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

Solution of Orthopositronium lifetime Puzzle

The intrinsic decay rate of orthopositronium formed in ${\rm SiO_2}$ powder is measured using the direct $2\gamma$ correction method such that the time dependence of the pick-off annihilation rate is precisely determined. The decay rate of orthopositronium is found to be $7.0396\pm0.0012 (stat.)\pm0.0011 (sys.)\mu s^{-1}$, which is consistent with our previous measurements with about twice the accuracy. Results agree well with the $O(\alpha^2)$ QED prediction, and also with a result reported very recently using nanoporous film

The evolution of the high energy tail in the quiescent spectrum of the soft X-ray transient Aql X-1

A moderate level of variability has been detected in the quiescent luminosity of several neutron star soft X-ray transients. Spectral variability was first revealed by Chandra observations of Aql X-1 in the four months that followed the 2000 X-ray outburst. By adopting the canonical model for quiescent spectrum of soft X-ray transients, i.e. an absorbed neutron star atmosphere model plus a power law tail, Rutledge et al. (2002a) concluded that the observed spectral variations can be ascribed to temperature variations of the neutron star atmosphere. These results can hardly be reconciled with the neutron star cooling that is expected to take place in between outbursts (after deep crustal heating in the accretion phase). Here we reanalyse the Chandra spectra of Aql X-1, together with a long BeppoSAX observation in the same period, and propose a different interpretation of the spectral variability: that this is due to correlated variations of the power law component and the column density (>5, a part of which might be intrinsic to the source), while the temperature and flux of the neutron star atmospheric component remained unchanged. This lends support to the idea that the power law component arises from emission at the shock between a radio pulsar wind and inflowing matter from the companion star.Comment: 6 pages, 2 figures. Accepted for publication on Ap

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

A search for massive neutral bosons in orthopositronium decay

We have searched for an exotic decay of orthopositronium into a single photon and a short-lived neutral boson in the hitherto unexplored mass region above 900 ${\rm keV}/{\it c}^{2}$, by noting that this decay is one of few remaining candidates which could explain the discrepancy of the orthopositronium decay-rate. A high-resolution measurement of the associated photon energy spectrum was carried out with a germanium detector to search for a sharp peak from this two-body decay. Our negative result provides the upper-limits of\mbox{ }$2.0 \times 10^{-4}$ on the branching ratio of such a decay in the mass region from 847 to 1013 ${\rm keV}/{\it c}^{2}$, and excludes the possibility of this decay mode explaining the discrepancy in the orthopositronium decay-rate.Comment: a LaTeX file (text 7 pages) and a uuencoded gz-compressed PostScript file (text 7 pages + figures 4 pages

Draping of Cluster Magnetic Fields over Bullets and Bubbles -- Morphology and Dynamic Effects

High-resolution X-ray observations have revealed cavities and `cold fronts' with sharp edges in temperature, density, and metallicity within galaxy clusters. Their presence poses a puzzle since these features are not expected to be hydrodynamically stable, or to remain sharp in the presence of diffusion. However, a moving core or bubble in even a very weakly magnetized plasma necessarily sweeps up enough magnetic field to build up a dynamically important sheath around the object; the layer's strength is set by a competition between `plowing up' of field and field lines slipping around the core. We show that a two-dimensional approach to the problem is quite generally not possible. In three dimensions, we show with analytic arguments and in numerical experiments, that this magnetic layer modifies the dynamics of a plunging core, greatly modifies the effects of hydrodynamic instabilities on the core, modifies the geometry of stripped material, and even slows the fall of the core through magnetic tension. We derive an expression for the maximum magnetic field strength, the thickness of the layer, and the opening angle of the magnetic wake. The morphology of the magnetic draping layer implies the suppression of thermal conduction across the layer, thus conserving strong temperature gradients over the contact surface. The intermittent amplification of the magnetic field as well as the injection of MHD turbulence in the wake of the core is identified to be due to vorticity generation within the magnetic draping layer. These results have important consequences for understanding the physical properties and the complex gasdynamical processes of the intra-cluster medium, and apply quite generally to motions through other magnetized environments, e.g., the ISM.Comment: For version of this paper with interactive 3D graphics and full-resolution figures, see http://www.cita.utoronto.ca/~ljdursi/draping/ . 19p, 26 figures, emulateapj format. Version accepted by ApJ - new references, improved figure

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

Plasma heating in the very early phase of solar flares

In this paper we analyze soft and hard X-ray emission of the 2002 September 20 M1.8 GOES class solar flare observed by RHESSI and GOES satellites. In this flare event, soft X-ray emission precedes the onset of the main bulk hard X-ray emission by ~5 min. This suggests that an additional heating mechanism may be at work at the early beginning of the flare. However RHESSI spectra indicate presence of the non-thermal electrons also before impulsive phase. So, we assumed that a dominant energy transport mechanism during rise phase of solar flares is electron beam-driven evaporation. We used non-thermal electron beams derived from RHESSI spectra as the heating source in a hydrodynamic model of the analyzed flare. We showed that energy delivered by non-thermal electron beams is sufficient to heat the flare loop to temperatures in which it emits soft X-ray closely following the GOES 1-8 A light-curve. We also analyze the number of non-thermal electrons, the low energy cut-off, electron spectral indices and the changes of these parameters with time.Comment: Comments: 17 pages, 5 figures, The Astrophysical Journal Letters (accepted, October 2009