Bayesian modeling and forecasting of 24-hour high-frequency volatility: A case study of the financial crisis

This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities, seasonal components capturing time of the day patterns, correlations between return and volatility shocks, and announcement effects. We develop an integrated MCMC approach to estimate interday and intraday parameters and states using high-frequency data without resorting to various aggregation measures like realized volatility. We provide a case study using financial crisis data from 2007 to 2009, and use particle filters to construct likelihood functions for model comparison and out-of-sample forecasting from 2009 to 2012. We show that our approach improves realized volatility forecasts by up to 50% over existing benchmarks.Comment: 48 pages, 7 figure

The Postwar West German Economic Transition: From Ordoliberalism to Keynesianism

The Federal Republic of Germany has experienced a fundamental shift in economic philosophy from Ordoliberalism to Keynesianism. This paper elucidates the main tenets of both schools of thought and their eventual influences on economic policy from 1945 through the late 1960s. West Germany’s transition to Keynesianism follows a relatively cohesive narrative, as the complexities of event history resonate to similar effect in academic and political spheres. By the end of this investigation, intellectual quagmires surrounding economic successes of the postwar period appear as the logical consequences of an academic community that underestimates the importance of normative economic philosophy for policy implementation and society writ large. Reconnecting historical narrative with economic philosophy thus serves in a dual capacity, clarifying a particularly controversial period in economic historiography while also illuminating the underlying problems of our present circumstance.Economic History, Ordoliberalism, Keynesianism, German Economic Reform

The effect of deuteriation on the emission lifetime of inorganic compounds

The application of deuteriation of both ligands and solvents on the photophysical properties of transition metal complexes in solution and glassy matrices is reviewed. The reduction in amplitude and frequency of vibrational modes due to deuterium's increased mass, relative to hydrogen, has a significant effect on non-radiative deactivation processes, which can occur through both intra- and inter-molecular vibrational coupling. The effect of deuteriation on excited state lifetimes has allowed for its application in probing the nature of excited state decay processes. The effects of isotopic exchange on vibrational spectroscopies such as resonance Raman and low temperature high-resolution emission spectroscopies are also addressed briefly

Monte Carlo simulations of the Ising and the Sznajd model on growing Barabasi - Albert networks

The Ising model shows on growing Barabasi - Albert networks the same ferromagnetic behavior as on static Barabasi - Albert networks. Sznajd models on growing Barabasi - Albert networks show an hysteresis like behavior. Nearly a full consensus builds up and the winning opinion depends on history. On slow growing Barabasi - Albert networks a full consensus builds up. At five opinions in the Sznajd model with limited persuasion on growing Barabasi - Albert networks, all odd opinions win and all even opinions loose supporters.Comment: 6 pages including 3 figures, for IJMP