Dataset Information

Estimation of the Continuous and Discontinuous Leverage Effects.

ABSTRACT: This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situation where there is market microstructure noise in the observed returns. We show in Monte Carlo simulations that our estimators have good finite sample performance. When applying our methods to real data, our empirical results provide convincing evidence of the presence of the two leverage effects, especially the discontinuous one.

SUBMITTER: Ait-Sahalia Y

PROVIDER: S-EPMC5875494 | biostudies-literature | 2017

REPOSITORIES: biostudies-literature

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Estimation of the Continuous and Discontinuous Leverage Effects.

Aït-Sahalia Yacine Y Fan Jianqing J Laeven Roger J A RJA Wang Christina Dan CD Yang Xiye X

Journal of the American Statistical Association 20170807 520

This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situati ...[more]

PMID: 29606780

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Project description:BackgroundEradication of early gastric carcinoma (GC) is thought to contribute to reduction in the mortality of GC, given that most of the early GCs progress to the advanced GCs. However, early GC is alternatively considered a dormant variant of GC, and it infrequently progresses to advanced GC. The aim of this study was to clarify the extent of overlap of genetic lineages between early and advanced tubular adenocarcinomas (TUBs) of the stomach.MethodsImmunohistochemical staining for p53 was performed using 28 surgically resected stomachs with 13 intramucosal and 15 invasive TUBs. By chromosome- and array-based comparative genomic hybridization (CGH), genomic copy number constitution was compared between the mucosal and invasive parts of the invasive TUBs and between the mucosal parts of the invasive and intramucosal TUBs, using 25 and 22 TUBs, respectively. TP53 mutation in exons 5-8 was examined in 20 TUBs.ResultsChromosomal CGH revealed that 4q+ and 11q+ were more common in advanced and early TUBs, respectively, whereas copy number changes in 8q and 17p showed no significant differences between early and advanced TUBs. However, array CGH revealed that, of the 13 intramucosal TUBs examined, loss of MYC (MYC-) and gain of TP53 (TP53+) was detected in 9 TUBs and MYC+ and/or TP53- was detected in 3 TUBs. Of the mucosal samples of 9 invasive TUBs, 7 showed MYC-/TP53+ and none showed MYC+ and/or TP53-. Of the 9 samples from the invasive parts, 1 (from submucosal cancers) showed MYC-/TP53+ and 6 (1 from submucosal and 5 from advanced cancers) showed MYC+ and/or TP53-. The latter 6 tumours commonly showed a mutant pattern (diffuse or null) in p53 immunohistochemistry, and 4 of the 6 tumours assessable for TP53 sequence analysis revealed mutations. The overall array CGH pattern indicated that, between the mucosal and invasive parts, genetic lineage was found discontinuous in 5 advanced cancers and continuous in 3 submucosal cancers.ConclusionsGenetic lineages often differed between early and advanced TUBs. MYC-/TP53+ and MYC + and/or TP53- may be the signatures of dormant and aggressive TUBs, respectively, in the stomach.

Dataset Information

Estimation of the Continuous and Discontinuous Leverage Effects.

Publications

Estimation of the Continuous and Discontinuous Leverage Effects.

Similar Datasets

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