Refined Inference on Long Memory in Realized Volatility

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et. al. (2001), Martens et al. (2004)). The present paper provides some analytical explanations for this evidence and shows how recent results in Lieberman and Phillips (2004a, 2004b) can be used to refine statistical inference about d with little computational effort. In contrast to standard asymptotic normal theory now used in the literature which has an O(n-1/2) error rate on error rejection probabilities, the asymptotic approximation used here has an error rate of o(n-1/2). The new formula is independent of unknown parameters, is simple to calculate and highly user-friendly. The method is applied to test whether the reported long memory parameter estimates of Andersen et. al. (2001) and Martens et. al. (2004) differ significantly from the lower boundary (d = 0.5) of nonstationary long memory.ARFIMA; Edgeworth expansion; Fourier integral expansion; Fractional differencing; Improved inference; Long memory; Pivotal statistic; Realized volatility; Singularity

Recent Developments in the Use of Near Infra-Red Spectroscopy for the Evaluation of Grass Silage

This work assessed the potential of near infra-red spectroscopy (NIRS) to predict the voluntary intake and fermentation characteristics of grass silage. NIRS spectra were obtained from dried milled (Dry) or fresh samples by two methods (Wet1 - vertical transport mechanism and Wet2 - rotating cup drawer). Prediction errors (SECV as a percentage of mean values) were 5.5, 6.5 and 2.5 for Dry, Wet1 and Wet2 respectively for intake by dairy cows (n=28). Corresponding values were 10.3, 16.1 and 10.9 for lambs (n=88). The Wet2 method gave more accurate predictions than Wet1 except for predictions of ADF and unfermentable metabolisable energy (UFME) and was more accurate than the Dry sample method for the prediction of intake by dairy cows, TDM and UFME. However, the Dry sample technique performed best for OM, NDF, ADF, pH, sugar, lactic acid and VFA. NIRS has the potential to replace all the current advisory analytical methods

The Effect of Salt and Pyrophosphate on the Structure of Meat

Our obective was to determine whether or not salt and pyrophosphate have the same effect on the structure of pieces of meat as they have on isolated myofibrils. Blocks of pig M. longissimus dorsi were incubated in solutions of sodium chloride at pH 5.5 or sodium chloride plus sodium pyrophosphate at pH 5.5 or 8.0. The blocks were obtained from fresh (24h post- mortem) or aged (72h post-mor tem) muscle and incubated for 5 or 24h with minimal agitation. There was considerable uptake of water by the tissue especially at the higher pH and longer times. Electron microscopy of the meat incubated in salt plus pyrophosphate at pH 8.0 revealed complete or nearly complete extraction of the A-band to a depth of at least one fibre from the surface. In meat incubated in salt plus pyrophosphate at pH 5.5 the extraction of the A-band was 1 ess complete and appeared to occur only near the surface. In salt alone no extraction of the A-band occurred. Swelling of myofibrils close to the surface could be detected either by a reduction of density or by greater separation of filaments . Break-up of the Z-line, probably due to mechanical disruption imposed by swelling of myofibrils, was a common feature of the salt treatments. Mitochondria near the surface were grossly swollen, especially with salt plus pyrophosphate at pH 8.0 At low pH amorphous material was observed inside and outside the cell membrane, but at high pH filamentous material was present in these areas

Probing the band structure of InAs/GaAs quantum dots by capacitance-voltage and photoluminescence spectroscopy

The band structure of self-assembled InAs quantum dots, embedded in a GaAs matrix, is probed with capacitance-voltage spectroscopy and photoluminescence(PL)spectroscopy. The electron energy levels in the quantum dots with respect to the electron ground state of the wetting layer (WL) are determined from the capacitance-voltage measurements with a linear lever arm approximation. In the region where the linear lever arm approximation is not valid anymore (after the charging of the WL), the energetic distance from the electron ground state of the WL to the GaAs conduction band edge can be indirectly inferred from a numerical simulation of the conduction band under different gate voltages. In combination with PL measurements, the complete energy band diagram of the quantum dot sample is extracted

A multivariate stochastic unit root model with an application to derivative pricing

National Science Foundatio

Cavity-enhanced frequency up-conversion in rubidium vapour

We report the first use of a ring cavity to both enhance the output power and dramatically narrow the linewidth (<1MHz) of blue light generated by four wave mixing in a rubidium vapour cell. We find that the high output power available in our cavity-free system leads to power broadening of the generated blue light linewidth. Our ring cavity removes this limitation, allowing high output power and narrow linewidth to be achieved concurrently. As the cavity blue light is widely tunable over the 85Rb 5S1/2F=3 → 6P3/2 transition, this narrow linewidth light would be suitable for second-stage laser cooling, which could be valuable for efficient 85Rb BEC production