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

Experimental Observations of Aerodynamic and Heating Test on Insulating Heat Shields

Several different types of insulating heat shields have been subjected to aerodynamic tests and radiant-heating tests in order to obtain a better insight into the problems involved when the primary structure of m aerodynamically heated vehicle is substantially cooler than the exposed external surface. One of the main problems was considered to be a proper allowance for thermal expansion caused by these large temperature differences, so that undue distortion or thermal stresses would not occur in either the outer shield or the underlying structure. corrugated outer skin with suitably designed expansion joints was a feature of all the specimens tested

PASCO: Structural panel analysis and sizing code, capability and analytical foundations

A computer code denoted PASCO which can be used for analyzing and sizing uniaxially-stiffened composite panels is described. Buckling and vibration analyses are carried out with a linked-plate analysis computer code denoted VIPASA, which is incorporated in PASCO. Sizing is based on nonlinear mathematical programming techniques and employs a computer code denoted CONMIN, also incorporated in PASCO. Design requirements considered are initial buckling, material strength, stiffness, and vibration frequency. The capability of the PASCO computer code and the approach used in the structural analysis and sizing are described

Civil and Common Law: A Historical Analysis of Colonial and Postcolonial Canada

Legal historians divide European law into two principal families: common law (British law) and civil law (continental European law). Common law judges favor cases; courts “discover” law on a case-by-case basis and those cases make precedents for future ruling. Civil law courts favor codes; courts compare cases to existing laws and those laws control judges’ rulings. The two rarely interact, save one prominent example: Canada. British common law supposedly superseded French legal traditions in colonial Canada. But is history so binary? Did British common law truly “conquer” French civil law? Through analysis of Canadian legal history, this article demonstrates how French civil law has been part of legal development in Canada throughout its history and plays a role in the country’s modern, hybridized legal system

The Bottom of the Iceberg: Unpublished Opinions

Most federal intermediate appellate court opinions are “unpublished”— they have no precedential value, even though they are readily available in online databases. Most research on judicial behavior is based on analyses of published opinions. If a court’s decisions not to publish are based on factors relevant to behavioral research, exclusion of unpublished opinions may skew the results. Currently, the United States Court of Appeals for the Seventh Circuit has the lowest percentage of unpublished opinions, while the United States Court of Appeals for the Fourth Circuit has one of the highest rates of unpublished opinions. Do the differences in publication rates demonstrate anything about the reasons that judges decide not to publish cases, and how do these reasons inform selection of cases for research on the courts? This Article concludes that the publication decision itself is a form of judicial behavior that is worthy of study, and that unpublished opinions should be considered in most research on the federal appellate courts

MUNICIPAL CORPORATIONS - LICENSES - AMOUNT OF FEE

The defendant, a sandwich peddler, was convicted in the justice court of violation of an ordinance requiring peddlers to have a license. Upon appeal to the circuit court the conviction was set aside on the ground that the ordinance requiring a peddler to obtain a license at $150 per vehicle per year was invalid since the fee was unreasonably high. Held, the circuit court should be reversed and the conviction sustained since the amount of the license fee could not be considered unreasonably excessive in view of all the circumstances. People v. Riksen, 284 Mich. 284, 279 N. W. 513 (1938)

ADVERSE POSSESSION - POSSESSION UNDER MISTAKE AS TO TRUE BOUNDARY

Plaintiff and defendant\u27s predecessor in title made a mistake in locating the boundary line between their lots. Laboring under this misapprehension, the plaintiff constructed a cottage which in fact was partially on land of defendant\u27s predecessor in title. Defendant, having purchased the adjoining lot, caused a survey to be made and discovered that the cottage of the plaintiff and the wall constructed by plaintiff and defendant\u27s predecessor encroached upon defendant\u27s land. However, plaintiff remained in possession without admitting defendant\u27s title and in 1937 sued to establish title by adverse possession. The lower court found that having been in possession for the statutory period of fifteen years he acquired title by adverse possession. Held, reversed, possession under mistake with the intent to hold only to the true line is not adverse. Two judges dissented. Warner v. Noble, 286 Mich. 654, 282 N. W. 855 (1938)

MUNICIPAL CORPORATIONS - LICENSES - PROHIBITORY FEE ON SELFSERVICE GROCERIES

A city ordinance imposed an annual license fee of $10,000 on self-service groceries. The city had power by statute to license stores for the sale of meat, groceries, etc., for revenue purposes. Plaintiff brought an action to enj9in the ordinance. Held, the ordinance was invalid and injunction should be granted. Great Atlantic & Pacific Tea Co. v. Board of Commissioners of Camden, (N. J. Eq. 1939) 4 A. (2d) 16

Minimum-mass design of filamentary composite panels under combined loads: Design procedure based on a rigorous buckling analysis

A procedure is presented for designing uniaxially stiffened panels made of composite material and subjected to combined inplane loads. The procedure uses a rigorous buckling analysis and nonlinear mathematical programing techniques. Design studies carried out with the procedure consider hat-stiffened and corrugated panels made of graphite-epoxy material. Combined longitudinal compression and shear and combined longitudinal and transverse compression are the loadings used in the studies. The capability to tailor the buckling response of a panel is also explored. Finally, the adequacy of another, simpler, analysis-design procedure is examined