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Measuring causality between volatility and returns with high-frequency data

Dufour, Jean-Marie; García, René; Taamouti, Abderrahim
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
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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...

Extremal black holes, Holography & Coarse graining

Simon, Joan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
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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...

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

Bronnikov, Kirill; Dymnikova, Irina; Galaktionov, Evgeny
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 02/04/2012 Português
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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...