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## Measuring causality between volatility and returns with high-frequency data

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: info:eu-repo/semantics/workingPaper; info:eu-repo/semantics/workingPaper
Formato: application/pdf

Publicado em /09/2008
Português

Relevância na Pesquisa

56.16%

#Volatility asymmetry#Leverage effect#Volatility feedback effect#Return risk premium#Variance risk premium#Multi-horizon causality#Causality measure#High-frequency data#Realized volatility#Bipower variation#Implied volatility

We use high-frequency data to study the dynamic relationship between volatility and equity
returns. We provide evidence on two alternative mechanisms of interaction between returns and
volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts
that return shocks lead to changes in conditional volatility, while the volatility feedback effect
theory assumes that return shocks can be caused by changes in conditional volatility through a
time-varying risk premium. On observing that a central difference between these alternative
explanations lies in the direction of causality, we consider vector autoregressive models of
returns and realized volatility and we measure these effects along with the time lags involved
through short-run and long-run causality measures proposed in Dufour and Taamouti (2008), as
opposed to simple correlations. We analyze 5-minute observations on S&P 500 Index futures
contracts, the associated realized volatilities (before and after filtering jumps through the
bispectrum) and implied volatilities. Using only returns and realized volatility, we find a weak
dynamic leverage effect for the first four hours at the hourly frequency and a strong dynamic
leverage effect for the first three days at the daily frequency. The volatility feedback effect
appears to be negligible at all horizons. By contrast...

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## Extremal black holes, Holography & Coarse graining

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

15.86%

I review some of the concepts at the crossroads of gravitational
thermodynamics, holography and quantum mechanics. First, the origin of
gravitational thermodynamics due to coarse graining of quantum information is
exemplified using the half-BPS sector of ${\cal N}=4$ SYM and its LLM
description in type IIB supergravity. The notion of black holes as effective
geometries, its relation to the fuzzball programme and some of the puzzles
raising for large black holes are discussed. Second, I review recent progress
for extremal black holes, both microscopically, discussing a constituent model
for stationary extremal non-bps black holes, and semiclassically, discussing
the extremal black hole/CFT conjecture. The latter is examined from the
AdS${}_3$/CFT${}_2$ perspective. Third, I review the importance of the
holographic principle to encode non-local gravity features allowing us to
relate the gravitational physics of local observers with thermodynamics and the
role causality plays in these arguments by identifying horizons (screens) as
diathermic walls. I speculate with the emergence of an approximate CFT in the
deep IR close to any horizon and its relation with an effective dynamical
description of the degrees of freedom living on these holographic screens.; Comment: 68 pages...

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## Multi-horizon spherically symmetric spacetimes with several scales of vacuum energy

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 02/04/2012
Português

Relevância na Pesquisa

46.12%

We present a family of spherically symmetric multi-horizon spacetimes with a
vacuum dark fluid, associated with a time-dependent and spatially inhomogeneous
cosmological term. The vacuum dark fluid is defined in a model-independent way
by the symmetry of its stress-energy tensor, i.e., its invariance under Lorentz
boosts in a distinguished spatial direction ($p_r=-\rho$ for spherical
symmetry), which makes the dark fluid essentially anisotropic and allows its
density to evolve. The related cosmological models belong to the Lemaitre class
of models with anisotropic fluids and describe a universe with several scales
of vacuum energy related to phase transitions during its evolution. The typical
behavior of solutions and the number of spacetime horizons are determined by
the number of vacuum scales. We study in detail a model with three vacuum
scales: GUT, QCD and that responsible for the present accelerated expansion.
The model parameters are fixed by the observational data and by analyticity and
causality conditions. We find that our Universe has three horizons. During the
first inflation the Universe enters a T-region which makes the expansion
irreversible. After the second phase transition at the QCD scale the Universe
enters an R-region...

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