6,736 research outputs found
Estimating factor models for multivariate volatilities : an innovation expansion method
We introduce an innovation expansion method for estimation of factor models for conditional variance (volatility) of a multivariate time series. We estimate the factor loading space and the number of factors by a stepwise optimization algorithm on expanding the "white noise space". Simulation and a real data example are given for illustration
Activity autocorrelation in financial markets. A comparative study between several models
We study the activity, i.e., the number of transactions per unit time, of
financial markets. Using the diffusion entropy technique we show that the
autocorrelation of the activity is caused by the presence of peaks whose time
distances are distributed following an asymptotic power law which ultimately
recovers the Poissonian behavior. We discuss these results in comparison with
ARCH models, stochastic volatility models and multi-agent models showing that
ARCH and stochastic volatility models better describe the observed experimental
evidences.Comment: 15 pages, 4 figure
Repellent Effects on Distribution of Steers on Native Range
Poor distribution of livestock use over a range is a common limitation to proper and optimum use of many ranges. When the range is a common limitation to proper and optimum use of many ranges. When the range as a whole is properly used, livestock typically overuse those areas that are especially attractive to them. Use of conventional distribution tools are sometimes inappropriate or ineffective in correcting livestock distribution problems. This study evaluated a commercially available big game repellent for deterring yearling steer use of preferred grazing areas. Repellent sprayed areas had fewer cow chips (P\u3c.10) 1 week following application on subirrigated range sites but not on silty range sites. In general, treatment did not deter occupation of yearling steers on preferred grazing areas around potholes
Value at Risk models with long memory features and their economic performance
We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms
The kernel and the injectivity of the EPRL map
In this paper we prove injectivity of the EPRL map for |\gamma|<1, filling
the gap of our previous paper.Comment: 17 pages, 3 figure
Colored Group Field Theory
Group field theories are higher dimensional generalizations of matrix models.
Their Feynman graphs are fat and in addition to vertices, edges and faces, they
also contain higher dimensional cells, called bubbles. In this paper, we
propose a new, fermionic Group Field Theory, posessing a color symmetry, and
take the first steps in a systematic study of the topological properties of its
graphs. Unlike its bosonic counterpart, the bubbles of the Feynman graphs of
this theory are well defined and readily identified. We prove that this graphs
are combinatorial cellular complexes. We define and study the cellular homology
of this graphs. Furthermore we define a homotopy transformation appropriate to
this graphs. Finally, the amplitude of the Feynman graphs is shown to be
related to the fundamental group of the cellular complex
Coherent states, constraint classes, and area operators in the new spin-foam models
Recently, two new spin-foam models have appeared in the literature, both
motivated by a desire to modify the Barrett-Crane model in such a way that the
imposition of certain second class constraints, called cross-simplicity
constraints, are weakened. We refer to these two models as the FKLS model, and
the flipped model. Both of these models are based on a reformulation of the
cross-simplicity constraints. This paper has two main parts. First, we clarify
the structure of the reformulated cross-simplicity constraints and the nature
of their quantum imposition in the new models. In particular we show that in
the FKLS model, quantum cross-simplicity implies no restriction on states. The
deeper reason for this is that, with the symplectic structure relevant for
FKLS, the reformulated cross-simplicity constraints, in a certain relevant
sense, are now \emph{first class}, and this causes the coherent state method of
imposing the constraints, key in the FKLS model, to fail to give any
restriction on states. Nevertheless, the cross-simplicity can still be seen as
implemented via suppression of intertwiner degrees of freedom in the dynamical
propagation. In the second part of the paper, we investigate area spectra in
the models. The results of these two investigations will highlight how, in the
flipped model, the Hilbert space of states, as well as the spectra of area
operators exactly match those of loop quantum gravity, whereas in the FKLS (and
Barrett-Crane) models, the boundary Hilbert spaces and area spectra are
different.Comment: 21 pages; statements about gamma limits made more precise, and minor
phrasing change
Entropy of generic quantum isolated horizons
We review our recent proposal of a method to extend the quantization of
spherically symmetric isolated horizons, a seminal result of loop quantum
gravity, to a phase space containing horizons of arbitrary geometry. Although
the details of the quantization remain formally unchanged, the physical
interpretation of the results can be quite different. We highlight several such
differences, with particular emphasis on the physical interpretation of black
hole entropy in loop quantum gravity.Comment: 4 pages, contribution to loops '11 conference proceedings; 2
references added, a sentence remove
Response of selected plant and insect species to simulated solid rocket exhaust mixtures and to exhaust components from solid rocket fuels
The effects of solid rocket fuel (SRF) exhaust on selected plant and and insect species in the Merritt Island, Florida area was investigated in order to determine if the exhaust clouds generated by shuttle launches would adversely affect the native, plants of the Merritt Island Wildlife Refuge, the citrus production, or the beekeeping industry of the island. Conditions were simulated in greenhouse exposure chambers and field chambers constructed to model the ideal continuous stirred tank reactor. A plant exposure system was developed for dispensing and monitoring the two major chemicals in SRF exhaust, HCl and Al203, and for dispensing and monitoring SRF exhaust (controlled fuel burns). Plants native to Merritt Island, Florida were grown and used as test species. Dose-response relationships were determined for short term exposure of selected plant species to HCl, Al203, and mixtures of the two to SRF exhaust
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