Subsampling Inference for the Autocorrelations of GARCH Processes*

2017 ◽  
Vol 17 (3) ◽  
pp. 495-515 ◽  
Author(s):  
Tucker McElroy ◽  
Agnieszka Jach
Keyword(s):  
Growth Rate ◽  
Asymptotic Distributions ◽  
Higher Moments ◽  
Rate Dependent ◽  
Convergence Results ◽  
Empirical Coverage ◽  
Cross Correlations ◽  
Garch Processes ◽  
Coverage Rates ◽  
Daily Returns

Abstract We provide self-normalization for the sample autocorrelations of power GARCH(p, q) processes whose higher moments might be infinite. To validate the studentization, whose goal is to match the growth rate dependent on the index of regular variation of the process, we substantially extend existing weak-convergence results. Since asymptotic distributions are non-pivotal, we construct subsampling-based confidence intervals for the autocorrelations and cross-correlations, which are shown to have satisfactory empirical coverage rates in a simulation study. The methodology is further applied to daily returns of CAC40 and FTSA100 indices and their squares.

DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?

2016 ◽  
Vol 11 (02) ◽  
pp. 1650008
Author(s):  
SWARN CHATTERJEE ◽  
AMY HUBBLE
Keyword(s):  
Stock Returns ◽  
Small Firm ◽  
Economic Cycles ◽  
Trading Decisions ◽  
Portfolio Managers ◽  
Small Investors ◽  
Garch Processes ◽  
Day Of The Week ◽  
Firm Effect ◽  
Daily Returns

This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI), we find that the stock returns were the lowest on Mondays, and compared to the Mondays the stock returns were significantly higher on Wednesdays, Thursdays, and Fridays. The day-of-the-week effect on returns of biotechnology stocks remained significant even after controlling for the Fama–French and Carhart factors. Moreover, the results from using the asymmetric generalized autoregressive conditional heteroskedastic (GARCH) processes reveal that momentum and small-firm effect were positively associated with the market risk-adjusted returns of the biotechnology stocks during this period. The findings of our study suggest that active portfolio managers need to consider the day of the week, momentum, and small-firm effect when making trading decisions for biotechnology stocks. Implications for portfolio managers, small investors, scholars, and policymakers are included.

A screen for Neurospora knockout mutants displaying growth rate dependent branch density

2011 ◽  
Vol 115 (3) ◽  
pp. 296-301 ◽  
Author(s):  
Michael K. Watters ◽  
Michael Boersma ◽  
Melodie Johnson ◽  
Ciara Reyes ◽  
Evan Westrick ◽  
...  
Keyword(s):  
Growth Rate ◽  
Rate Dependent ◽  
Knockout Mutants ◽  
Branch Density

Growth-rate dependent regulation of mRNA stability in Escherichia coli

Nature ◽  
1984 ◽  
Vol 312 (5989) ◽  
pp. 75-77 ◽  
Author(s):  
G. Nilsson ◽  
J. G. Belasco ◽  
S. N. Cohen ◽  
A. von Gabain
Keyword(s):  
Escherichia Coli ◽  
Growth Rate ◽  
Mrna Stability ◽  
Rate Dependent

scholarly journals The Feedback Response of Escherichia coli rRNA Synthesis Is Not Identical to the Mechanism of Growth Rate-Dependent Control

2000 ◽  
Vol 182 (2) ◽  
pp. 536-539 ◽  
Author(s):  
Justina Voulgaris ◽  
Dmitry Pokholok ◽  
W. Mike Holmes ◽  
Craig Squires ◽  
Catherine L. Squires
Keyword(s):  
Escherichia Coli ◽  
Growth Rate ◽  
Gene Dosage ◽  
Rrna Synthesis ◽  
Rate Dependent ◽  
Nucleoside Triphosphates ◽  
The Relationship ◽  
Mechanism Of Growth

ABSTRACT Growth rate-independent rrn P1 promoter mutants were tested for their ability to respond to changes in rrn gene dosage. Most were found to be normal for the feedback response. In addition, cellular levels of the initiating nucleoside triphosphates remained unchanged when the rrn gene dosage was altered. These results suggest that the feedback response cannot be the mechanism for growth rate-dependent control of rRNA synthesis and that the relationship between these two processes may be more complicated than is currently understood.

The E. coli β-lactamase attenuator mediates growth rate-dependent regulation

Nature ◽  
1981 ◽  
Vol 290 (5803) ◽  
pp. 221-225 ◽  
Author(s):  
Bengtåke Jaurin ◽  
Thomas Grundström ◽  
Thomas Edlund ◽  
Staffan Normark
Keyword(s):  
Growth Rate ◽  
E Coli ◽  
Rate Dependent

The Skewness of the Stock Market over Long Horizons

2020 ◽  
Author(s):  
Anthony Neuberger ◽  
Richard Payne
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Index ◽  
Leverage Effect ◽  
Higher Moments ◽  
Data Generating Process ◽  
Short Horizon ◽  
Stock Index Returns ◽  
Standard Techniques ◽  
Daily Returns

Abstract Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g., daily) returns can be used to construct precise estimates of long-horizon (e.g., annual) moments without making strong assumptions about the data-generating process. Skewness comprises two components: skewness of short-horizon returns and a leverage effect, that is, covariance between variance and lagged returns. We provide similar results for kurtosis. An application to U.S. stock index returns shows that skew is large and negative and attenuates only slowly as one moves from monthly to multiyear horizons.

scholarly journals Role of attenuation in growth rate-dependent regulation of the S10 r-protein operon of E. coli.

1984 ◽  
Vol 3 (7) ◽  
pp. 1561-1565 ◽  
Author(s):  
J.M. Zengel ◽  
R.H. Archer ◽  
L.P. Freedman ◽  
L. Lindahl
Keyword(s):  
Growth Rate ◽  
E Coli ◽  
Rate Dependent
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