The most polymorphic gene family in P. falciparum is the ∼60 var genes distributed across parasite chromosomes, both in the subtelomeres and in internal regions. They encode hypervariable surface proteins known as P. falciparum erythrocyte membrane protein 1 (PfEMP1) that are critical for pathogenesis and immune evasion in Plasmodium falciparum. How var gene sequence diversity is generated is n...

The Chinese stock market has been established for more than 20 years. Although it is not as mature as the highly developed western securities markets, it has a huge influence on the global economy. It is significant to study the risks of the Chinese stock market, especially the risk of stock indexes. Affected by the economic globalization today, more and more financial derivatives and financial...

The identification of reduced-form VAR model had been the subject of numerous debates in the literature. Different sets of identifying assumptions can lead to very different conclusions in the policy debate. This paper proposes a theoretical consistent identification strategy using restrictions implied by a DSGE model. Monte Carlo simulations suggest the proposed identification strategy is succ...

Vector autoregressive model is a very popular tool in multiple time series analysis. Its parameters are usually estimated by the least squares procedure which is very sensitive to the presence of errors in data, e.g. outliers. If outliers were present, the estimation results would become unreliable. Therefore in the presented paper we will propose a new procedure for estimating multivariate reg...

Article history: Received 10 April 2006 Received in revised form 4 August 2009 Accepted 20 August 2009 Available online 28 August 2009 This paper uses both linear and nonlinear causality tests to reexamine the causal relationship between the returns on large and small firms. Consistent with previous results, we find that large firms linearly lead small firms. We also find a significant linear c...

In the empirical analysis of nancial time series, multivariate GARCH models have been used in various forms. In most cases it is not well understood how the use of a restricted model has to be paid with loss of valuable information. We investigate the structural implications of the alternative models for the response of the conditional (co{)variances to independent shocks. The impulse response ...

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...

This paper pursues an econometric investigation of the interactions between Japan’s housing investment and gross domestic product (GDP). A cointegrated vector autoregressive (VAR) analysis of Japan’s recent time series data reveals two cointegrating relationships, which characterize the underlying long-run interactions of the variables in question. The cointegrated VAR model is then reduced to ...

This paper proposes several parametric models to compute the portfolio VaR and CVaR in a given temporal horizon and for a given level of confidence. Firstly, we describe extension of the EWMA RiskMetrics model considering conditional elliptically distributed returns. Secondly, we examine several new models based on different stable Paretian distributional hypotheses of return portfolios. Finall...