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1,547
Stochastic Volatility for Lévy Processes
, 2001
"... Three processes re°ecting persistence of volatility are initially formulated by evaluating three L¶evy processes at a time change given by the integral of a mean reverting square root process. The model for the mean reverting time change is then generalized to include NonGaussian models that are so ..."
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Cited by 212 (12 self)
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Three processes re°ecting persistence of volatility are initially formulated by evaluating three L¶evy processes at a time change given by the integral of a mean reverting square root process. The model for the mean reverting time change is then generalized to include NonGaussian models that are solutions to OU (OrnsteinUhlenbeck) equations driven by one sided discontinuous L¶evy processes permitting correlation with the stock. Positive stock price processes are obtained by exponentiating and mean correcting these processes, or alternatively by stochastically exponentiating these processes. The characteristic functions for the log price can be used to yield option prices via the fast Fourier transform. In general, mean corrected exponentiation performs better than employing the stochastic exponential. It is observed that the mean corrected exponential model is not a martingale in the ¯ltration in which it is originally de¯ned. This leads us to formulate and investigate the important property of martingale marginals where we seek martingales in altered ¯ltrations consistent with the one dimensional marginal distributions of the level of the process at each future date. 1
The (Ir)relevance of Real Wage Rigidity in the New Keynesian Model with Search Frictions ∗
, 2003
"... We explore the role of real wage dynamics in a New Keynesian business cycle model with search and matching frictions in the labor market. Both job creation and destruction are endogenous. We show that the model generates counterfactual inflation and labor market dynamics. In particular, it fails to ..."
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Cited by 141 (2 self)
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We explore the role of real wage dynamics in a New Keynesian business cycle model with search and matching frictions in the labor market. Both job creation and destruction are endogenous. We show that the model generates counterfactual inflation and labor market dynamics. In particular, it fails to generate a Beveridge curve: vacancies and unemployment are positively correlated. Introducing real wage rigidity leads to a negative correlation, and increases the magnitude of labor market flows to more realistic values. However, inflation dynamics are only weakly affected by real wage rigidity. This is because of the presence of labor market frictions, which generate longrun employment relationships. The measure of real marginal cost that is relevant for inflation dynamics via the Phillips curve contains a dynamic component that does not necessarily move with real wages. JEL CLASSIFICATION: KEYWORDS:
Driftbalanced random stimuli: a general basis for studying nonFourier motion perception
, 1987
"... To some degree, all current models of visual motionperception mechanisms depend on the power of the visual signal in various spatiotemporalfrequency bands. Here we show how to construct counterexamples: visual stimuli that are consistently perceived as obviously moving in a fixed direction yet for ..."
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Cited by 140 (7 self)
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To some degree, all current models of visual motionperception mechanisms depend on the power of the visual signal in various spatiotemporalfrequency bands. Here we show how to construct counterexamples: visual stimuli that are consistently perceived as obviously moving in a fixed direction yet for which Fourierdomain power analysis yields no systematic motion components in any given direction. We provide a general theoretical framework for investigating nonFourier motionperception mechanisms; central are the concepts of driftbalanced and microbalanced random stimuli. A random stimulus S is drift balanced if its expected power in the frequency domain is symmetric with respect to temporal frequency, that is, if the expected power in S of every drifting sinusoidal component is equal to the expected power of the sinusoid of the same spatial frequency, drifting at the same rate in the opposite direction. Additionally, S is microbalanced if the result WS of windowing S by any spacetimeseparable function W is drift balanced. We prove that (i) any spacetimeseparable random (or nonrandom) stimulus is microbalanced; (ii) any linear combination of pairwise independent microbalanced (respectively, driftbalanced) random stimuli is microbalanced and drift balanced if the expectation of each component is uniformly zero; (iii) the convolution of independent microbalanced and driftbalanced random stimuli is microbalanced and drift balanced; (iv) the product of independent microbalanced random stimuli is microbalanced; and (v) the expected response of any Reichardt detector to any microbalanced random stimulus is zero at every instant in time. Examples are provided of classes of microbalanced random stimuli that display consistent and compelling motion in one direction. All the results and examples from the domain of motion perception are transposable to the spacedomain problem of detecting orientation in a texture pattern. 1.
Menu Costs and Phillips Curves
 Journal of Political Economy
, 2007
"... This paper develops a model of a monetary economy in which individual firms are subject to idiosyncratic productivity shocks as well as general inflation. Sellers can change price only by incurring a real “menu cost. ” We calibrate this cost and the variance and autocorrelation of the idiosyncrati ..."
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Cited by 125 (0 self)
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This paper develops a model of a monetary economy in which individual firms are subject to idiosyncratic productivity shocks as well as general inflation. Sellers can change price only by incurring a real “menu cost. ” We calibrate this cost and the variance and autocorrelation of the idiosyncratic shock using a new U.S. data set of individual prices due to Klenow and Kryvtsov. The prediction of the calibrated model for the effects of high inflation on the frequency of price changes accords well with international evidence from various studies. The model is also used to conduct numerical experiments on the economy’s response to various shocks. In none of the simulations we conducted did monetary shocks induce large or persistent real responses. I.
Characterization of the early endosome and putative endocytic carrier vesicles in vivo and with an assay of vesicle fusion in vitro
 J. Cell
, 1989
"... Abstract. We have investigated two aspects of membrane traffic at early stages of endocytosis: membrane fusion and microtubuledependent transport. As a marker, we have used the transmembrane glycoprotein G of vesicular stomatitis virus implanted into the plasma membrane and then internalized for d ..."
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Cited by 122 (15 self)
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Abstract. We have investigated two aspects of membrane traffic at early stages of endocytosis: membrane fusion and microtubuledependent transport. As a marker, we have used the transmembrane glycoprotein G of vesicular stomatitis virus implanted into the plasma membrane and then internalized for different times at 37°C. The corresponding endosomal fractions were immunoisolated using the cytoplasmic domain of the G protein as antigen. These fractions were then used in an in vitro assay to quantify the efficiency of fusion between endosomal vesicles. To identify the vesicular partners of the fusion, these in vitro studies were combined with in vivo biochemical and morphological experiments. Internalized molecules were delivered to early endosomal elements, which corresponded
PolynomialTime Quantum Algorithms for Pell's Equation and the Principal Ideal Problem
 in Proceedings of the 34th ACM Symposium on Theory of Computing
, 2001
"... Besides Shor's polynomialtime quantum algorithms for factoring and discrete log, all progress in understanding when quantum algorithms have an exponential advantage over classical algorithms has been through oracle problems. Here we give efficient quantum algorithms for two more nonoracle pro ..."
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Cited by 108 (7 self)
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Besides Shor's polynomialtime quantum algorithms for factoring and discrete log, all progress in understanding when quantum algorithms have an exponential advantage over classical algorithms has been through oracle problems. Here we give efficient quantum algorithms for two more nonoracle problems. The first is Pell's equation. Given a positive nonsquare integer d, Pell's equation is x²  dy² = 1 and the goal is to find its integer solutions. Factoring integers reduces to finding integer solutions of Pell's equation, but a reduction in the other direction is not known and appears more difficult. The second problem is the principal ideal problem in real quadratic number fields. Solving this problem is at least as hard as solving Pell's equation, and is the basis of a cryptosystem which is broken by our algorithm. We also state some related open problems from the area of computational algebraic number theory.
Integral closure of ideals, rings, and modules
 LONDON MATHEMATICAL SOCIETY LECTURE NOTE SERIES 336
, 2006
"... ..."
Accepted for publication in International Studies Quarterly (2008, v.52, n.1) Natural Disasters and the Risk of Violent Civil Conflict
"... of ISQ, and three anonymous reviewers for useful comments on earlier drafts. The replication data on which this study is based will be available in Stata 9 format from ..."
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of ISQ, and three anonymous reviewers for useful comments on earlier drafts. The replication data on which this study is based will be available in Stata 9 format from
Results 1  10
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