Results 1 - 10 of 3,086

Exploration, normalization, and summaries of high density oligonucleotide array probe level data.

by Rafael A Irizarry , Bridget Hobbs , Francois Collin , Yasmin D Beazer-Barclay , Kristen J Antonellis , Uwe Scherf , Terence P Speed - Biostatistics, , 2003
"... SUMMARY In this paper we report exploratory analyses of high-density oligonucleotide array data from the Affymetrix GeneChip R system with the objective of improving upon currently used measures of gene expression. Our analyses make use of three data sets: a small experimental study consisting of f ..."
Abstract - Cited by 854 (33 self) - Add to MetaCart
familiar features of the perfect match and mismatch probe (P M and M M) values of these data, and examine the variance-mean relationship with probe-level data from probes believed to be defective, and so delivering noise only. We explain why we need to normalize the arrays to one another using probe level

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
changes are principally driven by local supply/demand shocks that are independent of both credit-risk factors and standard proxies for liquidity. * Collin-Dufresne is at Carnegie Mellon University. Goldstein is at Washington University in St. Louis. Martin is at Arizona State University. A significant

Measuring Liquidity Mismatch in the Banking Sector

by unknown authors
"... This paper implements a liquidity measure proposed by Brunnermeier, Gorton and Krishnamurthy (2011), "the Liquidity Mismatch Index (LMI), " to measure the mismatch between the market liquidity of assets and the funding liquidity of liabilities. In the LMI each asset and liability has a con ..."
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This paper implements a liquidity measure proposed by Brunnermeier, Gorton and Krishnamurthy (2011), "the Liquidity Mismatch Index (LMI), " to measure the mismatch between the market liquidity of assets and the funding liquidity of liabilities. In the LMI each asset and liability has a

Liquidity and leverage

by Tobias Adrian, Hyun Song Shin - Journal of Financial Intermediation , 2010
"... In a nancial system where balance sheets are continuously marked to market, asset price changes show up immediately in changes in net worth, and elicit responses from nancial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is strongly p ..."
Abstract - Cited by 255 (14 self) - Add to MetaCart
procyclical. Such behavior has aggregate consequences. Changes in aggregate balance sheets for intermediaries forecast changes in risk appetite in nancial markets, as measured by the innovations in the VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet

Measuring the liquidity mismatch in the banking sector, Working paper

by Jennie Bai, Arvind Krishnamurthy, Charles-henri Weymuller , 2013
"... This paper expands on Brunnermeier, Gorton and Krishnamurthy (2011) and implements a liquidity measure, “Liquidity Mismatch Index (LMI), ” to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities. We construct the LMIs for 2882 bank holding companies duri ..."
Abstract - Cited by 4 (0 self) - Add to MetaCart
This paper expands on Brunnermeier, Gorton and Krishnamurthy (2011) and implements a liquidity measure, “Liquidity Mismatch Index (LMI), ” to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities. We construct the LMIs for 2882 bank holding companies

The mismatch between gesture and speech as an index of transitional knowledge

by R. Breckinridge Church, Susan Goldin-meadow - Cognition , 1986
"... This study investigates two implications offrequent mismatches between gesture and speech in a child’s explanations of a concept: (I) Do gesture/speech mis-matches reflect a basic inconsistency in the explanatory system which underlies a child’s understanding of a concept? (2) Do gesturelspeech mism ..."
Abstract - Cited by 124 (35 self) - Add to MetaCart
This study investigates two implications offrequent mismatches between gesture and speech in a child’s explanations of a concept: (I) Do gesture/speech mis-matches reflect a basic inconsistency in the explanatory system which underlies a child’s understanding of a concept? (2) Do gesturelspeech

Liquidity Mismatch Measurement

by Arvind Krishnamurthy, Gary Gorton , 2012
"... Policy-makers and academics recognize that liquidity is central in the dynamics of a financial crisis, and that measurement of liquidity is critical in evaluating and regulating systemic risk. 2 The proposed Basel Liquidity Coverage Ratio, for example, calls for banks to maintain a sufficient buffer ..."
Abstract - Cited by 4 (0 self) - Add to MetaCart
Policy-makers and academics recognize that liquidity is central in the dynamics of a financial crisis, and that measurement of liquidity is critical in evaluating and regulating systemic risk. 2 The proposed Basel Liquidity Coverage Ratio, for example, calls for banks to maintain a sufficient

1 Liquidity Mismatch Measurement

by Markus Brunnermeier, Arvind Krishnamurthy, Gary Gorton , 2013
"... Policy-makers and academics recognize that liquidity is central in the dynamics of a financial crisis, and that measurement of liquidity is critical in evaluating and regulating systemic risk.2 The proposed Basel Liquidity Coverage Ratio, for example, calls for banks to maintain a sufficient buffer ..."
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Policy-makers and academics recognize that liquidity is central in the dynamics of a financial crisis, and that measurement of liquidity is critical in evaluating and regulating systemic risk.2 The proposed Basel Liquidity Coverage Ratio, for example, calls for banks to maintain a sufficient buffer

Banks, Maturity Mismatches And Liquidity Crises

by Ramkishen S. Rajan , 1999
"... In determining the optimal maturity structure of bank loans in the presence of pre-determined, short-term international liabilities, we show that maturity mismatches in banks' balance sheets are fully consistent with the assumption of banks acting as self-interested, optimizing agents Key ..."
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In determining the optimal maturity structure of bank loans in the presence of pre-determined, short-term international liabilities, we show that maturity mismatches in banks' balance sheets are fully consistent with the assumption of banks acting as self-interested, optimizing agents Key

Languages with mismatches and an application to approximate indexing.

by C Epifanio , A Gabriele , F Mignosi - In Proceedings of the 9th International Conference Developments in Language Theory (DLT05), LNCS 3572, , 2005
"... Abstract. In this paper we describe a factorial language, denoted by L (S, k, r), that contains all words that occur in a string S up to k mismatches every r symbols. Then we give some combinatorial properties of a parameter, called repetition index and denoted by R (S, k, r), defined as the smalle ..."
Abstract - Cited by 3 (3 self) - Add to MetaCart
Abstract. In this paper we describe a factorial language, denoted by L (S, k, r), that contains all words that occur in a string S up to k mismatches every r symbols. Then we give some combinatorial properties of a parameter, called repetition index and denoted by R (S, k, r), defined
Results 1 - 10 of 3,086