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...

This paper examines jump dynamic patterns in three Chinese medical stocks. It also compares the Value-at-Risk (VaR) forecasting performance of a newly proposed realized volatility model allowing for jumps with that of two commonly used realized volatility models, which do not account for jumps. Using the Heterogeneous Autoregressive Realized Volatility model that allows for jumps (HAR-CJN), we ...

genetic variations within the species of agropyron desertorum and 2 varieties of a. cristatum subsp. pectinatum var. imbricatum and a. cristatum subsp. pectinatum var. pectinatum were studied using morphological traits and total protein profiles (with sodium dodecylsulphate polyacrylamide gel electrophoresis). an experiment was conducted in research institute of forests and rangelands (2012-201...

Large aggregation interval asymptotics are used to investigate the relation between Granger causality in disaggregated vector autoregressions (VARs) and associated contemporaneous correlation among innovations of the aggregated system. Our approach allows us to better understand the informational content in non-diagonal error covariance matrices, which play an important role in structural VAR a...

This paper reexamines the effects of inflation uncertainty on real economic activity by utilizing a flexible, dynamic, multivariate framework that accommodates possible interaction between the conditional means and variances. The empirical model is based on the identified vector autoregressive regression of Bernanke and Gertler (1995), modified to accommodate multivariate generalized autoregres...

K e y w o r d s: prediction, model comparison, density forecasting, inflation, VAR models, shrinkage. J E L Classification: E31, E37, C53, C32.

The Plasmodium falciparum erythrocyte membrane protein 1 (PfEMP1) family plays a central role in antigenic variation and cytoadhesion of P. falciparum infected erythrocytes. PfEMP1 proteins/var genes are classified into three main subfamilies (UpsA, UpsB, and UpsC) that are hypothesized to have different roles in binding and disease. To investigate whether these subfamilies have diverged in bin...

Context. Among optical stellar interferometers, the CHARA Array located at Mt Wilson in California offers the potential of very long baselines (up to 330 m) and the prospect of coupling multiple beam combiners. This paper presents the principle and the measured performance of VEGA, Visible spEctroGraph and polArimeter installed in September 2007 at the coherent focus of the array. Aims. With 0....