How Predictable Are Equity Covariance Matrices? Evidence from High‐Frequency Data for Four Markets

Most pricing and hedging models rely on the long‐run temporal stability of a sample covariance matrix. Using a large dataset of equity prices from four countries—the USA, UK, Japan and Germany—we test the stability of realized sample covariance matrices using two complementary approaches: a standard covariance equality test and a novel matrix loss function approach. Our results present a pessimistic outlook for equilibrium models that require the covariance of assets returns to mean revert in the long run. We find that, while a daily first‐order Wishart autoregression is the best covariance matrix‐generating candidate, this non‐mean‐reverting process cannot capture all of the time series variation in the covariance‐generating process. Copyright © 2014 John Wiley & Sons, Ltd.     

Volatility forecasting with double Markov switching GARCH models

This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat‐tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending the Markov switching GARCH model, previously developed to capture mean asymmetry, is that the switching variable, assumed to be a first‐order Markov process, is unobserved. The proposed model extends this work to incorporate Markov switching in the mean and variance simultaneously. Parameter estimation and inference are performed in a Bayesian framework via a Markov chain Monte Carlo scheme. We compare competing models using Bayesian forecasting in a comparative value‐at‐risk study. The proposed methods are illustrated using both simulations and eight international stock market return series. The results generally favor the proposed double Markov switching GARCH model with an exogenous variable. Copyright © 2008 John Wiley & Sons, Ltd.     

Terrestrial vertabrates of Scotts Bluff National Monument, Nebraska

A survey of terrestrial vertebrates was conducted at the Scotts Bluff National Monument (SBNM), Nebraska, to determine species composition, relative abundance, and distribution by habitat of the existing amphibians, reptiles, birds, and mammals. Various sampling methods were used to detect animal species richness and to estimate population densities. The seven major habitat types at SBNM contained 4 species of amphibians, 8 reptiles, 96 birds, and 28 mammals. The only endangered or threatened species observed was a dead bald eagle ( Haliaeetus leucocephalus ). The racer ( Coluber constrictor ) and prairie rattlesnake ( Crotalus viridis ) were the two most abundant snakes. The prairie falcon ( Falco mexicanus ) was a common raptor that nested in Scotts Bluff. Sympatric populations of mule deer ( Odocoileus hemionus ) and white-tailed deer ( Odocoileus virginianus ) appeared to be hybridizing. The riverine woodland contained the greatest number of fauna species with only 4% surface area of SBNM. Sharp-tailed grouse ( Tympanuchus phasianellus ) and pronghorn antelope ( Antilocapra americana ), absent from the Monument, are two potential native species for reintroduction.     

From genomics to proteomics

Proteomics is the study of the function of all expressed proteins. Tremendous progress has been made in the past few years in generating large-scale data sets for protein-protein interactions, organelle composition, protein activity patterns and protein profiles in cancer patients. But further technological improvements, organization of international proteomics projects and open access to results are needed for proteomics to fulfil its potential.     

Defects in whirlin,a PDZ domain molecule involved in stereocilia elongation,cause deafness in the whirler mouse and families with DFNB31

The whirler mouse mutant (wi) does not respond to sound stimuli, and detailed ultrastructural analysis of sensory hair cells in the organ of Corti of the inner ear indicates that the whirler gene encodes a protein involved in the elongation and maintenance of stereocilia in both inner hair cells (IHCs) and outer hair cells (OHCs). BAC-mediated transgene correction of the mouse phenotype and mutation analysis identified the causative gene as encoding a novel PDZ protein called whirlin. The gene encoding whirlin also underlies the human autosomal recessive deafness locus DFNB31. In the mouse cochlea, whirlin is expressed in the sensory IHC and OHC stereocilia. Our findings suggest that this novel PDZ domain-containing molecule acts as an organizer of submembranous molecular complexes that control the coordinated actin polymerization and membrane growth of stereocilia.     

Biodiversity and biogeography of phages in modern stromatolites and thrombolites

Viruses, and more particularly phages (viruses that infect bacteria), represent one of the most abundant living entities in aquatic and terrestrial environments. The biogeography of phages has only recently been investigated and so far reveals a cosmopolitan distribution of phage genetic material (or genotypes). Here we address this cosmopolitan distribution through the analysis of phage communities in modern microbialites, the living representatives of one of the most ancient life forms on Earth. On the basis of a comparative metagenomic analysis of viral communities associated with marine (Highborne Cay, Bahamas) and freshwater (Pozas Azules II and Rio Mesquites, Mexico) microbialites, we show that some phage genotypes are geographically restricted. The high percentage of unknown sequences recovered from the three metagenomes (>97%), the low percentage similarities with sequences from other environmental viral (n = 42) and microbial (n = 36) metagenomes, and the absence of viral genotypes shared among microbialites indicate that viruses are genetically unique in these environments. Identifiable sequences in the Highborne Cay metagenome were dominated by single-stranded DNA microphages that were not detected in any other samples examined, including sea water, fresh water, sediment, terrestrial, extreme, metazoan-associated and marine microbial mats. Finally, a marine signature was present in the phage community of the Pozas Azules II microbialites, even though this environment has not been in contact with the ocean for tens of millions of years. Taken together, these results prove that viruses in modern microbialites display biogeographical variability and suggest that they may be derived from an ancient community.     

A new family of high-Tc compounds——Stepping stones toward understanding unconventional superconductivity

High-transition temperature （Tc） superconductivity was first discovered in layered copper-based oxides （cuprates） more than two decades ago, but its theoretical inter- pretation remains controversial. The main question concerning the high-Tc superconductivity phase diagram is the transition between the antiferromagnetic （AF） and superconducting （SC） phases, which is dominated by anomalous properties commonly attributed to a pseudogap in the spectrum. It is believed that the high-Tc mechanism in cuprates cannot be fully understood within the BCS theory that explains normal supercon-ductivity. Despite much effort, there is no consensus as to the origin of the pseudogap properties, and the high-Tc mechanism remains an open question.     

The diploid genome sequence of an Asian individual

Here we present the first diploid genome sequence of an Asian individual. The genome was sequenced to 36-fold average coverage using massively parallel sequencing technology. We aligned the short reads onto the NCBI human reference genome to 99.97% coverage, and guided by the reference genome, we used uniquely mapped reads to assemble a high-quality consensus sequence for 92% of the Asian individual's genome. We identified approximately 3 million single-nucleotide polymorphisms (SNPs) inside this region, of which 13.6% were not in the dbSNP database. Genotyping analysis showed that SNP identification had high accuracy and consistency, indicating the high sequence quality of this assembly. We also carried out heterozygote phasing and haplotype prediction against HapMap CHB and JPT haplotypes (Chinese and Japanese, respectively), sequence comparison with the two available individual genomes (J. D. Watson and J. C. Venter), and structural variation identification. These variations were considered for their potential biological impact. Our sequence data and analyses demonstrate the potential usefulness of next-generation sequencing technologies for personal genomics.