and development (R&D) in the US (1980 to 1984), which showed that the returns distributions are highly skewed. It evaluates a more recent cohort of new drug introductions in the US (1988 to 1992) and examines how the returns distribution is emerging for drugs with life cycles concentrated in the 1990s versus the 1980s. DESIGN AND SETTING: Methods were described in detail in our earlier reports. The current sample included 110 new drug entities (including 28 orphan drugs), and sales data were obtained for the period 1988 to 1998, which represented between 7 and 11 years of sales for the drugs included. 20 years was chosen as the expected market life for this cohort, and a 2-step procedure was used to project future sales for the drugs--during the period until patent expiry and then beyond patent expiry until the 20-year time-horizon was completed. Thus, the values in the first half of the life cycle are essentially based on realised sales, while those in the second half are projected using information on patent expiry and other inputs. MAIN OUTCOME MEASURES AND RESULTS: Peak annual sales for the top decile of drugs introduced between 1988 and 1992 in the US amounted to almost $US1.1 billion compared with peak sales of less than $US175 million (1992 values) for the mean compound. In particular, the top decile accounted for 56% of overall sales revenue. Although the sales distributions were skewed in both our earlier and current analysis, the top decile in the later time-period exhibited more rapid rates of growth after launch, a peak that was more than 50% greater in real terms than for the 1980 to 1984 cohort, and a faster rate of expected decline in sales after patent expiry. One factor contributing to the distribution of sales revenues becoming more skewed over time is the orphan drug phenomenon (i.e. most of the orphan drugs are concentrated at the bottom of the distribution). CONCLUSION: The distribution of sales revenues for new drug compounds is highly skewed in nature. In this regard, the top decile of new drugs accounts for more than half of the total sales generated by the 1988 to 1992 cohort analysed. Furthermore, the distribution of sales revenues for this cohort is more skewed than that of the 1980 to 1984 cohort we analysed in previous research.

Economic return of clinical trials performed under the pediatric exclusivity program.

CONTEXT: In 1997, Congress authorized the US Food and Drug Administration (FDA) to grant 6-month extensions of marketing rights through the Pediatric Exclusivity Program if industry sponsors complete FDA-requested pediatric trials. The program has been praised for creating incentives for studies in children and has been criticized as a "windfall" to the innovator drug industry. This critique has been a substantial part of congressional debate on the program, which is due to expire in 2007. OBJECTIVE: To quantify the economic return to industry for completing pediatric exclusivity trials. DESIGN AND SETTING: A cohort study of programs conducted for pediatric exclusivity. Nine drugs that were granted pediatric exclusivity were selected. From the final study reports submitted to the FDA (2002-2004), key elements of the clinical trial design and study operations were obtained, and the cost of performing each study was estimated and converted into estimates of after-tax cash outflows. Three-year market sales were obtained and converted into estimates of after-tax cash inflows based on 6 months of additional market protection. Net economic return (cash inflows minus outflows) and net return-to-costs ratio (net economic return divided by cash outflows) for each product were then calculated. MAIN OUTCOME MEASURES: Net economic return and net return-to-cost ratio. RESULTS: The indications studied reflect a broad representation of the program: asthma, tumors, attention-deficit/hyperactivity disorder, hypertension, depression/generalized anxiety disorder, diabetes mellitus, gastroesophageal reflux, bacterial infection, and bone mineralization. The distribution of net economic return for 6 months of exclusivity varied substantially among products (net economic return ranged from -$8.9 million to $507.9 million and net return-to-cost ratio ranged from -0.68 to 73.63). CONCLUSIONS: The economic return for pediatric exclusivity is variable. As an incentive to complete much-needed clinical trials in children, pediatric exclusivity can generate lucrative returns or produce more modest returns on investment.

Where does energy R&D come from? Examining crowding out from energy R&D

Recent efforts to endogenize technological change in climate policy models demonstrate the importance of accounting for the opportunity cost of climate R&D investments. Because the social returns to R&D investments are typically higher than the social returns to other types of investment, any new climate mitigation R&D that comes at the expense of other R&D investment may dampen the overall gains from induced technological change. Unfortunately, there has been little empirical work to guide modelers as to the potential magnitude of such crowding out effects. This paper considers both the private and social opportunity costs of climate R&D. Addressing private costs, we ask whether an increase in climate R&D represents new R&D spending, or whether some (or all) of the additional climate R&D comes at the expense of other R&D. Addressing social costs, we use patent citations to compare the social value of alternative energy research to other types of R&D that may be crowded out. Beginning at the industry level, we find no evidence of crowding out across sectors-that is, increases in energy R&D do not draw R&D resources away from sectors that do not perform R&D. Given this, we proceed with a detailed look at alternative energy R&D. Linking patent data and financial data by firm, we ask whether an increase in alternative energy patents leads to a decrease in other types of patenting activity. While we find that increases in alternative energy patents do result in fewer patents of other types, the evidence suggests that this is due to profit-maximizing changes in research effort, rather than financial constraints that limit the total amount of R&D possible. Finally, we use patent citation data to compare the social value of alternative energy patents to other patents by these firms. Alternative energy patents are cited more frequently, and by a wider range of other technologies, than other patents by these firms, suggesting that their social value is higher. © 2011 Elsevier B.V.

Beta-agonist- and prostaglandin E1-induced translocation of the beta-adrenergic receptor kinase: evidence that the kinase may act on multiple adenylate cyclase-coupled receptors.

beta-Adrenergic receptor kinase (beta-AR kinase) is a cytosolic enzyme that phosphorylates the beta-adrenergic receptor only when it is occupied by an agonist [Benovic, J. Strasser, R. H., Caron, M. G. & Lefkowitz, R. J. (1986) Proc. Natl. Acad. Sci. USA 83, 2797-2801.] It may be crucially involved in the processes that lead to homologous or agonist-specific desensitization of the receptor. Stimulation of DDT1MF-2 hamster smooth muscle cells or S49 mouse lymphoma cells with a beta-agonist leads to translocation of 80-90% of the beta-AR kinase activity from the cytosol to the plasma membrane. The translocation process is quite rapid, is concurrent with receptor phosphorylation, and precedes receptor desensitization and sequestration. It is also transient, since much of the activity returns to the cytosol as the receptors become sequestered. Stimulation of beta-AR kinase translocation is a receptor-mediated event, since the beta-antagonist propranolol blocks the effect of agonist. In the kin- mutant of the S49 cells (lacks cAMP-dependent protein kinase), prostaglandin E1, which provokes homologous desensitization of its own receptor, is at least as effective as isoproterenol in promoting beta-AR kinase translocation to the plasma membrane. However, in the DDT1MF-2 cells, which contain alpha 1-adrenergic receptors coupled to phosphatidylinositol turnover, the alpha 1-agonist phenylephrine is ineffective. These results suggest that the first step in homologous desensitization of the beta-adrenergic receptor may be an agonist-promoted translocation of beta-AR kinase from cytosol to plasma membrane and that beta-AR kinase may represent a more general adenylate cyclase-coupled receptor kinase that participates in regulating the function of many such receptors.

Lament for String Quartet

This piece explores the changing nature of emotion focusing especially on the feeling of sorrow. The opening and ending parts of the first movement represent the overall motive of sorrow. The first movement opens with an augmented chord G-C#-F-B and from this chord the first violin expands upwards while the cello moves downwards towards the C chord (p.2). As the melody alternates between each part, there is a subtle change in harmony which creates tension and release and changes the sound color. In addition, ornamentation in each part reinforces the movement towards the C chord. This progression represents the inner emotion of lament. Sostenuto e largamente section (p.2) uses heterophony in order to express a feeling of chaos. Section Scherzando (p.4) uses the interval relationship M7 and m2, and is a respite from the overwhelming feeling of sorrow. The ending of the first movement (p.12) returns to create a second tension by every instrument ascending slowly, and the viola produces a distinctive melody derived from the previous chaotic section that ends on an Ab. The second movement contrasts with the first movement in order to express a concealed, not explicit, sorrow, and differs in both tempo and texture. The tempo is a waltz that is faster than the first movement. This produces a light, playful figure and a simple melody without much ornamentation. Imitation and canonic structure emphasize the individuality of the strings. The third movement merges material from the first movement rhythmic figure and the second movement pizzicato (p.17). It shows timbral change through con sordino, pizzicato arpeggio, and sul ponticello to display string techniques. An Allegro section (p.19) especially contrasts with Misterioso in rhythm and dynamics. In the Grazioso (p.22), random beats are accentuated by pizzicato arpeggio to de-emphasize the meter. Finally, there is a return to the ending figure of the first movement with con sordino (p.23) and sul ponticello in viola that articulates the internal tension and the timbral change to return to a voice of sorrow.

Facts and Fictions: Feminist Literary Criticism and Cultural Critique, 1968-2012

"Facts and Fictions: Feminist Literary Criticism and Cultural Critique, 1968-2012" is a critical history of the unfolding of feminist literary study in the US academy. It contributes to current scholarly efforts to revisit the 1970s by reconsidering often-repeated narratives about the critical naivety of feminist literary criticism in its initial articulation. As the story now goes, many of the most prominent feminist thinkers of the period engaged in unsophisticated literary analysis by conflating lived social reality with textual representation when they read works of literature as documentary evidence of real life. As a result, the work of these "bad critics," particularly Kate Millett and Andrea Dworkin, has not been fully accounted for in literary critical terms.

This dissertation returns to Dworkin and Millett's work to argue for a different history of feminist literary criticism. Rather than dismiss their work for its conflation of fact and fiction, I pay attention to the complexity at the heart of it, yielding a new perspective on the history and persistence of the struggle to use literary texts for feminist political ends. Dworkin and Millett established the centrality of reality and representation to the feminist canon debates of "the long 1970s," the sex wars of the 1980s, and the more recent feminist turn to memoir. I read these productive periods in feminist literary criticism from 1968 to 2012 through their varied commitment to literary works.

Chapter One begins with Millett, who de-aestheticized male-authored texts to treat patriarchal literature in relation to culture and ideology. Her mode of literary interpretation was so far afield from the established methods of New Criticism that she was not understood as a literary critic. She was repudiated in the feminist literary criticism that followed her and sought sympathetic methods for reading women's writing. In that decade, the subject of Chapter Two, feminist literary critics began to judge texts on the basis of their ability to accurately depict the reality of women's experiences.

Their vision of the relationship between life and fiction shaped arguments about pornography during the sex wars of the 1980s, the subject of Chapter Three. In this context, Dworkin was feminism's "bad critic." I focus on the literary critical elements of Dworkin's theories of pornographic representation and align her with Millett as a miscategorized literary critic. In the decades following the sex wars, many of the key feminist literary critics of the founding generation (including Dworkin, Jane Gallop, Carolyn Heilbrun, and Millett) wrote memoirs that recounted, largely in experiential terms, the history this dissertation examines. Chapter Four considers the story these memoirists told about the rise and fall of feminist literary criticism. I close with an epilogue on the place of literature in a feminist critical enterprise that has shifted toward privileging theory.

Amplifying applied game development and uptake

The established (digital) leisure game industry is historically one dominated by large international hardware vendors (e.g. Sony, Microsoft and Nintendo), major publishers and supported by a complex network of development studios, distributors and retailers. New modes of digital distribution and development practice are challenging this business model and the leisure games industry landscape is one experiencing rapid change. The established (digital) leisure games industry, at least anecdotally, appears reluctant to participate actively in the applied games sector (Stewart et al., 2013). There are a number of potential explanations as to why this may indeed be the case including ; A concentration on large-scale consolidation of their (proprietary) platforms, content, entertainment brand and credibility which arguably could be weakened by association with the conflicting notion of purposefulness (in applied games) in market niches without clear business models or quantifiable returns on investment. In contrast, the applied games industry exhibits the characteristics of an emerging, immature industry namely: weak interconnectedness, limited knowledge exchange, an absence of harmonising standards, limited specialisations, limited division of labour and arguably insufficient evidence of the products efficacies (Stewart et al., 2013; Garcia Sanchez, 2013) and could, arguably, be characterised as a dysfunctional market. To test these assertions the Realising an Applied Gaming Ecosystem (RAGE) project will develop a number of self contained gaming assets to be actively employed in the creation of a number of applied games to be implemented and evaluated as regional pilots across a variety of European educational, training and vocational contexts. RAGE is a European Commission Horizon 2020 project with twenty (pan European) partners from industry, research and education with the aim of developing, transforming and enriching advanced technologies from the leisure games industry into self-contained gaming assets (i.e. solutions showing economic value potential) that could support a variety of stakeholders including teachers, students, and, significantly, game studios interested in developing applied games. RAGE will provide these assets together with a large quantity of high-quality knowledge resources through a self-sustainable Ecosystem, a social space that connects research, the gaming industries, intermediaries, education providers, policy makers and end-users in order to stimulate the development and application of applied games in educational, training and vocational contexts. The authors identify barriers (real and perceived) and opportunities facing stakeholders in engaging, exploring new emergent business models ,developing, establishing and sustaining an applied gaming eco system in Europe.

Competition Relatedness And Efficiency

Seger has argued that, if a law of diminishing returns of personal fitness with increasing consumption of a limiting resource applies, a greater increment to inclusive fitness3 may accrue to an individual by sharing the resource with its relatives than by excluding them. That is, from the point of view of an individual's inclusive fitness, there will exist an optimal relation between resource abundance, conversion efficiency (in terms of increment in personal fitness per resource unit consumed) and competitor abundance and relatedness to the subject. Here, this is rendered more concrete by deriving expressions for the optimum consumption rate for any one of a number of related individuals competing for a finite resource.

Initial Examination of AltiKa's Individual Echoes

The AltiKa altimeter records the reflection of Ka-band radar pulses from the Earth’s surface, with the commonly used waveform product involving the summation of 96 returns to provide average echoes at 40 Hz. Occasionally there are one-second recordings of the complex individual echoes (IEs), which facilitate the evaluation of on-board processing and offer the potential for new processing strategies. Our investigation of these IEs over the ocean confirms the on-board operations, whilst noting that data quantization limits the accuracy in the thermal noise region. By constructing average waveforms from 32 IEs at a time, and applying an innovative subwaveform retracker, we demonstrate that accurate height and wave height information can be retrieved from very short sections of data. Early exploration of the complex echoes reveals structure in the phase information similar to that noted for Envisat’s IEs.

Cultural assets and sustainable development: the economic significance of Cultural Heritage

This article assesses the condition of the Cultural Heritage as a form of capital that gives rise to a significant flow of economic returns widely outweighing the effort it takes to preserve it. More specifically, the data related to Spain is provided from the perspective of aggregate demand drawing up an estimation of both the direct and indirect economic impacts arising from the Cultural Heritage valuation. The results highlight again the relevance of cultural tourism in the delivery of these economic returns and as a catalyst of activities leading to the sustainable socioeconomic devel-opment of multiple territories.

The reform of Welfare Regimes in Costa Rica, Chile, Argentina, Brazil and Uruguay

The aim of this article is to analyze the social policy in Latin America in a context of emerging welfare states. To understand the changes one takes into consideration the theories about institutional reform and the transformations produced in the XX century and the beginning of the XXI to substitute a social security regime mainly based on segmentation of benefi ts and on programs to fi ght poverty by another with an institutional and redistributive nature. The paper pays attention in particular to the path of the most developed welfare states of Latin America: Costa Rica, Chile, Argentina, Brasil y Uruguay.

Investigating the cost Performance of UK Credit Unions using Radial and Non-Radial Efficiency Measures

This paper examines the relative efficiency of UK credit unions. Radial and non-radial measures of input cost efficiency plus associated scale efficiency measures are computed for a selection of input output specifications. Both measures highlighted that UK credit unions have considerable scope for efficiency gains. It was mooted that the documented high levels of inefficiency may be indicative of the fact that credit unions, based on clearly defined and non-overlapping common bonds, are not in competition with each other for market share. Credit unions were also highlighted as suffering from a considerable degree of scale inefficiency with the majority of scale inefficient credit unions subject to decreasing returns to scale. The latter aspect highlights that the UK Government's goal of larger credit unions must be accompanied by greater regulatory freedom if inefficiency is to be avoided. One of the advantages of computing non-radial measures is that an insight into potential over- or under-expenditure on specific inputs can be obtained through a comparison of the non-radial measure of efficiency with the associated radial measure. Two interesting findings emerged, the first that UK credit unions over-spend on dividend payments and the second that they under-spend on labour costs.