Nucleon Sigma Term and In-medium Quark Condensate in the Modified Quark-Meson Coupling Model

We evaluate the nucleon sigma term and in-medium quark condensate in the modified quark-meson coupling model which features a density-dependent bag constant. We obtain a nucleon sigma term consistent with its empirical value, which requires a significant reduction of the bag constant in the nuclear medium similar to those found in the previous works. The resulting in-medium quark condensate at low densities agrees well with the model independent linear order result. At higher densities, the magnitude of the in-medium quark condensate tends to increase, indicating no tendency toward chiral symmetry restoration.Comment: 9 pages, modified version to be publishe

Realized beta : persistence and predictability

A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas, vis-à-vis the dynamics in the underlying realized market variance and individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led to a framework of nonlinear fractional cointegration: although realized variances and covariances are very highly persistent and well approximated as fractionally-integrated, realized betas, which are simple nonlinear functions of those realized variances and covariances, are less persistent and arguably best modeled as stationary I(0) processes. We conclude by drawing implications for asset pricing and portfolio management. JEL Klassifikation: C1, G