7,718 research outputs found
Extremal behavior of stochastic volatility models
Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels. We investigate classical and non-classical stochastic volatility models with respect to their extreme behavior. We show that classical stochastic volatility models driven by Brownian motion can model heavy tails, but obviously they are not able to model volatility jumps. Such phenomena can be modelled by Levy driven volatility processes as, for instance, by Levy driven Ornstein-Uhlenbeck models. They can capture heavy tails and volatility jumps. Also volatility clusters can be found in such models, provided the driving Levy process has regularly varying tails. This results then in a volatility model with similarly heavy tails. As the last class of stochastic volatility models, we investigate a continuous time GARCH(1,1) model. Driven by an arbitrary Levy process it exhibits regularly varying tails, volatility upwards jumps and clusters on high levels
Neutrino Factories: Physics Potential
The physics potential of low-performance and high-performance neutrino
factories is briefly reviewed..Comment: Talk presented at NUFACT02, London, 1-6 July, 2002. 8 pages, 5
figure
New Insights into Food Fermentation
: Food fermentation has been used for thousands of years for food preservation [...]
Monopolelike probes for quantitative magnetic force microscopy: calibration and application
A local magnetization measurement was performed with a Magnetic Force
Microscope (MFM) to determine magnetization in domains of an exchange coupled
[Co/Pt]/Co/Ru multilayer with predominant perpendicular anisotropy. The
quantitative MFM measurements were conducted with an iron filled carbon
nanotube tip, which is shown to behave like a monopole. As a result we
determined an additional in-plane magnetization component of the multilayer,
which is explained by estimating the effective permeability of the sample
within the \mu*-method.Comment: 3 pages, 3 figure
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