We provide a simple, yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range. Using Standard and Poor's 500 index 1983–2004, we demonstrate importance of long-memory specification, based either two-factor structure or fractional integration, that allows some asymmetry between market returns innovations. Out-of-sample forecasts reinforce value both this specification use...

ABSTRACT Growing evidence suggests that extraordinary average returns may be obtained by trading equity index options, and at least part of this abnormal performance is attributable to volatility jump risk premia. This paper asks whether such priced factors are alone sufficient explain these returns. To provide an answer in as general possible a setting, I estimate flexible class nonlinear models using all S&P 500 Index futures options traded between 1986 2000. The results show...

Nitrate-N concentrations in the Raccoon River have increased beginning early 1970s. Since this river is predominant water supply for City of Des Moines Iowa, there concern about potential long-term impacts these trends. Improvements quality from agricultural watersheds are critical to protect supply, and understanding factors affecting will lead changes management improve quality. The historical database nitrate-nitrogen (NO₃-N) sampled at Water Works were combined with...

The main objective of this work was to quantify and update the U.S. Midwest agricultural state Iowa's contribution nitrate-nitrogen Mississippi River stream network against backdrop ongoing problem Gulf Mexico hypoxia. To achieve objective, we used nitrate discharge data collected from 1999 until 2016 at 23 Iowa sites near watershed outlets, along with publicly-available for downstream on Missouri Rivers. Our analysis shows that contributes between 11 52% long-term load...

ABSTRACT The stylized fact that volatility is not priced in individual equity options does withstand scrutiny. First, we show the average return of heavily traded deep out‐of‐the‐money call on stocks −116 basis points per day. Second, Fama‐MacBeth estimates risk premium stock are similar to those S&P 500 Index options. Third, mean delta‐hedged at‐the‐money calls (puts) −23 (−30) points. Fourth, variance negative. Our analysis highlights importance microstructure biases and robustness...

Abstract We consider a model in which the correlation between shocks to consumption and expected future growth is nonzero varies over time. validate this assumption empirically using model’s implication that time variation persistence (CGP) drives stock bond returns. Our implies stock–bond also related predictive relation yields Finally, we provide suggestive evidence asset price fluctuations are primary driver of changes CGP.

Using a new Bayesian method for the analysis of diffusion processes, this article finds that nonlinear drift in interest rates found number previous studies can be confirmed only under prior distributions are best described as informative. The assumption stationarity, which is common literature, represents nontrivial belief about shape function. This and use "flat" priors contribute strongly to finding mean reversion. Implementation an approximate Jeffreys results virtually no evidence...

Alteration of the prairie pothole ecosystem through installation subsurface tile drains has enabled U.S. Corn Belt to become one most agriculturally productive areas in world but also led increased nitrogen losses surface water. The literature contains numerous field plot studies few in-depth nitrate exports from small, tile-drained catchments representative agricultural drainage districts. objectives this study were quantify hydrology and nitrate-nitrogen (NO-N) export patterns three...

ABSTRACT This paper investigates the performance of option investments across different stocks by computing monthly returns on at‐the‐money straddles individual equities. We find that options with high historical continue to significantly outperform low over horizons ranging from 6 36 months. phenomenon is robust including out‐of‐the‐money or delta‐hedging returns. Unlike stock momentum, return continuation not followed long‐run reversal. Significant remain after factor risk adjustment and...

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Abstract Various techniques exist to estimate stream nitrate loads when measured concentration data are sparse. The inherent uncertainty associated with load estimation, however, makes tracking progress toward water quality goals more difficult. We used high‐frequency, in situ sensors strategically deployed across the agricultural state of Iowa evaluate 2016 concentrations at 60 sites and 35 sites. generated data, collected an average 225 days per site, show daily nitrate‐N yields ranging...

Abstract The dynamics of the L-H transition is not fully understood, with many parameters changing threshold power to enter H-mode and self-regulation between zonal flows turbulence in plasma edge. This paper primarily a presentation experimental results for DIII-D H-L transitions speculation on observations made. Power analysis measurements pedestal temperatures these are presented. A comparison made an comparable P sep exhibiting oscillatory behaviour, showing symmetry forward backward...

Fluvial sediment is a ubiquitous pollutant that negatively affects surface water quality and municipal supply treatment. As part of its routine monitoring, the Des Moines Water Works (DMWW) has been measuring turbidity daily in Raccoon River since 1916. For this study, we calibrated readings to modern total suspended solid (TSS) concentrations develop an estimation river from 1916 2009. Our objectives were evaluate long-term TSS patterns trends, relate these changes climate, land use,...

The study was focused on total phosphorus (TP) concentrations measured in rivers Iowa, a Midwestern state located the central United States. Accurate measurement of TP is needed to quantify loads and evaluate progress nutrient reduction strategies. We evaluated relation water quality surrogates, turbidity, orthophosphorus (OP), chlorophyll a, chloride discharge at 43 different river monitoring sites over 15-year period. were highly correlated turbidity (0.78 ± 0.20) OP (0.69 0.13) across all...