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.

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 $\rho_0 R_g^3=0.163 ... 0.0406$. 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 $\sqrt{t}$-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

Heart rate variability in sleeping neonates

Projet SOSSORésumé disponible dans le fichier PD