in this research, the correlation between precipitation change in southern coasts of caspian sea and variability of sea level pressure have been analyzed by using environmental to circulation approach at time period 1339- 1383. in this respect, we make use of daily precipitation data of the 12 synoptic stations of studied area at surface data base section and prepare the time series matrix of p...

In this paper we propose a new method for producing semiparametric density forecasts for daily financial returns from high-frequency intraday data. The daily return density is estimated directly from intraday observations that have been appropriately rescaled using results from the theory of unifractal processes. The method preserves information concerning both the magnitude and sign of the int...

This study examines the relation between the bid-ask spread from the daily CRSP data and the bid-ask spread from the intraday TAQ data. We show that the CRSP-based spread is highly correlated with the TAQ-based spread across stocks using data from 1993 through 2009. The simple CRSP-based spread provides a better approximation of the TAQ-based spread than all other low-frequency liquidity measur...

Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases, the quality of forecasts should improve. Yet, there is no consensus about a “true” or "best" measure of volatility. In this paper we propose to jointly consider absolute daily returns, daily high-low range and daily realized volatility to develop a forecasting model based on th...

The increased human mobility, combined with high use of private cars, increases the load on the environment and raises issues about the quality of life. The use of private cars lends to high levels of air pollution in cities, parking problems, noise pollution, congestion, and the resulting low transfer velocity (and, thus, inefficiency in the use of public resources). Public transportation serv...