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Bücherschau
(2004)
This paper provides an in-depth analysis of the properties of popular tests for the existence and the sign of the market price of volatility risk. These tests are frequently based on the fact that for some option pricing models under continuous hedging the sign of the market price of volatility risk coincides with the sign of the mean hedging error. Empirically, however, these tests suffer from both discretization error and model mis-specification. We show that these two problems may cause the test to be either no longer able to detect additional priced risk factors or to be unable to identify the sign of their market prices of risk correctly. Our analysis is performed for the model of Black and Scholes (1973) (BS) and the stochastic volatility (SV) model of Heston (1993). In the model of BS, the expected hedging error for a discrete hedge is positive, leading to the wrong conclusion that the stock is not the only priced risk factor. In the model of Heston, the expected hedging error for a hedge in discrete time is positive when the true market price of volatility risk is zero, leading to the wrong conclusion that the market price of volatility risk is positive. If we further introduce model mis-specification by using the BS delta in a Heston world we find that the mean hedging error also depends on the slope of the implied volatility curve and on the equity risk premium. Under parameter scenarios which are similar to those reported in many empirical studies the test statistics tend to be biased upwards. The test often does not detect negative volatility risk premia, or it signals a positive risk premium when it is truly zero. The properties of this test furthermore strongly depend on the location of current volatility relative to its long-term mean, and on the degree of moneyness of the option. As a consequence tests reported in the literature may suffer from the problem that in a time-series framework the researcher cannot draw the hedging errors from the same distribution repeatedly. This implies that there is no guarantee that the empirically computed t-statistic has the assumed distribution. JEL: G12, G13 Keywords: Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error
Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors. When the hedge is performed under the ideal conditions of continuous trading and correct model specification, the sign of the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing models. We show, however, that the problems of discrete trading and model mis-specification, which are necessarily present in any empirical study, may cause the standard test to yield unreliable results.
Cannabis ist die am meisten verbreitete illegale Droge in der Bundesrepublik Deutschland, ebenso in den meisten Ländern Westeuropas und vielen weiteren Ländern weltweit. In den bundesdeutschen Medien kursieren zum Thema Cannabiskonsum "widersprüchliche und kaum nachvollziehbare Angaben" (Pressemitteilung der Deutschen Hauptstelle für Suchtfragen (DHS) vom 28.07.04). Die Fachstelle Prävention setzt sich mit dieser Informationskampagne zum Thema Cannabis für eine faktenorientierte und sachliche Diskussion ein. ...
Carex-Hybriden in Hessen
(2004)
Bisher konnten 15 Carex-Hybriden in Herbarien und im Gelände von hessischen Fundorten nachgewiesen werden: Carex dioica × C. echinata (= Carex ×gaudiniana), Carex otrubae × C. remota (= Carex ×pseudaxillaris), Carex diandra × C. paniculata (= Carex ×beckmannii), Carex appropinquata × C. paniculata (= Carex ×rotae), Carex acuta × C. nigra (= Carex ×elytroides), Carex acuta × C. cespitosa (= ?Carex ×allolepis), Carex cespitosa × C. nigra (= Carex ×peraffinis), Carex elata × C. nigra (= Carex ×turfosa), Carex lasiocarpa × C. riparia (= Carex ×evoluta), Carex rostrata × C. vesicaria (= Carex ×involuta), Carex flava × C. hostiana (= Carex ×xanthocarpa), Carex hostiana × C. lepidocarpa (= Carex ×leutzii), Carex demissa × C. hostiana (= ?Carex ×fulva), Carex demissa × C. flava (= Carex ×alsatica), Carex flava × C. viridula (= Carex ×ruedtii).
In morphological systems of the agglutinative type we sometimes encounter a nearly perfect one-to-one relation between form and function. Turkish inflectional morphology is, of course, the standard textbook example. Things seem to be quite different in systems of the flexive type. Declension in Contemporary Standard Russian (henceforth Russian, for short) may be cited as a typical example: We find, among other things, cumulative markers, “synonymous” endings (e.g., dative singular noun forms in -i, -e, or -u), and “homonymous” endings (e.g., -i, genitive, dative, and prepositional singular). True, some endings are more of an agglutinative nature, being bound to a specific case-number combination and applying across declensions, e.g., -am (dative plural, all nouns); and some cross the boundaries of word classes, e.g., -o, which serves as the nominative/accusative singular ending of neuter forms of pronouns (and adjectives) and as the nominative/accusative singular ending of (most) neuter nouns as well. Still, many observers have been struck by the impression that what we face here are rather uneconomic or even, so to speak, unnatural structures. But perhaps flexive systems are not as complicated as they seem. What seems to be uneconomic complexity may be, at least partially, an artifact of uneconomic descriptions.
Maintenance of genomic integrity is essential to avoid cellular transformation, neoplasia, or cell death. DNA synthesis, mitosis, and cytokinesis are important cellular processes required for cell division and the maintenance of cellular homeostasis; they are governed by many extra- and intra-cellular stimuli. Progression of normal cell division depends on cyclin interaction with cyclin-dependent kinases (Cdk) and the degradation of cyclins before chromosomal segregation through ubiquitination. Multiple checkpoints exist and are conserved in the cell cycle in higher eukaryotes to ensure that if one fails, others will take care of genomic integrity and cell survival. Many genes act as either positive or negative regulators of checkpoint function through different kinase cascades, delaying cell cycle progression to repair the DNA lesions and breaks, and assuring equal segregation of chromosomes to daughter cells. Understanding the checkpoint pathways and genes involved in the cellular response to DNA damage and cell division events in normal and cancer cells, provides information about cancer predisposition, and suggests design of small molecules and other strategies for cancer therapy. Key Words: ATM-ATR; ATM/ATR; Aurora kinases; BRCAl; Cdc6; Cdc25; Cdc27-Cdc20/CdhI; Cell cycle; CENP-E; centrosome; checkpoint; Chkl/Chk2; cyc1in-Cdk; cyclindependent kinase inhibitors (CKI); hATRIP; Mad/Bub; MCM; MgcRacGAP; microtubule-associated proteins (MAPs); mitotic exit network (MEN); Mpsl; NIMA kinases; ORC; p53; PCNA; PBK-Akt; Plk; Rad50-Nbsl-Mrell; Ran-GTP; Ras; RB-E2F; SMC; Teml.
We present STAR measurements of charged hadron production as a function of centrality in Au+Au collisions at sqrt[sNN ]=130 GeV . The measurements cover a phase space region of 0.2< pT <6.0 GeV/c in transverse momentum and -1< eta <1 in pseudorapidity. Inclusive transverse momentum distributions of charged hadrons in the pseudorapidity region 0.5< | eta | <1 are reported and compared to our previously published results for | eta | <0.5 . No significant difference is seen for inclusive pT distributions of charged hadrons in these two pseudorapidity bins. We measured dN/d eta distributions and truncated mean pT in a region of pT > pcutT , and studied the results in the framework of participant and binary scaling. No clear evidence is observed for participant scaling of charged hadron yield in the measured pT region. The relative importance of hard scattering processes is investigated through binary scaling fraction of particle production.
In contrast to the United States and the United Kingdom, little empirical work exists about the distributional characteristics of appraisalbased real estate returns outside these countries. The purpose of this study is to fill this gap by focusing on Germany. In line with other studies, this paper offers an extensive investigation into the distribution of German real estate returns and compares them with and U.S. and U.K. data in the same period. Furthermore, the comovements with bonds and stocks are also examined. In the core, the distributional characteristics for German real estate are comparable to that for the U.S. and U.K.