EGARCH models with fat tails, skewness and leverage

An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t-distribution is found for a range of returns series and the model is shown to give a better .t than the corresponding skewed-t GARCH model.two components

General-to-specific (GETS) modelling and indicator saturation with the R package gets

This paper provides an overview of the R-package 'gets', which contains facilities for General-to-Specific (GETS) modelling of the mean and variance of a regression, and Indicator Saturation (IS) methods for the detection and modelling of structural breaks and outliers. The mean can be specified as an autoregressive model with covariates (an 'AR-X' model), and the variance can be specified as an autoregressive log-variance model with covariates (a 'log-ARCH-X' model). The covariates in the two specifications need not be the same, and the classical regression model is obtained as a special case when there is no dynamics, and when there are no covariates in the variance equation. The four main functions of the package are arx, getsm, getsv and isat. The first function estimates an AR-X model with log-ARCH-X errors. The second function undertakes GETS model selection of the mean specification of an arx object. The third function undertakes GETS model selection of the log-variance specification of an arx object. The fourth function undertakes GETS model selection of an indicator saturated mean specification allowing for the detection of structural breaks and outliers. Examples of how LaTeX code of the estimation output can be generated is given, and the usage of two convenience functions for export of results to EViews and STATA are illustrated

Local Aromaticity of Pristine and Fluorinated Carbon Nanotubes

International audienceWe examine the use of nucleus independent chemical shifts (NICS) as a tool for analysis of pristine and fluorinated finite-length carbon nanotubes. The introduction of both variable molecule length and different nanotube curvatures introduces additional subtleties to NICS analysis not present in analysis of more conventional 2D molecules. Notably the precise length of tube segment considered can strongly influence calculated NICS values. We provide specific examples using (6,6) and (7, 7) nanotube segments under fluorination. Although care should be taken when comparing systems of different length or curvature, important chemical information can still be retrieved from the local aromaticity patterns. In particular, local aromaticity is observed to play a relevant role in the orientation towards the ideal C4F addition pattern for fluorinated carbon nanotubes

Reaction Mechanisms for Graphene and Carbon Nanotube Fluorination

International audienceVia density functional theory calculations, we explore the process of graphene and carbon nanotube fluorination. Contrary to graphene, HF-catalyzed carbon nanotube fluorination adds fluorine pairs at (1,4) spacing, naturally leading to a self-organized C4F coverage, which call subsequently rearrange into dense axial C2F lines by fluorine diffusion upon solubilization or heat treatment. Controlling the fluorination process and subsequent nanotube processing results in fluorinated material types with unexplored electronic and chemical properties

Rigidochromism by imide functionalisation of an aminomaleimide fluorophore

Fluorescent dyes that exhibit high solid state quantum yields and sensitivity to the mechanical properties of their local environment are useful for a wide variety of applications, but are limited in chemical diversity. We report a trityl-functionalised maleimide that displays rigidochromic behaviour, becoming highly fluorescent when immobilised in a solid matrix, while displaying negligible fluorescence in solution. Furthermore, the dye's quantum yield is shown to be sensitive to the nature of the surrounding matrix. Computational studies reveal that this behaviour arises from the precise tuning of inter- and intramolecular noncovalent interactions. This work expands the diversity of molecules exhibiting solid state environment sensitivity, and provides important fundamental insights into their design.The authors thank the Ministerio de Economia y Competitividad (MINECO) of Spain (projects CTQ2016-80375-P and PID2019-104772GB-I00), Gobierno Vasco (IT1346-19) and the ERC for support (grant no. 615142). VGS thanks the Royal Society and Leverhulme Trust (LT150052

Econometric reduction theory and philosophy

Econometric reduction theory provides a comprehensive probabilistic framework for the analysis and classification of the reductions (simplifications) associated with empirical econometric models. However, the available approaches to econometric reduction theory are unable to satisfactorily accommodate a commonplace theory of social reality, namely that the course of history is indeterministic, that history does not repeat itself and that the future depends on the past. Using concepts from philosophy this paper proposes a solution to these shortcomings, which in addition permits new reductions, interpretations and definitions.theory of reduction, DGP, possible worlds, econometrics and philosophy,