Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Quadratic M-Estimators for ARCH-Type Processes

This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the variance and the variance of the variance, that is, the skewness and kurtosis. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M-estimation. The ususal univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms the relevance of our approach, in particular, the importance of skewness.

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap methods. Yet the latter remain approximate. In this paper, we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts. We study procedures based on the standard test statistics [e.g., the Goldfeld-Quandt, Glejser, Bartlett, Cochran, Hartley, Breusch-Pagan-Godfrey, White and Szroeter criteria] as well as tests for autoregressive conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of combined test statistics) to allow for unknown breakpoints in the error variance. We exploit the technique of Monte Carlo tests to obtain provably exact p-values, for both the standard and the new tests suggested. We show that the MC test procedure conveniently solves the intractable null distribution problem, in particular those raised by the sup-type and combined test statistics as well as (when relevant) unidentified nuisance parameter problems under the null hypothesis. The method proposed works in exactly the same way with both Gaussian and non-Gaussian disturbance distributions [such as heavy-tailed or stable distributions]. The performance of the procedures is examined by simulation. The Monte Carlo experiments conducted focus on : (1) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one exogenous variable, and (ii) the mean of the dependent variable; (3) grouped heteroskedasticity; (4) breaks in variance at unknown points. We find that the proposed tests achieve perfect size control and have good power.

Thermal phase transitions for Dicke-type models in the ultrastrong-coupling limit

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Assimetria na volatilidade dos principais índices bolsistas de Portugal, Irlanda, Itália, Grécia e Espanha : um estudo comparativo

Mestrado em Controlo de Gestão e dos Negócios

Local Distance-Based Generalized Linear Models using the dbstats package for R

This paper introduces local distance-based generalized linear models. These models extend (weighted) distance-based linear models firstly with the generalized linear model concept, then by localizing. Distances between individuals are the only predictor information needed to fit these models. Therefore they are applicable to mixed (qualitative and quantitative) explanatory variables or when the regressor is of functional type. Models can be fitted and analysed with the R package dbstats, which implements several distancebased prediction methods.

Quantitative comparison between simulations of seismic wave propagation in heterogeneous poro-elastic media and equivalent visco-elastic solids for marine-type environments

There is increasing evidence to suggest that the presence of mesoscopic heterogeneities constitutes an important seismic attenuation mechanism in porous rocks. As a consequence, centimetre-scale perturbations of the rock physical properties should be taken into account for seismic modelling whenever detailed and accurate responses of specific target structures are desired, which is, however, computationally prohibitive. A convenient way to circumvent this problem is to use an upscaling procedure to replace each of the heterogeneous porous media composing the geological model by corresponding equivalent visco-elastic solids and to solve the visco-elastic equations of motion for the inferred equivalent model. While the overall qualitative validity of this procedure is well established, there are as of yet no quantitative analyses regarding the equivalence of the seismograms resulting from the original poro-elastic and the corresponding upscaled visco-elastic models. To address this issue, we compare poro-elastic and visco-elastic solutions for a range of marine-type models of increasing complexity. We found that despite the identical dispersion and attenuation behaviour of the heterogeneous poro-elastic and the equivalent visco-elastic media, the seismograms may differ substantially due to diverging boundary conditions, where there exist additional options for the poro-elastic case. In particular, we observe that at the fluid/porous-solid interface, the poro- and visco-elastic seismograms agree for closed-pore boundary conditions, but differ significantly for open-pore boundary conditions. This is an important result which has potentially far-reaching implications for wave-equation-based algorithms in exploration geophysics involving fluid/porous-solid interfaces, such as, for example, wavefield decomposition.

Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

Welfare characterization of monetary-applied models and three implications

This paper demonstrates that the applied monetary models - the Sidrauski-type models and the cash-in-advance models, augmented with a banking sector that supplies money substitutes services - imply trajectories which are Pareto-Optimum restricted to a given path of the real quantity of money. As a consequence, three results follow: First, Bailey’s formula to evaluate the welfare cost of inflation is indeed accurate, if the longrun capital stock does not depend on the inflation rate and if the compensate demand is considered. Second, the relevant money demand concept for this issue - the impact of inflation on welfare - is the monetary base. Third, if the long-run capital stock depends on the inflation rate, this dependence has a second-order impact on welfare, and, conceptually, it is not a distortion from the social point of view. These three implications moderate some evaluations of the welfare cost of the perfect predicted inflation.

Welfare characterization of monetary-applied models and three implications

This paper demonstrates that the applied monetary mo deIs - the Sidrauski-type models and the cash-in-advance models, augmented with a banking sector that supplies money substitutes services - imply trajectories which are P8,reto-Optimum restricted to a given path of the real quantity of money. As a consequence, three results follow: First, Bailey's formula to evaluate the wclfare cost of inflation is indeed accurate, if the long-run capital stock does not depend on the inflation rate and if the compensate demand is considered. Second, the relevant money demand concept for this issue - the impact of inflation on welfare - is the monetary base, Third, if the long-run capital stock depends on the inflation rate, this dependence has a second-order impact ou wclfare, and, conceptually, it is not a distortion from tite social point of vicw. These three implications moderatc some evaluations of the wclfare cost of the perfect predicted inflation.

Reality check for volatility models

Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark.

Mudanças dimensionais dos arcos dentários em crianças entre 3 e 6 anos de idade

Para o presente trabalho, 235 crianças pertencentes às creches da Prefeitura Municipal de Araraquara foram avaliadas e moldadas com um dispositivo confeccionado com cera utilidade e palito abaixador de língua na forma dos arcos dentários. No intervalo de um ano as mesmas crianças foram remoldadas afim de se verificar se houveram ou não mudanças nas dimensões do arco dentário decíduo. A partir da obtenção dos modelos em gesso, foram realizadas medições por meio de um dispositivo digitalizador tridimensional denominado MicroScribe-3DX nos instantes inicial (primeira moldagem) e final (moldagem após um ano). Foram avaliadas medidas referentes às distâncias inter-segundos molares, interprimeiros molares, intercaninos, perímetro, comprimento de arco e espaços primatas. Consideraram-se ainda dimorfismo sexual, tipo de arco e influência de hábitos. Concluiu-se que as dimensões transversais sofreram aumento significativo na dentadura decídua, enquanto que o perímetro, o comprimento e os espaços primatas permaneceram constantes. As distâncias intermolares apresentaram dimorfismo sexual, com dimensões maiores no gênero feminino. Com relação às medidas de perímetro, comprimento e espaços primatas não ocorreram diferenças significantes em relação ao gênero. As dimensões de comprimento nos arcos não diferem nos arcos decíduos Tipo I e Tipo II de Baume, enquanto que o diâmetro dos arcos Tipo I de Baume, são maiores do que os do Tipo II. Os hábitos de sucção de dedo e chupeta não provocaram alterações nas dimensões dos arcos decíduos no período observado, de um ano.

Gravitational interactions of integrable models

We couple non-linear sigma-models to Liouville gravity, showing that integrability properties of symmetric space models still hold for the matter sector. Using similar arguments for the fermionic counterpart, namely Gross-Neveu-type models, we verify that such conclusions must also hold for them, as recently suggested.

Loss of space and dental arch length after the loss of the lower first primary molar: A longitudinal study

The premature loss of primary teeth may harm the normal occlusal development, although there are debates relating to the necessity of using space maintainer appliances. The aim of the study is to evaluate the changes in the dental arch perimeter and the space reduction after the premature loss of the lower first primary molar in the mixed dentition stage. The sample consists of 4 lower arch plaster models of 31 patients, within the period of pre-extraction, 6, 12 and 18 months after the lower first primary molar extraction. A reduction of space was noted with the cuspid dislocation and the permanent incisors moving toward the space of the extraction site. It was concluded that the lower first molar primary premature loss, during the mixed dentition, implicates an immediate placement of a space maintainer.

A new way of analyzing occlusion 3 dimensionally

This article introduces a new method for 3-dimensional dental cast analysis, by using a mechanical 3-dimensional digitizer, MicroScribe 3DX (Immersion, San Jose, Calif), and TIGARO software (not yet released, but available from the author at hayasaki@dent.kyushu-u.ac.jp). By digitizing points on the model, multiple measurements can be made, including tooth dimensions; arch length, width, and perimeter; curve of Spee; overjet and overbite; and anteroposterior discrepancy. The bias of the system can be evaluated by comparing the distance between 2 points as determined by the new system and as measured with digital calipers. Fifteen pairs of models were measured digitally and manually, and the bias was evaluated by comparing the variances of both methods and checking for the type of error obtained by each method. No systematic errors were found. The results showed that the method is accurate, and it can be applied to both clinical practice and research. Copyright © 2005 by the American Association of Orthodontists.