124,195 research outputs found
Stochastic volatility with leverage: fast likelihood inference
No full textKim, Shephard and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a very fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which limited its scope for applications. Despite this, their basic method has been extensively used in financial economics literature and more recently in macroeconometrics. In this paper we show how to overcome the limitation of this analysis so that the essence of the Kim, Shephard and Chib (1998) can be used to deal with the leverage effect, greatly extending the applicability of this method. Several illustrative examples are provided.Leverage effect, Markov chain Monte Carlo, Mixture sampler, Stochastic volatility, Stock returns.
A Feasible Central Limit Theory for Realised Volatility Under Leverage
No full textIn this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of the limit theory performs well in practice.Euler approximation; Functional central limit theory; Quadratic variation; Realised volatility; Stochastic volatility.
Clough Shephard B. : Histoire économique des Etats- Unis
No full textBeaujeu-Garnier Jacqueline. Clough Shephard B. : Histoire économique des Etats- Unis. In: L'information géographique, volume 17, n°5, 1953. pp. 208-209
A face for radio? How viewers and listeners reacted differently to the third leaders' debate in 2010
No full textNeil Kinnock expressed scepticism about Gordon Brown's likely showing in the 2010 election debates, suggesting that the Labour leader had a ‘radio face’. We report an experiment in which students were split randomly between audio and video conditions for the third debate. As Kinnock predicted, Gordon Brown was more often proclaimed the winner by listeners. Nick Clegg, not David Cameron, benefited most from television. These differences were statistically significant despite a small sample (n = 63). We test three explanations for Clegg's advantage: (i) that television boosts the salience of certain traits (notably attractiveness); (ii) that television boosts the importance of ‘style’ over ‘substance’; (iii) that listeners form judgements based on performance throughout the debate, while viewers are disproportionately influenced by memorable incidents or remarks. There is evidence supporting all three explanations
On Rogers–Shephard-type inequalities for the lattice point enumerator
No full textIn this paper, we study various Rogers-Shephard-type inequalities for the lattice point enumerator Gn(·) on R n. In particular, for any non-empty convex bounded sets K, L, R n, we show that {equation presented} Additionally, a discrete counterpart to a classical result by Berwald for concave functions, from which other discrete Rogers-Shephard-type inequalities may be derived, is shown. Furthermore, we prove that these new discrete analogues for Gn(·) imply the corresponding results involving the Lebesgue measure. © 2022 World Scientific Publishing Company
"Stochastic Volatility with Leverage: Fast Likelihood Inference"
No full textKim, Shephard, and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which is known to be important in applications. Despite this, their basic method has been extensively used in the financial economics literature and more recently in macroeconometrics. In this paper we show how the basic approach can be extended in a novel way to stochastic volatility models with leverage without altering the essence of the original approach. Several illustrative examples are provided.
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)
Body condition of returning Atlantic salmon <i>Salmo salar L.</i> correlates with scale δ<sup>13</sup>C and δ<sup>15</sup>N content deposited at the last marine foraging location
No full textPatterns of feeding and growth of Atlantic salmon Salmo salar L. in the marine environment are critical to understanding how observed declines in recruitment may reflect warming or other oceanic drivers. The isotopic composition of scales can provide insight into differences in marine feeding location and possibly temperature regime. The authors used archived scale samples to measure δ13C and δ15N deposited in the scales of one sea-winter (1SW) salmon during their last season of growth at sea before they returned to five Irish rivers. δ13C values were related statistically to observed salmon body condition (Fulton’s K), and fish with higher δ13C values tended to show significantly better condition. In contrast, δ15N values were negatively related to body condition. There was no important effect on condition of length at smolt migration, and the effect of duration of marine residence varied among rivers. It is likely that δ13C values partly reflected ambient ocean temperature and recent marine feeding environment before return migration, such that the observed relationship between higher δ13C values and increased body condition may express an advantage for adult fish feeding in warmer, potentially closer, waters. If greater body condition influences fitness, then a changing temperature regime in the Northeast Atlantic may drive shifts in salmon survival and reproduction. This study provides evidence that there is spatial and trophic variation at sea between salmon from rivers of origin that are located relatively close to each other, with potential consequences for body condition and, consequently, fitness and life history; this suggests that salmon populations from geographically proximate rivers within regions may exhibit differential responses to ocean-scale climatic changes across the Northeast Atlantic
Variation, jumps, market frictions and high frequency data in financial econometrics
No full textWe will review the econometrics of non-parametric estimation of the components of the variation of asset prices. This very active literature has been stimulated by the recent advent of complete records of transaction prices, quote data and order books. In our view the interaction of the new data sources with new econometric methodology is leading to a paradigm shift in one of the most important areas in econometrics: volatility measurement, modelling and forecasting. We will describe this new paradigm which draws together econometrics with arbitrage free financial economics theory. Perhaps the two most influential papers in this area have been Andersen, Bollerslev, Diebold and Labys(2001) and Barndorff-Nielsen and Shephard(2002), but many other papers have made important contributions. This work is likely to have deep impacts on the econometrics of asset allocation and risk management. One of our observations will be that inferences based on these methods, computed from observed market prices and so under the physical measure, are also valid as inferences under all equivalent measures. This puts this subject also at the heart of the econometrics of derivative pricing. One of the most challenging problems in this context is dealing with various forms of market frictions, which obscure the efficient price from the econometrician. Here we will characterise four types of statistical models of frictions and discuss how econometricians have been attempting to overcome them.
A Multi-Language Comparison of Influences on Author Verification using Character N-Grams
No full textWe create a new multi-language corpus for author verification based on Wikipedia talkpages, and evaluate the influence that differences in topic and time have on character n-gram author profiles. Topic alignment between two texts is found to increase author verification precision, and an authors writing style is found to change over time, but not more significantly after 3 years than after 1 year.Information ArchitectureWISElectrical Engineering, Mathematics and Computer Scienc
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