Conditional volatility and firm size:an empirical analysis of UK equity portfolios

The techniques and insights from two distinct areas of financial economic modelling are combined to provide evidence of the influence of firm size on the volatility of stock portfolio returns. Portfolio returns are characterized by positive serial correlation induced by the varying levels of non-synchronous trading among the component stocks. This serial correlation is greatest for portfolios of small firms. The conditional volatility of stock returns has been shown to be well represented by the GARCH family of statistical processes. Using a GARCH model of the variance of capitalization-based portfolio returns, conditioned on the autocorrelation structure in the conditional mean, striking differences related to firm size are uncovered.

Measuring the spatial extent of texture pooling using reverse correlation

The local image representation produced by early stages of visual analysis is uninformative regarding spatially extensive textures and surfaces. We know little about the cortical algorithm used to combine local information over space, and still less about the area over which it can operate. But such operations are vital to support perception of real-world objects and scenes. Here, we deploy a novel reverse-correlation technique to measure the extent of spatial pooling for target regions of different areas placed either in the central visual field, or more peripherally. Stimuli were large arrays of micropatterns, with their contrasts perturbed individually on an interval-by-interval basis. By comparing trial-by-trial observer responses with the predictions of computational models, we show that substantial regions (up to 13 carrier cycles) of a stimulus can be monitored in parallel by summing contrast over area. This summing strategy is very different from the more widely assumed signal selection strategy (a MAX operation), and suggests that neural mechanisms representing extensive visual textures can be recruited by attention. We also demonstrate that template resolution is much less precise in the parafovea than in the fovea, consistent with recent accounts of crowding. © 2014 The Authors.

Joint Densities of Correlation Coefficients for Samples from Multivariate Standard Normal Distribution

2000 Mathematics Subject Classification: 62H10.

Age differences in associative and strategic processes in human conditional learning

Research indicates associative and strategic deficits mediate age related deficits in memory, whereas simple associative processes are independent of strategic processing and strategic processes mediate resistance to interference. The present study showed age-related deficits in a contingency learning task, although older participants' resistance to interference was not disproportionately affected. Recognition memory predicted discrimination, whereas general cognitive ability predicted resistance to interference, suggesting differentiation between associative and strategic processes in learning and memory, and age declines in associative processes. Older participants' generalisation of associative strength from existing to novel stimulus-response associations was consistent with elemental learning theories, whereas configural models predicted younger participants' responses. This is consistent with associative deficits and reliance on item-level representations in memory during later life. © 2011 Psychology Press Ltd.

U-Pb geochronology of the Santa Cruz Formation (early Miocene) at the Río Bote and Río Santa Cruz (southernmost Patagonia, Argentina): Implications for the correlation of fossil vertebrate localities

© 2016 Elsevier Ltd.The early Miocene Santa Cruz Formation (SCF) in southern Patagonia hosts the Santacrucian South American Land Mammal Age (SALMA), whose age is known mainly from exposures along the Atlantic coast. Zircon U-Pb ages were obtained from intercalated tuffs from four inland sections of the SCF: 17.36 ± 0.63 Ma for the westernmost Río Bote locality, and 17.04 ± 0.55 Ma-16.32 ± 0.62 Ma for central Río Santa Cruz localities. All ages agree with the bounding age of underlying marine units and with equivalent strata in coastal exposures. New ages and available sedimentation rates imply time spans for each section of ~18.2 to 17.36 Ma for Río Bote and 17.45-15.63 Ma for central Río Santa Cruz (Burdigalian). These estimates support the view that deposition of the SCF began at western localities ~1 Ma earlier than at eastern localities, and that the central Río Santa Cruz localities expose the youngest SCF in southern Santa Cruz Province. Associated vertebrate faunas are consistent with our geochronologic synthesis, showing older (Notohippidian) taxa in western localities and younger (Santacrucian) taxa in central localities. The Notohippidian fauna (19.0-18.0 Ma) of the western localities is synchronous with Pinturan faunas (19.0-18.0 Ma), but older than Santacrucian faunas of the Río Santa Cruz (17.2-15.6 Ma) and coastal localities (18.0-16.2 Ma). The Santacrucian faunas of the central Río Santa Cruz localities temporally overlap Colloncuran (15.7 Ma), Friasian (16.5 Ma), and eastern Santacrucian faunas.

Multivariate Appoximations to Portfolio Return Distribution

This article proposes a three-step procedure to estimate portfolio return distributions under the multivariate Gram-Charlier (MGC) distribution. The method combines quasi maximum likelihood (QML) estimation for conditional means and variances and the method of moments (MM) estimation for the rest of the density parameters, including the correlation coefficients. The procedure involves consistent estimates even under density misspecification and solves the so-called ‘curse of dimensionality’ of multivariate modelling. Furthermore, the use of a MGC distribution represents a flexible and general approximation to the true distribution of portfolio returns and accounts for all its empirical regularities. An application of such procedure is performed for a portfolio composed of three European indices as an illustration. The MM estimation of the MGC (MGC-MM) is compared with the traditional maximum likelihood of both the MGC and multivariate Student’s t (benchmark) densities. A simulation on Value-at-Risk (VaR) performance for an equally weighted portfolio at 1% and 5% confidence indicates that the MGC-MM method provides reasonable approximations to the true empirical VaR. Therefore, the procedure seems to be a useful tool for risk managers and practitioners.

Méthodes de Bootstrap pour les modèles à facteurs

Cette thèse développe des méthodes bootstrap pour les modèles à facteurs qui sont couram- ment utilisés pour générer des prévisions depuis l'article pionnier de Stock et Watson (2002) sur les indices de diffusion. Ces modèles tolèrent l'inclusion d'un grand nombre de variables macroéconomiques et financières comme prédicteurs, une caractéristique utile pour inclure di- verses informations disponibles aux agents économiques. Ma thèse propose donc des outils éco- nométriques qui améliorent l'inférence dans les modèles à facteurs utilisant des facteurs latents extraits d'un large panel de prédicteurs observés. Il est subdivisé en trois chapitres complémen- taires dont les deux premiers en collaboration avec Sílvia Gonçalves et Benoit Perron. Dans le premier article, nous étudions comment les méthodes bootstrap peuvent être utilisées pour faire de l'inférence dans les modèles de prévision pour un horizon de h périodes dans le futur. Pour ce faire, il examine l'inférence bootstrap dans un contexte de régression augmentée de facteurs où les erreurs pourraient être autocorrélées. Il généralise les résultats de Gonçalves et Perron (2014) et propose puis justifie deux approches basées sur les résidus : le block wild bootstrap et le dependent wild bootstrap. Nos simulations montrent une amélioration des taux de couverture des intervalles de confiance des coefficients estimés en utilisant ces approches comparativement à la théorie asymptotique et au wild bootstrap en présence de corrélation sérielle dans les erreurs de régression. Le deuxième chapitre propose des méthodes bootstrap pour la construction des intervalles de prévision permettant de relâcher l'hypothèse de normalité des innovations. Nous y propo- sons des intervalles de prédiction bootstrap pour une observation h périodes dans le futur et sa moyenne conditionnelle. Nous supposons que ces prévisions sont faites en utilisant un ensemble de facteurs extraits d'un large panel de variables. Parce que nous traitons ces facteurs comme latents, nos prévisions dépendent à la fois des facteurs estimés et les coefficients de régres- sion estimés. Sous des conditions de régularité, Bai et Ng (2006) ont proposé la construction d'intervalles asymptotiques sous l'hypothèse de Gaussianité des innovations. Le bootstrap nous permet de relâcher cette hypothèse et de construire des intervalles de prédiction valides sous des hypothèses plus générales. En outre, même en supposant la Gaussianité, le bootstrap conduit à des intervalles plus précis dans les cas où la dimension transversale est relativement faible car il prend en considération le biais de l'estimateur des moindres carrés ordinaires comme le montre une étude récente de Gonçalves et Perron (2014). Dans le troisième chapitre, nous suggérons des procédures de sélection convergentes pour les regressions augmentées de facteurs en échantillons finis. Nous démontrons premièrement que la méthode de validation croisée usuelle est non-convergente mais que sa généralisation, la validation croisée «leave-d-out» sélectionne le plus petit ensemble de facteurs estimés pour l'espace généré par les vraies facteurs. Le deuxième critère dont nous montrons également la validité généralise l'approximation bootstrap de Shao (1996) pour les regressions augmentées de facteurs. Les simulations montrent une amélioration de la probabilité de sélectionner par- cimonieusement les facteurs estimés comparativement aux méthodes de sélection disponibles. L'application empirique revisite la relation entre les facteurs macroéconomiques et financiers, et l'excès de rendement sur le marché boursier américain. Parmi les facteurs estimés à partir d'un large panel de données macroéconomiques et financières des États Unis, les facteurs fortement correlés aux écarts de taux d'intérêt et les facteurs de Fama-French ont un bon pouvoir prédictif pour les excès de rendement.

Manufactured Nanomaterials: is there a correlation between toxicological effects and the physicochemical properties?

Toxicological information on nanomaterials (NMs) is of major importance for safety assessment, since they are already used in many consumer products and promise cutting-edge applications in the future. While the number of different NMs increases exponentially, new strategies for risk assessment are needed to cope with the safety issues, keeping pace with innovation. However, recent studies have suggested that even subtle differences in the physicochemical properties of NMs that are closely related may define different nano-bio interactions, thereby determining their toxic potential. Further research in this field is necessary to allow straightforward grouping strategies leading time-effective risk assessment to enable the safe use of the emerging NMs. In this presentation the case study of the in vitro toxicity testing of a set of multi-walled carbon nanotubes (MWCNTs) in two human cell lines from the respiratory tract will be described. Those MWCNT have been previously characterized in detail, and differ in thickness, length, aspect ratio and morphology. This comprehensive toxicological investigation undertaken in parallel with physicochemical characterization in the cellular moiety showed that the same NM did not display a consistent effect in different cell types, and that, within the same class of NM, different toxic effects could be observed. The correlation of the cytotoxic and genotoxic effects characterized in the two cell lines with their physicochemical properties will be presented and the relevance of considering the NMs properties in the biological context will be discussed. Overall, this case study suggests that nanotoxicity of closely related MWCNTs depends not only on their primary physicochemical properties, or combinations of these properties, but also on the cellular system, and its context. Challenges posed to toxicologists, risk assessors and regulators when addressing the safety assessment of NMs will be highlighted.

Méthodes de Bootstrap pour les modèles à facteurs

Cette thèse développe des méthodes bootstrap pour les modèles à facteurs qui sont couram- ment utilisés pour générer des prévisions depuis l'article pionnier de Stock et Watson (2002) sur les indices de diffusion. Ces modèles tolèrent l'inclusion d'un grand nombre de variables macroéconomiques et financières comme prédicteurs, une caractéristique utile pour inclure di- verses informations disponibles aux agents économiques. Ma thèse propose donc des outils éco- nométriques qui améliorent l'inférence dans les modèles à facteurs utilisant des facteurs latents extraits d'un large panel de prédicteurs observés. Il est subdivisé en trois chapitres complémen- taires dont les deux premiers en collaboration avec Sílvia Gonçalves et Benoit Perron. Dans le premier article, nous étudions comment les méthodes bootstrap peuvent être utilisées pour faire de l'inférence dans les modèles de prévision pour un horizon de h périodes dans le futur. Pour ce faire, il examine l'inférence bootstrap dans un contexte de régression augmentée de facteurs où les erreurs pourraient être autocorrélées. Il généralise les résultats de Gonçalves et Perron (2014) et propose puis justifie deux approches basées sur les résidus : le block wild bootstrap et le dependent wild bootstrap. Nos simulations montrent une amélioration des taux de couverture des intervalles de confiance des coefficients estimés en utilisant ces approches comparativement à la théorie asymptotique et au wild bootstrap en présence de corrélation sérielle dans les erreurs de régression. Le deuxième chapitre propose des méthodes bootstrap pour la construction des intervalles de prévision permettant de relâcher l'hypothèse de normalité des innovations. Nous y propo- sons des intervalles de prédiction bootstrap pour une observation h périodes dans le futur et sa moyenne conditionnelle. Nous supposons que ces prévisions sont faites en utilisant un ensemble de facteurs extraits d'un large panel de variables. Parce que nous traitons ces facteurs comme latents, nos prévisions dépendent à la fois des facteurs estimés et les coefficients de régres- sion estimés. Sous des conditions de régularité, Bai et Ng (2006) ont proposé la construction d'intervalles asymptotiques sous l'hypothèse de Gaussianité des innovations. Le bootstrap nous permet de relâcher cette hypothèse et de construire des intervalles de prédiction valides sous des hypothèses plus générales. En outre, même en supposant la Gaussianité, le bootstrap conduit à des intervalles plus précis dans les cas où la dimension transversale est relativement faible car il prend en considération le biais de l'estimateur des moindres carrés ordinaires comme le montre une étude récente de Gonçalves et Perron (2014). Dans le troisième chapitre, nous suggérons des procédures de sélection convergentes pour les regressions augmentées de facteurs en échantillons finis. Nous démontrons premièrement que la méthode de validation croisée usuelle est non-convergente mais que sa généralisation, la validation croisée «leave-d-out» sélectionne le plus petit ensemble de facteurs estimés pour l'espace généré par les vraies facteurs. Le deuxième critère dont nous montrons également la validité généralise l'approximation bootstrap de Shao (1996) pour les regressions augmentées de facteurs. Les simulations montrent une amélioration de la probabilité de sélectionner par- cimonieusement les facteurs estimés comparativement aux méthodes de sélection disponibles. L'application empirique revisite la relation entre les facteurs macroéconomiques et financiers, et l'excès de rendement sur le marché boursier américain. Parmi les facteurs estimés à partir d'un large panel de données macroéconomiques et financières des États Unis, les facteurs fortement correlés aux écarts de taux d'intérêt et les facteurs de Fama-French ont un bon pouvoir prédictif pour les excès de rendement.

Elimination of urine in response to water intake is consistent in well-hydrated individuals

A simple method has been recently proposed to assess acute hydration status in humans; however, several questions remain regarding its reliability, validity, and practicality. Objective: Establish reliability of a simple method to assess euhydration, that is, to analyze whether this method can be used as a consistent indicator of a person´s hydration status. In addition, the study sought to assess the effect exercise has on urine volume when euhydration is maintained and a standardized volume of water is ingested. Methods: Five healthy physically active men and five healthy physically active women, 22.5 ± 2.3 years of age (mean ± standard deviation) reported to the laboratory after fasting for 10 hours or more on three occasions, each one week apart. During the two identical resting euhydration conditions (EuA and EuB), participants remained seated for 45 minutes. During the exercise condition (EuExer), participants exercised intermittently in an environmental chamber (average temperature and relative humidity = 32 ± 3°C and 65 ± 7%, respectively) for a period of 45 minutes and drank water to offset loss due to sweating. The order of treatments was randomized. Upon finishing the treatment period, they ingested a volume of water equivalent to 1.43% body mass (BM) within 30 minutes. Urine was collected and measured henceforth every 30 minutes for 3 hours. Results: Urine volume eliminated during EuExer (1205 ± 399.5 ml) was not different from EuB (1072.2±413.1 ml) or EuA (1068 ± 382.87 ml) (p-value = 0.44). Both resting conditions were practically identical (p-value = 0.98) and presented a strong intraclass correlation (r = 0.849, p-value = 0.001). Conclusions: This method, besides simple, proved to be consistent in all conditions; therefore, it can be used with the certainty that measurements are valid and reliable.

Joint value at risk: a new conditional risk measure

In this PhD thesis a new firm level conditional risk measure is developed. It is named Joint Value at Risk (JVaR) and is defined as a quantile of a conditional distribution of interest, where the conditioning event is a latent upper tail event. It addresses the problem of how risk changes under extreme volatility scenarios. The properties of JVaR are studied based on a stochastic volatility representation of the underlying process. We prove that JVaR is leverage consistent, i.e. it is an increasing function of the dependence parameter in the stochastic representation. A feasible class of nonparametric M-estimators is introduced by exploiting the elicitability of quantiles and the stochastic ordering theory. Consistency and asymptotic normality of the two stage M-estimator are derived, and a simulation study is reported to illustrate its finite-sample properties. Parametric estimation methods are also discussed. The relation with the VaR is exploited to introduce a volatility contribution measure, and a tail risk measure is also proposed. The analysis of the dynamic JVaR is presented based on asymmetric stochastic volatility models. Empirical results with S&P500 data show that accounting for extreme volatility levels is relevant to better characterize the evolution of risk. The work is complemented by a review of the literature, where we provide an overview on quantile risk measures, elicitable functionals and several stochastic orderings.

Core-valence Correlation Effects On Ir Calculations: The Bf3 And Bcl3 Cases.

The first theoretical results of core-valence correlation effects are presented for the infrared wavenumbers and intensities of the BF3 and BCl3 molecules, using (double- and triple-zeta) Dunning core-valence basis sets at the CCSD(T) level. The results are compared with those calculated in the frozen core approximation with standard Dunning basis sets at the same correlation level and with the experimental values. The general conclusion is that the effect of core-valence correlation is, for infrared wavenumbers and intensities, smaller than the effect of adding augmented diffuse functions to the basis set, e.g., cc-pVTZ to aug-cc-pVTZ. Moreover, the trends observed in the data are mainly related to the augmented functions rather than the core-valence functions added to the basis set. The results obtained here confirm previous studies pointing out the large descrepancy between the theoretical and experimental intensities of the stretching mode for BCl3.

Measuring The Hydrodynamic Radius Of Quantum Dots By Fluorescence Correlation Spectroscopy.

Fluorescence Correlation Spectroscopy (FCS) is an optical technique that allows the measurement of the diffusion coefficient of molecules in a diluted sample. From the diffusion coefficient it is possible to calculate the hydrodynamic radius of the molecules. For colloidal quantum dots (QDs) the hydrodynamic radius is valuable information to study interactions with other molecules or other QDs. In this chapter we describe the main aspects of the technique and how to use it to calculate the hydrodynamic radius of quantum dots (QDs).

Correlation Between Cephalometric Data And Severity Of Sleep Apnea.

Obstructive sleep apnea syndrome has a high prevalence among adults. Cephalometric variables can be a valuable method for evaluating patients with this syndrome. To correlate cephalometric data with the apnea-hypopnea sleep index. We performed a retrospective and cross-sectional study that analyzed the cephalometric data of patients followed in the Sleep Disorders Outpatient Clinic of the Discipline of Otorhinolaryngology of a university hospital, from June 2007 to May 2012. Ninety-six patients were included, 45 men, and 51 women, with a mean age of 50.3 years. A total of 11 patients had snoring, 20 had mild apnea, 26 had moderate apnea, and 39 had severe apnea. The distance from the hyoid bone to the mandibular plane was the only variable that showed a statistically significant correlation with the apnea-hypopnea index. Cephalometric variables are useful tools for the understanding of obstructive sleep apnea syndrome. The distance from the hyoid bone to the mandibular plane showed a statistically significant correlation with the apnea-hypopnea index.

Histologic Correlation Of Expression Of Ki-67 In Squamous Cell Carcinoma Of The Glottis According To The Degree Of Cell Differentiation.

Squamous cell carcinoma is the most common neoplasm of the larynx and glottis, and its prognosis depends on the size of the lesion, level of local invasion, cervical lymphatic spread, and presence of distant metastases. Ki-67 (MKI67) is a protein present in the core, whose function is related to cell proliferation. To evaluate the expression of marker Ki-67 in squamous cell carcinoma of the larynx and glottis and its correlation to pathological findings. Experimental study with immunohistochemistry analysis of Ki-67, calculating the percentage of the cell proliferation index in glottic squamous cell carcinomas. Sixteen cases were analyzed, with six well-differentiated and 10 poorly/moderately differentiated tumors. There was a correlation between cell proliferation index and degree of cell differentiation, with higher proliferation in poorly/moderately differentiated tumors. The cell proliferation index, as measured by Ki-67, may be useful in the characterization of histological degree in glottic squamous cell tumors.