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Time Varying Correlations between Stock and Bond returns: Empirical evidence from Russia
Kashif Saleem
Asian Journal of Finance & Accounting , 2011, DOI: 10.5296/ajfa.v3i1.989
Abstract: The purpose of this study is to look at the relationship between the stock and the bond market of Russia. By using multivariate conditional volatility models, such as, Bollerslev (1990) CCC model, Engle (2002) the DCC model, we first examine whether the correlations between two classes of assets are constant or time varying. Secondly, to investigate the asymmetries in conditional variances, covariances, and correlations, an asymmetric version of the DCC model proposed by Cappiello et al. (2006) is adopted. The empirical results do not support the assumption of constant conditional correlation and there was clear evidence of time varying correlations between the Russian stocks and bond market. Both asset markets exhibit positive asymmetries.
Preclinical studies of [61Cu]ATSM as a PET radiopharmaceutical for fibrosarcoma imaging
Amir R. Jalilian, Nima Rostampour, Pejman Rowshanfarzad, Kamaleddin Shafaii, Mohsen Kamali-Dehghan, Mehdi Akhlaghi
Acta Pharmaceutica , 2009, DOI: 10.2478/v10007-009-0008-9
Abstract: [61Cu]diacetyl-bis(N4-methylthiosemicarbazone) ([61Cu] ATSM) was prepared using in house-made diacetyl-bis(N4-methylthiosemicarbazone) (ATSM) ligand and [61Cu]CuCl2 produced via the natZn(p, x)61Cu (180 μA proton irradiation, 22 MeV, 3.2 h) and purified by a ion chromatography method. [61Cu]ATSM radiochemical purity was >98 %, as shown by HPLC and RTLC methods. [61Cu]ATSM was administered into normal and tumor bearing rodents for up to 210 minutes, followed by biodistribution and co-incidence imaging studies. Significant tumor/non-tumor accumulation was observed either by animal sacrification or imaging. [61Cu]ATSM is a positron emission tomography (PET) radiotracer for tumor hypoxia imaging.
64Cu-ATSM and 18FDG PET uptake and 64Cu-ATSM autoradiography in spontaneous canine tumors: comparison with pimonidazole hypoxia immunohistochemistry
Anders E Hansen, Annemarie T Kristensen, Jesper T J?rgensen, Fintan J McEvoy, Morten Busk, Albert J van der Kogel, Johan Bussink, Svend A Engelholm, Andreas Kj?r
Radiation Oncology , 2012, DOI: 10.1186/1748-717x-7-89
Abstract: Biopsies were collected from individual tumors between approximately 3 and 25 hours after the intravenous injection of 64Cu-ATSM and pimonidazole. 64Cu-ATSM autoradiography and pimonidazole immunostaining was performed on sectioned biopsies. Acquired 64Cu-ATSM autoradiography and pimonidazole images were rescaled, aligned and their distribution patterns compared. 64Cu-ATSM and 18FDG PET/CT scans were performed in a concurrent study and uptake characteristics were obtained for tumors where available.Maximum pimonidazole pixel value and mean pimonidazole labeled fraction was found to be strongly correlated to 18FDG PET uptake levels, whereas more varying results were obtained for the comparison to 64Cu-ATSM. In the case of the latter, uptake at scans performed 3?h post injection (pi) generally showed strong positive correlated to pimonidazole uptake.Comparison of distribution patterns of pimonidazole immunohistochemistry and 64Cu-ATSM autoradiography yielded varying results. Significant positive correlations were mainly found in sections displaying a heterogeneous distribution of tracers.Tumors with high levels of pimonidazole staining generally displayed high uptake of 18FDG and 64Cu-ATSM (3?h pi.). Similar regional distribution of 64Cu-ATSM and pimonidazole was observed in most heterogeneous tumor regions. However, tumor and hypoxia level dependent differences may exist with regard to the hypoxia specificity of 64Cu-ATSM in canine tumors.
The Distribution of Returns  [PDF]
David E. Harris
Journal of Mathematical Finance (JMF) , 2017, DOI: 10.4236/jmf.2017.73041
Abstract: The distribution of the returns on investment depends on the rules in the economic system. The article reviews various return distributions, ranging from equity securities in equilibrium, to antiques bought at auction, to debt instruments with uncertain payouts. A general methodology is provided to construct distributions of returns.
On Bond Portfolio Management  [PDF]
Vladislav Kargin
Mathematics , 2002,
Abstract: This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection of bonds presents arbitrage opportunities.
Mix and Match  [PDF]
Itai Ashlagi,Felix Fischer,Ian A. Kash,Ariel D. Procaccia
Computer Science , 2010,
Abstract: Consider a matching problem on a graph where disjoint sets of vertices are privately owned by self-interested agents. An edge between a pair of vertices indicates compatibility and allows the vertices to match. We seek a mechanism to maximize the number of matches despite self-interest, with agents that each want to maximize the number of their own vertices that match. Each agent can choose to hide some of its vertices, and then privately match the hidden vertices with any of its own vertices that go unmatched by the mechanism. A prominent application of this model is to kidney exchange, where agents correspond to hospitals and vertices to donor-patient pairs. Here hospitals may game an exchange by holding back pairs and harm social welfare. In this paper we seek to design mechanisms that are strategyproof, in the sense that agents cannot bene?t from hiding vertices, and approximately maximize efficiency, i.e., produce a matching that is close in cardinality to the maximum cardinality matching. Our main result is the design and analysis of the eponymous Mix-and-Match mechanism; we show that this randomized mechanism is strategyproof and provides a 2-approximation. Lower bounds establish that the mechanism is near optimal.
Production, Quality Control and Imaging of 64Cu-ATSM in Healthy Rabbits for Clinical Applications  [PDF]
Yousef Fazaeli,Amir Reza Jalilian,Mohsen Kamali-dehghan,Fatemeh Bolourinovin
Iranian Journal of Nuclear Medicine , 2010,
Abstract: Introduction: [64Cu]diacetyl-bis(N4-methylthiosemicarbazone) ([64Cu]ATSM) is a well-established hypoxia imaging tracer with reproducible production and significant specifity. In this work the high yield production and quality control as well as imaging studies in healthy rabbits is reported.Methods: Copper-64 produced via the 68Zn(p,an)64Cu nuclear reaction (30 MeV protons at 180 μA) was used for the preparation of [64Cu]diacetyl-bis(N4-methylthiosemicarbazone)([64Cu]ATSM). Followed by quality control and administration to healthy rats as well as healthy rabbits for biodistribution and imaging studies respectively.Results: 64Cu2+ (500 mCi, separation yield> 95%, radionuclide purity>96%) was used for [64Cu]ATSM production (radiochemical purity>99%, specific activity of 300 Ci/mmol) followed by administration to healthy rabbits and coincidence imaging demonstrating uptake in liver, kidney and bowel as shown by other reports in various rodents and human.Conclusion: [64Cu]ATSM radiopharmaceutical is produced and now available in large quantities for research and/or clinical trials in the country.
Identification of AtSM34, a novel tonoplast intrinsic protein-interacting polypeptide expressed in response to osmotic stress in germinating seedlings
LiJuan Li,Fei Ren,PengCheng Wei,QiJun Chen,Jia Chen,XueChen Wang
Chinese Science Bulletin , 2011, DOI: 10.1007/s11434-011-4793-4
Abstract: Aquaporins are implicated in a wide variety of plant physiological processes, although the mechanisms involved in their regulation are not fully understood. To gain further insight into the regulatory factors involved in this process, we used a yeast two-hybrid system to screen for potential binding partners to the Arabidopsis tonoplast intrinsic protein (TIP) AtTIP1;1. This was the first protein identified to be associated with high water permeability in vacuolar membranes from Arabidopsis thaliana. Using AtTIP1;1 as bait, a novel binding protein was identified in both yeast and plant cells. This prey protein, named AtSM34, was a 309 aa polypeptide with a predicted molecular mass of 34 kD and contained a single MYB/SANT-like domain. AtSM34 promoter:: GUS histochemical staining analysis detected AtSM34 expression in flowers, stems and leaves, particularly in the vascular tissues, in response to osmotic stress. AtSM34 expression was localized in the endoplasmic reticulum membrane, and sequence deletion analysis revealed that the N-terminal coding region (amino acids 1-83) was critical for this localization. Overexpression of AtSM34 resulted in hypersensitivity to exogenous mannitol, sorbitol and abscisic acid, and caused a significant delay in germination. AtSM34 interacted with AtTIP1;2 and AtTIP2;1, which are essential proteins for modulation of tonoplast permeability and highly expressed in germinating seedlings. These data indicate AtSM34 is a novel TIPs binding protein involved in the osmotic stress response of seedlings at an early stage of development.
Volatility and Returns in Korean Futures Exchange Markets  [PDF]
Kyungsik Kim,Seong-Min Yoon,Jum Soo Choi
Quantitative Finance , 2003,
Abstract: We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and volatility for bond futures are treated particularly at the long-time limit. The volatility for the price of our bond futures shows a power-law with anomalous scaling exponent, similar to other options. Our result presented will be compared with that of recent numerical calculations.
Herd Behavior of Returns in the Futures Exchange Market  [PDF]
Kyungsik Kim,Seong-Min Yoon,Yup Kim
Quantitative Finance , 2003,
Abstract: The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-\beta}$ with the exponents $ \beta=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the active state of transaction exists to decrease lesser than the herding parameter $h=2.33$, the crash regime appears to increase in the probability with high returns values. Especially, we find that it shows a crossover toward a Gaussian probability function near the time step $\Delta t=360$ from the distribution of normalized returns. Our result will be also compared with other well-known results.
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