The scale of predictability

We introduce a new stylized fact: the hump-shaped behavior of slopes and coefficients of determination as a function of the aggregation horizon when running (forward/backward) predictive regressions of future excess market returns onto past economic uncertainty (as proxied by market variance, consumption variance, or economic policy uncertainty). To justify this finding formally, we propose a novel modeling framework in which predictability is specified as a property of low-frequency components of both excess market returns and economic uncertainty. We dub this property scale-specific predictability. We show that classical predictive systems imply restricted forms of scale-specific predictability. We conclude that for certain predictors, like economic uncertainty, the restrictions imposed by classical predictive systems may be excessively strong

Zero-intelligence realized variance estimation

Limit order book, Market microstructure noise, Micro-price, Realized variance, Sampling schemes, 62E20, 62P20, C10, C80,

Autologous fat graft in scar treatment

Regenerative medicine is an emerging and rapidly evolving field of research and therapy, thanks to new discoveries on stem cells. Adipose tissue is a connective tissue which contains a reserve of mesenchymal stem cells. Clinical improvements in trophic characteristics of teguments after autologous fat graft are well described in literature. In this paper, we present our observation after 6 years of autologous fat graft experience in scar remodeling

Bias-correcting the realized range-based variance in the presence of market microstructure noise

Bias correction, Integrated variance, Market microstructure noise, Realized range-based variance, Realized variance, 62E20, 62P20, C10, C80,

Stochastic volatility and stochastic leverage

This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new models. Furthermore, we give a detailed account on statistical properties of the new mod