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We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance estimates. The latter originate from a local method of moments (LMM) which recently has been introduced by Bibinger et al. (2014). We extend the LMM estimator to allow for autocorrelated noise and propose a method to adaptively infer the autocorrelations from the data. We prove the consistency and asymptotic normality of the proposed spot covariance estimator. Based on extensive simulations we provide empirical guidance on the optimal implementation of the estimator and apply it to high-frequency data of a cross-section of NASDAQ blue chip stocks. Employing the estimator to estimate spot covariances, correlations and betas in normal but also extreme-event periods yields novel insights into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity patterns, (ii) reveal substantial intraday variability associated with (co-)variation risk, (iii) are strongly serially correlated, and (iv) can increase strongly and nearly instantaneously if new information arrives.
Characterization of blunt chest trauma in a long-term porcine model of severe multiple trauma
(2016)
Chest trauma has a significant relevance on outcome after severe trauma. Clinically, impaired lung function typically occurs within 72 hours after trauma. However, the underlying pathophysiological mechanisms are still not fully elucidated. Therefore, we aimed to establish an experimental long-term model to investigate physiological, morphologic and inflammatory changes, after severe trauma. Male pigs (sus scrofa) sustained severe trauma (including unilateral chest trauma, femur fracture, liver laceration and hemorrhagic shock). Additionally, non-injured animals served as sham controls. Chest trauma resulted in severe lung damage on both CT and histological analyses. Furthermore, severe inflammation with a systemic increase of IL-6 (p = 0.0305) and a local increase of IL-8 in BAL (p = 0.0009) was observed. The pO2/FiO2 ratio in trauma animals decreased over the observation period (p < 0.0001) but not in the sham group (p = 0.2967). Electrical Impedance Tomography (EIT) revealed differences between the traumatized and healthy lung (p < 0.0001). In conclusion, a clinically relevant, long-term model of blunt chest trauma with concomitant injuries has been developed. This reproducible model allows to examine local and systemic consequences of trauma and is valid for investigation of potential diagnostic or therapeutic options. In this context, EIT might represent a radiation-free method for bedside diagnostics.