Asymptotic theory for multivariate GARCH processes

AbstractWe provide in this paper asymptotic theory for the multivariate GARCH(p,q) process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given by Jeantheau (Econometric Theory 14 (1998), 70) in conjunction with a result given by Boussama (Ergodicity, mixing and estimation in GARCH models, Ph.D. Dissertation, University of Paris 7, 1998) concerning the existence of a stationary and ergodic solution to the multivariate GARCH(p,q) process. We prove asymptotic normality of the quasi-MLE when the initial state is either stationary or fixed

Do fringe benefits cause layoffs?

It is commonly believed that firms prefer layoffs to worksharing, in part, because layoffs economize on fringe benefit costs. We find that when labor markets are characterized by optimal implicit contracts, layoffs will never occur in equilibrium, regardless of the level of fringe benefits

Experience with statically-generated proxies for facilitating Java runtime specialisation

Issues pertaining to mechanisms which can be used to change the behaviour of Java classes at runtime are discussed. The proxy mechanism is compared to, and contrasted with other standard approaches to this problem. Some of the problems the proxy mechanism is subject to are expanded upon. The question of whether statically-developed proxies are a viable alternative to bytecode rewriting was investigated by means of the JavaCloak system, which uses statically-generated proxies to alter the runtime behaviour of externally-developed code. The issues addressed include ensuring the type safety, dealing with the self problem, object encapsulation, and issues of object identity and equality. Some performance figures are provided which demonstrate the load the JavaCloak proxy mechanism places on the system

Generalized autoregressive conditional correlation

This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate generalization of the Tsay (1987, Journal of the American Statistical Association 82, 590-604) random coefficient autoregressive (RCA) model, the GARCC model provides a motivation for the conditional correlations to be time varying. GARCC is also more general than the Engle (2002, Journal of Business & Economic Statistics 20, 339-350) dynamic conditional correlation (DCC) and the Tse and Tsui (2002, Journal of Business & Economic Statistics 20, 351-362) varying conditional correlation (VCC) models and does not impose unduly restrictive conditions on the parameters of the DCC model. The structural properties of the GARCC model, specifically, the analytical forms of the regularity conditions, are derived, and the asymptotic theory is established. The Baba, Engle, Kraft, and Kroner (BEKK) model of Engle and Kroner (1995, Econometric Theory 11, 122-150) is demonstrated to be a special case of a multivariate RCA process. A likelihood ratio test is proposed for several special cases of GARCC. The empirical usefulness of GARCC and the practicality of the likelihood ratio test are demonstrated for the daily returns of the Standard and Poor's 500, Nikkei, and Hang Seng indexes

Concurrent hypercube system with improved message passing

A network of microprocessors, or nodes, are interconnected in an n-dimensional cube having bidirectional communication links along the edges of the n-dimensional cube. Each node's processor network includes an I/O subprocessor dedicated to controlling communication of message packets along a bidirectional communication link with each end thereof terminating at an I/O controlled transceiver. Transmit data lines are directly connected from a local FIFO through each node's communication link transceiver. Status and control signals from the neighboring nodes are delivered over supervisory lines to inform the local node that the neighbor node's FIFO is empty and the bidirectional link between the two nodes is idle for data communication. A clocking line between neighbors, clocks a message into an empty FIFO at a neighbor's node and vica versa. Either neighbor may acquire control over the bidirectional communication link at any time, and thus each node has circuitry for checking whether or not the communication link is busy or idle, and whether or not the receive FIFO is empty. Likewise, each node can empty its own FIFO and in turn deliver a status signal to a neighboring node indicating that the local FIFO is empty. The system includes features of automatic message rerouting, block message transfer and automatic parity checking and generation

Study of the acoustic signature of UHE neutrino interactions in water and ice

The production of acoustic signals from the interactions of ultra-high energy (UHE) cosmic ray neutrinos in water and ice has been studied. A new computationally fast and efficient method of deriving the signal is presented. This method allows the implementation of up to date parameterisations of acoustic attenuation in sea water and ice that now includes the effects of complex attenuation, where appropriate. The methods presented here have been used to compute and study the properties of the acoustic signals which would be expected from such interactions. A matrix method of parameterising the signals, which includes the expected fluctuations, is also presented. These methods are used to generate the expected signals that would be detected in acoustic UHE neutrino telescopes.Comment: 21 pages and 13 figure

Preclinical development of filovirus and flavivirus vaccines based on recombinant insect cell expressed subunits

Ebola Virus Disease (EVD) is the most prominent example of filovirus disease but despite being characterized as a Category A Priority Pathogen by NIH/NIAID over a decade ago, it lacked public and private research resources due to the absence of a commercial market. Transmission from wild animals into the human population typically causes outbreaks of limited scale in endemic areas located in the forested regions of Central Africa and the Philippines (for Reston ebolavirus), therefore other public health threats garnered more attention. This changed when a Zaire Ebolavirus (EBOV) outbreak of increasing size in several West African countries started to reveal the true epidemic potential that filovirus infections can have when entering an urban setting in a highly mobile society. Despite significant progress with the clinical development of several EBOV vaccine candidates during and after the West African outbreak, no EBOV specific therapeutics and vaccines have yet received regulatory approval. Additional research is needed in particular on understanding the mechanism of protection and defining immune correlates of protection for Ebola and other filovirus vaccines. For our multivalent filovirus vaccine candidate, we have produced soluble recombinant filovirus glycoproteins (GP) from EBOV, Marburg marburgvirus (MARV) and Sudan ebolavirus (SUDV) using the Drosophila S2 cell expression system. The immunogenicity of highly purified recombinant subunits and admixtures formulated with or without clinically relevant adjuvants was evaluated in mice, guinea pigs and macaques. Strong antigen-specific IgG titers as well as virus neutralizing titers were observed after administering two or three doses of adjuvanted formulations. In mice and non-human primates subunit proteins were also shown to elicit cell mediated immune responses. Analysis of secreted cytokines in batch-cultured, antigen-stimulated splenocytes or PBMC’s demonstrated antigen-induced Th1 and Th2 type responses. Recombinant vaccine candidates were tested successfully for protection in the mouse model of EBOV. Further studies allowed us to demonstrate that both humoral and cell-mediated immunity are elicited and can mediate protection. Additional immunogenicity and efficacy studies in guinea pigs were focused on optimized antigen dosing, antigenic balance and adjuvantation. Multiple formulations consistently produced strong antibody responses and demonstrated 100% protective efficacy in the EBOV guinea pig model. Results from studies in two species of non-human primates demonstrate that vaccination with formulations of recombinant EBOV subunits and an emulsion-based adjuvant consistently produces high anti-EBOV IgG and virus neutralizing titers. Such vaccination prevents viremia subsequent to live virus challenge and protects animals from terminal EBOV disease. These studies suggest that we have defined a viable Ebola virus vaccine candidate based on non-replicating viral subunits. In addition to updates on efficacy testing against EBOV and MARV, we will discuss current formulation optimization efforts in our laboratory including thermostabilization of recombinant subunits as well as defining correlates of protection. These are prerequisites to enable efficient clinical development of a monovalent vaccine candidate for protection against EVD and a multivalent, recombinant subunit vaccine with protective efficacy against EBOV, SUDV and MARV infection. Recently we have also demonstrated the applicability of our vaccine platform for the rapid development of vaccines against emerging diseases with a focus on Zika virus (ZIKV), a flavivirus, where we were able to demonstrate efficacy in mice and cynomolgus macaques within approximately 13 months from designing the synthetic gene for antigen expression. While a completely different disease from EVD, the recent outbreak of ZIKV in the Americas provided a similar challenge as no vaccine development efforts have been conducted prior to 2016 and an increasing body of evidence suggests that rather than causing a typical, mild form of disease as previously reported, ZIKV infections can cause neurological sequelae as well as fetal and infant malformations. These results demonstrate that the insect cell expression system can be used to rapidly and efficiently produce recombinant viral subunits from a variety of pathogenic viruses that are highly immunogenic in multiple animal species and are capable of providing effective vaccine protection against live virus challenge

Feasibility study of positive gauging systems. Phase 2 - Design and analysis

Resonant infrasonic gauging system investigated for Apollo project propulsion syste