Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market

In this paper a number of alternative autoregressive conditional duration (ACD) models are compared using a sample of data for three major companies traded on the Australian Stock Exchange. The comparison is performed by employing the methodology for evaluating density and interval forecasts, developed by Diebold et al. [F. Diebold, A. Gunther, S. Tay, Evaluating density forecasts with applications to financial risk management, International Economic Review 39 (1998) 863–883] and Christoffersen [P. Christoffersen, Evaluating interval forecasts, International Economic Review 39 (1998) 841–862], respectively. Our main finding is that the generalized gamma and log-normal distributions for the error terms have similar performance and perform better that the exponential and Weibull distributions. Additionally, there seems to be no substantial difference between the standard ACD specification of Engle and Russel [R. Engle, J. Russell, Autoregressive conditional duration: a new model for irregularly-spaced transaction data, Econometrica 66 (1998) 1127–1162] and the log-ACD specification of Bauwens and Giot [L. Bauwens, P. Giot, The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks, Annales d’Economie et de Statistique 60 (2000) 117–150].     

The immunogenicity of the 7E3 murine monoclonal Fab antibody fragment variable region is dramatically reduced in humans by substitution of human for murine constant regions

A murine monoclonal antibody (7E3) directed against the platelet glycoprotein IIb/IIIa was engineered to reduce immunogenicity by substituting human for murine constant regions. The chimeric antibody is functionally identical to the murine antibody in vitro. Results from clinical trials with 7E3 Fab antibody fragments, however, show that the 7E3 variable region, which elicits the vast majority of the immune response to murine 7E3 Fab, is rendered dramatically less immunogenic (incidence reduced from 17% to 1%) when the identical variable region is linked to human rather than murine constant regions. Neither murine nor human constant regions were highly immunogenic themselves. We conclude that the constant regions of the Fab fragments are critical in modulating the immune response elicited by the linked 7E3 variable region. Because naturally occurring anti-human Fab fragment antibodies are prevalent both in the normal human population and in the patient population studied here, murine 7E3 Fab and chimeric 7E3 Fab may be fundamentally different in their interactions with the human immune system. This difference may be related to the dramatic difference in immunogenicity observed between murine 7E3 Fab and chimeric 7E3 Fab.     

A simple expected volatility (SEV) index: Application to SET50 index options

In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this paper, with the use of Thailand's SET50 Index Options data, we modify the VIX formula to a very simple relationship, which has a higher negative correlation between the VIX for Thailand (TVIX) and SET50 index options. We show that TVIX provides more accurate forecasts of option prices than the simple expected volatility (SEV) index, but the SEV index outperforms TVIX in forecasting expected volatility. Therefore, the SEV index would seem to be a superior tool as a hedging diversification tool because of the high negative correlation with the volatility index.     

A risk map of international tourist regions in Spain

This paper presents a different approach to tourism research at the regional level. Financial econometric techniques are applied to international tourist arrivals, as well as their volatilities, in the five main tourist regions in Spain, using monthly international tourist arrivals during 1997–2007. Univariate time series models are estimated for the conditional means of monthly international tourist arrivals and their volatilities. The estimated conditional volatility models are GARCH(1,1), GJR(1,1) and EGARCH(1,1). Both the second moment and log-moment conditions are calculated to provide diagnostic checks of the estimated models. The conditional mean estimates are generally statistically adequate, and the inferences are valid.     

Modelling the asymmetric volatility of anti-pollution patents in the USA

The paper analyses the asymmetric volatility of patents related to pollution prevention and abatement (hereafter, anti-pollution) technologies registered in the USA. Ecological and pollution prevention technology patents have increased steadily over time, with the 1990's having been a period of intensive patenting of technologies related to the environment. The time-varying nature of the volatility of anti-pollution technology patents registered in the USA is examined using monthly data from the US Patent and Trademark Office for the period January 1975 to December 1999. Alternative symmetric and asymmetric volatility models, such as GARCH, GJR and EGARCH, are estimated and tested against each other using full sample and rolling windows estimation. This revised version was published online in June 2006 with corrections to the Cover Date.     

Antitrust environment and innovation

Summary This paper examines the relationship between the antitrust environment and innovation in the US economy, where innovation is measured by patent activity. The hypothesis to be tested is whether antitrust enforcement activity, as measured by the number of civil filings of the US Department of Justice, has had a significant impact on the level of innovation in the US economy, after adjusting for other factors that have an impact on innovation, such as research and development expenditures and real economic growth. Impacts of civil antitrust case filings, criminal antitrust case filings and total US Department of Justice antitrust case filings on patent activity in the USA are estimated for the period 1953-2000. The empirical results show that civil case filings have a statistically significant impact on innovation.     

A trinomial test for paired data when there are many ties

This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the proposed trinomial test statistic over the sign test in small samples in the presence of tie observations. We also show that the proposed trinomial test has substantially higher power than the sign test in large samples and also in the presence of tie observations, as the sign test ignores information from observations resulting in ties.     

Influence of client diagnosis--cancer--on counselor decisions.

Numerous authorities have pointed to the fear of cancer among professionals as a stumbling block to service delivery for cancer patients. Yet systematic efforts to study the parameters and ramifications of this impact on health-care delivery personnel are few. In this study, 34 practicing counselors were asked to complete a series of tasks related to counseling and service delivery with the cancer patient. Ss were administered Form O of the Attitude Toward Disabled Persons Scale to assess their attitudes toward individuals with 4 disease-related disabilities (i.e. renal failure, heart disease, cancer, and paraplegia). Results strongly support general conclusions in the literature that counselors are likely to provide less counseling and case services to cancer patients than to patients with other equally devastating disease-related disabilities. A relationship was demonstrated between case service, attitudes toward the cancer patient, and personal fear of cancer. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Testing for Unit Roots and Non-linear Transformations

It is well known that the augmented Dickey–Fuller (ADF) test of unit roots in univariate time series is sensitive to non-linear transformations: a common example is when variables expressed in logarithms are found to be stationary, whereas the same variables in levels are found to be non-stationary. In this paper, the effects of non-linear transformations on the ADF auxiliary regression are investigated within the class of the Box–Cox model, and a test of non-linear transformation is developed to assess the adequacy of the ADF regression. The proposed test is computationally simple and is calculated as the t ratio of an added variable in the ADF regression. Cointegration among series which are subject to non-linear transformations is also analysed, and a simple procedure is developed to test the non-linear transformation used in cointegration analysis. Several empirical examples taken from the Nelson–Plosser data set illustrate the practical relevance of the proposed test for univariate series, and a second empirical example is used to illustrate the test of non-linear transformation for cointegrated series     

Fatal cerebral mycoses caused by the ascomycete Chaetomium strumarium

Three cases of fatal cerebral mycosis in males with prior histories of intravenous drug use from the United States and Australia are reported. Infection in each case was limited to brain abscess; no other sites of infection were observed. The fungus seen by histopathology and isolated from the brain tissue in each case was identified as Chaetomium strumarium. This is the first report of human infection by this species, and C. strumarium is the second species of Chaetomium known to cause primary brain infection. Chaetomium strumarium is unusual among members of the genus Chaetomium in forming ascocarps covered with pale, thin-walled, flexuous hairs, a feature leading to its original placement in the genus Achaetomium. Presence of pinkish exudate droplets and/or crystals associated with hyphae or ascocarps, sometimes accompanied by a pinkish diffusible pigment; good growth at 42 degrees C; and production of small conidia further distinguish this species. The brain abscess isolates were compared with isolates from prior cases of cerebral infection which had been identified as either Chaetomium atrobrunneum or Chaetomium globosum. With reidentification of one isolate originally identified as C. globosum to C. atrobrunneum, only C. strumarium and C. atrobrunneum have been confirmed to cause infection involving the brain.