6,214 research outputs found

    Firm Level Volatility-Return Analysis using Dynamic Panels

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    This paper examines "leverage" and volatility feedback effects at the firm level by considering both market effects and firm level effects, using 242 individual firm stock data in the US market. We adopt a panel vector autoregressive framework which allows us to control simultaneously for common business cycle effects, unobserved cross correlation effects in return and volatility via industry effects, and heterogeneity across firms. Our results suggest that volatility feedback effects at the firm level are present due to both market effects and firm effects, though the market volatility feedback effect is stronger than the corresponding firm level effect. We also find that the leverage effect at the firm level is persistent, significant and negative, while the effect of market return on firm volatility is persistent, significant and positive. The presence of these effects is further explored through the responses of the model's variables to market-wide return and volatility shocks.Volatility Feedback; Stock Return; Leverage Effects; Panel Vector Autoregression

    Expert systems applied to spacecraft fire safety

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    Expert systems are problem-solving programs that combine a knowledge base and a reasoning mechanism to simulate a human expert. The development of an expert system to manage fire safety in spacecraft, in particular the NASA Space Station Freedom, is difficult but clearly advantageous in the long-term. Some needs in low-gravity flammability characteristics, ventilating-flow effects, fire detection, fire extinguishment, and decision models, all necessary to establish the knowledge base for an expert system, are discussed

    Panel Unit Root Tests in the Presence of a Multifactor Error Structure

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    This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases, especially in the presence of serial correlation in the error term, contrary to alternative test statistics. Empirical applications to Fisher’s inflation parity and real equity prices across different markets illustrate how the proposed test works in practice

    A Model of Neutrino Mass and Dark Matter with an Accidental Symmetry

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    We present a model of radiative neutrino mass that automatically contains an accidental Z2Z_2 symmetry and thus provides a stable dark matter candidate. This allows a common framework for the origin of neutrino mass and dark matter without invoking any symmetries beyond those of the Standard Model. The model can be probed by direct-detection experiments and μ→e+γ\mu\rightarrow e+\gamma searches, and predicts a charged scalar that can appear at the TeV scale, within reach of collider experiments.Comment: 9 pages, 3 figures; v2 minor correction to PLB version (results unchanged

    Orbital-controlled magnetic transition between gapful and gapless phases in the Haldane system with t2g-orbital degeneracy

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    In order to clarify a key role of orbital degree of freedom in the spin S=1 Haldane system, we investigate ground-state properties of the t2g-orbital degenerate Hubbard model on the linear chain by using numerical techniques. Increasing the Hund's rule coupling in multi-orbital systems, in general, there occurs a transition from an antiferromagnetic to a ferromagnetic phase. We find that the antiferromagnetic phase is described as the Haldane system with spin gap, while in the ferromagnetic phase, there exists the gapless excitation with respect to orbital degree of freedom. Possible relevance of the present results to actual systems is also discussed.Comment: 4 pages, 3 figures, to appear in Phys. Rev.

    Panel Unit Root Tests in the Presence of a Multifactor Error Structure

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    This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases, especially in the presence of serial correlation in the error term, contrary to alternative test statistics. Empirical applications to Fisher’s inflation parity and real equity prices across different markets illustrate how the proposed test works in practice.panel unit root tests, cross section dependence, multi-factor residual structure, Fisher inflation parity, real equity prices

    Anomalous momentum dependence of the multiband electronic structure of FeSe_1-xTe_x superconductors induced by atomic disorder

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    When periodicity of crystal is disturbed by atomic disorder, its electronic state becomes inhomogeneous and band dispersion is obscured. In case of Fe-based superconductors, disorder of chalcogen/pnictogen height causes disorder of Fe 3d level splitting. Here, we report an angle-resolved photoemission spectroscopy study on FeSe_1-xTe_x with the chalcogen height disorder, showing that the disorder affects the Fe 3d band dispersions in an orbital-selective way instead of simple obscuring effect. The reverse of the Fe 3d level splitting due to the chalcogen height difference causes the splitting of the hole band with Fe 3d x^2-y^2 character around the Gamma point.Comment: 5 pages, 4 figure

    Long life stau in the minimal supersymmetric standard model

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    We study the stau lifetime in a scenario with the LSP taken to be a neutralino and the NLSP being a stau, based on the minimal supersymmetric Standard Model. The mass difference between the LSP and NLSP, δm\delta m, must satisfy δm/mχ~∼\delta m/m_{\tilde{\chi}} \sim a few % or less for coannihilation to occur, where mχ~m_{\tilde{\chi}} is the neutralino mass. We calculate the stau lifetime from the decay modes τ~→χ~τ\tilde{\tau}\to \tilde{\chi}\tau, χ~ντπ\tilde{\chi}\nu_\tau\pi, and χ~ντμ(e)νμ(e)\tilde{\chi}\nu_\tau\mu(e)\nu_{\mu(e)} and discuss its dependence on various parameters. We find that the lifetime is in the range 10−2210^{-22}--101610^{16} sec for 10−2≤δm≤1010^{-2} \le \delta m \le 10 GeV. We also discuss the connection with lepton flavor violation if there is mixing between sleptons.Comment: 15 pages, 5 figure
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