2,534 research outputs found
On the derivatives of generalized Gegenbauer polynomials
We prove some new formulae for the derivatives of the generalized Gegenbauer
polynomials associated to the Lie algebra .Comment: 3 pages, no figures; submitted to Theor. Math. Phy
On forecasting daily stock volatility: the role of intraday information and market conditions
Several recent studies advocate the use of nonparametric estimators of daily price vari- ability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. The forecast race is conducted in a GARCH framework and relies on several loss functions. The realized range fares relatively well in the in-sample .t analysis, for instance, regarding the extent to which it brings normality in returns. However, overall the realised power variation provides the most accurate 1-day-ahead forecasts. Fore- cast combination of all four intraday measures produces the smallest forecast errors in about half of the sampled stocks. A market conditions analysis reveals that the additional use of intraday data on day t .. 1 to forecast volatility on day t is most advantageous when day t is a low volume or an up-market day. The results have implications for value-at-risk analysis.
Explicit computations of low lying eigenfunctions for the quantum trigonometric Calogero-Sutherland model related to the exceptional algebra E7
In the previous paper math-ph/0507015 we have studied the characters and
Clebsch-Gordan series for the exceptional Lie algebra E7 by relating them to
the quantum trigonometric Calogero-Sutherland Hamiltonian with coupling
constant K=1. Now we extend that approach to the case of general K
Generating functions and multiplicity formulas: the case of rank two simple Lie algebras
A procedure is described that makes use of the generating function of
characters to obtain a new generating function giving the multiplicities of
each weight in all the representations of a simple Lie algebra. The way to
extract from explicit multiplicity formulas for particular weights is
explained and the results corresponding to rank two simple Lie algebras shown
On the generating function of weight multiplicities for the representations of the Lie algebra
We use the generating function of the characters of to obtain a
generating function for the multiplicities of the weights entering in the
irreducible representations of that simple Lie algebra. From this generating
function we derive some recurrence relations among the multiplicities and a
simple graphical recipe to compute them.Comment: arXiv admin note: text overlap with arXiv:1304.720
Combined photo- and electroreflectance of multijunction solar cells enabled by subcell electric coupling
Electric coupling between subcells of a monolithically grown multijunction
solar cell in short circuit allows their simultaneous and independent
characterization by means of photo- and electroreflectance. The photovoltage
generated by selective absorption of the pump beam in a given subcell during
photoreflectance measurements results in reverse biasing the complementary
subunits at the modulation frequency set on the pump illumination. Such voltage
bias modulation acts then as external perturbation on the complementary
subcells. The spectral separation of the different subcell absorption ranges
permits the probe beam to record in a single spectrum the response of the
complete device as a combination of photo- and electroreflectance, thereby
providing access for diagnosis of subcells on an individual basis. This form of
modulation spectroscopy is demonstrated on a GaInP/GaAs tandem solar cell.Comment: 5 pages, 4 figures. This article has been accepted by Appl. Phys.
Lett. After it is published, it will be found at
https://doi.org/10.1063/1.506260
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Sieve bootstrap t-tests on long-run average parameters
Panel estimators can provide consistent measures of a long-run average parameter even if the individual regressions are spurious. However, the t-test on this parameter is fraught with problems because the limit distribution of the test statistic is non-standard and rather complicated, particularly in panels with mixed (non-)stationary errors. A sieve bootstrap framework is suggested to approximate the distribution of the t-statistic. An extensive Monte Carlo study demonstrates that the bootstrap is quite useful in this context
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