106 research outputs found
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model’s in- and out-of-sample performance. We find that they contain valuable information on the risk-neutral conditional distributions of volatility at different time horizons, which is not spanned by the S&P 500 market. This information allows enhanced estimation of the variance risk premium. We gain new insights on the term structure of the variance risk premium, present a trading strategy exploiting these insights, and show how to improve S&P 500 return forecast
Surface Structure of Liquid Metals and the Effect of Capillary Waves: X-ray Studies on Liquid Indium
We report x-ray reflectivity (XR) and small angle off-specular diffuse
scattering (DS) measurements from the surface of liquid Indium close to its
melting point of C. From the XR measurements we extract the surface
structure factor convolved with fluctuations in the height of the liquid
surface. We present a model to describe DS that takes into account the surface
structure factor, thermally excited capillary waves and the experimental
resolution. The experimentally determined DS follows this model with no
adjustable parameters, allowing the surface structure factor to be deconvolved
from the thermally excited height fluctuations. The resulting local electron
density profile displays exponentially decaying surface induced layering
similar to that previously reported for Ga and Hg. We compare the details of
the local electron density profiles of liquid In, which is a nearly free
electron metal, and liquid Ga, which is considerably more covalent and shows
directional bonding in the melt. The oscillatory density profiles have
comparable amplitudes in both metals, but surface layering decays over a length
scale of \AA for In and \AA for Ga. Upon controlled
exposure to oxygen, no oxide monolayer is formed on the liquid In surface,
unlike the passivating film formed on liquid Gallium.Comment: 9 pages, 5 figures; submitted to Phys. Rev.
Detection of 15NH2D in dense cores: A new tool for measuring the 14N/15N ratio in the cold ISM
Ammonia is one of the best tracers of cold dense cores. It is also a minor
constituent of interstellar ices and, as such, one of the important nitrogen
reservoirs in the protosolar nebula, together with the gas phase nitrogen, in
the form of N2 and N. An important diagnostic of the various nitrogen sources
and reservoirs of nitrogen in the Solar System is the 14N/15N isotopic ratio.
While good data exist for the Solar System, corresponding measurements in the
interstellar medium are scarce and of low quality. Following the successful
detection of the singly, doubly, and triply deuterated isotopologues of
ammonia, we have searched for 15NH2D in dense cores, as a new tool for
investigating the 14N/15N ratio in dense molecular gas. With the IRAM-30m
telescope, we have obtained deep integrations of the ortho 15NH2D
(1(1,1)-1(0,1)) line at 86.4 GHz, simultaneously with the corresponding ortho
NH2D line at 85.9 GHz. o-15NH2D is detected in Barnard-1b, NGC1333-DCO+, and
L1689N, while we obtained upper limits towards LDN1544 and NGC1333-IRAS4A, and
a tentative detection towards L134N(S). The 14N/15N abundance ratio in NH2D
ranges between 350 and 850, similar to the protosolar value of ~ 424, and
likely higher than the terrestrial ratio of 270
Collapse of Monolayers of 10,12-Pentacosadiyonic Acid: Kinetics and Structure
International audienc
Multi-scale shear properties of flax fibre reinforced polyamide 11 biocomposites
Multiscale analyses are carried out to evaluate and understand the shear properties and behaviour of a flax fibre reinforced polyamide 11 (PA 11) biocomposite. Tensile tests of [+/- 45](n) laminates are performed to evaluate the macroscale in-plane shear properties, while microbond tests are performed to evaluate the apparent interfacial shear strength. Although the shear stiffness of PA 11 biocomposites is lower than the available literature values, the shear strength is higher due to a relatively high interfacial bonding strength. Flax/PA 11 interfacial bonding is controlled by hydrogen bonding rather than adhesive pressure induced by residual thermal stress. A superficial fibre cell-wall layer (primary cell-wall) is observed at different scales, which highlights the contribution of the global structure of flax fibres to the shear properties of biocomposites. (C) 2016 Elsevier Ltd. All rights reserved
Multi-scale shear properties of flax fibre reinforced polyamide 11 biocomposites
Multiscale analyses are carried out to evaluate and understand the shear properties and behaviour of a flax fibre reinforced polyamide 11 (PA 11) biocomposite. Tensile tests of [+/- 45](n) laminates are performed to evaluate the macroscale in-plane shear properties, while microbond tests are performed to evaluate the apparent interfacial shear strength. Although the shear stiffness of PA 11 biocomposites is lower than the available literature values, the shear strength is higher due to a relatively high interfacial bonding strength. Flax/PA 11 interfacial bonding is controlled by hydrogen bonding rather than adhesive pressure induced by residual thermal stress. A superficial fibre cell-wall layer (primary cell-wall) is observed at different scales, which highlights the contribution of the global structure of flax fibres to the shear properties of biocomposites. (C) 2016 Elsevier Ltd. All rights reserved
Anomalous metallic lithium phases: Identification by ESR, ENDOR, and the bistable Overhauser effect
International audienc
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