Related papers: Interpolation and Prewar-Postwar Output Volatility…
The steady-state current-voltage response of ion-selective systems varies as the number of ion-selective components is varied. For the highly investigated unipolar system, including only one ion-selective component, it has been shown that…
We analyse four consecutive cycles observed in the USA for employment and inflation. They are driven by three oil price shocks and an intended interest rate shock. Non-linear coupling between the rate equations for consumer products as prey…
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve…
This paper studies the joint role of long-memory dynamics,rough-volatility behavior, and persistence-based forecasting features in equity volatility modeling. We combine semiparametric long-memory estimation, rough-volatility diagnostics,…
We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information filtering networks we device a new tool for forecasting the…
Statistical static timing analysis deals with the increasing variations in manufacturing processes to reduce the pessimism in the worst case timing analysis. Because of the correlation between delays of circuit components, timing model…
On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures can not be directly applied to the raw data. There are two ways to deal with this problem. The time series can be homogenised through an…
Given a set of snapshots from a temporal network we develop, analyze, and experimentally validate a so-called network interpolation scheme. Our method allows us to build a plausible, albeit random, sequence of graphs that transition between…
This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…
One way to investigate the precision of estimates likely to result from planned experiments and planned epidemiological studies is to simulate a large number of possible outcomes and analyse the sets of possible results. This appears to be…
We develop a procedure for forecasting the volatility of a time series immediately following a news shock. Adapting the similarity-based framework of Lin and Eck (2020), we exploit series that have experienced similar shocks. We aggregate…
Time series forecasting has played a significant role in many practical fields. But time series data generated from real-world applications always exhibits high variance and lots of noise, which makes it difficult to capture the inherent…
We examine the necessity of interpolation in overparameterized models, that is, when achieving optimal predictive risk in machine learning problems requires (nearly) interpolating the training data. In particular, we consider simple…
This follow-up article analyzes the impact of foreign exchange option interpolation on the vanilla option implied volatilities. In particular different exact interpolations of broker quotes may lead to different implied volatilities at the…
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While overnight volatility is significantly (and positively)…
Volatility is a quantity of measurement for the price movements of stocks or options which indicates the uncertainty within financial markets. As an indicator of the level of risk or the degree of variation, volatility is important to…
We investigate how crises alter societies by analyzing the timing and channels of change using a longitudinal multi-wave survey of a representative sample of Americans throughout 2020. This methodology allows us to overcome some of the…
Numerical simulations of the propagation of charged particles through magnetic fields solving the equation of motion often leads to the usage of an interpolation in case of discretely defined magnetic fields, typically given on a…
A measurement consists in coupling a system to a probe and reading the output of the probe to gather information about the system. The weaker the coupling, the smaller the back-action on the system, but also the less information conveyed.…
This paper studies the possibility of using the survival function to predict long term stability by extrapolation. The survival function is a function of the initial coordinates and is the number of turns a particle will survive for a given…