280 research outputs found
Modelling economies in transition: an introduction
No full textThis paper considers the implications of structural breaks, such as have occurred in many transition economies, for econometric modelling based on the multivariate cointegration paradigm. It outlines recent developments on the identification of linear cointegrated systems, discusses some practical problems, and presents an extension to non-linear systems. This is followed by a discussion of the impact of structural breaks on the identification and estimation of such systems. Finally, it relates these issues to the other papers in this volume
Stochastic Volatility: Selected Readings
No full textCollects sixteen of the main papers that have influenced the econometrics of stochastic volatility, which is associated with financial economics and mathematical finance. Papers discuss a subordinated stochastic process model with finite variance for speculative prices; a study of daily sugar prices, 1961-79; the behavior of random variables with nonstationary variance and the distribution of security prices; the pricing of options on assets with stochastic volatilities; the dynamics of exchange rate volatility; multivariate stochastic variance models; stochastic autoregressive volatility; long memory in continuous-time stochastic volatility models; Bayesian analysis of stochastic volatility models; stochastic volatility, likelihood inference, and a comparison with ARCH models; estimation of stochastic volatility models with diagnostics; pricing foreign currency options with stochastic volatility; a closed-form solution for options with stochastic volatility, with applications to bond and currency options; a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation; the distribution of realized exchange rate volatility; and econometric analysis of realized volatility and its use in estimating stochastic volatility models. Neil Shephard is Professor of Economics and Official Fellow in Economics at Nuffield College, University of Oxford, on the Editorial Board of the Review of Economic Studies, and Associate Editor of Econometrica. Author and subject indexes
Stochastic Volatility: Selected Readings
No full textCollects sixteen of the main papers that have influenced the econometrics of stochastic volatility, which is associated with financial economics and mathematical finance. Papers discuss a subordinated stochastic process model with finite variance for speculative prices; a study of daily sugar prices, 1961-79; the behavior of random variables with nonstationary variance and the distribution of security prices; the pricing of options on assets with stochastic volatilities; the dynamics of exchange rate volatility; multivariate stochastic variance models; stochastic autoregressive volatility; long memory in continuous-time stochastic volatility models; Bayesian analysis of stochastic volatility models; stochastic volatility, likelihood inference, and a comparison with ARCH models; estimation of stochastic volatility models with diagnostics; pricing foreign currency options with stochastic volatility; a closed-form solution for options with stochastic volatility, with applications to bond and currency options; a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation; the distribution of realized exchange rate volatility; and econometric analysis of realized volatility and its use in estimating stochastic volatility models. Neil Shephard is Professor of Economics and Official Fellow in Economics at Nuffield College, University of Oxford, on the Editorial Board of the Review of Economic Studies, and Associate Editor of Econometrica. Author and subject indexes
Higher S-dualities and Shephard-Todd groups
No full textAbstract: Seiberg and Witten have shown that in N=2 SQCD with Nf = 2Nc = 4 the S-duality group PSL2ℤ acts on the flavor charges, which are weights of Spin(8), by triality. There are other N=2 SCFTs in which SU(2) SYM is coupled to strongly-interacting non-Lagrangian matter: their matter charges are weights of E6, E7 and E8 instead of Spin(8). The S-duality group PSL2ℤ acts on these weights: what replaces Spin(8) triality for the E6, E7, E8root lattices? In this paper we answer the question. The action on the matter charges of (a finite central extension of) PSL2ℤ factorizes trough the action of the exceptional Shephard-Todd groups G4 and G8 which should be seen as complex analogs of the usual triality group S3≃WeylA2. Our analysis is based on the identification of S-duality for SU(2) gauge SCFTs with the group of automorphisms of the cluster category of weighted projective lines of tubular type. © 2015, The Author(s)
Central and peripheral limits to exercise...and exercise science: a young investigator's perspective
No full textThis article highlights the influence Dr. Shephard's research has had on a young academic's career, and the various lessons that can be learned from working with and following the example of Dr. Shephard
Computationally-intensive Econometrics using a Distributed Matrix-programming Language
No full textThis paper reviews the need for powerful facilities in econometrics, focusing on concrete problems which arise in financial economics and in macroeconomics. We argue that the profession is being held back by the lack of easy to use generic software which is able to exploit the availability of cheap clusters of distributed computers. Our response is to extend, in a number of directions, the well known matrix-programming interpreted language Ox developed by the first author. We note three possible levels of extensions: (i) Ox with parallelization explicit in the Ox code; (ii) Ox with a parallelized run-time library; (iii) Ox with a parallelized interpreter. This paper studies and implements the first case, emphasizing the need for deterministic computing in science. We give examples in the context of financial economics and time-series modelling.Distributed computing; Econometrics; High-performance computing; Matrix-programming language
Decade of Fear: Reporting from Terrorism’s Grey Zone
No full textMichelle Shephard, author and national security reporter for the Toronto Star, will discuss her book Decade of Fear: Reporting from Terrorism’s Grey Zone.https://insight.dickinsonlaw.psu.edu/jlia_gallery/1020/thumbnail.jp
Decade of Fear: Reporting from Terrorism’s Grey Zone
No full textMichelle Shephard, author and national security reporter for the Toronto Star, will discuss her book Decade of Fear: Reporting from Terrorism’s Grey Zone.https://elibrary.law.psu.edu/jlia_gallery/1020/thumbnail.jp
Decade of Fear: Reporting from Terrorism’s Grey Zone
No full textMichelle Shephard, author and national security reporter for the Toronto Star, will discuss her book Decade of Fear: Reporting from Terrorism’s Grey Zone.https://insight.dickinsonlaw.psu.edu/jlia_gallery/1020/thumbnail.jp
Stochastic volatility model with an exogenous control process of news flow
No full textThis thesis was submitted for the degree of Master of Philosophy and was awarded by Brunel UniversityWe consider different volatility models augmented with news analytics data to examine the impact of news intensity on stock volatility. We provides a description of the data used in the empirical analysis and defines the measures of news intensity. Results for the variance homogeneity tests for days with different news intensity are also given. We also show that abnormal returns occur more likely in days with high news intensity.
We propose the different modifications of the SV model. We proposed a way to test the hypothesis of a short-term impact of news intensity on volatility. The results show that news analytics data improves the quality of prediction of volatility of the SV model. For almost all FTSE100 companies, the hypothesis of a short-term impact of news on stock volatility is accepted. Negative news increase short-term stock volatility more likely than positive news.Russian Government Programme ˆıInnovative University
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