The fine structure of volatility feedback II: overnight and intra-day effects

We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day returns behave completely differently. For example, while past intra-day returns affect equally the future intra-day and overnight volatilities, past overnight returns have a weak effect on future intra-day volatilities (except for the very next one) but impact substantially future overnight volatilities. The exogenous component of overnight volatilities is found to be close to zero, which means that the lion's share of overnight volatility comes from feedback effects. The residual kurtosis of returns is small for intra-day returns but infinite for overnight returns. We provide a plausible interpretation for these findings, and show that our Intra-Day/Overnight model significantly outperforms the standard ARCH framework based on daily returns for Out-of-Sample predictions

Fish-eye cameras: a new meteorological instrument of high potential for meteorology and energy

International audienceIn recent years, the scientific community in solar energy and meteorology has published many papers describing various usages of time series of hemispherical images of the sky acquired by fish-eye cameras. Without being exhaustive, in the domain of solar energy, these fish-eye cameras have been used for short-term solar forecasting, pyranometric measurements, sky radiance, sunshape and aerosol optical depth estimations.For meteorology purposes, they have been used for cloud fraction estimation, cloud type classification and cloud velocity and base height estimations, the latter with two or more fish-eye cameras in stereoscopic mode. Olivier Boucher won the Harry Otten prize for innovation in meteorology, in 2015, by using fisheye cameras to measure high altitude atmospheric wind and humidity, observing changes in aircraft contrails.The diversity, the innovation and the promising results presented in these papers combined with their availability at relatively low cost, their ease to setup and their robustness in operation make these fish-eye cameras fully-fledged meteorological instruments of very high potential.To promote this new meteorological instrument, an international initiative must be launched, comprising research institutions and industries, whose aims will be- a review of existing fish-eye cameras with standardized key characteristics (angular resolution, radiometric dynamic and noise, etc.)- publishing guidelines for the setup, the calibration, the operation and maintenance,- describing case studies and best practices for solar energy and meteorology applications,- defining reference databases of hemispherical sky images and associated meteorological variables for benchmarking purposes,- drafting a new dedicated chapter in the part “Observing systems” in the guide to meteorological instruments and methods of observation of the WMO.This international action may be supported by a COST Action –European Operation in Science and Technology– and the proposed keynote is a first call to stakeholders for the creation of a dedicated network

Female Labor Supply and Child Care in France

We use French household data to estimate a structural model of female labor supply and use of paid child care outside the home. Child care costs are found to have little impact on the labor market participation decision of mothers. The model is used to study various policy issues. The influence of the current tax credit on child care expenditures on the mothers’ labor supply is weak. Suppressing the APE (Parental Allowance for the Education) would cause the female participation rate in our sample to rise by 4 points and the proportion of mothers using paid care to rise by 2 points. The responses of women to policy changes are very heterogenous. Macroeconomic changes in female labor supply are equally due to switches between non-participation and participation and switches between working hours by working women.female labor supply, child care, welfare participation, fiscal policy

The SG2 algorithm for a fast and accurate computation of the position of the Sun for multi-decadal time period

International audienceThe solar position algorithm (SPA) is a very accurate but slow algorithm for the computation of the Sun position with respect to an observer at ground surface. We compare the results of three fast algorithms to the SPA and establish their performances. We propose a new algorithm SG2 that is faster than the three others and offers the same level of accuracy than the most accurate, i.e., maximum error in solar vector of order of 10″, for a multi-decadal time period, with an example of a 50-year period: 1980-2030. This performance is achieved by devising approximations of the original equations of the SPA to decrease the number of operations. This yields a decrease in accuracy that is controlled and bounded. The mathematical tools permitting to determine these approximations with a selected uncertainty level are described

On the effective solar zenith and azimuth angles to use with measurements of hourly irradiation

International audienceSeveral common practices are tested for assessing the effective solar zenith angle that can be associated to each measurement in time-series of in situ or satellite-derived measurements of hourly irradiation on horizontal surface. High quality 1 min measurements of direct irradiation collected by the BSRN stations in Carpentras in France and Payerne in Switzerland, are aggregated to yield time series of hourly direct irradiation on both horizontal and normal planes. Time series of hourly direct horizontal irradiation are reconstructed from those of hourly direct normal irradiation and estimates of the effective solar zenith angle by one of the six practices. Differences between estimated and actual time series of the direct horizontal irradiation indicate the performances of six practices. Several of them yield satisfactory estimates of the effective solar angles. The most accurate results are obtained if the effective angle is computed by two time series of the direct horizontal and normal irradiations that should be observed if the sky were cloud-free. If not possible, then the most accurate results are obtained from using irradiation at the top of atmosphere. Performances show a tendency to decrease during sunrise and sunset hours. The effective solar azimuth angle is computed from the effective solar zenith angle

Validation protocol applied to an automatic co-registration method based on multi-resolution analysis and local deformation models

International audienceThe issue of co-registration distortions between images is one of major problems involved in data fusion processes. This conclusion can be extended to change detection generally also performing on a pixel basis. Accurate methods are therefore required for co-registration of images in these particular cases. It is the reason why we present a co-registration method using multi-resolution analysis and local deformation models. This work includes a validation protocol that enables the assessment of the accuracy, the robustness and the quality provided by any co-registration method. This validation protocol has been then applied to the presented method and the results have been compared to those provided by a standard one. According to this validation, this method provides a very fine correction of the geometric distortions that is better than those generally provided by standard co-registration methods. As a conclusion, this method seems to constitute an answer to the need of high quality co-registration as a pre-processing of fusion and change detection processes. Moreover, it is a fully automatic method that potentially enables an operational utilisation of high quality