Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise

The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach, where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the pre-averaged returns implies that the leading martingale part in the pre-averaged returns are kn-dependent with kn growing slowly with the sample size n. This motivates the application of a blockwise bootstrap method. We show that the \blocks of blocks" bootstrap method is not valid when volatility is time-varying. The failure of the blocks of blocks bootstrap is due to the heterogeneity of the squared pre-averaged returns when volatility is stochastic. To preserve both the dependence and the heterogeneity of squared pre-averaged returns, we propose a novel procedure that combines the wild bootstrap with the blocks of blocks bootstrap. We provide a proof of the first order asymptotic validity of this method for percentile and percentile-t intervals. Our Monte Carlo simulations show that the wild blocks of blocks bootstrap improves the finite sample properties of the existing first order asymptotic theory. We use empirical work to illustrate its use in practice

Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise

The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach, where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the pre-averaged returns implies that the leading martingale part in the pre-averaged returns are kn-dependent with kn growing slowly with the sample size n. This motivates the application of a blockwise bootstrap method. We show that the \blocks of blocks" bootstrap method is not valid when volatility is time-varying. The failure of the blocks of blocks bootstrap is due to the heterogeneity of the squared pre-averaged returns when volatility is stochastic. To preserve both the dependence and the heterogeneity of squared pre-averaged returns, we propose a novel procedure that combines the wild bootstrap with the blocks of blocks bootstrap. We provide a proof of the first order asymptotic validity of this method for percentile and percentile-t intervals. Our Monte Carlo simulations show that the wild blocks of blocks bootstrap improves the finite sample properties of the existing first order asymptotic theory. We use empirical work to illustrate its use in practice

Effect of hypoxia and hyperoxia on exercise performance in healthy individuals and in patients with pulmonary hypertension: A systematic review

Exercise performance is determined by oxygen supply to working muscles and vital organs. In healthy individuals, exercise performance is limited in the hypoxic environment at altitude, when oxygen delivery is diminished due to the reduced alveolar and arterial oxygen partial pressures. In patients with pulmonary hypertension, exercise performance is already reduced near sea level due to impairments of the pulmonary circulation and gas exchange and, presumably, these limitations are more pronounced at altitude. In studies performed near sea level in healthy subjects as well as in patients with pulmonary hypertension (PH) maximal performance during progressive ramp exercise and endurance of submaximal constant load exercise were substantially enhanced by breathing oxygen-enriched air. Both in healthy individuals and in PH-patients these improvements were mediated by a better arterial, muscular and cerebral oxygenation along with a reduced sympathetic excitation, as suggested by the reduced heart rate and alveolar ventilation at submaximal isoloads, and an improved pulmonary gas exchange efficiency, especially in patients with PH. In summary, in healthy individuals and in patients with pulmonary hypertension, alterations in the inspiratory PO2 by exposure to hypobaric hypoxia or normobaric hyperoxia reduce or enhance exercise performance, respectively, by modifying oxygen delivery to the muscles and the brain, by effects on cardiovascular and respiratory control and by alterations in pulmonary gas exchange. The understanding of these physiologic mechanisms helps counselling individuals planning altitude or air travel and prescribing oxygen therapy to patients with pulmonary hypertension

Spazi “affettivi”: un’analisi spaziale di «Brennendes Geheimnis» di Stefan Zweig

This article aims at providing an interpretation and analysis of German literary works, especially of Stefan Zweig’s short story Burning Secret (2011), read through the lenses of recent theories on the interconnectedness of living space, identity formation and emotions. The reading here sug­gested moves from the analogy between literary investigations and proper Freudian suggestions. Zweig’s optimism in coming to terms with – and working through – the inner struggle of the adolescent main protagonist is here assimilated to a kind of modern folktale and becomes the “untimely” humane message that echoes classical ideals of the Weimar culture