Small-sample Properties of Estimators in an ARCH(1) and GARCH(1,1) Model with a Generalized Error Distribution: a Robustness Study

GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution free methods, including quasi-maximum likelihood and three regression based methods. The study is carried out by means of Monte Carlo simulations. To guarantee an utmost realistic framework, simulated time series are generated from a mixture of two symmetric generalized error distributions. This data generating process allow to reproduce the stylized facts of financial time series, in particular, peakedness and skewness. The results of the study suggest that regression based methods can be an asset in volatility forecasting, since model parameters are subject to structural change over time and the efficiency of the quasi- maximum likelihood method is confined to large sample sizes. Furthermore, the good performance of forecasts based on the historical volatility supports to use the variance targeting method for volatility forecasting.GARCH, volatility forecasting, Monte Carlo simulation, mixture of generalized error distributions, variance targeting.

Shot noise variation within ensembles of gold atomic break junctions at room temperature

Atomic-scale junctions are a powerful tool to study quantum transport, and are frequently examined through the mechanically controllable break junction technique (MCBJ). The junction-to-junction variation of atomic configurations often leads to a statistical approach, with ensemble-averaged properties providing access to the relevant physics. However, the full ensemble contains considerable additional information. We report a new analysis of shot noise over entire ensembles of junction configurations using scanning tunneling microscope (STM)-style gold break junctions at room temperature in ambient conditions, and compare this data with simulations based on molecular dynamics (MD), a sophisticated tight-binding model, and nonequilibrium Green's functions. The experimental data show a suppression in the variation of the noise near conductances dominated by fully transmitting channels, and a surprising participation of multiple channels in the nominal tunneling regime. Comparison with the simulations, which agree well with published work at low temperatures and ultrahigh vacuum (UHV) conditions, suggests that these effects likely result from surface contamination and disorder in the electrodes. We propose additional experiments that can distinguish the relative contributions of these factors.Comment: 21 pages, 6 figures. To appear in J. Phys: Condens. Matt., special issue on break junction

Computation with Advice

Computation with advice is suggested as generalization of both computation with discrete advice and Type-2 Nondeterminism. Several embodiments of the generic concept are discussed, and the close connection to Weihrauch reducibility is pointed out. As a novel concept, computability with random advice is studied; which corresponds to correct solutions being guessable with positive probability. In the framework of computation with advice, it is possible to define computational complexity for certain concepts of hypercomputation. Finally, some examples are given which illuminate the interplay of uniform and non-uniform techniques in order to investigate both computability with advice and the Weihrauch lattice

Death Spiral or Euthanasia? The Demise of Generous Group Health Insurance Coverage

Employers must determine which sorts of healthcare insurance plans to offer employees and also set employee premiums for each plan provided. Depending on how they structure the premiums that employees pay across different healthcare insurance plans, plan sponsors alter the incentives to choose one plan over another. If employees know they differ by risk level but premiums do not fully reflect these risk differences, this can give rise to a so-called “death spiral” due to adverse selection. In this paper, we use longitudinal information from a natural experiment in the management of health benefits for a large employer to explore the impact of moving from a fixed dollar contribution policy to a risk-adjusted employer contribution policy. Our results suggest that implementing a significant risk adjustment had no discernable effect on adverse selection against the most generous indemnity insurance policy. This stands in stark contrast to previous studies, which have tended to find large impacts. Further analysis suggests that previous studies which appeared to detect plans in the throes of a death spiral, may instead have been experiencing an inexorable movement away from a non-preferred product, one that would have been inefficient for almost all workers even in the absence of adverse selection

Simulating bistable current-induced switching of metallic atomic contacts by electron-vibration scattering

We present a microscopic model, describing current-driven switching in metallic atomic-size contacts. Applying a high current through an atomic-size contact, creates a strong electronic nonequilibrium that excites vibrational modes by virtue of the electron-vibration coupling. Using density functional theory (DFT) in combination with the Landauer-B\"uttiker theory for phase-coherent transport, expressed in terms of nonequilibrium Green's functions (NEGFs), we study the current-induced forces arising from this nonequilibrium and determine those vibrational modes which couple most strongly to the electronic system. For single-atom lead (Pb) contacts we show specific candidates for bistable switches, consisting of two similar atomic configurations with differing electric conductance. We identify vibrational modes that induce a transition between these configurations. Our results reveal a possible origin of bistable switching in atomic-size contacts through excitation of vibrations by inelastic electron scattering and underline the power of the combined DFT-NEGF approach and statistical mechanics analysis of a Langevin equation to overcome the time-scale gap between atomic motion and rare switching events, allowing for an efficient exploration of the contacts' configurational phase space

Phononic heat conductance of gold atomic contacts: Coherent versus incoherent transport

We present here a theoretical method to determine the phononic contribution to the thermal conductance of nanoscale systems in the phase-coherent regime. Our approach makes use of classical molecular dynamics (MD) simulations to calculate the temperature-dependent dynamical matrix, and the phononic heat conductance is subsequently computed within the Landauer-B\"uttiker formalism with the help of nonequilibrium Green's function techniques. Tailored to nanostructures, crucial steps of force constant and heat transport calculations are performed directly in real space. As compared to conventional density functional theory (DFT) approaches, the advantage of our method is two-fold. First, interatomic interactions can be described with the method of choice. Semiempirical potentials may lead to large computational speedups, enabling the study of much larger systems. Second, the method naturally takes into account the temperature dependence of atomic force constants, an aspect that is ignored in typical static DFT-based calculations. We illustrate our method by analyzing the temperature dependence of the phononic thermal conductance of gold (Au) chains with lengths ranging from 1 to 12 atoms. Moreover, in order to evaluate the importance of anharmonic effects in these atomic-scale wires, we compare the phase-coherent approach with nonequilibrium MD (NEMD) simulations. We find that the predictions of the phase-coherent method and the classical NEMD approach largely agree above the Debye temperature for all studied chain lengths, which shows that heat transport is coherent and that our phase-coherent approach is well suited for such nanostructures

Evaluation einer PSMA-PET-basierten, seitengetrennten Nierenfunktionsbestimmung

Die MAG3-Szintigraphie mit Bestimmung der seitengetrennten Nierenfunktion (SRF) ist ein Standardverfahren bei Patienten mit metastasiertem kastrationsresistentem Prostatakarzinom (mCRPC), die sich einer PSMA-Radioligandentherapie (PSMA- RLT) unterziehen. Diese Patienten erhalten auch häufige PSMA-PET/CT- Untersuchungen zum Staging und zur Verlaufskontrolle. PSMA wird nicht nur in Epithelzellen der Prostata und des Prostatakarzinoms exprimiert, sondern physiologisch auch in den proximalen Tubuluszellen der Niere. Diese Arbeit untersucht den Nutzen der PSMA-gezielten Bildgebung zur Bestimmung der relativen, also seitengetrennten Nierenfunktion. Methodik: N = 97 mCRPC-Patienten, die ein 68Ga-PSMA11-PET/CT und eine 99mTc- MAG3-Szintigraphie in engem zeitlichem Zusammenhang erhalten haben wurden in diese retrospektive Studie aufgenommen. Der PSMA-PET-basierten SRF, entsprechend dem bilateralen renalen PSMA-Gehalt (Gesamt-PSMA der Niere = SUVmean x Volumen), wurde die MAG3-basierte SRF, unter Verwendung der üblichen Standard-Integralmethode der renalen Sekretionsphase, gegenübergestellt. Die Übereinstimmung von SRFPSMA und SRFMAG3 wurde mittels Pearson-Korrelation und Bland-Altman-Analyse statistisch geprüft. Ergebnisse: Die Korrelation zwischen beiden SRF-Bewertungsmethoden war mit r = 0,91 hoch signifikant (p < 0,001). Die Bland-Altman-Analyse bestätigte die Übereinstimmung der Messungen. Eine hohe Korrelation und Übereinstimmung wurde auch in den Subgruppenanalysen von Patienten mit normaler und reduzierter Nierenfunktion beobachtet (r = 0,81, p < 0,001 und r = 0,98, p < 0,001). Schlussfolgerung: Die renale tubuläre PSMA-Expression ermöglicht die Beurteilung der seitengetrennten Nierenfunktion mittels 68Ga-PSMA-PET/CT-Bildgebung. Eine zusätzliche MAG3-Szintigraphie zum Zweck der Quantifizierung SRF kann in Fällen, in denen ein PSMA-PET durchgeführt wird, eingespart werden; diese Erkenntnis kann Zeit und überflüssige Untersuchungen mitsamt Strahlenbelastung einsparen. MAG3 scintigraphy with determination of split renal function (SRF) is a standard procedure in patients with metastatic castration-resistant prostate cancer (mCRPC) undergoing PSMA radioligand therapy (PSMA-RLT). These patients also receive frequent PSMA PET/CT examinations for staging and follow-up. PSMA is expressed not only in epithelial cells of the prostate and prostate carcinoma, but also physiologically in proximal tubule cells of the kidney. This work investigates the utility of PSMA-targeted imaging to determine relative, or split, renal function. Methods: N = 97 mCRPC patients who had received 68Ga-PSMA11 PET/CT and 99mTc-MAG3 scintigraphy in close temporal relation were enrolled in this retrospective study. PSMA-PET-based SRF, corresponding to bilateral renal PSMA uptake (total renal PSMA = SUVmean x volume), was contrasted with MAG3-based SRF, using the usual standard integral method of renal secretory phase. Agreement between SRFPSMA and SRFMAG3 was statistically tested using Pearson correlation and Bland-Altman analysis. Results: The correlation between both SRF assessment methods was highly significant at r = 0.91 (p < 0.001). Bland-Altman analysis confirmed the agreement between the measurements. High correlation and agreement were also observed in subgroup analyses of patients with normal and reduced renal function (r = 0.81, p < 0.001 and r = 0.98, p < 0.001). Conclusion: Renal tubular PSMA expression allows assessment of split renal function by 68Ga-PSMA PET/CT imaging. Additional MAG3 scintigraphy for the purpose of quantifying SRF may not be necessary in cases where PSMA-PET is performed; this finding may save time and unnecessary examinations along with radiation exposure.MAG3 scintigraphy with determination of split renal function (SRF) is a standard procedure in patients with metastatic castration-resistant prostate cancer (mCRPC) undergoing PSMA radioligand therapy (PSMA-RLT). These patients also receive frequent PSMA PET/CT examinations for staging and follow-up. PSMA is expressed not only in epithelial cells of the prostate and prostate carcinoma, but also physiologically in proximal tubule cells of the kidney. This work investigates the utility of PSMA-targeted imaging to determine relative, or split, renal function. Methods: N = 97 mCRPC patients who had received 68Ga-PSMA11 PET/CT and 99mTc-MAG3 scintigraphy in close temporal relation were enrolled in this retrospective study. PSMA-PET-based SRF, corresponding to bilateral renal PSMA uptake (total renal PSMA = SUVmean x volume), was contrasted with MAG3-based SRF, using the usual standard integral method of renal secretory phase. Agreement between SRFPSMA and SRFMAG3 was statistically tested using Pearson correlation and Bland-Altman analysis. Results: The correlation between both SRF assessment methods was highly significant at r = 0.91 (p < 0.001). Bland-Altman analysis confirmed the agreement between the measurements. High correlation and agreement were also observed in subgroup analyses of patients with normal and reduced renal function (r = 0.81, p < 0.001 and r = 0.98, p < 0.001). Conclusion: Renal tubular PSMA expression allows assessment of split renal function by 68Ga-PSMA PET/CT imaging. Additional MAG3 scintigraphy for the purpose of quantifying SRF may not be necessary in cases where PSMA-PET is performed; this finding may save time and unnecessary examinations along with radiation exposure