Consistent Pretesting for Jumps

Consistent Pretesting for Jumps
Author: Valentina Corradi
Publisher:
Total Pages: 0
Release: 2014
Genre:
ISBN:

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If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to consistently pretest for jumps, prior to estimating jump diffusions. Many currently available tests have power against the presence of jumps over a finite time span (typically a day or a week); and, as already noted by various authors, jumps may not be observed over finite time spans, even if the intensity parameter is strictly positive. Such tests cannot be consistent against non-zero intensity. Moreover, sequential application of finite time span tests usually leads to sequential testing bias, which in turn leads to jump discovery with probability one, in the limit, even if the true intensity is identically zero. This paper introduces tests for jump intensity, based on both in-fill and long-span asymptotics, which solve both the test consistency and the sequential testing bias problems discussed above, in turn facilitating consistent estimation of jump diffusion models. A self excitement test is also introduced, which is designed to have power against path dependent intensity, thus providing a direct test for the Hawkes diffusion model of Ait-Sahalia, Cacho-Diaz and Laeven (2013). In a series of Monte Carlo experiments, the proposed tests are evaluated, and are found to perform adequately in finite samples.

Financial, Macro and Micro Econometrics Using R

Financial, Macro and Micro Econometrics Using R
Author: Hrishikesh D. Vinod
Publisher: North Holland
Total Pages: 350
Release: 2020-01-24
Genre:
ISBN: 0128202505

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Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art

Essentials of Strength Training and Conditioning

Essentials of Strength Training and Conditioning
Author: Thomas R. Baechle
Publisher: Human Kinetics
Total Pages: 660
Release: 2008
Genre: Education
ISBN: 9780736058032

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Now in its third edition, Essentials of Strength Training and Conditioningis the most comprehensive reference available for strength and conditioning professionals. In this text, 30 expert contributors explore the scientific principles, concepts, and theories of strength training and conditioning as well as their applications to athletic performance. Essentials of Strength Training and Conditioningis the most-preferred preparation text for the Certified Strength and Conditioning Specialist (CSCS) exam. The research-based approach, extensive exercise technique section, and unbeatable accuracy of Essentials of Strength Training and Conditioningmake it the text readers have come to rely on for CSCS exam preparation. The third edition presents the most current strength training and conditioning research and applications in a logical format designed for increased retention of key concepts. The text is organized into five sections. The first three sections provide a theoretical framework for application in section 4, the program design portion of the book. The final section offers practical strategies for administration and management of strength and conditioning facilities. -Section 1 (chapters 1 through 10) presents key topics and current research in exercise physiology, biochemistry, anatomy, biomechanics, endocrinology, sport nutrition, and sport psychology and discusses applications for the design of safe and effective strength and conditioning programs. -Section 2 (chapters 11 and 12) discusses testing and evaluation, including the principles of test selection and administration as well as the scoring and interpretation of results. -Section 3 (chapters 13 and 14) provides techniques for warm-up, stretching, and resistance training exercises. For each exercise, accompanying photos and instructions guide readers in the correct execution and teaching of stretching and resistance training exercises. This section also includes a set of eight new dynamic stretching exercises. -Section 4 examines the design of strength training and conditioning programs. The information is divided into three parts: anaerobic exercise prescription (chapters 15 through 17), aerobic endurance exercise prescription (chapter 18), and periodization and rehabilitation (chapters 19 and 20). Step-by-step guidelines for designing resistance, plyometric, speed, agility, and aerobic endurance training programs are shared. Section 4 also includes detailed descriptions of how principles of program design and periodization can be applied to athletes of various sports and experience levels. Within the text, special sidebars illustrate how program design variables can be applied to help athletes attain specific training goals. -Section 5 (chapters 21 and 22) addresses organization and administration concerns of the strength training and conditioning facility manager, including facility design, scheduling, policies and procedures, maintenance, and risk management. Chapter objectives, key points, key terms, and self-study questions provide a structure to help readers organize and conceptualize the information. Unique application sidebars demonstrate how scientific facts can be translated into principles that assist athletes in their strength training and conditioning goals. Essentials of Strength Training and Conditioningalso offers new lecture preparation materials. A product specific Web site includes new student lab activities that instructors can assign to students. Students can visit this Web site to print the forms and charts for completing lab activities, or they can complete the activities electronically and email their results to the instructor. The instructor guide provides a course description and schedule, chapter objectives and outlines, chapter-specific Web sites and additional resources, definitions of primary key terms, application questions with recommended answers, and links to the lab activities. The presentation package and image bank, delivered in Microsoft PowerPoint, offers instructors a presentation package containing over 1,000 slides to help augment lectures and class discussions. In addition to outlines and key points, the resource also contains over 450 figures, tables, and photos from the textbook, which can be used as an image bank by instructors who need to customize their own presentations. Easy-to-follow instructions help guide instructors on how to reuse the images within their own PowerPoint templates. These tools can be downloaded online and are free to instructors who adopt the text for use in their courses. Essentials of Strength Training and Conditioning, Third Edition,provides the latest and most comprehensive information on the structure and function of body systems, training adaptations, testing and evaluation, exercise techniques, program design, and organization and administration of facilities. Its accuracy and reliability make it not only the leading preparation resource for the CSCS exam but also the definitive reference that strength and conditioning professionals and sports medicine specialists depend on to fine-tune their practice.

Realized Jumps on Financial Markets and Predicting Credit Spreads

Realized Jumps on Financial Markets and Predicting Credit Spreads
Author: George Eugene Tauchen
Publisher:
Total Pages: 60
Release: 2006
Genre: Interest rates
ISBN:

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This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads.

Physical Diagnosis: PreTest Self-Assessment and Review

Physical Diagnosis: PreTest Self-Assessment and Review
Author: Jo-Ann Reteguiz
Publisher: McGraw Hill Professional
Total Pages: 354
Release: 2000-09-06
Genre: Medical
ISBN: 0071376372

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Now updated to reflect the USMLE Step 2 exam, with greater emphasis on case presentations and diagnostic skills. Approximately 400 new clinical vignettes with accompanying questions (500 questions in all)--now featuring expanded answers referenced to leading textbooks or journal articles. Reviewed by McGraw-Hill's Medical Student Advisory Committee to ensure simulation of the USMLE test-taking experience.

Behavior Genetics

Behavior Genetics
Author:
Publisher:
Total Pages: 352
Release: 1971
Genre: Behavior genetics
ISBN:

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Physical Diagnosis PreTest Self Assessment and Review, Seventh Edition

Physical Diagnosis PreTest Self Assessment and Review, Seventh Edition
Author: Lisa Bernstein
Publisher: McGraw Hill Professional
Total Pages: 459
Release: 2010-10-08
Genre: Medical
ISBN: 0071718079

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500 USMLE-style questions and answers provide an unbeatable way to assess your physical diagnosis skills for the USMLE Step 2 CK 4 STAR DOODY'S REVIEW! "The audience is by definition American medical students preparing for the examinations, but there is definite benefit for other physician assistant and nurse practitioner students as well. I would add that there is utility for every medical school faculty member to review in designing their teaching goals for the students....For the intended audience, this is a high value preparation book."--Doody's Review Service PreTest Physical Diagnosis delivers 500 questions with complete but concise explanations of both correct and incorrect answer options. In order to simulate the USMLE Step 2 CK test-taking experience, the book is composed entirely of clinical vignette style questions and clinical images. The questions are referenced to major texts and seminal articles to assist you in further research. This is the perfect resource for students transitioning from didactice to critical years. Features Addresses the core competencies for understanding physical diagnosis Student tested and reviewed for maximum simulation of the USMLE and course exams Complements other review material and works in conjunction with larger course books Portable size makes it perfect for study on the go The content you need to ace the USMLE Step 2CK: Section I - The Systems; Dermatology, HEENT, Respiratory, Cardiovascular, Gastrointestinal, Genitourinary, Endocrinology, Hematology/Oncology, Rheumatology, Musculoskeletal, Neurological, Section II - Miscellaneous Topics: Geriatrics, Infectious Disease, Obstetrics and Gynecology, Pediatrics and Neonatology, Bonus Chapter: Top TEN toughest Physcial Diagnosis Questions; High Yield Facts

Essentials of Strength Training and Conditioning 4th Edition

Essentials of Strength Training and Conditioning 4th Edition
Author: Haff , G. Gregory
Publisher: Human Kinetics
Total Pages: 752
Release: 2015-09-23
Genre: Sports & Recreation
ISBN: 149250162X

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Developed by the National Strength and Conditioning Association, Essentials of Strength Training and Conditioning, Fourth Edition, is the fundamental preparation text for the CSCS exam as well as a definitive reference that strength and conditioning professionals will consult in everyday practice.