Return-volatility linkages in the international equity and currency markets

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross-autocorrelations between pairs of national equity markets and related exchange rates. This provides a parsimonious way of testing mean-volatility relationships in currency and equity markets and re-examining the robustness of relationships between equity markets, while controlling for exchange rate effects. We find that the relationship between currency and equity markets is bi-directional, significant, persistent, and independent of the relationship strictly between equity markets, and that it is better captured by the conditional second moments.international asset pricing; exchange rate determination; equity markets; relationships between currency and equity markets

Length control of microtubules by depolymerizing motor proteins

In many intracellular processes, the length distribution of microtubules is controlled by depolymerizing motor proteins. Experiments have shown that, following non-specific binding to the surface of a microtubule, depolymerizers are transported to the microtubule tip(s) by diffusion or directed walk and, then, depolymerize the microtubule from the tip(s) after accumulating there. We develop a quantitative model to study the depolymerizing action of such a generic motor protein, and its possible effects on the length distribution of microtubules. We show that, when the motor protein concentration in solution exceeds a critical value, a steady state is reached where the length distribution is, in general, non-monotonic with a single peak. However, for highly processive motors and large motor densities, this distribution effectively becomes an exponential decay. Our findings suggest that such motor proteins may be selectively used by the cell to ensure precise control of MT lengths. The model is also used to analyze experimental observations of motor-induced depolymerization.Comment: Added section with figures and significantly expanded text, current version to appear in Europhys. Let

Does hedging tell the full story? Reconciling differences in US aggregate and industry-level exchange rate risk premia

While the importance of currency movements to industry competitiveness is theoretically well established, there is little evidence that currency risk impacts US industries. Applying a conditional asset-pricing model to 36 US industries, we find that all industries have a significant currency premium that adds about 2.47 percentage points to the cost of equity and accounts for approximately 11.7% of the absolute value of total risk premia. Cross-industry variation in the currency premium is explained by foreign income, industry competitiveness, leverage, liquidity and other industry characteristics, while its time variation is explained by US aggregate foreign trade, monetary policy, growth opportunities and other macro variables. The results indicate that methodological weakness, not hedging, explains the insignificant industry currency risk premium found in previous work, thus resolving the conundrum that the currency risk premium is important at the aggregate stock market level, but not at industry level.exposure; currency risk premium; cost of equity; industry competition; international asset pricing

Return-volatility linkages in the international equity and currency markets

This paper, which is motivated by the literature on international asset pricing and recent work on exchange rate determination, investigates dynamic relationshiops between major currency and equity markets. Using a multivariate GARCH framework, we examine conditional cross- autocorrelations between pairs of national equity markets and related exchange rates. This provides a parsimonious way of testing mean- volatility relationships in currency and equity markets and re-examining the robustness of relationships between equity markets, while controlling for exchange rate effects. We find that the relationship between currency and equity markets is bi-directional, significant, persistent, and independent of the relationship strictly between equity markets, and that it is better captured by the conditional second momentsinternational asset pricing, exchange rate determination, equity markets, relationships between currency and equity markets

New light on the ‘Drummer of Tedworth’: conflicting narratives of witchcraft in Restoration England

This paper presents a definitive text of hitherto little-known early documents concerning ‘The Drummer of Tedworth’, a poltergeist case that occurred in 1662-3 and became famous not least due to its promotion by Joseph Glanvill in his demonological work, Saducismus Triumphatus. On the basis of these and other sources, it is shown how responses to the events at Tedworth evolved from anxious piety on the part of their victim, John Mompesson, to confident apologetic by Glanvill, before they were further affected by the emergence of articulate scepticism about the case

Self reported aggravating activities do not demonstrate a consistent directional pattern in chronic non specific low back pain patients: An observational study

Question: Do the self-reported aggravating activities of chronic non-specific low back pain patients demonstrate a consistent directional pattern? Design: Cross-sectional observational study. Participants: 240 chronic non specific low back pain patients. Outcome measure: We invited experienced clinicians to classify each of the three self-nominated aggravating activities from the Patient Specific Functional Scale by the direction of lumbar spine movement. Patients were described as demonstrating a directional pattern if all nominated activities moved the spine into the same direction. Analyses were undertaken to determine if the proportion of patients demonstrating a directional pattern was greater than would be expected by chance. Results: In some patients, all tasks did move the spine into the same direction, but this proportion did not differ from chance (p = 0.328). There were no clinical or demographic differences between those who displayed a directional pattern and those who did not (all p > 0.05). Conclusion: Using patient self-reported aggravating activities we were unable to demonstrate the existence of a consistent pattern of adverse movement in patients with chronic non-specific low back pain

Analysis of rolling group therapy data using conditionally autoregressive priors

Group therapy is a central treatment modality for behavioral health disorders such as alcohol and other drug use (AOD) and depression. Group therapy is often delivered under a rolling (or open) admissions policy, where new clients are continuously enrolled into a group as space permits. Rolling admissions policies result in a complex correlation structure among client outcomes. Despite the ubiquity of rolling admissions in practice, little guidance on the analysis of such data is available. We discuss the limitations of previously proposed approaches in the context of a study that delivered group cognitive behavioral therapy for depression to clients in residential substance abuse treatment. We improve upon previous rolling group analytic approaches by fully modeling the interrelatedness of client depressive symptom scores using a hierarchical Bayesian model that assumes a conditionally autoregressive prior for session-level random effects. We demonstrate improved performance using our method for estimating the variance of model parameters and the enhanced ability to learn about the complex correlation structure among participants in rolling therapy groups. Our approach broadly applies to any group therapy setting where groups have changing client composition. It will lead to more efficient analyses of client-level data and improve the group therapy research community's ability to understand how the dynamics of rolling groups lead to client outcomes.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS434 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org