There is a compelling need to accurately and efficiently compute option values. Existing literature shows that models based on constant stock volatilities have been widely used in option valuation. However, stock volatilities change constantly in real life situations. The introduction of the Auto Regressive Conditional Heteroskedasticity (ARCH) model and subsequently, the Generalized Auto Regre...

The cross-laminated timber coupled wall (CLT-CW) system, a recently proposed timber-based structural has limited understanding of its seismic performance. existing research in probabilistic fragility assessment (PSFA) CLT buildings reveals gap, particularly regarding comprehensive evaluation CLT-CW systems and the impact various design parameters. To fully describe state post-earthquake perform...

GARCH is one of the most prominent nonlinear time series models, both widely applied and thoroughly studied. Recently, it has been shown that the COGARCH model, which has been introduced a few years ago by Klüppelberg, Lindner and Maller, and Nelson’s diffusion limit are the only functional continuous-time limits of GARCH in distribution. In contrast to Nelson’s diffusion limit, COGARCH reprodu...

We present statistical models and methods for classification of bi-allelic SNP genotypes when data represent two signal intensities, one signal x from a primer matching one of the alleles, and the other signal y matching the other allele. One such technique is protease-mediated allele-specific extension (PrASE), and the study is at the same time a case study on PrASE data. Most information for ...

We use high-frequency intra-day realized volatility to evaluate the relative forecasting performance of several models for the volatility of crude oil daily spot returns. Our objective is to evaluate the predictive ability of time-invariant and Markov switching GARCH models over different horizons. Using Carasco, Hu and Ploberger (2014) test for regime switching in the mean and variance of the ...

The research of Kim and Schmidt (1993) is extended to examine the properties of asymmetric unit root tests in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, threshold autoregressive and momentum—threshold autoregressive asymmetric unit tests are shown to suffer greater size distortion than the original (implicitly symmetric) Dick...

The relationship between returns, volatility and trading volume has interested financial economists and analysts for a number of years. A widely documented result is the positive contemporaneous relationship between price returns and trading volume. This paper investigates the contemporaneous and dynamic relationships between trading volume, returns and volatility for Greek index futures (FTSE/...

We study the relationship between incidence for lung cancer in males in the Tuscan Region and material deprivation defined at census block level. We developed a bi-variate hierarchical Bayesian model to assess completeness of registration of incidence data and we proposed a series of random effect hierarchical Bayesian models to estimate the degree of association with material deprivation. Mode...

We propose a flexible regression model to study the association between a functional response and multiple functional covariates that are observed on the same domain. Specifically, we relate the mean of current response to current values of the covariates by sum of smooth unknown bi-variate functions, where each of the functions depends on the current value of the covariate and the time point i...