Social and Behavioral Sciences Commons^™

Optimal Inference For Spot Regressions, Tim Bollerslev, Jia Li, Yuexuan Ren

Research Collection School Of Economics

Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas with high-frequency data. The "local Gaussian" property of the generic continuous-time benchmark model enables optimal "finite-sample" inference in a well-defined sense. It also affords more reliable inference in empirically realistic settings compared to conventional large-sample approaches. Two applications pertaining to the tracking performance of leveraged ETFs and an intraday event study illustrate the practical usefulness of the new procedures.

Systematic And Idiosyncratic Risks Of The U.S. Airline Industry, Rafiqul Bhuyan, André Varella Mollick, Md Ruhul Amin

Economics and Finance Faculty Publications and Presentations

Understanding the risky nature of the airline industry has received attention in the tourism literature from separate angles. Although the systematic risk of the airline industry has been examined before, idiosyncratic risk has largely been ignored. This study fills this gap in the tourism literature by investigating the effect of passengers’ air travel on systematic and idiosyncratic risks of the U.S. airline industry. Using historical air travel data and utilizing both OLS and fixed-effect models, this paper documents negative relationships between the occupancy of airline seats and idiosyncratic risks for 21 U.S. airline companies. This negative effect of occupancy is …

Variation And Efficiency Of High-Frequency Betas, Congshan Zhang, Jia Li, Viktor Todorov, George Tauchen

Research Collection School Of Economics

This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop an adaptive estimator that attains the efficiency bound. We further propose a Hausman type test for deciding whether the common beta assumption is true from the high-frequency data. In our empirical analysis we provide examples of stocks and time periods for which a common market beta assumption appears true and ones for which this is not the case. We further quantify …

Systematic Risk-Factors Among U.S. Stock Market Sectors, Maksim V. Papenkov

Economics

The Capital Asset Pricing Model (CAPM) and its extensions are a family of empirical asset pricing models which partition risk as either "systematic" (market-wide) or "idiosyncratic" (stock-specific). Examples of systematic risk-factors include the market return, company size, and company value. Within the framework of the CAPM-family of models, it is assumed that the effects of these systematic risk-factors are homogenous among sectors. This paper develops an extension to the CAPM relaxing this assumption, by directly comparing these systematic risk-factors at the sector-level. Utilizing CRSP and Compustat data, systematic risk-factor premiums are estimated for each sector, which demonstrates heterogeneity, with respect …

Increased Beta Activity Links To Impaired Emotional Control In Adhd Adults With High Iq, Hui Li, Qihua Zhao, Fang Huang, Qingjiu Cao, Stuart J. Johnstone, Yufeng Wang, Changming Wang, Li Sun

Faculty of Social Sciences - Papers (Archive)

Objective: The present study investigated the neuropathology of everyday-life executive function (EF) deficits in adults with ADHD with high IQ. Method: Forty adults with ADHD with an IQ ≥ 120 and 40 controls were recruited. Ecological EFs were measured, and eyes-closed Electroencephalograph (EEG) signals were recorded during a resting-state condition; EEG power and correlations with impaired EFs were analyzed. Results: Compared with controls, the ADHD group showed higher scores on all clusters of EF. The ADHD group showed globally increased theta, globally decreased alpha, and increased central beta activity. In the ADHD group, central beta power was significantly related to …

Using Eeg Data To Predict Engagement In Face-To-Face Conversations, Brooke Maddestra

Theses : Honours

To date engagement in face-to-face conversation has been studied almost exclusively through the post event measurement of self-reporting surveys or questionnaires. Electroencephalography (EEG) has been used for decades to examine brain activity for both research and diagnostic purposes. Medical grade EEG equipment is both costly and confined to being used within laboratory settings. With the recent advent of off-the-shelf consumer grade portable EEG-devices, novel psychological research on cognitive computations that have traditionally been confined to self-report, is now a reality. Although it is well documented that people use their cognitive abilities during conversations, an extensive literature search found no studies …

Adaptive Estimation Of Continuous-Time Regression Models Using High-Frequency Data, Jia Li, Viktor Todorov, George Tauchen

Research Collection School Of Economics

We derive the asymptotic efficiency bound for regular estimates of the slope coefficient in a linear continuous-time regression model for the continuous martingale parts of two Itô semimartingales observed on a fixed time interval with asymptotically shrinking mesh of the observation grid. We further construct an estimator from high-frequency data that achieves this efficiency bound and, indeed, is adaptive to the presence of infinite-dimensional nuisance components. The estimator is formed by taking optimal weighted average of local nonparametric volatility estimates that are constructed over blocks of high-frequency observations. The asymptotic efficiency bound is derived under a Markov assumption for the …

Beta Stationarity And Estimation Period: Evidence From Pakistan's Equity Market, Sana Tauseef

Business Review

This study examines the stability of individual stock beta coefficients over time and its link with the length of estimation periods. Using data for 325 stocks from Pakistan for the period 1999 to 2012, I show that beta coefficients are not stable on average but become more stable as the estimation period increases. This suggests that longer estimation periods should be used for predicting future beta coefficients. JEL Classification: G12, G23

Indirect Radio-Chemo-Beta Therapy: A Targeted Approach To Increase Biological Efficiency Of X-Rays Based On Energy, Sianne Oktaria, Stephanie Corde, Michael L. F Lerch, Konstantin K. Konstantinov, Anatoly B. Rosenfeld, Moeava Tehei

Faculty of Engineering and Information Sciences - Papers: Part A

Despite the use of multimodal treatments incorporating surgery, chemotherapy and radiotherapy, local control of gliomas remains a major challenge. The potential of a new treatment approach called indirect radio-chemo-beta therapy using the synergy created by combining methotrexate (MTX) with bromodeoxyuridine (BrUdR) under optimum energy x-ray irradiation is assessed. 9L rat gliosarcoma cells pre-treated with 0.01 μM MTX and/or 10 μM BrUdR were irradiated in vitro with 50 kVp, 125 kVp, 250 kVp, 6 MV and 10 MV x-rays. The cytotoxicity was assessed using clonogenic survival as the radiobiological endpoint. The photon energy with maximum effect was determined using radiation sensitization …

Asimmetria Del Rischio Sistematico Dei Titolo Immobiliari Americani: Nuove Evidenze Econometriche, Paola De Santis, Carlo Drago

Carlo Drago

In questo lavoro riscontriamo un aumento del rischio sistematico dei titoli del mercato immobiliare americano nell’anno 2007 seguito da un ritorno ai valori iniziali nell’anno 2009 e si evidenzia la possibile presenza di break strutturali. Per valutare il suddetto rischio sistematico è stato scelto il modello a tre fattori di Fama e French ed è stata studiata la relazione tra l’extra rendimento dell’indice REIT, utilizzato come proxy dell’andamento dei titoli immobiliari americani, e l’extra rendimento dell’indice S&P500 rappresentativo del rendimento del portafoglio di mercato. I risultati confermano la presenza di un “Asymmetric REIT Beta Puzzle” coerentemente con alcuni precedenti studi …

Examining The Low Volatility Anomaly In Stock Prices, Munish Malhotra

Electronic Theses and Dissertations

Modern portfolio theory states that investments with greater beta, a common measure of risk, require greater returns from investors in order to compensate them for taking greater risk. Therefore, under the premise that market participants act rationally and therefore markets run efficiently, investments with higher beta should generate higher returns vis-à-vis investments with lower beta over the long run. In fact, many studies suggest that investments with lower beta actually generate equal to or higher returns relative to investments with higher beta. In looking at data for the S&P 500 going back 22 years between 1990 and 2012, this study …

Dissociation Of Β1 And Β2 Adrenergic Receptor Subtypes In Retrieval And Reconsolidation Of A Cocaine Conditioned Place Preference, Michael Fitzgerald

Theses and Dissertations

Drug-seeking behavior is maintained by encounters with drug-associated cues, and disrupting retrieval or reconsolidation of the drug-cue associations could reduce the risk of relapse. Previous work has shown beta-adrenergic receptor (beta-AR) antagonists can prevent retrieval or reconsolidation of a cocaine conditioned place preference (CPP) when administered either before or after test, respectively (Otis and Mueller, 2011; Otis et al., 2013). However, the specific beta-AR subtypes that mediate retrieval and reconsolidation of a cocaine CPP remain unknown. Here we used selective blockade of & beta-1 or beta-2-AR subtypes to determine the effects on retrieval and reconsolidation of a cocaine CPP. During …

Extracellular Chaperones Modulate The Effects Of Alzheimer's Patient Cerebrospinal Fluid On A Beta(1-42) Toxicity And Uptake , Justin J. Yerbury, Mark R. Wilson

Mark R Wilson

Alzheimer's disease is characterised by the inappropriate death of brain cells and accumulation of the A beta peptide in the brain. Thus, it is possible that there are fundamental differences between Alzheimer's disease patients and healthy individuals in their abilities to clear A beta from brain fluid and to protect neurons from A beta toxicity. In the present study, we examined (1) the cytotoxicity of Alzheimer's disease cerebrospinal fluid (CSF) compared to control CSF, (2) the ability of Alzheimer's disease and control CSF to protect cells from A beta toxicity and to promote cell-mediated clearance of A beta and lastly …

Prestimulus Alpha And Beta Determinants Of Erp Responses In The Go/Nogo Task, Frances M. De Blasio, Robert Barry

Faculty of Social Sciences - Papers (Archive)

The nature of the relationships between the level of immediately-prestimulus EEG activity and auditory ERP components remains unclear. Particularly, both inverse and direct relationships have been reported for the alpha band. Here we aim to clarify the pattern of prestimulus EEG contributions in alpha (8-13 Hz), and investigate those in beta (14-24 Hz), for five ERP components (P1, N1, P2, N2, P3) in an auditory equiprobable Go/NoGo paradigm. Separate FFTs were applied to the prestimulus Cz data of each accepted trial. The alpha and beta bands were independently assessed. The mean prestimulus spectral band amplitude was computed and used to …

Diets High In Oat-Derived Beta-Glucan Promote Negative Energy Regulatory Pathway Of Hypothalamic Npy System In Chronic Diet-Induced Obesity In Mice, Xu-Feng Huang, Timothy South, Eleanor Beck, Marijka Batterham, K. Grinter, Linda Tapsell

Xu-Feng Huang

No abstract provided.

Am 251 And Beta-Funaltrexamine Reduce Fat Intake In A Fat-Preferring Strain Of Mouse, Xu-Feng Huang, Chao Deng, Timothy South

Xu-Feng Huang

No abstract provided.

Alphab-Crystallin Inhibits The Cell Toxicity Associated With Amyloid Fibril Formation By Kappa-Casein And The Amyloid-Beta Peptide, Francis C. Dehle, Heath Ecroyd, Ian F. Musgrave, John A. Carver

Heath Ecroyd

Amyloid fibril formation is associated with diseases such as Alzheimer’s, Parkinson’s, and prion diseases. Inhibition of amyloid fibril formation by molecular chaperone proteins, such as the small heat-shock protein αB-crystallin, may play a protective role in preventing the toxicity associated with this form of protein misfolding. Reduced and carboxymethylated κ-casein (RCMκ-CN), a protein derived from milk, readily and reproducibly forms fibrils at physiological temperature and pH. We investigated the toxicity of fibril formation by RCMκ-CN using neuronal model PC12 cells and determined whether the inhibition of fibril formation altered its cell toxicity. To resolve ambiguities in the literature, we also …

Wild Type And Tangier Disease Abca1 Mutants Modulate Cellular Amyloid-Beta Production Independent Of Cholesterol Efflux Activity, Kim S. Woojin, Andrew F. Hill, Michael L. Fitzgerald, Mason W. Freeman, Genevieve Evin, Brett Garner

Faculty of Science - Papers (Archive)

Cerebral amyloid-β (Aβ) deposition is a critical feature of Alzheimer’s disease. Aβ is derived from the amyloid-β protein precursor (AβPP) via two sequential cleavages that are mediated by β-secretase and the γ-secretase complex. Such amyloidogenic AβPP processing occurs in lipid raft microdomains of cell membranes and it is thought that modulating the distribution of lipids in rafts may regulate AβPP processing and Aβ production. Certain ATP-binding cassette (ABC) transporters regulate lipid transport across cell membranes and, as recent studies reveal, within membrane microdomains. ABCA1 also regulates Aβ metabolism in the brain although its direct impact on AβPP remains an open …

Zach's News, Georgia Southern University, Zach S. Henderson Library

University Libraries News Online (2008-2023)

• The RefWorks 2.0 Beta Interface is now available at GSU

A Note On Empirical Sample Distribution Of Journal Impact Factors In Major Discipline Groups, Sudhanshu K. Mishra

Sudhanshu K Mishra

What type of statistical distribution do the Journal Impact Factors follow? In the past, researchers have hypothesized various types of statistical distributions underlying the generation mechanism of journal impact factors. These are: lognormal, normal, approximately normal, Weibull, negative exponential, combination of exponentials, Poisson, Generalized inverse Gaussian-Poisson, negative binomial, generalized Waring, gamma, etc. It is pertinent to note that the major characteristics of JIF data lay in the asymmetry and non-mesokurticity. The present study, frequently encounters Burr-XII, inverse Burr-III (Dagum), Johnson SU, and a few other distributions closely related to Burr distributions to best fit the JIF data in subject groups …

Dipyridyl Beta-Diketonate Complexes: Versatile Polydentate Metalloligands For Metal-Organic Frameworks And Hydrogen-Bonded Networks, Andrew D. Burrows, Christopher G. Frost, Mary F. Mahon, Paul R. Raithby, Catherine L. Renouf, Christopher Richardson, Anna J. Stevenson

Faculty of Science - Papers (Archive)

The Group 13 metal complexes [M(L-2)(3)], where M is Al or Ga and L-2 is 1,3-di(4-pyridyl)-1,3-propanedionato, are hexatopic metalloligands that have been used to prepare mixed-metalorganic frameworks containing interpenetrated primitive cubic networks. In contrast, the europium complex [Eu(HL2)(3)-(H2L2)]Cl-4 center dot EtOH forms a hydrogen-bonded network following partial protonation of the pyridyl groups.

Extracellular Chaperones Modulate The Effects Of Alzheimer's Patient Cerebrospinal Fluid On A Beta(1-42) Toxicity And Uptake , Justin J. Yerbury, Mark R. Wilson

Faculty of Science - Papers (Archive)

Alzheimer's disease is characterised by the inappropriate death of brain cells and accumulation of the A beta peptide in the brain. Thus, it is possible that there are fundamental differences between Alzheimer's disease patients and healthy individuals in their abilities to clear A beta from brain fluid and to protect neurons from A beta toxicity. In the present study, we examined (1) the cytotoxicity of Alzheimer's disease cerebrospinal fluid (CSF) compared to control CSF, (2) the ability of Alzheimer's disease and control CSF to protect cells from A beta toxicity and to promote cell-mediated clearance of A beta and lastly …

Alphab-Crystallin Inhibits The Cell Toxicity Associated With Amyloid Fibril Formation By Kappa-Casein And The Amyloid-Beta Peptide, Francis C. Dehle, Heath Ecroyd, Ian F. Musgrave, John A. Carver

Faculty of Science - Papers (Archive)

Amyloid fibril formation is associated with diseases such as Alzheimer’s, Parkinson’s, and prion diseases. Inhibition of amyloid fibril formation by molecular chaperone proteins, such as the small heat-shock protein αB-crystallin, may play a protective role in preventing the toxicity associated with this form of protein misfolding. Reduced and carboxymethylated κ-casein (RCMκ-CN), a protein derived from milk, readily and reproducibly forms fibrils at physiological temperature and pH. We investigated the toxicity of fibril formation by RCMκ-CN using neuronal model PC12 cells and determined whether the inhibition of fibril formation altered its cell toxicity. To resolve ambiguities in the literature, we also …

Beta-Glucans In The Treatment Of Diabetes And Associated Cardiovascular Risks, Jiezhong Chen, Kenneth Raymond

Faculty of Social Sciences - Papers (Archive)

Diabetes mellitus is characterized by high blood glucose level with typical manifestations of thirst, polyuria, polydipsia, and weight loss. It is caused by defects in insulin-mediated signal pathways, resulting in decreased glucose transportation from blood into muscle and fat cells. The major risk is vascular injury leading to heart disease, which is accelerated by increased lipid levels and hypertension. Management of diabetes includes: control of blood glucose level and lipids; and reduction of hypertension. Dietary intake of beta-glucans has been shown to reduce all these risk factors to benefit the treatment of diabetes and associated complications. In addition, beta-glucans also …

Crystallization And Diffraction Data Of 1h-3-Hydroxy-4-Oxoquinoline 2,4-Dioxygenase: A Cofactor-Free Oxygenase Of The Alpha/Beta-Hydrolase Family, Ruhu Qi, Susanne Fetzner, Aaron J. Oakley

Faculty of Science - Papers (Archive)

1H-3-Hydroxy-4-oxoquinoline 2,4-dioxygenase (QDO) from Pseudomonas putida 33/1 catalyses the oxygenolysis of 1H-3-hydroxy-4-oxoquinoline to form N-formylanthranilic acid and carbon monoxide without the aid of cofactors. Both N-terminally His6-tagged and native QDO were overexpressed in Escherichia coli and purified by conventional chromatographic procedures. Untagged QDO, but not His6-tagged QDO, was crystallized by the vapour-diffusion method, giving hexagonal bipyramid crystals belonging to space group P6(1)22. Selenomethionine-containing native QDO was prepared and crystallized under identical conditions. The unit-cell parameters were a = b = 90.1, c = 168.6 A, alpha = beta = 90, gamma = 120 degrees. Using synchrotron radiation, these crystals diffract …

Beta-Utopian Order, Teodor E. Mitew

Faculty of Arts - Papers (Archive)

In one of its most popular works – Electronic Civil Disobedience and Other Unpopular Ideas, the Critical Art Ensemble (CAE) outlines what it views as a major power shift characterizing the present, namely, the traditional public space – the street, has turned into ‘dead capital’. Borrowing from Guy Debord’s ideas on spectacular society, CAE theorizes that the spectacle has appropriated all, while power has mutated into a nomadic form of pure absence – ‘power itself cannot be seen; only its representation appears.’

Amyloid Fibril Formation By Bovine Milk Kappa-Casein And Its Inhibition By The Molecular Chaperones Alpha-S And Beta-Casein, Mark Wilson, David Thorn, Agata Rekas, S. L Gras, Christopher Dobson, Sarah Meehan, Cait Macphee, M Sunde

Mark R Wilson

No abstract provided.

Lymphotoxin-Beta Receptor-Dependent Genes In Lymph Node And Follicular Dendritic Cell Transcriptomes, Mark Wilson, C. Huber, C. Thielen, Y. Fu, E. Heinen, A Aguzzi, G Miele

Mark R Wilson

No abstract provided.

What Do The Ibbottson Historical Studies Really Prove About Firm Size, Risk And Return?, Michael Sack Elmaleh

Michael Sack Elmaleh

I deny that the Ibbottson historical studies prove that small and medium caps outperform large caps because they are more risky. First, I question whether covariance measures are necessarily a good proxy for risk. The higher levels of volatility associated with small and medium cap versus large cap may be a statistical artifact: the greater number of transactions associated with large caps as compared to small caps may account for this difference. Secondly, higher returns on small and medium caps may be a function of less efficient information distribution for these securities as compared to large caps. Finally, can we …

Beta-2 Glycoprotein I And Its Role In Antiphospholipid Syndrome: Lessons From Knockout Mice, Spyridon Miyakis, Sarah A. Robertson, S A. Krilis

Faculty of Science, Medicine and Health - Papers: part A

The antiphospholipid syndrome is characterized by the presence in serum of autoantibodies against h2GPI. Although the role of h2GPI in the pathogenesis of antiphospholipid antibody syndrome (APS) is well recognized, its exact physiological functions still remain undisclosed. Several interactions of h2GPI with components of the coagulation cascade have been proposed, resulting in both procoagulant and anticoagulant effects. Additionally, h2GPI has been implicated in the mechanism of recurrent fetal loss entailed in APS. Recently, using a homologous recombination approach, reproduction of mice homozygous for deletion of the b2GPI gene has been feasible. h2GPI knockout mice offer a valuable tool for revealing …