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Author: Francesca Lilla Publisher: ISBN: Category : Languages : en Pages : 37
Book Description
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem, such as the discreteness of the data, the properties of the trading mechanism and the existence of bid-ask spread. Moreover, these data are not always available and, even if they are, the asset's liquidity may be not sufficient to allow for frequent transactions. This paper considers different variants of these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF-data models at 5% and 1% VaR level. Specifically, independently from the data frequency, allowing for jumps in price (or providing fat-tails) and leverage effects translates in more accurate VaR measure.
Author: Francesca Lilla Publisher: ISBN: Category : Languages : en Pages : 37
Book Description
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem, such as the discreteness of the data, the properties of the trading mechanism and the existence of bid-ask spread. Moreover, these data are not always available and, even if they are, the asset's liquidity may be not sufficient to allow for frequent transactions. This paper considers different variants of these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF-data models at 5% and 1% VaR level. Specifically, independently from the data frequency, allowing for jumps in price (or providing fat-tails) and leverage effects translates in more accurate VaR measure.
Author: Norden Eh Huang Publisher: World Scientific ISBN: 9812703349 Category : Mathematics Languages : en Pages : 326
Book Description
The HilbertOCoHuang Transform (HHT) represents a desperate attempt to break the suffocating hold on the field of data analysis by the twin assumptions of linearity and stationarity. Unlike spectrograms, wavelet analysis, or the WignerOCoVille Distribution, HHT is truly a time-frequency analysis, but it does not require an a priori functional basis and, therefore, the convolution computation of frequency. The method provides a magnifying glass to examine the data, and also offers a different view of data from nonlinear processes, with the results no longer shackled by spurious harmonics OCo the artifacts of imposing a linearity property on a nonlinear system or of limiting by the uncertainty principle, and a consequence of Fourier transform pairs in data analysis. This is the first HHT book containing papers covering a wide variety of interests. The chapters are divided into mathematical aspects and applications, with the applications further grouped into geophysics, structural safety and visualization.
Author: Andrew Skidmore Publisher: CRC Press ISBN: 0203302214 Category : Technology & Engineering Languages : en Pages : 268
Book Description
Most government agencies and private companies are investing significant resources in the production and use of geographical data. The capabilities of Geographical Information Systems (GIS) for data analysis are also improving, to the extent that the potential performance of GIS software and the data available for analysis outstrip the abilities of
Author: Michael C. Dietze Publisher: Princeton University Press ISBN: 1400885450 Category : Science Languages : en Pages : 285
Book Description
An authoritative and accessible introduction to the concepts and tools needed to make ecology a more predictive science Ecologists are being asked to respond to unprecedented environmental challenges. How can they provide the best available scientific information about what will happen in the future? Ecological Forecasting is the first book to bring together the concepts and tools needed to make ecology a more predictive science. Ecological Forecasting presents a new way of doing ecology. A closer connection between data and models can help us to project our current understanding of ecological processes into new places and times. This accessible and comprehensive book covers a wealth of topics, including Bayesian calibration and the complexities of real-world data; uncertainty quantification, partitioning, propagation, and analysis; feedbacks from models to measurements; state-space models and data fusion; iterative forecasting and the forecast cycle; and decision support. Features case studies that highlight the advances and opportunities in forecasting across a range of ecological subdisciplines, such as epidemiology, fisheries, endangered species, biodiversity, and the carbon cycle Presents a probabilistic approach to prediction and iteratively updating forecasts based on new data Describes statistical and informatics tools for bringing models and data together, with emphasis on: Quantifying and partitioning uncertainties Dealing with the complexities of real-world data Feedbacks to identifying data needs, improving models, and decision support Numerous hands-on activities in R available online
Author: Bernhard Fleck Publisher: Springer Science & Business Media ISBN: 9400901917 Category : Science Languages : en Pages : 536
Book Description
SOHO, the Solar and Heliospheric Observatory, is a project of international cooperation between ESA and NASA to study the Sun, from its deep core to the outer corona, and the solar wind. To achieve its scientific goals it carries a complement of twelve sophisticated, state-of-the-art instruments. Three helioseismology instruments are expected to provide unique data for the study of the structure and dynamics of the solar interior, from the very deep core to the outermost layers of the convection zone. A set of five complementary remote sensing instruments, consisting of EUV and UV imagers, spectrographs and coronagraphs, will give us our first comprehensive view of the outer solar atmosphere and corona, leading to a better understanding of the enigmatic coronal heating and solar wind acceleration processes. Finally, three experiments will complement the remote sensing observations by making in-situ measurements of the composition and energy of the solar wind and charged energetic particles. This volume contains detailed descriptions of all the twelve instruments on board SOHO. Also included are an overview paper and a description of the SOHO ground system, science operations and data products. The aim of these papers is to make the broader scientific community, and in particular potential guest investigators, aware of the scientific objectives and capabilities of the SOHO payload and to provide a reference document for the various instruments.
Author: Jakob Flury Publisher: Springer Science & Business Media ISBN: 3540295224 Category : Technology & Engineering Languages : en Pages : 484
Book Description
In the recent years, space-based observation methods have led to a subst- tially improved understanding of Earth system. Geodesy and geophysics are contributing to this development by measuring the temporal and spatial va- ations of the Earth’s shape, gravity ?eld, and magnetic ?eld, as well as at- sphere density. In the frame of the GermanR&D programmeGEOTECHNO- LOGIEN,researchprojectshavebeen launchedin2002relatedto the satellite missions CHAMP, GRACE and ESA’s planned mission GOCE, to comp- mentary terrestrial and airborne sensor systems and to consistent and stable high-precision global reference systems for satellite and other techniques. In the initial 3-year phase of the research programme (2002-2004), new gravity ?eld models have been computed from CHAMP and GRACE data which outperform previous models in accuracy by up to two orders of m- nitude for the long and medium wavelengths. A special highlight is the - termination of seasonal gravity variations caused by changes in continental water masses. For GOCE, to be launched in 2006, new gravity ?eld analysis methods are under development and integrated into the ESA processing s- tem. 200,000 GPS radio occultation pro?les, observed by CHAMP, have been processed on an operational basis. They represent new and excellent inf- mation on atmospheric refractivity, temperature and water vapor. These new developments require geodetic space techniques (such as VLBI, SLR, LLR, GPS) to be combined and synchronized as if being one global instrument.
Author: Horst Montag Publisher: Springer Science & Business Media ISBN: 3642781497 Category : Science Languages : en Pages : 482
Book Description
The investigation of the kinematics and dynamics of the Earth has achieved remarkable progresses in the last decades in understanding and explaining a large variety of geo- dynamical, geophysical and geological phenomena. The impact of increasingly precise geodetic space-time measurements and analyses have much contributed to these results. Papers presented atthe 7th International Symposium on Geodesy and Physics of the Earth focus onfour topics: - Present Day Tectonic Motions - Gravity Field and its Variation - Earth Rotation Characteristics - International Programs for Geodesy and Geodynamics Researchers and advanced students may use this volume as a comprehensive reference of concepts, techniques and results.
Author: Shunlin Liang Publisher: Elsevier ISBN: 0128032219 Category : Science Languages : en Pages : 3183
Book Description
Comprehensive Remote Sensing, Nine Volume Set covers all aspects of the topic, with each volume edited by well-known scientists and contributed to by frontier researchers. It is a comprehensive resource that will benefit both students and researchers who want to further their understanding in this discipline. The field of remote sensing has quadrupled in size in the past two decades, and increasingly draws in individuals working in a diverse set of disciplines ranging from geographers, oceanographers, and meteorologists, to physicists and computer scientists. Researchers from a variety of backgrounds are now accessing remote sensing data, creating an urgent need for a one-stop reference work that can comprehensively document the development of remote sensing, from the basic principles, modeling and practical algorithms, to various applications. Fully comprehensive coverage of this rapidly growing discipline, giving readers a detailed overview of all aspects of Remote Sensing principles and applications Contains ‘Layered content’, with each article beginning with the basics and then moving on to more complex concepts Ideal for advanced undergraduates and academic researchers Includes case studies that illustrate the practical application of remote sensing principles, further enhancing understanding
Author: László J. Kulcsár Publisher: Springer Science & Business Media ISBN: 940071842X Category : Social Science Languages : en Pages : 401
Book Description
This is the third in an essential series of Springer handbooks that explore key aspects of the nexus between demography and social science. With an inclusive international perspective, and founded on the principles of social demography, this handbook shows how the rural population, which recently dropped below 50 per cent of the world total, remains a vital segment of society living in proximity to much-needed developmental and amenity resources. The rich diversity of rural areas shapes the capacity of resident communities to address far-reaching social, environmental and economic challenges. Some will survive, become sustainable and even thrive, while others will suffer rapid depopulation. This handbook demonstrates how these future development trajectories will vary according to local characteristics including, but not limited to, population composition. The growing complexity of rural society is in part a product of significant international variations in population trends, making this comparative and comprehensive study of rural demography all the more relevant. Collating the latest research on international rural demography, the handbook will be an invaluable aid to policy makers as they try to understand how demographic dynamics depend on the economic, social and environmental characteristics of rural areas. It will also aid researchers assessing the unique factors at play in the rural context and endeavoring to produce meaningful results that will advance policy and scholarship. Finally, the handbook is an ideal text for graduate students in a spread of disciplines from sociology to international development.
Author: Francesca Lilla
Author: Francesca Lilla
Author: Norden Eh Huang
Author: Andrew Skidmore
Author: Chaopeng Shen
Author: Michael C. Dietze
Author: Bernhard Fleck
Author: Jakob Flury
Author: Horst Montag
Author: Shunlin Liang
Author: László J. Kulcsár