On forecasting daily stock volatility: the role of intraday information and market conditions

Several recent studies advocate the use of nonparametric estimators of daily price vari- ability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. The forecast race is conducted in a GARCH framework and relies on several loss functions. The realized range fares relatively well in the in-sample .t analysis, for instance, regarding the extent to which it brings normality in returns. However, overall the realised power variation provides the most accurate 1-day-ahead forecasts. Fore- cast combination of all four intraday measures produces the smallest forecast errors in about half of the sampled stocks. A market conditions analysis reveals that the additional use of intraday data on day t .. 1 to forecast volatility on day t is most advantageous when day t is a low volume or an up-market day. The results have implications for value-at-risk analysis.

Combined photo- and electroreflectance of multijunction solar cells enabled by subcell electric coupling

Electric coupling between subcells of a monolithically grown multijunction solar cell in short circuit allows their simultaneous and independent characterization by means of photo- and electroreflectance. The photovoltage generated by selective absorption of the pump beam in a given subcell during photoreflectance measurements results in reverse biasing the complementary subunits at the modulation frequency set on the pump illumination. Such voltage bias modulation acts then as external perturbation on the complementary subcells. The spectral separation of the different subcell absorption ranges permits the probe beam to record in a single spectrum the response of the complete device as a combination of photo- and electroreflectance, thereby providing access for diagnosis of subcells on an individual basis. This form of modulation spectroscopy is demonstrated on a GaInP/GaAs tandem solar cell.Comment: 5 pages, 4 figures. This article has been accepted by Appl. Phys. Lett. After it is published, it will be found at https://doi.org/10.1063/1.506260

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ECB policy and Eurozone fragility: Was De Grauwe right?

Paul De Grauwe's Eurozone fragility hypothesis states that sovereign debt markets in a monetary union without a lender-of-last-resort are vulnerable to self-fulfilling dynamics fuelled by pessimistic investor sentiment that can trigger default. We test this contention by applying an eclectic methodology to a two-year window around Mario Draghi's “whatever-it-takes” pledge that can be understood as the implicit announcement of the Outright Monetary Transactions (OMT) program. A principal components analysis reveals that the perceived commonality in default risk among peripheral and core Eurozone sovereigns increased after the announcement. An event study reveals significant pre-announcement news transmission from Spain to Italy, France, Belgium and Austria that clearly dissipates post-announcement. Country-specific regressions of CDS spreads on systematic risk factors reveal frequent days of large adverse shocks affecting simultaneously those five Eurozone countries, but only during the pre-announcement period. Altogether these findings support the fragility hypothesis and endorse the OMT program

Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching

Theoretical credit risk models à la Merton (1974) predict a non-linear negative link between the default likelihood and asset value of a firm. This motivates us to propose a flexible empirical Markov-switching bivariate copula that allows for distinct time-varying dependence between credit default swap (CDS) spreads and equity prices in “crisis” and “tranquil” periods. The model identifies high-dependence regimes that coincide with the recent credit crunch and the European sovereign debt crises, and is supported by in-sample goodness-of-fit criteria relative to nested copula models that impose within-regime constant dependence or no regime-switching. Value-at-Risk forecasts that aim to set day-ahead trading limits for the hedging of CDS-equity portfolios reveal the economic relevance of the model from the viewpoints of both regulatory and asymmetric piecewise linear loss functions

High-pressure study of substrate material ScAlMgO4

We report on the structural properties of ScAlMgO4 studied under quasi-hydrostatic pressure using synchrotron high-pressure x-ray diffraction up to 40 GPa. We also report on single-crystal studies of ScAlMgO4 performed at 300 K and 100 K. We found that the low-pressure phase remains stable up to 24 GPa. At 28 GPa, we detected a reversible phase transformation. The high-pressure phase is assigned to a monoclinic distortion of the low-pressure phase. No additional phase transition is observed up to 40 GPa. In addition, the equation of state, compressibility tensor, and thermal expansion coefficients of ScAlMgO4 are determined. The bulk modulus of ScAlMgO4 is found to be 143(8) GPa, with a strong compressibility anisotropy. For the trigonal low-pressure phase, the compressibility along the c-axis is twice than perpendicular one. A perfect lattice match with ZnO is retained under pressure in the pressure range of stability of wurtzite ZnO.Comment: 22 pages, 5 figures, 4 tables, 24 reference

An emulation of VoD services using virtual network environments

Virtualization platforms are a viable alternative for the implementation of IP network experimentation environments. These platforms facilitate the conducting of tests as if a real environment were used and therefore can reduce the risk of failure as well as investment and experimentation costs. This paper proposes to develop a method to improve the results obtained in virtual network environments, trying to resemble those obtained in a real environment. To carry this out, we have emulated a video-on-demand service over ADSL using Xen as a virtualization tool, just as it would have been through a real ADSL connection. Connectivity, IP addressing, switching, routing and video streaming were tested to check the functionality of virtual network environments. Then, the bandwidth, the delay, and the inter-arrival time of video streaming packets were measured both in real and virtual environments. Finally, these parameters were tuned in the virtual network environments obtaining a similar behavior in clients and servers of both cases

Compressibility and structural stability of ultra-incompressible bimetallic interstitial carbides and nitrides

We have investigated by means of high-pressure x-ray diffraction the structural stability of Pd2Mo3N, Ni2Mo3C0.52N0.48, Co3Mo3C0.62N0.38, and Fe3Mo3C. We have found that they remain stable in their ambient-pressure cubic phase at least up to 48 GPa. All of them have a bulk modulus larger than 330 GPa, being the least compressible material Fe3Mo3C, B0 = 374(3) GPa. In addition, apparently a reduction of compressibility is detected as the carbon content increased. The equation of state for each material is determined. A comparison with other refractory materials indicates that interstitial nitrides and carbides behave as ultra-incompressible materials.Comment: 14 pages, 3 figures, 1 tabl

Global associations between UVR exposure and current eczema prevalence in children from ISAAC Phase Three

We sought to examine the relationship globally between UV dose exposure and current eczema prevalences. ISAAC Phase Three provided data on eczema prevalence for 13-14 year-olds in 214 centres in 87 countries and for 6-7 year-olds in 132 centres in 57 countries. Linear and non-linear associations between (natural log transformed) eczema prevalence and the mean, maximum, minimum, standard deviation and range of monthly UV dose exposures were assessed using linear mixed-effects regression models. For the 13-14 year olds, the country-level eczema prevalence was positively and linearly associated with country-level monthly mean (prevalence ratio: 1.31, 95% confidence interval: [1.05, 1.63] per kJ/m2) and minimum (1.25 [1.06, 1.47] per kJ/m2) UV dose exposure. Linear and non-linear associations were also observed for other metrics of UV. Results were similar in trend, but non-significant, for the fewer centres with 6-7 year-olds (e.g. 1.24 [0.96, 1.59] per kJ/m2 for country-level monthly mean UV). No consistent within-country associations were observed (e.g. 1.05 [0.89, 1.23] and 0.92 [0.71, 1.18] per kJ/m2 for center-level monthly mean UV, for the 13-14 and 6-7 year-olds, respectively). These ecological results support a role for UV exposure in explaining some of the variation in global childhood eczema prevalence