This paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative estimate for the market ...

The four Cluster spacecraft provide an excellent opportunity to study spatial structures in the magnetosphere and adjacent regions. Propagating waves are amongst the interesting structures and for the first time, Cluster will allow one to measure the wave vector of low-frequency fluctuations in a space plasma. Based on a generalized minimum variance analysis wave vector estimates will be determ...

Variance-based thresholding methods could be biased from the threshold found by expert and the underlying mechanism responsible for this bias is explored in this paper. An analysis on the minimum class variance thresholding (MCVT) and the Otsu method, which minimizes the within-class variance, is carried out. It turns out that the bias for the Otsu method is due to differences in class variance...

Consider the multicolored urn model where after every draw, balls of the different colors are added to the urn in proportion determined by a given stochastic replacement matrix. We consider some special replacement matrices which are not irreducible. For three and four color urns, we derive the asymptotic behavior of linear combinations of number of balls. In particular, we show that certain li...

This paper examines a new model of credit risk measurement, the Variance GammaMerton one, which seems to be adequate for describing single default occurrence and default correlation in turbulent times. It is based on the notion of business time. Business time runs faster than calendar time when the market is very active and a lot of information arrives; it runs at a slower pace than calendar ti...

Arbitron provides users with measures of sampling variance through a form of generalized variance function. In particular, to estimate standard errors for radio-schedule Gross Rating Points estimators, Arbitron currently models the standard error as a function of the GRP estimate and sample size, allowing for different model parameters across a number of demographic groups and radioschedule cha...

In this paper we explore several options for cross-task adaptation in speech recognition and compare them to develop the new system from scratch. We compare cross-task MAP and MLLR adaptation, and both of them together, in two speech recognizers for air traffic control tasks, one for spontaneous speech and the other one for a command interface. We show how MLLR can even outperform MAP when a bi...

We explore scenarios in which the graviton is not a fundamental degree of freedom at short distances but merely emerges as an effective degree of freedom at long distances. In general, the scale of such graviton ‘compositeness’, Λg, can only be probed by measuring gravitational forces at short distances, which becomes increasingly difficult and eventually impossible as the distance is reduced. ...