2 resultados para quasi-likelihood function
em AMS Tesi di Dottorato - Alm@DL - Università di Bologna
Resumo:
Many efforts have been devoting since last years to reduce uncertainty in hydrological modeling predictions. The principal sources of uncertainty are provided by input errors, for inaccurate rainfall prediction, and model errors, given by the approximation with which the water flow processes in the soil and river discharges are described. The aim of the present work is to develop a bayesian model in order to reduce the uncertainty in the discharge predictions for the Reno river. The ’a priori’ distribution function is given by an autoregressive model, while the likelihood function is provided by a linear equation which relates observed values of discharge in the past and hydrological TOPKAPI model predictions obtained by the rainfall predictions of the limited-area model COSMO-LAMI. The ’a posteriori’ estimations are provided throw a H∞ filter, because the statistical properties of estimation errors are not known. In this work a stationary and a dual adaptive filter are implemented and compared. Statistical analysis of estimation errors and the description of three case studies of flood events occurred during the fall seasons from 2003 to 2005 are reported. Results have also revealed that errors can be described as a markovian process only at a first approximation. For the same period, an ensemble of ’a posteriori’ estimations is obtained throw the COSMO-LEPS rainfall predictions, but the spread of this ’a posteriori’ ensemble is not enable to encompass observation variability. This fact is related to the building of the meteorological ensemble, whose spread reaches its maximum after 5 days. In the future the use of a new ensemble, COSMO–SREPS, focused on the first 3 days, could be helpful to enlarge the meteorogical and, consequently, the hydrological variability.
Resumo:
In the first chapter, we consider the joint estimation of objective and risk-neutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MC-IS strategy combined with a Particle Filter algorithm. The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders. The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a Log-ACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity. The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the price-quantity decision.