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We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in the presence of market microstructure noise, under several different dynamics for the v ...
The emergence of new big consumer countries on the energy markets and the perspective of oil and gas depletion at the end of the current century raise the concerns about fair distribution of the remaining resources for the common and sustainable wellbeing ...
We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit ...
Measurements of atmospheric gases and fine particle chemistry were made in the Mexico City Metropolitan Area (MCMA) at a site ∼30 km down wind of the city center. Ammonium nitrate (NH4NO3) dominated the inorganic aerosol fraction and showed a distinct diur ...
Natural killer (NK) cells show enhanced functional competence when they express inhibitory receptors specific for inherited major histocompatibility complex class I (MHC-I) molecules. Current models imply that NK cell education requires an interaction of i ...
We show a double path mechanism for the formation of charged excitons (trions); they are formed through bi- and trimolecular processes. This directly implies that both negatively and positively charged excitons coexist in a quantum well, even in the absenc ...
A random variable dominates another random variable with respect to the covariance order if the covariance of any two monotone increas- ing functions of this variable is smaller. We characterize completely the covariance order, give strong sufficient conditi ...
This paper describes the effect of Muller-Lyer illusion on a reaching movement just after the visual and haptic/kinesthetic cues are simultaneously presented. First, a standard experiment on this visual illusion is conducted by means of the most typical wa ...
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We consider communication over the binary erasure and the binary additive white gaussian noise channels using fixed linear block codes and also appropriate ensembles of such codes. We show concentration of the magnetization over the channel realizations an ...
We report evidence that the co-movements of index options and index futures quotes differ sharply from perfect correlation in periods with option trades. In half-hour intervals with (without) option trades 25% (12%) of call option quote changes have either ...