101,957 research outputs found
Adding Cycles into the Neoclassical Growth Model
No full textWe propose a stochastic Solow growth model where a cyclical component is added to the total factor productivity process. Theoretically, an important feature of the model is that its main equation takes a state space representation where key parameters can be estimated via an unobserved component approach without involving capital stock measures. In addition, the dynamic properties of the model are mostly unaffected by the newly introduced cyclical component. Empirically, our novel framework is consistent with secular U.S. empirical evidence
Elasto-plastic strain concentration factors in finite thickness plates
No full textThe paper presents a comparison of a detailed finite element modelling of elastoplastic strains at a notch root with experimental Moire interferometric data. The three-dimensional nature of the local constraint at a notch root for elastic or elastoplastic material behaviour is confirmed. The elastoplastic analysis shows that the stress concentration factor ratio from the mid-plane and the surface is practically insensitive to the actual sigma-epsilon relationship when the nominal stress achieves the yield stress
A closed-form formula characterization of the Epps effect
No full textIn this study we provide an analytical characterization of the impact of zero returns on the popular realized covariance estimator of Barndorff-Nielsen and Shephard [Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics. Econometrica, 2004, 72(3), 885-925]. In our framework, efficient price processes evolve as a semimartingale with some likelihood of repeated prices. We show that the standard realized covariance estimator is asymptotically affected by a downward bias, and the size of the bias depends on these likelihoods. We demonstrate that this result can be used to construct a consistent estimator of the integrated covariance of a vector semimartingale. The advantages with respect to other estimators are discussed with data
A backward Monte Carlo approach to exotic option pricing
No full textWe propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction of a discrete multinomial tree. The crucial feature of our approach is that – in a similar spirit to the Brownian Bridge – each random path runs backward from a terminal fixed point to the initial spot price. We characterize the tree in two alternative ways: (i) in terms of the optimal grids originating from the Recursive Marginal Quantization algorithm, (ii) following an approach inspired by the finite difference approximation of the diffusion’s infinitesimal generator. We assess the reliability of the new methodology comparing the performance of both approaches and benchmarking them with competitor Monte Carlo methods
Statistical inferences for price staleness
No full textThis paper proposes a nonparametric theory for statistical inferences on zero returns of high-frequency asset prices. Using an infill asymptotic design, we derive limit theorems for the percentage of zero returns observed on a finite time interval and for other related quantities. Within this framework, we develop two nonparametric tests. First, we test whether intra-day zero returns are independent and identically distributed. Second, we test whether intra-day variation of the likelihood of occurrence of zero returns can be solely explained by a deterministic diurnal pattern. In an empirical application to ten representative stocks of the NYSE, we provide evidence that the null of independent and identically distributed intra-day zero returns can be conclusively rejected. We further find that a deterministic diurnal pattern is not sufficient to explain the intra-day variability of the distribution of zero returns
The continuous-time limit of score-driven volatility models
No full textWe provide general conditions under which a class of discrete-time volatility models driven by the score of the conditional density converges in distribution to a stochastic differential equation as the interval between observations goes to zero. We show that the form of the diffusion limit depends on: (i) the link function, (ii) the conditional second moment of the score, (iii) the normalization of the score. Interestingly, the properties of the stochastic differential equation are strictly entangled with those of the discrete-time counterpart. Score-driven models with fat-tailed densities lead to continuous-time processes with finite volatility of volatility, as opposed to fat-tailed models with a GARCH update, for which the volatility of volatility is explosive. We examine in simulations the implications of such results on approximate estimation and filtering of diffusion processes. An extension to models with a time-varying conditional mean and to conditional covariance models is also developed
Nota editoriale - Il primo libro della 'Scienza della logica'
No full textPresentazione dei criteri di costruzione della prima edizione italiana della prima versione della Dottrina dell'essere (1812). Discussione delle principali scelte lessicali nella traduzione di Hegel (Aufheben, an sich, Schranke-Grenze, Wirklichkeit)
N-Player games and mean-field games with smooth dependence on past absorptions
No full textMean-field games with absorption is a class of games that has been introduced in (Ann. Appl. Probab. 28 (2018) 2188–2242) and that can be viewed as natural limits of symmetric stochastic differential games with a large number of players who, interacting through a mean-field, leave the game as soon as their private states hit some given boundary. In this paper, we push the study of such games further, extending their scope along two main directions. First, we allow the state dynamics and the costs to have a very general, possibly infinite-dimensional, dependence on the (non-normalized) empirical sub-probability measure of the survivors’ states. This includes the particularly relevant case where the mean-field interaction among the players is done through the empirical measure of the survivors together with the fraction of absorbed players over time. Second, the boundedness of coefficients and costs has been considerably relaxed including drift and costs with linear growth in the state variables, hence allowing for more realistic dynamics for players’ private states. We prove the existence of solutions of the MFG in strict as well as relaxed feedback form, and we establish uniqueness of the MFG solutions under monotonicity conditions of Lasry–Lions type. Finally, we show in a setting with finite-dimensional interaction that such solutions induce approximate Nash equilibria for the N-player game with vanishing error as N → ∞
Defects influence on fatigue behaviour of laser welded joints
No full textThis work is aimed at the fatigue strength prediction of laser welded joints in aluminium alloy containing defects through the examination of location, size and shape of the weld defects. Some published documents give guidance for this kind of fatigue assessment, in particular the British Standard PD 6493 (1991) and a document by the International Institute of Welding on fatigue of welded components (1995). The assessment procedures was applied to two series of laser butt welded joints made of 5 mm thick 5083 H321 aluminium alloy plates. The two series were obtained by using different parameters in the welding procedure. Each set of parameters introduces a large amount of flaws in the weld bead. The fatigue behaviour was experimentally determined by means of pulsating tension tests. The application of the assessment procedure, as proposed in the published documents, led to unsatisfactory results due to the excessive dimensions of the final design flaw. Theoretical predictions compatible with the experimental results were obtained by modifying the criterion adopted to measure the flaw dimension
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