This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the rst two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten-Jagannathan-Runkle GARCH(1,1)-M) and three di ere...

The novel concept of a cyclic sequence of a digraph that has precisely one factor is defined, and is used to characterize the entries of the inverse of a matrix with such a digraph. This leads to a characterization of a strongly sign-nonsingular matrix in terms of cyclic sequences. Nonsingular nearly reducible matrices are a well-known class of matrices having precisely one nonzero diagonal, an...

The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It is therefore very important to have very efficient pricing formula for simple instruments. Such a formula is proposed here for European swaption. Based on a very efficient corrector type approximation the appr...

The development of alloantibodies (inhibitors) that inactivate the coagulant activity of factor VIII (FVIII) is the major problem for the management of persons with severe haemophilia A (1). This complication occurs in approximately one third of boys previously untreated and hence first exposed to FVIII-containing products (2, 3). The risk of inhibitors is maximal during the first 20 treatments...

In this article we discuss the implementation of general one-factor short rate models with a trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold. First, we show how trees can be spanned using a set of general branching processes. Secondly, we improve Hull-White’s procedure to calibrate the tree to bond prices by a much more efficient approach. This app...

He noted then that the conjecture is true if n = p 1 2 or if n = p where p is a prime and r a positive integer. Calculations showed the conjecture also held for n 100. Recently, in a study of more general polynomials, the rst author [2] obtained further irreducibility results for f(x); in particular, he established irreducibility in the case that n+ 1 is a squarefree number 3 and in the case th...

We describe a full maximum-likelihood fitting method of the popular single-factor Vasicek and Cox–Ingersoll–Ross models and carry this out for term-structure data from the UK and US. This method contrasts with the usual practice of performing a day-by-day fit. We also compare the results with some more crude econometric analyses on the same data sets. © 2000 Elsevier Science B.V. All rights res...

Recoding a stop codon to an amino acid may afford orthogonal genetic systems for biosynthesizing new protein and organism properties. Although reassignment of stop codons has been found in extant organisms, a model organism is lacking to investigate the reassignment process and to direct code evolution. Complete reassignment of a stop codon is precluded by release factors (RFs), which recognize...