1,720,966 research outputs found
Assessing the quality of volatility estimators via option pricing
No full textThe aim of this paper is to measure and assess the accuracy of different volatility estimators based on high frequency data in an option pricing context. For this, we use a discrete-time stochastic volatility model based on Auto-Regressive-Gamma (ARG) dynamics for the volatility. First, ARG processes are presented
both under historical and risk-neutral measure, in an affine stochastic discount factor framework. The model parameters are estimated exploiting the informative content of historical high frequency data. Secondly, option pricing is performed via Monte Carlo techniques. This framework allows us to measure the
quality of different volatility estimators in terms of mispricing with respect to real option data, leaving to the ARG volatility model the role of a tool. Our analysis points out that using high frequency intra-day returns allows to obtain more accurate ex post estimation of the true (unobservable) return variation than do the more traditional sample variances based on daily returns, and this is reflected in the quality of pricing. Moreover, estimators robust to microstructure effects show an improvement over the realized volatility estimator. The empirical analysis is conducted on European options written on S&P500 index
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Investigating the Efficiency of EU Deposit Guarantee Schemes
Get PDFThis Report considers the various meanings the word "efficiency" can have, the current way Deposit Guarantee Schemes (DGS) operate, and a quantitative analysis investigating the capability of the EU Member States to handle reimbursements or preventive interventions of varying magnitude. Consequently, this Report also describes the various steps of the intervention procedure (both in case of payout and for preventive interventions), the authorities involved and their interaction, and the way DGS manage and invest available funds. Even though it has been difficult to draw general and harmonized conclusions (as each incident was distinctive), some key conclusions can be made.JRC.G.9 - Econometrics and statistical support to antifrau
The Renewed Lisbon Strategy: the Agenda and the State of Implementation in the Italian Regions
Get PDFCon questa pubblicazione le Rappresentanze in Italia della Commissione Europea intendono contribuire ad informare l'opinione pubblica sul processo di rilancio della strategia di Lisbona attualmente in atto a livello comunitario per favorire il conseguimento dell�obiettivo di trasformare entro il 2010 l�Europa nell'economia basata sulla conoscenza più competitiva e dinamica del mondo. Questa pubblicazione intende in particolare richiamare per brevi punti le tappe principali del rilancio della strategia di Lisbona nell�Unione Europea iniziata nel 2005 mostrando come per ogni Stato membro, e quindi anche per l�Italia, il migliore coordinamento tra le azioni e le politiche attuate dalla Commissione Europea e quelle realizzate dal Governo nazionale sia il punto chiave di questo rilancio.JRC.G.9 - Econometrics and statistical support to antifrau
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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