We develop a specification test and a sequence of model selection procedures for nonnested, overlapping, and nested models based on the second Hansen-Jagannathan distance, which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our methods have reasonably good finite sample performances and are more powerful than existing ones in detecting mis...

Whereas a widely-held current view is that the correlation parameters occurring in the risk-neutral procedure for the pricing of basket credit derivatives should, at least in principle, be set equal to their real-world values obtained from historical data, the conclusion of this article is that the correlation parameters are risk-neutral parameters with a range of allowable values. As a result,...

The paper develops a framework for factor analysis and arbitrage pricing in a large asset economy modeled as one with a continuum of assets. It is shown that the assumptions of absence of arbitrage opportunities and that returns have a strict factor structure imply exact factor-pricing for a full measure of assets. Interpreting finite subsets of assets as random draws from the underlying econom...

the main objective of this study was using of canonical correlation analysis (cca) to find relations between 15 different variables of seed emergence and seedling growth related characteristics of seven important crop that were classified in three groups. the studied groups of variables were included physical characteristics (seed weight, seed length, seed density, water absorption and water co...

Bulking and foaming are two notorious problems in activated sludge wastewater treatment plants (WWTPs), which are mainly associated with the excessive growth of bulking and foaming bacteria (BFB). However, studies on affecting factors of BFB in full-scale WWTPs are still limited. In this study, data sets of high-throughput sequencing (HTS) of 16S V3-V4 amplicons of 58 monthly activated sludge s...

In this paper we describe a method for functional connectivity analysis of fMRI data between given brain regions-of-interest (ROIs). The method relies on nonnegativity constrained- and spatially regularized multiset canonical correlation analysis (CCA), and assigns weights to the fMRI signals of the ROIs so that their representative signals become simultaneously maximally correlated. The differ...