We extend the vector autoregression (VAR) based expectations hypothesis test of term structure, considered in Bekaert & Hodrick (2001) using recent developments in bootstrap literature. Modifications include the use of wild bootstrap to allow for conditional heteroskedasticity in the VAR residuals without imposing strict parameterization, endogeneous model selection procedure in the bootstrap r...

We model the behavior of Nasdaq momentum traders, also known as SOES bandits. We show, all things being equal, that the profitability of SOES bandits decreases in the bid-ask spread, but increases in the effective tick size. The patterns we observe in the data provide support for the model. We then discuss the plausibility of odd-eighth tick avoidance by market makers as a defense against SOES ...

A new seminested PCR typing assay has been extended to identify the important veterinary rotavirus serotypes G5, G6, G10, and G11, as well as the rare human serotype G8. The specificity of the method was evaluated with 30 standard laboratory strains of the G1 to G6 and G8 to G11 types. Rotavirus strain types G6 and G8, not previously recognized in pigs, were identified in field specimens of por...

The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross-sectional differences in ass...

Interactive Session, please ask any questions to our Faculty now! For more information, please stop by Masimo, Stand G10. Register and ask your questions at www.masimo.com/thefuture High-Risk Surgical Patients: Oxygen Delivery and Hemodynamic Strategies Jean-Louis Vincent, MD, PhD Professor of Intensive Care Medicine (Université Libre de Bruxelles) Department of Intensive Care, Erasme Universit...

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of mode...

We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth– moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value– ...

We survey some new progress on the pricing models driven by fractional Brownian motion or mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and option pricing in these models. We summarize some recent results on fractional Black & Scholes pricing model with transaction costs. We end the paper by giving some approximation results and indicating...

Intrauterine devices (IUDs), well effective long-term contraception methods used around the world, are potential reservoir for pathogens and carry risk of reproductive-tract infections such as bacterial vaginosis vulvovaginal candidiasis. A healthy vagina is dominated by Lactobacillus involved in protecting reproductive system against pathogens. This study aims to investigate impact L. gasseri ...