Variance estimation is central to many questions in finance and economics. Until now ex-post variance estimation has been based on infill asymptotic assumptions that exploit high-frequency data. This paper offers a new exact finite sample approach to estimating ex-post variance using Bayesian nonparametric methods. In contrast to the classical counterpart, the proposed method exploits pooling o...

This paper assesses the robustness of the relative performance of spotand optionsbased volatility forecasts to the treatment of microstructure noise. Robustness of the results to the method of constructing option-implied forecasts is also investigated. Using a test for superior predictive ability, model-free implied volatility, which exploits information in the volatility ‘smile’, and at-the-mo...

In the paper there will be introduced method for relative determination of induced kinetic energy of hardened balls on treated surface, which was invented by J. Alemen. In our experimental work we were focused on measuring Barkhausen noise signals and comparison with microstructure, microhardness, and residual stress analysis of surface roughness. In process of shot peening there is occurrence ...

Submerged arc welding is used widely in oil and gas industry construction for storage tanks, pressure vessels, shipbuilding and etc. One of the processes of submerged arc welding is back gouging operations. This paper presents a way to remove the back gouging operation from the submerged arc welding process. For this purpose, effects of submerged arc welding parameters onA516-70steel sample wer...

in recent years noise has been well known as an environmental pollution. particularly its effects will be more serious in some environments including hospitals which patients need a calm and peaceful condition. this study aims to evaluate hospitals noise pollution level. this study is a cross-sectional study. noise measurements were made in all hospital wards in a workday and weekend from 8 to ...

We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by unexpected volatility only, that is by the fraction of volatility which cannot be forecasted. The im...

Introduction: Diffusion tensor imaging (DTI) is widely used for the study of white matter (WM) diseases and fractional anisotropy (FA) is commonly used as a measure of WM integrity. However, FA is also highly sensitive to such factors as non-Gaussian diffusion, crossing fibers and imaging noise, which may impair its specificity. Other DT measures, such as axial diffusivity (Da) and radial diffu...

Inexpensive and easy-to-use linear and area-array scanners have frequently substituted as colorimeters and densitometers for low-frequency (i.e., large area) hard copy image measurement. Increasingly, scanners are also being used for high spatial frequency, image microstructure measurements, which were previously reserved for high performance microdensitometers. In this paper we address charact...

We address the nonparametric model validation problem for hidden Markov models with partially observable variables and hidden states. We achieve this goal by constructing a nonparametric simultaneous confidence envelope for transition density function of the observable variables and checking whether the parametric density estimate is contained within such an envelope. Our specification test pro...

There has in recent years been a vast increase in the amount of high frequency data available. There has also been an explosion in the literature on the subject. In this course, we start from scratch, introducing the probabilistic model for such data, and then turn to the estimation question in this model. We shall be focused on the (for this area) emblematic problem of estimating volatility. S...