Heteroscedasticity In Returns: Arch Effects Versus The Mixture Of Distributions Hypothesis

The main purpose of this thesis is to examine and compare the Mixture of Distributions Hypothesis versus Autoregressive Conditional Heteroscedasticity (ARCH) models as an explanation for the distribution of stock returns and the relationship of returns to measures of trading activity. The conjecture has been made by Lamoureux and Lastrapes, (1990a), that ARCH modelling of stock returns does not contribute any information if a variable representing the rate of flow of information is accounted for in the variance of the stock return. This thesis directly challenges this conjecture.;Three measures of trading activity, namely, the number of intraday changes in the bid-ask quotes, the number of daily transactions, and the volume of shares traded, are examined and the relationship of these variables to the variance of stock returns is studied. These variables are used as proxies for the rate of flow of information about a specific stock and are modelled using both Exponential ARCH, (EARCH), and Generalized ARCH, (GARCH), models. The data sample consists of daily returns and daily trading activity variable data for twenty securities traded on the Toronto Stock Exchange and twenty securities traded on the New York Stock Exchange.;The results of this thesis show that when stock returns are modelled using a GARCH model that the addition of a trading activity variable in the variance portion of the GARCH model renders the ARCH components insignificant. However when the more general EARCH model is utilized, then both the ARCH components and the trading activity variable become significant. These results contradict the results of Lamoureux and Lastrapes and show the limitations of using the GARCH model to model stock returns over an extended period of time. Model selection criteria always select an EARCH model over a GARCH model demonstrating the superiority of EARCH modelling.;Concerning the trading activity variables, the results of this thesis show that the number of changes in the intraday quotes for a stock is the best measure for modelling the rate of flow of information about a specific stock. This conclusion is particularly strong for the Canadian stocks in the sample. The results on the proper trading activity variable to use is more mixed for the American data although changes in quotes is still shown to be preferred.;The results of this thesis are important for both modelling volatility of stock returns and for determining the distribution of stock returns. An accurate knowledge of the distribution of stock returns is critical for testing hypotheses concerning stock market variables, especially in an event study setting

Review of Particle Physics, 2002-2003

This biennial Review summarizes much of Particle Physics. Using data from previous editions, plus 2205 new measurements from 667 papers, we list, evaluate, and average measured properties of gauge bosons, leptons, quarks, mesons, and baryons. We also summarize searches for hypothetical particles such as Higgs bosons, heavy neutrinos, and supersymmetric particles. All the particle properties and search limits are listed in Summary Tables. We also give numerous tables, figures, formulae, and reviews of topics such as the Standard Model, particle detectors, probability, and statistics. This edition features expanded coverage of CP violation in B mesons and of neutrino oscillations. For the first time we cover searches for evidence of extra dimensions (both in the particle listings and in a new review). Another new review is on Grand Unified Theories. A booklet is available containing the Summary Tables and abbreviated versions of some of the other sections of this full Review. All tables, listings, and reviews (and errata) are also available on the Particle Data Group website: http://pdg.lbl.gov

Review of Particle Physics, 2004-2005

The Review of Particle Physics and the abbreviated version, the Particle Physics Booklet, are reviews of the field of Particle Physics. This complete Review includes a compilation/evaluation of data on particle properties, called the "Particle Listings". These Listings include 1726 new measurements from 512 papers, in addition to the 20200 measurements from 5903 papers that first appeared in previous editions. The Review and the Booklet are published in even numbered years. This edition is an updating through December 2003 (and, in some areas, well into 2004)

Risk of COVID-19 after natural infection or vaccinationResearch in context

Summary: Background: While vaccines have established utility against COVID-19, phase 3 efficacy studies have generally not comprehensively evaluated protection provided by previous infection or hybrid immunity (previous infection plus vaccination). Individual patient data from US government-supported harmonized vaccine trials provide an unprecedented sample population to address this issue. We characterized the protective efficacy of previous SARS-CoV-2 infection and hybrid immunity against COVID-19 early in the pandemic over three-to six-month follow-up and compared with vaccine-associated protection. Methods: In this post-hoc cross-protocol analysis of the Moderna, AstraZeneca, Janssen, and Novavax COVID-19 vaccine clinical trials, we allocated participants into four groups based on previous-infection status at enrolment and treatment: no previous infection/placebo; previous infection/placebo; no previous infection/vaccine; and previous infection/vaccine. The main outcome was RT-PCR-confirmed COVID-19 >7–15 days (per original protocols) after final study injection. We calculated crude and adjusted efficacy measures. Findings: Previous infection/placebo participants had a 92% decreased risk of future COVID-19 compared to no previous infection/placebo participants (overall hazard ratio [HR] ratio: 0.08; 95% CI: 0.05–0.13). Among single-dose Janssen participants, hybrid immunity conferred greater protection than vaccine alone (HR: 0.03; 95% CI: 0.01–0.10). Too few infections were observed to draw statistical inferences comparing hybrid immunity to vaccine alone for other trials. Vaccination, previous infection, and hybrid immunity all provided near-complete protection against severe disease. Interpretation: Previous infection, any hybrid immunity, and two-dose vaccination all provided substantial protection against symptomatic and severe COVID-19 through the early Delta period. Thus, as a surrogate for natural infection, vaccination remains the safest approach to protection. Funding: National Institutes of Health

Risk of COVID-19 after natural infection or vaccinationResearch in context

Background: While vaccines have established utility against COVID-19, phase 3 efficacy studies have generally not comprehensively evaluated protection provided by previous infection or hybrid immunity (previous infection plus vaccination). Individual patient data from US government-supported harmonized vaccine trials provide an unprecedented sample population to address this issue. We characterized the protective efficacy of previous SARS-CoV-2 infection and hybrid immunity against COVID-19 early in the pandemic over three-to six-month follow-up and compared with vaccine-associated protection. Methods: In this post-hoc cross-protocol analysis of the Moderna, AstraZeneca, Janssen, and Novavax COVID-19 vaccine clinical trials, we allocated participants into four groups based on previous-infection status at enrolment and treatment: no previous infection/placebo; previous infection/placebo; no previous infection/vaccine; and previous infection/vaccine. The main outcome was RT-PCR-confirmed COVID-19 >7–15 days (per original protocols) after final study injection. We calculated crude and adjusted efficacy measures. Findings: Previous infection/placebo participants had a 92% decreased risk of future COVID-19 compared to no previous infection/placebo participants (overall hazard ratio [HR] ratio: 0.08; 95% CI: 0.05–0.13). Among single-dose Janssen participants, hybrid immunity conferred greater protection than vaccine alone (HR: 0.03; 95% CI: 0.01–0.10). Too few infections were observed to draw statistical inferences comparing hybrid immunity to vaccine alone for other trials. Vaccination, previous infection, and hybrid immunity all provided near-complete protection against severe disease. Interpretation: Previous infection, any hybrid immunity, and two-dose vaccination all provided substantial protection against symptomatic and severe COVID-19 through the early Delta period. Thus, as a surrogate for natural infection, vaccination remains the safest approach to protection. Funding: National Institutes of Health