Block Structure Multivariate Stochastic Volatility Models

Most multivariate variance models suffer from a common problem, the “curse of dimensionalityâ€. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose was to combine the need for interpretability and efficiency faced by model users with the computational problems that may emerge when the number of assets is quite large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic volatility models.block structures;curse of dimensionality;multivariate stochastic volatility

Modelling and Forecasting Noisy Realized Volatility

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and other measurement errors. Such noise is called “realized volatility errorâ€. Since such errors are ignored, we need to take account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to serious bias in estimators; (ii) the effects of RV errors on one-step ahead forecasts are minor when consistent estimators are used and when the number of intraday observations is large; and (iii) even the partially corrected recently proposed in the literature should be fully corrected for evaluating forecasts. This paper proposes a full correction of . An empirical example for S&P 500 data is used to demonstrate the techniques developed in the paper.forecasting;diffusion;financial econometrics;goodness-of-fit;measurement errors;model evaluation;realized volatility

A XMM-Newton observation during the 2000 outburst of SAX J1808.4-3658

I present a XMM-Newton observation of the accretion driven millisecond X-ray pulsar SAX J1808.4-3658 during its 2000 outburst. The source was conclusively detected, albeit at a level of only ~2 x 10^{32} erg/s. The source spectrum could be fitted with a power-law model (with a photon index of ~2.2), a neutron star atmosphere model (with a temperature of ~0.2 keV), or with a combination of a thermal (either a black-body or an atmosphere model) and a power-law component. During a XMM-Newton observation taken approximately one year later, the source was in quiescence and its luminosity was a factor of ~4 lower. It is possible that the source spectrum during the 2000 outburst was softer than its quiescent 2001 spectrum, however, the statistics of the data do not allow to make a firm conclusion. The results obtained are discussed in the context of the 2000 outburst of SAX J1808.4-3658 and the quiescent properties of the source.Comment: Accepted for publication in ApJ, 15 January 200

Quasi-Superradiant Soliton State of Matter in Quantum Metamaterials

Strong interaction of a system of quantum emitters (e.g., two-level atoms) with electromagnetic field induces specific correlations in the system accompanied by a drastic insrease of emitted radiation (superradiation or superfluorescence). Despite the fact that since its prediction this phenomenon was subject to a vigorous experimental and theoretical research, there remain open question, in particular, concerning the possibility of a first order phase transition to the superradiant state from the vacuum state. In systems of natural and charge-based artificial atome this transition is prohibited by "no-go" theorems. Here we demonstrate numerically a similar transition in a one-dimensional quantum metamaterial - a chain of artificial atoms (qubits) strongly interacting with classical electromagnetic fields in a transmission line. The system switches from vacuum state with zero classical electromagnetic fields and all qubits being in the ground state to the quasi-superradiant (QS) phase with one or several magnetic solitons and finite average occupation of qubit excited states along the transmission line. A quantum metamaterial in the QS phase circumvents the "no-go" restrictions by considerably decreasing its total energy relative to the vacuum state by exciting nonlinear electromagnetic solitons with many nonlinearly coupled electromagnetic modes in the presence of external magnetic field.Comment: 6 pages, 4 figure

Effects of antibodies against dynein and tubulin on the stiffness of flagellar axonemes

Antidynein antibodies, previously shown to inhibit flagellar oscillation and active sliding of axonemal microtubules, increase the bending resistance of axonemes measured under relaxing conditions, but not the bending resistance of axonemes measured under rigor conditions. These observations suggest that antidynein antibodies can stabilize rigor cross-bridges between outer-doublet microtubules, by interfering with ATP-induced cross-bridge detachment. Stabilization of a small number of cross-bridge appears to be sufficient to cause substantial inhibition of the frequency of flagellar oscillation. Antitubulin antibodies, previously shown to inhibit flagellar oscillation without inhibiting active sliding of axonemal microtubules, do not increase the static bending resistance of axonemes. However, we observed a viscoelastic effect, corresponding to a large increase in the immediate bending resistance. This immediate bending resistance increase may be sufficient to explain inhibition of flagellar oscillation; but several alternative explanations cannot yet be excluded

Radial Bargmann representation for the Fock space of type B

Let $\nu_{\alpha,q}$ be the probability and orthogonality measure for the $q$-Meixner-Pollaczek orthogonal polynomials, which has appeared in \cite{BEH15} as the distribution of the $(\alpha,q)$-Gaussian process (the Gaussian process of type B) over the $(\alpha,q)$-Fock space (the Fock space of type B). The main purpose of this paper is to find the radial Bargmann representation of $\nu_{\alpha,q}$. Our main results cover not only the representation of $q$-Gaussian distribution by \cite{LM95}, but also of $q^2$-Gaussian and symmetric free Meixner distributions on $\mathbb R$. In addition, non-trivial commutation relations satisfied by $(\alpha,q)$-operators are presented.Comment: 13 pages, minor changes have been mad

XMM-Newton observations of the neutron star X-ray transient KS 1731-260 in quiescence

We report on XMM-Newton observations performed on 2001 September 13-14 of the neutron star X-ray transient KS 1731-260 in quiescence. The source was detected at an unabsorbed 0.5-10 keV flux of only 4 - 8 x 10^{-14} erg/s, depending on the model used to fit the data, which for a distance of 7 kpc implies a 0.5-10 keV X-ray luminosity of approximately 2 - 5 x 10^{32} erg/s. The September 2001 quiescent flux of KS 1731-260 is lower than that observed during the Chandra observation in March 2001. In the cooling neutron star model for the quiescent X-ray emission of neutron star X-ray transients, this decrease in the quiescent flux implies that the crust of the neutron star in KS 1731-260 cooled down rapidly between the two epochs, indicating that the crust has a high conductivity. Furthermore, enhanced cooling in the neutron star core is also favored by our results.Comment: Accepter for publication in ApJ Letters, 22 May 200