Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

Sum rules and correlations in asymmetric nuclear matter

The neutron and proton single-particle spectral functions in asymmetric nuclear matter fulfill energy-weighted sum rules. The validity of these sum rules within the self-consistent Green's function approach is investigated. The various contributions to these sum rules and their convergence as a function of energy provide information about correlations induced by the realistic interaction between the nucleons. The study of the sum rules in asymmetric nuclear matter exhibits the isospin dependence of the nucleon-nucleon correlations.

Sum rules and correlations in asymmetric nuclear matter

The neutron and proton single-particle spectral functions in asymmetric nuclear matter fulfill energy-weighted sum rules. The validity of these sum rules within the self-consistent Green's function approach is investigated. The various contributions to these sum rules and their convergence as a function of energy provide information about correlations induced by the realistic interaction between the nucleons. The study of the sum rules in asymmetric nuclear matter exhibits the isospin dependence of the nucleon-nucleon correlations.

Competition and dispersal in the pea aphid: clonal variation and correlations across traits

1. The presence of an across-species trade-off between dispersal ability and competitive ability has been proposed as a mechanism that facilitates coexistence. It is not clear if a similar trade-off exists within species. Such a trade-off would constrain the evolution of either trait and, given appropriate selection pressures, promote local adaptation in these traits. 2. This study found substantial levels of heritable variation in competitive ability of the pea aphid, Acyrthosiphon pisum Harris (Homoptera: Aphididae), measured in terms of relative survival when reared with a single clone of the vetch aphid, Megoura viciae Buckton (Homoptera: Aphididae). 3. Pea aphids can move to new patches by either flying (longer distance dispersal) or walking (local dispersal) from plant to plant. There was considerable clonal variation in dispersal ability, measured in terms of the proportion of winged offspring produced, and ability to survive away from their host plant. 4. Winged individuals showed longer off-plant survival times than wingless forms of the same pea aphid clone. 5. There was no evidence of a relationship between clonal competitive ability and either measure of dispersal ability, although the power of the test is limited by the number of pea aphid clones used in the trial. 6. However, there was a positive correlation between clonal fecundity and the proportion of winged offspring produced. Although speculative, it is suggested that clones that are more likely to either overwhelm their host plant or attract higher numbers of natural enemies as a result of having higher fecundity are more likely to produce winged morphs.

Drizzle and Fog Analysis in the Sao Paulo Metropolitan Area: Changes 1933-2005 and Correlations with other Climate Factors

In order to improve our understanding of climate change, the aim of this research project was to study the climatology and the time trends of drizzle and fog events in the Sao Paulo Metropolitan Area, and the possible connections of this variability with the sea surface temperature (SST) of the Atlantic and Pacific Oceans. The climatology of both phenomena presents differences and similarities. Fog shows a marked maximum frequency in winter and a minimum frequency in summer, while the seasonal differences of drizzle occurrence are less pronounced, there is a maximum in spring, whereas the other seasons present smaller and similar numbers of events. Both phenomena present a negative trend from 1933 to 2005 which is stronger for fog events. A multivariate statistical analysis indicates that the South Atlantic SST could increase warm temperature advection to the continent. This could be one of the responsible factors for the negative tendency in the number of both fog and drizzle events.

Ranking of Nellore animals in cattle championships: genetic parameters and correlations with production traits

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Neoproterozoic glacial deposits from the Aracuai orogen, Brazil: Age, provenance and correlations with the Sao Francisco craton and West Congo belt

Glacigenic diamictite successions of the Macaubas Group are widespread in the western domain of the Aracuai orogen, east of the Sao Francisco craton (Brazil). Diamictites also occur on this craton and in the African counterpart of the Aracuai orogen, the West Congo belt. Detrital zircon grains from the matrix of diamictites and sandstones from the Macaubas Group were dated by the U-Pb SHRIMP technique. The geochronological study sets the maximum depositional age of the glacial diamictites at 900 Ma, and indicates multiple sources for the Macaubas basin with ages ranging from 900 to 2800 Ma. Sm-Nd T-DM model ages, determined on whole rock samples, range from 1.8 Ga to 2.5 Ga and get older up-section. Comparison of our data with those from the cratonic area suggest that these glacial deposits can be correlated to the Jequitai and Carrancas diamictites in the Sao Francisco craton, and to the Lower Mixtite Formation of the West Congolian Group, exposed in Africa. The 900-1000 Ma source is most probably represented by the Zadinian-Mayumbian volcanic rocks and related granites from the West Congo belt. However, one of the most voluminous sources, with ages in the 1.1-1.3 Ga interval, has not been detected in the Sao Francisco-Congo craton. Possible sources for these grains could occur elsewhere in Africa, or possibly from within the Brasilia Belt in western central Brazil. (C) 2011 International Association for Gondwana Research. Published by Elsevier B.V. All rights reserved.

Measurements and correlations of the isobaric vapor-liquid equilibria of binary mixtures and excess properties for mixtures containing and alkyl (Methyl, Ethyl) butanoate with an alkane (Heptane, Nonane) at 101.32 kPa.

[EN]In this work, the measurements of the isobaric vapor−liquid equilibrium (VLE) data at 101.32 kPa and the excess molar volumes (vE), obtained at 10 K intervals of temperature in the range (288.15 to 328.15) K, for four binary systems comprised of methyl or ethyl butanoate with two alkanes (heptane and nonane) are presented.

The association of sexual behavior with oropharyngeal cancer and correlations with HPV-16 serologic status

Objectives. This hospital-based case-case study compared the characteristics of sexual behavior in patients with cancer of the oropharynx to patients with cancers of other head and neck sites. Additionally, the prevalence of certain sexual behaviors of HPV-16 seropositive head and neck cancer patients was compared to that of seronegative patients. ^ Methods. One hundred sixty five oropharyngeal cancer patients and 86 patients with cancers of other head and neck sites completed a sexual history questionnaire. ^ Results. Oropharyngeal cancer patients were significantly more likely to have had a greater number of lifetime sex partners, to have engaged in oral-genital sex, and to have had a greater number of oral-genital sex partners than non-oropharyngeal cancer patients. Oral-genital sex was significantly more common in the HPV-16 seropositive group. ^ Conclusion. These findings add to the evidence that HPV-16 is sexually transmitted to the upper aerodigestive tract and that certain sexual behaviors increase the risk for HPV-associated oropharyngeal cancer. ^

Stratigraphic update of the Cenozoic Sub-Numidian formations of the Tunisian Tell (North Africa): Tectonic/sedimentary evolution and correlations along the Maghrebian Chain

The Sub-Numidian Tertiary stratigraphic record of the Tunisian Tell has been updated by means of 11 stratigraphic successions belonging to the Maghrebian Flysch Basin (N-African Margin) reconstructed in the Tunisian Numidian Zone and the Triassic Dome Zone. The Sub-Numidian successions studied range from the Paleocene to the Priabonian, representing a major change in the sedimentation from the latest Cretaceous onwards. The Sub-Numidian succession and the Numidian Formation are separated by an Intermediate interval located between two erosive surfaces (local paraconformities). The stratigraphic analysis has revealed diachronous contacts between distal slope to basinal sedimentary formation, allowing the identification of an Early Eocene Chouabine marker bed. The integrated biostratigraphic analysis made by means of planktonic foraminifera and calcareous nannoplankton updates the ages of the formations studied, proving younger than previously thought. The new definition of the Sub-Numidian stratigraphy enables a better correlation with equivalent successions widely outcropping along the Maghrebian, Betic, and southern Apennine Chains. The study proposes a new evolutionary tectonic/sedimentary model for this Tunisian sector of the Maghrebian Chain during the Paleogene after the Triassic–Cretaceous extensional regime. This paleogeographic reorganization is considered a consequence of the beginning of the tectonic inversion (from extensional to compressional), leading to the end of the preorogenic sedimentation. Our results suggest a non-tabular stratigraphy (marked by lateral changes of lithofacies, variable thicknesses, and the presence of diachronous boundaries) providing significant elements for a re-evaluation of active petroleum systems on the quality, volume, distribution, timing of oil generation, and on the migration and accumulation of the oil.

Fluctuations and correlations in sandpiles and interfaces with boundary pinning

Interfaces are studied in an inhomogeneous critical state where boundary pinning is compensated with a ramped force. Sandpiles driven off the self-organized critical point provide an example of this ensemble in the Edwards-Wilkinson (EW) model of kinetic roughening. A crossover from quenched to thermal noise violates spatial and temporal translational invariances. The bulk temporal correlation functions have the effective exponents β1D∼0.88±0.03 and β2D∼0.52±0.05, while at the boundaries βb,1D/2D∼0.47±0.05. The bulk β1D is shown to be reproduced in a randomly kicked thermal EW model.

Fluctuations and correlations in sandpiles and interfaces with boundary pinning

Interfaces are studied in an inhomogeneous critical state where boundary pinning is compensated with a ramped force. Sandpiles driven off the self-organized critical point provide an example of this ensemble in the Edwards-Wilkinson (EW) model of kinetic roughening. A crossover from quenched to thermal noise violates spatial and temporal translational invariances. The bulk temporal correlation functions have the effective exponents β1D∼0.88±0.03 and β2D∼0.52±0.05, while at the boundaries βb,1D/2D∼0.47±0.05. The bulk β1D is shown to be reproduced in a randomly kicked thermal EW model.

Immunocytes of the Atlantic bottlenose dolphin (Tursiops truncatus) and West Indian manatee (Trichechus manatus latirostris): Morphologic characterizations and correlations between healthy and disease states under free-ranging and captive conditions

Interest in the health of marine mammals has increased due, in part, to the attention given to human impact on the marine environment. Recent mass strandings of the Atlantic bottlenose dolphin (Tursiops truncatus) and rising mortalities of the endangered Florida manatee (Trichechus manatus latirostris) have raised questions on the extent to which pollution, infectious disease, "stress," and captivity influence the immune system of these animals. This study has provided the first in-depth characterization of immunocytes in the peripheral blood of dolphins (n = 190) and manatees (n = 56). Immunocyte morphology and baseline values were determined in clinically normal animals under free-ranging, stranded and captive living conditions as well as by age and sex. Additionally, immunocyte population dynamics were characterized in sick animals. This was accomplished with traditional cytochemical techniques and new lymphocyte phenotyping methodology which was validated in this study. Traditional cytochemical techniques demonstrated that blood immunocyte morphology and cell numbers are similar to terrestrial mammals with some notable exceptions. The manatee heterophilic granulocyte is a morphologically unique cell and probably functions similarly to the typical mammalian neutrophil. Eosinophils were rarely found in manatees but were uncommonly high in healthy and sick dolphins. Basophils were not identified. Manatees had higher total lymphocyte numbers compared to dolphins and most terrestrial mammals. Lymphocyte subsets identified in healthy animals included T$\rm\sb{h}$, T$\rm\sb{c/s}$, B and NK cells. Dolphin and manatee T and B cell values were higher than those reported in man and most terrestrial mammals. The manatee has extraordinarily high absolute numbers of circulating T$\rm\sb{h}$ cells which suggests an enhanced immunological response capability. With few exceptions, immunocyte types and absolute numbers were not significantly different between free-ranging, stranded and captive categories or between sex and age categories. The evaluation of immunocyte dynamics in various disease states demonstrated a wide variation in cellular responses which provided new insights into innate, humoral and cell-mediated immunity in these species. Additionally, this study demonstrated that lymphocyte phenotyping has diagnostic significance and could be developed into a potential indicator of immunocompetence in both free-ranging and captive dolphin and manatee populations.