Semiparametric multivariate volatility models

Estimation of multivariate volatility models is usually carried out by quasi maximum likelihood (QMLE), for which consistency and asymptotic normality have been proven under quite general conditions. However, there may be a substantial efficiency loss of QMLE if the true innovation distribution is not multinormal. We suggest a nonparametric estimation of the multivariate innovation distribution, based on consistent parameter estimates obtained by QMLE. We show that under standard regularity conditions the semiparametric efficiency bound can be attained. Without reparametrizing the conditional covariance matrix (which depends on the particular model used), adaptive estimation is not possible. However, in some cases the e?ciency loss of semiparametric estimation with respect to full information maximum likelihood decreases as the dimension increases. In practice, one would like to restrict the class of possible density functions to avoid the curse of dimensionality. One way of doing so is to impose the constraint that the density belongs to the class of spherical distributions, for which we also derive the semiparametric efficiency bound and an estimator that attains this bound. A simulation experiment demonstrates the e?ciency gain of the proposed estimator compared with QMLE. --Multivariate volatility,GARCH,semiparametric efficiency,adaptivity

Thermodynamically Stable One-Component Metallic Quasicrystals

Classical density-functional theory is employed to study finite-temperature trends in the relative stabilities of one-component quasicrystals interacting via effective metallic pair potentials derived from pseudopotential theory. Comparing the free energies of several periodic crystals and rational approximant models of quasicrystals over a range of pseudopotential parameters, thermodynamically stable quasicrystals are predicted for parameters approaching the limits of mechanical stability of the crystalline structures. The results support and significantly extend conclusions of previous ground-state lattice-sum studies.Comment: REVTeX, 13 pages + 2 figures, to appear, Europhys. Let

The Structure of Barium in the hcp Phase Under High Pressure

Recent experimental results on two hcp phases of barium under high pressure show interesting variation of the lattice parameters. They are here interpreted in terms of electronic structure calculation by using the LMTO method and generalized pseudopotential theory (GPT) with a NFE-TBB approach. In phase II the dramatic drop in c/a is an instability analogous to that in the group II metals but with the transfer of s to d electrons playing a crucial role in Ba. Meanwhile in phase V, the instability decrease a lot due to the core repulsion at very high pressure. PACS numbers: 62.50+p, 61.66Bi, 71.15.Ap, 71.15Hx, 71.15LaComment: 29 pages, 8 figure

Anomalous Microwave Surface Resistance of CeCu6

We present surface resistance measurements of the archetypical heavy-fermion compound CeCu6 for frequencies between 3.7 and 18 GHz and temperatures from 1.2 to 6 K. The measurements were performed with superconducting stripline resonators that allow simultaneous measurements at multiple frequencies. The surface resistance of CeCu6 exhibits a pronounced decrease below 3 K, in consistence with dc resistivity. The low-temperature frequency dependence of the surface resistance follows a power law with exponent 2/3. While for conventional metals this would be consistent with the anomalous skin effect, we discuss the present situation of a heavy-fermion metal, where this frequency dependence might instead stem from the influence of electronic correlations.Comment: 6 pages, 3 figures, proceedings of SCES 201

A note on the depth-from-defocus mechanism of jumping spiders

Jumping spiders are capable of estimating the distance to their prey relying only on the information from one of their main eyes. Recently, it has been shown that jumping spiders perform this estimation based on image defocus cues. In order to gain insight into the mechanisms involved in this blur-to-distance mapping as performed by the spider and to judge whether inspirations can be drawn from spider vision for depth-from-defocus computer vision algorithms, we constructed a three-dimensional (3D) model of the anterior median eye of the Metaphidippus aeneolus, a well studied species of jumping spider. We were able to study images of the environment as the spider would see them and to measure the performances of a well known depth-from-defocus algorithm on this dataset. We found that the algorithm performs best when using images that are averaged over the considerable thickness of the spider's receptor layers, thus pointing towards a possible functional role of the receptor thickness for the spider's depth estimation capabilities

Generalized van der Waals theory of liquid-liquid phase transitions

In the framework of the thermodynamic perturbation theory for fluids we study how the phase diagram of an isotropic repulsive soft-core attractive potential, where a liquid-liquid phase transition exists in addition to the standard gas-liquid phase transition, changes by varying the parameters of the potential. We show that existence of the liquid-liquid transition is determined by the interplay of the parameters of the potential and the structure of a reference liquid.Comment: 5 pages, 6 figure