17,297 research outputs found

    Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility

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    Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors : the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main ?ndings are that the HAR model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts.realized volatility ; quantile forecasting ; MIDAS ; HAR ; exchange rates

    Universality of Ionic Criticality: Size- and Charge-Asymmetric Electrolytes

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    Grand canonical simulations designed to resolve critical universality classes are reported for zz:1 hard-core electrolyte models with diameter ratios λ=a+/a−≲6\lambda {=} a_+/a_- {\lesssim} 6. For z=1z {=} 1 Ising-type behavior prevails. Unbiased estimates of Tc(λ)T_c(\lambda) are within 1% of previous (biased) estimates but the critical densities are ∼\sim 5 % lower. Ising character is also established for the 2:1 and 3:1 equisized models, along with critical amplitudes and improved TcT_c estimates. For z=3z {=} 3, however, strong finite-size effects reduce the confidence level although classical and O(n≥3)(n {\geq} 3) criticality are excluded.Comment: 4 pages, 3 figure

    Surface Waves on a Semi-toroidal Water Ring

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    We study the dynamics of surface waves on a semi-toroidal ring of water that is excited by vertical vibration. We create this specific fluid volume by patterning a glass plate with a hydrophobic coating, which confines the fluid to a precise geometric region. To excite the system, the supporting plate is vibrated up and down, thus accelerating and decelerating the fluid ring along its toroidal axis. When the driving acceleration is sufficiently high, the surface develops a standing wave, and at yet larger accelerations, a traveling wave emerges. We also explore frequency dependencies and other geometric shapes of confinement

    Hydrogenation of Si from SiNx(H) films: Characterization of H introduced into the Si

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    A promising method to introduce H into multicrystalline Si solar cells in order to passivate bulk defects is by the postdeposition annealing of a H-rich, SiNx surface layer. It has previously been difficult to characterize the small concentration of H that is introduced by this method. Infrared spectroscopy has been used together with marker impurities in the Si to determine the concentration and depth of H introduced into Si from an annealed SiNx film

    Determination of the infrared complex magnetoconductivity tensor in itinerant ferromagnets from Faraday and Kerr measurements

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    Journal ArticleWe present measurement and analysis techniques that allow the complete complex magnetoconductivity tensor to be determined from midinfrared (11-1.6 μm; 100-800 meV) measurements of the complex Faraday (θF) and Kerr (θK) angles. Since this approach involves measurement of the geometry (orientation axis and ellipticity of the polarization) of transmitted and reflected light, no absolute transmittance or reflectance measurements are required. Thick-film transmission and reflection equations are used to convert the complex θF and θK into the complex longitudinal conductivity σxx and the complex transverse (Hall) conductivity σxy. θF and θK are measured in a Ga1−xMnxAs and SrRuO3 films. The resulting σxx is compared to the values obtained from conventional transmittance and reflectance measurements, as well as the results from Kramers-Kronig analysis of reflectance measurements on similar films

    Wavelength- and material-dependent absorption in GaAs and AlGaAs microcavities

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    The quality factors of modes in nearly identical GaAs and Al_{0.18}Ga_{0.82}As microdisks are tracked over three wavelength ranges centered at 980 nm, 1460 nm, and 1600 nm, with quality factors measured as high as 6.62x10^5 in the 1600-nm band. After accounting for surface scattering, the remaining loss is due to sub-bandgap absorption in the bulk and on the surfaces. We observe the absorption is, on average, 80 percent greater in AlGaAs than in GaAs and in both materials is 540 percent higher at 980 nm than at 1600nm.Comment: 4 pages, 2 figures, 1 table, minor changes to disucssion of Qrad and Urbach tai
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