Search results for "Reversion"
showing 10 items of 20 documents
Secular Mean Reversion and Long-Run Predictability of the Stock Market
2013
Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods longer than 10 years. Specifically, using 141 years of data, this paper begins by performing formal tests of the random walk hypothesis in the prices of the real S&P Composite Index over increasing time horizons up to 40 years. Even though our results cannot support the conventional wisdom which says that the stock market is safer for long-term investors, our findings speak in favor of the mean revers…
Reversion of 7-methylguanosine 5′-phosphate inhibition of mRNA translation by polysomal and soluble factors isolated from Saccharomyces cerevisiae
1987
Abstract Protein fractions that overcome m7GMP inhibition of mRNA translation have been purified from the yeast S. cerevisiae . An active fraction isolated from polysomes contains two polypeptides of 220- and 190-kDa. The active fraction isolated from postribosomal supernatant contains a major polypeptide of 28-kDa and other species of 32-, 24-, 22- and 21-kDa, and sediments in sucrose gradients as a high molecular weight complex of about 200000. This fraction restored yeast mRNA translation in reticulocyte lysates under conditions of yeast and globin mRNA competition; however, this effect was not observed with the 220- and 190-kDa polypeptides from polysomes. Nevertheless, translation of y…
Monetary union and productivity differences in Mercosur countries
2006
Abstract This paper investigates cross-country productivity convergence among Mercosur members plus associates (Chile and Bolivia) and Peru, during the period 1960–1999. The testing strategy is based on the definitions of time series convergence by Bernard and Durlauf (1995) [Bernard, A. B., & Durlauf, S. N. (1995). Interpreting tests of convergence hypothesis. Journal of Econometrics , 71 , 161–173] and applies sequentially the multivariate unit root tests proposed by Sarno and Taylor (1998) [Sarno, L., & Taylor, M. (1998). Real exchange rates under the recent float: Unequivocal evidence of mean reversion. Economics Letters , 60 , 131–137], Flores et al. (1995) [Flores, R., Preumont, P.Y.,…
Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets
2013
Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented.
Closed Form Approximation of Swap Exposures
2013
This paper provides closed form lower and upper bounds for the price of European swaption on cross currency basis swap with the presence of dynamic basis spreads. Cross currency basis spreads are treated as integrals of spot spreads, approach familiar from interest rate models. The spot spread is modelled by two-factor mean reverting Gaussian model that is equivalent to two-factor Hull-White model introduced by [Hull and White(1994)]. This model allows closed form approximations and relatively well fitting and simple calibration to the spread term structure.
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedging strategy is then explicitly obtained for the Scott's model.
DNA strand break induction, mutagenicity, and cytotoxicity of the mycotoxins 11-β-hydroxy-7-deoxy-rosenonolactone, rosenonolactone, and trichothecin.
1992
11-β-hydroxy-7-deoxy-rosenonolactone (TSS1), a mycotoxin of the rosenane class, was tested on cytotoxicity, induction of DNA single strand breaks and muta-genicity. Its effects were compared to those of rosenonolactone and trichothecin. TSS1 had stronger antibiotic activity againstEscherichia coli (EC 50: 10μg/mL) than rosenonolactone (EC 50: >200μg/mL) but weaker activity than trichothecin (EC 50: 3μg/mL). The same order of activity was found for the inhibition of yeast fermentation (EC 50 of TSS1: 45μg/mL; EC 50 of rosenonolactone: > 120μg/mL; EC 50 of trichothecin: 3.4μg/mL). In the trypan blue exclusion test using V79 Chinese hamster cells, TSS1 proved to be cytotoxic (EC50: 30μg/mL) at…
DRUG-DRUG INTERACTIONS VIA INHIBITION OF MICROSOMAL ENZYMES INVOLVED IN METABOLISM OF EPOXIDES PRODUCED BY MICROSOMAL MONOOXYGENASE
1977
SUMMARY Benzo(a)pyrene was activated by liver microsomes to mutagens detected by the reversion of histidine dependent Salmonella typhimurium TA 1537. Using pure epoxide hydratase or epoxide hydratase inhibitors, comparing animal species with high and low epoxide hydratase activity, or inducing monooxygenase activity, it was shown that epoxide hydratase was a critical enzyme for the inactivation of these mutagens. Many clinically used drugs are metabolized to epoxides. Epoxides are not necessarily mutagenic, but since epoxide hydratase has a very low substrate specificity, such epoxides may competitively inhibit the hydration of mutagenic epoxides, as demonstrated in the present study for th…
O potrzebie nowego uregulowania odwróconej hipoteki
2017
Głównym celem pracy jest zbadanie polskiego stanu prawnego dotyczącego instytucji odwróconej hipoteki oraz analiza stosowalności i skuteczności przyjętych regulacji. Na gruncie tego opracowania podjęta została próba udowodnienia tezy, że instytucja odwróconej hipoteki jest potrzebna, lecz aktualny stan prawny jest uregulowaniem niepełnym i nieskutecznym, a ponadto, że istnieje potrzeba nowego unormowania obu modeli odwróconej hipoteki. Aby udowodnić postawioną tezę, konieczne było przeanalizowanie procesów legislacyjnych ustawy o odwróconym kredycie hipotecznym oraz ustawy o dożywotnim świadczeniu pieniężnym, która to ostatecznie nie weszła w życie. Wskazanie uchybień i niedokładności w tre…
EVALUATING THE RISK OF HEPATITIS B REACTIVATION IN PATIENTS WITH HAEMATOLOGICAL MALIGNANCIES: IS THE SERUM HEPATITIS B PROFILE RELIABLE?
2009
Background/Aim: Patients with an occult hepatitis B virus (HBV) infection undergoing deep immunosuppression are potentially at risk of HBV reactivation. In order to assess whether a polymerase chain reaction (PCR) assay for HBV DNA in serum could be used to predict the reactivation of an occult HBV infection, we performed a retrospective study in a cohort of Sicilian patients with oncohaematological diseases. Methods: We studied by a highly sensitive ad hoc nested PCR for serum HBV DNA 75 HBsAg-negative oncohaematological patients requiring chemotherapy. Results: Thirty-three patients (44%) were HBV seronegative (anti-HBc and anti-HBs negative) and 42 patients (56%) were HBV seropositive (a…