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Institute
We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a statistical and economic perspective, including out–of–sample portfolio selection and computation of Value–at–Risk.
We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a). Issues of parametrization and estimation are discussed. We derive conditions for covariance stationarity and the existence of the fourth moment, and provide expressions for the dynamic correlation structure of the process. These results are also applicable to the single-component multivariate GARCH(p, q) model and simplify the results existing in the literature. In an application to stock returns, we show that the disaggregation of the conditional (co)variance process generated by our model provides substantial intuition, and we highlight a number of findings with potential significance for portfolio selection and further financial applications, such as regime-dependent correlation structures and leverage effects. Klassifikation: C32, C51, G10, G11
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic correlation structure of the process are provided. In an application to stock market returns, it is shown that the disaggregation of the conditional (co)variance process generated by the model provides substantial intuition. Moreover, the model exhibits a strong performance in calculating out–of–sample Value–at–Risk measures.
While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many attractive properties. This paper investigates two methods of combining them and their use in modeling and predicting financial risk. Based on 25 daily stock return series, the empirical results indicate that the new models offer a plausible description of the data. They are also shown to be competitive with, or superior to, use of the hyperbolic distribution, which has gained some popularity in asset-return modeling and, in fact, also nests the Gaussian and Laplace. Klassifikation: C16, C50 . March 2005.
Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulatedmoments estimator for option volatilities described in Mizrach (2002); the second is a new approach developed by Haas, Mittnik and Paolella (2004a) for fat-tailed conditionally heteroskedastic time series. In an application to the 1992-93 European Exchange Rate Mechanism crises, that both the options and the underlying exchange rates provide useful information for policy makers. JEL Klassifikation: G12, G14, F31.
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the components as well as dynamic feedback between the components. Special cases and relationships with previously proposed specifications are discussed and stationarity conditions are derived. An empirical application to NASDAQ-index data indicates the appropriateness of the model class and illustrates that the approach can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics have a clearly distinct behavior that is, for example, compatible with the well-known leverage effect. Klassifikation: C22, C51, G10
CXCL12-CXCR4 signaling controls multiple physiological processes and its dysregulation is associated with cancers and inflammatory diseases. To discover as-yet-unknown endogenous ligands of CXCR4, we screened a blood-derived peptide library for inhibitors of CXCR4-tropic HIV-1 strains. This approach identified a 16 amino acid fragment of serum albumin as an effective and highly specific CXCR4 antagonist. The endogenous peptide, termed EPI-X4, is evolutionarily conserved and generated from the highly abundant albumin precursor by pH-regulated proteases. EPI-X4 forms an unusual lasso-like structure and antagonizes CXCL12-induced tumor cell migration, mobilizes stem cells, and suppresses inflammatory responses in mice. Furthermore, the peptide is abundant in the urine of patients with inflammatory kidney diseases and may serve as a biomarker. Our results identify EPI-X4 as a key regulator of CXCR4 signaling and introduce proteolysis of an abundant precursor protein as an alternative concept for chemokine receptor regulation.
Activated SUMOylation restricts MHC class I antigen presentation to confer immune evasion in cancer
(2022)
Activated SUMOylation is a hallmark of cancer. Starting from a targeted screening for SUMO-regulated immune evasion mechanisms, we identified an evolutionarily conserved function of activated SUMOylation, which attenuated the immunogenicity of tumor cells. Activated SUMOylation allowed cancer cells to evade CD8+ T cell–mediated immunosurveillance by suppressing the MHC class I (MHC-I) antigen-processing and presentation machinery (APM). Loss of the MHC-I APM is a frequent cause of resistance to cancer immunotherapies, and the pharmacological inhibition of SUMOylation (SUMOi) resulted in reduced activity of the transcriptional repressor scaffold attachment factor B (SAFB) and induction of the MHC-I APM. Consequently, SUMOi enhanced the presentation of antigens and the susceptibility of tumor cells to CD8+ T cell–mediated killing. Importantly, SUMOi also triggered the activation of CD8+ T cells and thereby drove a feed-forward loop amplifying the specific antitumor immune response. In summary, we showed that activated SUMOylation allowed tumor cells to evade antitumor immunosurveillance, and we have expanded the understanding of SUMOi as a rational therapeutic strategy for enhancing the efficacy of cancer immunotherapies.
