Threshold bipower variation and the impact of jumps on volatility forecasting

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous components using estimators which are not only consistent, but also scarcely plagued by small sample bias. With the aim of achieving this, we introduce the concept of threshold bipower variation, which is based on the joint use of bipower variation and threshold estimation. We show that its generalization (threshold multipower variation) admits a feasible central limit theorem in the presence of jumps and provides less biased estimates, with respect to the standard multipower variation, of the continuous quadratic variation in finite samples. We further provide a new test for jump detection which has substantially more power than tests based on multipower variation. Empirical analysis (on the S&P500 index, individual stocks and US bond yields) shows that the proposed techniques improve significantly the accuracy of volatility forecasts especially in periods following the occurrence of a jump

Sinonasal angioleiomyoma with adipocyte differentiation: clinicopathologic study of 2 cases and review of the literature

Angioleiomyoma (ALM) is a benign tumor of the skin and soft tissues composed of well differentiated smooth muscle cells arranged around and among many vascular channels. Few cases have been reported in the sinonasal region, where ALM may show a variable amount of mature adipose tissue that may make hard the distinction from angiomyolipoma. We report here two cases that presented with a three- and six-month history of left nasal obstruction respectively. In both patients, clinical examination and imaging studies failed to reveal features of tuberous sclerosis complex and demonstrated a mass obliterating the nasal cavity arising from the inferior turbinate. Both masses were endoscopically excised. Pathologic analysis revealed highly vascularized tumors composed of well differentiated smooth muscle cells intermingled with a variable number of mature adipocytes. Immunostaining for melanocytic markers was negative. Based on these findings, both tumors were diagnosed as sinonasal-ALM with adipocytic differentiation. These two cases indicate that both clinical data (i.e. absence of features of tuberous sclerosis complex) and immunohistochemistry (i.e. absence of melanocytic markers) are mandatory for the recognition of sinonasal-ALM with adipocytic differentiation. The term angiomyolipoma to identify these lesions is confusing and should be abandoned

Measuring the propagation of financial distress with Granger-causality tail risk networks

Using the test of Granger-causality in tail of Hong et al. (2009), we define and construct Granger-causality tail risk networks between 33 systemically important banks (G-SIBs) and 36 sovereign bonds worldwide. Our purpose is to exploit the structure of the Granger-causality tail risk networks to identify periods of distress in financial markets and possible channels of systemic risk propagation. Combining measures of connectedness of these networks with the ratings of the sovereign bonds, we propose a flight-to-quality indicator to identify periods of turbulence in the market. Our measure clearly peaks at the onset of the European sovereign debt crisis, signaling the instability of the financial system. Finally, we use the connectedness measures of the networks to forecast the quality of sovereign bonds. We find that connectedness is a significant predictor of the cross-section of bond quality

Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws

We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an event-based approach that measures the relationship between different types of events. The scaling laws give an accurate estimation of the length of the price-curve coastline, which turns out to be surprisingly long. The new laws substantially extend the catalogue of stylised facts and sharply constrain the space of possible theoretical explanations of the market mechanisms.Comment: 26 pages, 3 figures, 23 tables,2nd version (text made more concise and readable, algorithm pseudocode, results unchanged), 5-year datasets (USD-JPY, EUR-USD) provided at http://www.olsen.ch/more/datasets

Exploring blockchain in the accounting domain: a bibliometric analysis

Purpose: Considering the growing interests in managerial and accounting issues related to blockchain technology (BT), the study aims at identifying the main research venues in this specific field. In particular, the purpose is to understand the spatial and temporal production and distribution of research documents, highlighting the most relevant topics, the most influential authors and research. Design/methodology/approach: This research carries out a bibliometric analysis of 189 research documents in the business, management and accounting areas. Data collection and refining is carried out from the Scopus database. The data analysis is based on a hybrid literature review approach using a descriptive bibliometric method, data analysis visualization (through VOSViewer software) and thematic analysis. Findings: Results indicate that research studies focused on BT and accounting have been growing exponentially over the last three years, with authors who previously focused on generalist themes, and are now facing more specific issues. Through cluster analysis, the authors propose the framework of accounting domain and blockchain technology (ADOB) to systematize and visualize the map of current studies about the BT in the accounting domain. Research limitations/implications: The analysis highlights some aspects less investigated at the first research stage in the field of BT and accounting, such as the growing need of new accounting and control processes to address the practical issues of BT implementation and the need for education and training to stimulate a proper use of BT by accountants and practitioners. Originality/value: This study is the first to adopt a bibliometric and thematic analysis to investigate BT in the accounting domain. The authors provide significant insights that could guide and foster the use of BT for accountants and practitioners, defining future research lines and a research agenda for academic researchers

A realized volatility approach to option pricing with continuous and jump variance components

Stochastic and time-varying volatility models typically fail to correctly price out-of-the-money put options at short maturity. We extend realized volatility option pricing models by adding a jump component which provides a rapidly moving volatility factor and improves on the fitting properties under the physical measure. The change of measure is performed by means of an exponentially affine pricing kernel which depends on an equity and two variance risk premia, associated with the continuous and jump components of realized volatility. Our choice preserves analytical tractability and offers a new way of estimating variance risk premia by combining high-frequency returns and option data in a multicomponent pricing model