In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts that have been observed for asset distributions: fat-tails and an asymmetric dependence structure. Assum...

The relationship of polyoma (parotid tumor) virus infection to spontaneous and x-ray induced lymphocytic neoplasms (leukemia) in mice has been studied in two sublines of the high leukemic AKR strain, in the high leukemic C58 strain and in the x-ray responsive C3Hf/Bi strain. There was found to be no correlation of hemagglutination-inhibiting (HI) antibody with leukemia appearing at various time...

A newly discovered genetic marker in the kappa light chains of mouse immunoglobulins is described. This marker, designated kappa-PC8, is located in the L chains of those anti-phosphorylcholine (PC) antibodies which show the same functional and idiotypic characteristics as a PC-binding myeloma protein, HOPC 8 (H8). Analytical isoelectric focusing of these L chains revealed two phenotypes whose ...

Volatility models of the market portfolio’s return are central to financial risk management. Within an equilibrium framework, we introduce an implementation method and study two families of such models. One is deterministic volatility, represented by current popular models. Another is in the “constant elasticity of variance” family, in which we propose new models. Theoretically, we show that, t...

Adult AKR and C58 mice injected intramuscularly with murine sarcoma virus, Moloney isolate (M-MSV), developed high incidence of nonregressing local tumors. Histologically, these tumors revealed the typical pleomorphism of M-MSV sarcomas; in some cases, however, neoplastic tissue showed a nodular or diffuse growth of monomorphic myoblastlike cells, reminiscent of clonal aggregates. No depression...

In this paper we propose a new method for producing semiparametric density forecasts for daily financial returns from high-frequency intraday data. The daily return density is estimated directly from intraday observations that have been appropriately rescaled using results from the theory of unifractal processes. The method preserves information concerning both the magnitude and sign of the int...

We use the adaptive LASSO from the statistical learning literature to identify economically connected industries in a general predictive regression framework. The framework permits complex industry interdependencies, including both direct and indirect sectoral links. Consistent with gradual information diffusion across economically connected industries, we find extensive evidence that lagged re...

Decomposing volatilities into a common market-driven component and an idiosyncratic itemspecific one is an important issue in financial econometrics. This, however, requires the statistical analysis of large panels of time series, hence faces the usual challenges associated with highdimensional data. Factor model methods in such a context are an ideal tool, but they do not readily apply to the ...