347 research outputs found
Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations
In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal distributions of such time series have heavy tails ; thus we examine the BL-GARCH model in a general setting under some non-Normal distributions. We investigate some probabilistic properties of this model and we propose and implement a maximum likelihood estimation (MLE) methodology. To evaluate the small-sample performance of this method for the various models, a Monte Carlo study is conducted. Finally, within-sample estimation properties are studied using S&P 500 daily returns, when the features of interest manifest as volatility clustering and leverage effects.BL-GARCH process, elliptical distribution, leverage effects, Maximum Likelihood, Monte Carlo method, volatility clustering.
Performances aérobies et évaluation isocinétique des sous-mariniers avant et après patrouille
Comparaison de trois méthodes de prédiction de la consommation maximale d’oxygène dans une population de sous-mariniers
Reactions at polymer interfaces: A Monte Carlo Simulation
Reactions at a strongly segregated interface of a symmetric binary polymer
blend are investigated via Monte Carlo simulations. End functionalized
homopolymers of different species interact at the interface instantaneously and
irreversibly to form diblock copolymers. The simulations, in the framework of
the bond fluctuation model, determine the time dependence of the copolymer
production in the initial and intermediate time regime for small reactant
concentration . The results are compared to
recent theories and simulation data of a simple reaction diffusion model. For
the reactant concentration accessible in the simulation, no linear growth of
the copolymer density is found in the initial regime, and a -law is
observed in the intermediate stage.Comment: to appear in Macromolecule
Coulomb Blockade in low mobility nanometer size Si:MOSFETs
We investigate coherent transport in Si:MOSFETs with nominal gate lengths 50
to 100nm and various widths at very low temperature. Independent of the
geometry, localized states appear when G=e^{2}/h and transport is dominated by
resonant tunnelling through a single quantum dot formed by an impurity
potential. We find that the typical size of the relevant impurity quantum dot
is comparable to the channel length and that the periodicity of the observed
Coulomb blockade oscillations is roughly inversely proportional to the channel
length. The spectrum of resonances and the nonlinear I-V curves allow to
measure the charging energy and the mean level energy spacing for electrons in
the localized state. Furthermore, we find that in the dielectric regime, the
variance var(lng) of the logarithmic conductance lng is proportional to its
average value consistent with one-electron scaling models.Comment: 4 pages, 4 figure
Global and local environmental changes as drivers of Buruli ulcer emergence
International audienceMany emerging infectious diseases are caused by generalist pathogens that infect and transmit via multiple host species with multiple dissemination routes, thus confounding the understanding of pathogen transmission pathways from wildlife reservoirs to humans. The emergence of these pathogens in human populations has frequently been associated with global changes, such as socio-economic, climate or biodiversity modifications, by allowing generalist pathogens to invade and persist in new ecological niches, infect new host species, and thus change the nature of transmission pathways. Using the case of Buruli ulcer disease, we review how land-use changes, climatic patterns and biodiversity alterations contribute to disease emergence in many parts of the world. Here we clearly show that Mycobacterium ulcerans is an environmental pathogen characterized by multi-host transmission dynamics and that its infectious pathways to humans rely on the local effects of global environmental changes. We show that the interplay between habitat changes (for example, deforestation and agricultural land-use changes) and climatic patterns (for example, rainfall events), applied in a local context, can lead to abiotic environmental changes and functional changes in local biodiversity that favor the pathogen’s prevalence in the environment and may explain disease emergence
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