Discussion of "Breakdown and groups" by P. L. Davies and U. Gather

Discussion of ``Breakdown and groups'' by P. L. Davies and U. Gather [math.ST/0508497]Comment: Published at http://dx.doi.org/10.1214/009053604000001138 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Blockholder dispersion and firm value

This paper analyzes the impact of blockownership dispersion on firm value. Blockholdings by multiple blockholders is a widespread phenomenon in the U.S. market. It is not clear, however, whether dispersion among blockholder is preferable to having a more concentrated ownership structure. To test for the direction of the effect, we use a large dataset of U.S. firms that combines blockholder information, shareholder rights information, debt ratings, accounting information, and financial markets information. We find that a large fraction of aggregated block ownership negatively affects Tobin’s Q. The negative impact is larger if blockowners are more dispersed, suggesting that a concentrated ownership structure is to be preferred on average. Results are robust to controlling for blockholder type as well as proxies for shareholder rights. Our empirical findings are also confirmed if we study the impact of ownership dispersion on firm debt ratings rather than Tobin’s Q. JEL Classification: G3, G3

A General Framework for Observation Driven Time-Varying Parameter Models

We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model encompasses other well-known models such as the generalized autoregressive conditional heteroskedasticity, autoregressive conditional duration, autoregressive conditional intensity and single source of error models. In addition, the GAS specification gives rise to a wide range of new observation driven models. Examples include non-linear regression models with time-varying parameters, observation driven analogues of unobserved components time series models, multivariate point process models with time-varying parameters and pooling restrictions, new models for time-varying copula functions and models for time-varying higher order moments. We study the properties of GAS models and provide several non-trivial examples of their application.dynamic models, time-varying parameters, non-linearity, exponential family, marked point processes, copulas

Fractional integration and fat tails for realized covariance kernels

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels. We account for fat tails in the data by an appropriate distributional assumption. The covariance matrix dynamics are formulated as a numerically efficient matrix recursion that ensures positive definiteness under simple parameter constraints. Using intraday stock data over the period 2001-2012, we construct realized covariance kernels and show that the new fractionally integrated model statistically and economically outperforms recent alternatives such as the multivariate HEAVY model and the multivariate HAR model. In addition, the long-memory behavior is more important during non-crisis periods

Near-Infrared Imaging Polarimetry of Young Stellar Objects in rho-Ophiuchi

The results of a near-infrared (J H K LP) imaging linear polarimetry survey of 20 young stellar objects (YSOs) in rho Ophiuchi are presented. The majority of the sources are unresolved, with K-band polarizations, P_K < 6 per cent. Several objects are associated with extended reflection nebulae. These objects have centrosymmetric vector patterns with polarization discs over their cores; maximum polarizations of P_K > 20 per cent are seen over their envelopes. Correlations are observed between the degree of core polarization and the evolutionary status inferred from the spectral energy distribution. K-band core polarizations >6 per cent are only observed in Class I YSOs. A 3D Monte Carlo model with oblate grains aligned with a magnetic field is used to investigate the flux distributions and polarization structures of three of the rho Oph YSOs with extended nebulae. A rho proportional to r^(-1.5) power law for the density is applied throughout the envelopes. The large-scale centrosymmetric polarization structures are due to scattering. However, the polarization structure in the bright core of the nebula appears to require dichroic extinction by aligned non-spherical dust grains. The position angle indicates a toroidal magnetic field in the inner part of the envelope. Since the measured polarizations attributed to dichroic extinction are usually <10 per cent, the grains must either be nearly spherical or very weakly aligned. The higher polarizations observed in the outer parts of the reflection nebulae require that the dust grains responsible for scattering have maximum grain sizes <=1.05 microns.Comment: 26 pages. Accepted by MNRAS. Available as online early versio

Exchange-correlation functionals from the strongly-interacting limit of DFT: Applications to model chemical systems

We study model one-dimensional chemical systems (representative of their three-dimensional counterparts) using the strictly-correlated electrons (SCE) functional, which, by construction, becomes asymptotically exact in the limit of infinite coupling strength. The SCE functional has a highly non-local dependence on the density and is able to capture strong correlation within Kohn- Sham theory without introducing any symmetry breaking. Chemical systems, however, are not close enough to the strong-interaction limit so that, while ionization energies and the stretched H2 molecule are accurately described, total energies are in general way too low. A correction based on the exact next leading order in the expansion at infinite coupling strength of the Hohenberg-Kohn functional largely improves the results.Comment: 9 pages, 6 figures. Submitted to PCCP's Themed Collection on Density Functional Theory and its Application

Three New Species Of Bertolonia (melastomataceae) From Espirito Santo, Brazil

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)We describe and illustrate three new species of Bertolonia, all endemic to the state of Espirito Santo, Brazil. Bertolonia duasbocaensis and B. macrocalyx occur close to each other, in the municipalities of Cariacica and Viana. Bertolonia ruschiana has a wider distribution, occurring in the municipalities of Santa Leopoldina, Santa Maria de Jetiba and Santa Teresa. The first two species are classified as critically endangered (CR), and the latter as endangered (EN). We also present an identification key for the species of Bertolonia that occur in Espirito Santo.4CAPESCNPq "Produtividade em Pesquisa" [310717/2015-9, 306852/2013-6]Fundacao O Boticario de Protecao a Natureza [200720074]National Science Foundation [DEB-818399, DEB-1343612]Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq