1,678 research outputs found
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.
Audit and control of the use of the internet for learning and teaching: issues for stakeholders in higher education
No full textThe Internet is becoming more widely used by academic institutions to support the learning and teaching activities of students and academic staff. Whilst this is a very efficient mechanism, it is, arguably, important that there are adequate controls in place to ensure that the information is not libellous, defamatory, inaccurate, illegal or inappropriate. The interactivity of the Internet, the immediacy of access to its contents and the public accessibility to much of its information, however, do provide a different operating environment and therefore different audit and control issues arise.This paper discusses the roles and concerns of a range of stakeholders and suggests that the control mechanisms might be failing, or might not be adequately policed in practice. A number of examples are provided where the manner in which controls are put in place do not operate effectively, or where there may be control loops that are open-ended. For each of the stakeholder groups that are identified, an account is given of the use to which the Internet is put and where regulation currently exists or may be desirable
Silica hollow core microstructured fibers for beam delivery in industrial and medical applications
No full textVariation, 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.
Applications of microstructured “negative curvature” fibre, for high power and mid-IR transmission
No full textNormal modified stable processes
No full textThis paper discusses two classes of distributions, and stochastic processes derived from them: modified stable (MS) laws and normal modified stable (NMS) laws. This extends corresponding results for the generalised inverse Gaussian (GIG) and generalised hypberbolic (GH) or normal generalised inverse Gaussian (NGIG) laws. The wider framework thus established provides, in particular, for added flexibility in the modelling of the dynamics of financial time series, of importance especially as regards OU based stochastic volatility models for equities. In the special case of the tempered stable OU process an exact option pricing formula can be found, extending previous results based on the inverse Gaussian and gamma distributions.
Photoproduction of D Mesons
No full textPreliminary results are presented using the Wide Band photon beam at Fermilab
to measure the cross-section of D*+/- and D+/- photoproduction on a Be target over the
photon enera rsngs from 100 GeV to 350 GeV. Preliminary results are also presented
on the xF and pT2 distributions and the ratios of D0/D*+ and D*-/D*+. The energy
dependence of the total open charm cross-section of photoproduction was compared
with the predictions by the photon-gluon fusion model and a higher order QCD radiative
correction based on perturbative QCD. The prediction by the QCD radiative
correction with Mc = 1.5GeV agrees well with the observed data within the theoretical
uncertainties of the QCD parameters
Assessing agreement between point of care and laboratory results for lipid testing from a clinical perspective
No full textObjectivesInvestigate agreement between lipid pathology results from point-of-care testing (PoCT) devices and laboratories.Design and methodsAgreement was assessed using the Bland-Altman method.Results: Mean difference (limits of agreement) were: -0.28 mmol/L (-1.04, 0.48) for total cholesterol, -0.09 mmol/L, (-0.55, 0.36) for HDL-C. Median difference (nonparametric limits of agreement) were 0.07 mmol/L, (-0.40, 3.04) for triglycerides.ConclusionsThe clinical acceptability of the variation between lipid PoCT and laboratory test results is debatable but our work provides baseline data for further research.Angela Gialamas, Caroline O. Laurence, Lisa N. Yelland, Philip Tideman, Paul Worley, Mark D. Shephard, Rosy Tirimacco, Kristyn J. Willson, Philip Ryan, Janice Gill, David W. Thomas, Justin J. Beilb
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
No full textThis paper analyses multivariate high frequency financial data using realised covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis and covariance. It will be based on a fixed interval of time (e.g. a day or week), allowing the number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions and covariances change through time. In particular we provide confidence intervals for each of these quantities.Power variation; Realised correlation; Realised covolatility; Realised regression; Realised variance; Semimartingales; Covolatility
Validity Of The Brazilian Version Of The Godin-shephard Leisure-time Physical Activity Questionnaire [validade Da Versão Brasileira Do Godin-shephard Leisure-time Physical Activity Questionnaire] [validez De La Versión Brasileña Del Godin-shephard Leisure-time Physical Activity Questionnaire]
No full textThis study provides evidence of construct validity for the Brazilian version of the Godin- Shephard Leisure-Time Physical Activity Questionnaire (GSLTPAQ), a 1-item instrument used among 236 participants referred for cardiopulmonary exercise testing. The Baecke Habitual Physical Activity Questionnaire (Baecke-HPA) was used to evaluate convergent and divergent validity. The self-reported measure of walking (QCAF) evaluated the convergent validity. Cardiorespiratory fitness assessed convergent validity by the Veterans Specific Activity Questionnaire (VSAQ), peak measured (VO2peak) and maximum predicted (VO2pred) oxygen uptake. Partial adjusted correlation coefficients between the GSLTPAQ, Baecke-HPA, QCAF, VO2pred and VSAQ provided evidence for convergent validity; while divergent validity was supported by the absence of correlations between the GSLTPAQ and the Occupational Physical Activity domain (Baecke-HPA). The GSLTPAQ presents level 3 of evidence of construct validity and may be useful to assess leisure-time physical activity among patients with cardiovascular disease and healthy individuals. © 2015, Fundacao Oswaldo Cruz. 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