Financial prices are often discretized�with smallest tick size of one cent, for example. Thus prices involve rounding errors. Rounding errors affect the estimation of volatility, and understanding them is critical, particularly when using high frequency data. We study the asymptotic behavior of realized volatility (RV), which is commonly used as an estimator of integrated volatility. …

Elly Nurlia Rustiani, Pengaruh Program Remedial Dan Gaya Kognitif Terhadap Hasil Belajar Matematika( Eksperimen di SMP Negeri 171 Jakarta ). Tesis. Program Studi Penelitian dan Evaluasi Pendidikan Sekolah Pascasarjana Universitas Muhammadiyah Prof. DR. HAMKA. Jakarta. Januari 2015. Tesis ini bertujuan mengungkapkan dan menganalisis perbedaan hasil belajar Matematika bagi siswa yang mengiku…

Tahun Terbit

2014

Tahun Terbit

2014

Statistical theory has been relatively absent in the exercise of estimating parameters of an option pricing model from cross-sectional data at a fixed point of calendar time. The cross-sectional data typically consists of prices for options at various strikes and maturities at market close. The problem has been the formulation of an error model consistent with no arbitrage conditions satisfied …

Standard Gaussian affine dynamic term structure models do not rule out negative nominal interest rates�a conspicuous defect with yields near zero in many countries. Alternative shadow-rate models, which respect the nonlinearity at the zero lower bound, have been rarely used because of the extreme computational burden of their estimation. However, by valuing the call option on negative…

As a bioinvasion spreads across a landscape from its point of introduction, damages rise roughly with the square of the distance from the original invasion. It is thus generally beneficial, at the landscape scale, to apply eradication or containment controls early if not immediately upon discovery. However, an individual property owner only has incentives to consider the costs and benefits of c…

In this article, we compare the local asymptotic and finite sample power of two recently proposed recursive right-tailed Dickey�Fullertype tests for an explosive rational bubble in asset prices. It is shown that the power of the two tests can differ substantially depending on the location of the explosive regime, and whether such a regime ends in collapse. Since this information is typica…

A bias-corrected nonparametric estimator of daily quadratic variations is proposed. The estimator is a convex combination of two realized kernels with different bandwidths. It converges to the true quadratic variation at the best parametric rate in the presence of a serially dependent noise. Its asymptotic distribution is correctly centered, thus facilitating the feasible inference of an es…

Technological changes in agriculture tend to alter the mass associated with segments or components of the yield distribution as opposed to simply shifting the entire distribution upwards. We propose modeling crop yields using mixtures with embedded trend functions to account for potentially different rates of technological change in different components of the yield distribution. By doing so we…