6,687 research outputs found
Forecasting Equicorrelation
We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets. Building on the existing Dynamic Conditional Correlation and Linear Dynamic Equicorrelation models, we propose a model that uses proxies for equicorrelation based on high-frequency intraday data, and the level of equicorrelation implied by options prices. Using state-of-the-art statistical evaluation technology, we find that the use of both realized and implied equicorrelations outperform models that use daily data alone. However, the out-of-sample forecasting benefits of implied equicorrelation disappear when used in conjunction with the realized measures.Equicorrelation, Implied Correlation, Multivariate GARCH, DCC
Excitations in confined helium
We design models for helium in matrices like aerogel, Vycor or Geltech from a
manifestly microscopic point of view. For that purpose, we calculate the
dynamic structure function of 4He on Si substrates and between two Si walls as
a function of energy, momentum transfer, and the scattering angle. The
angle--averaged results are in good agreement with the neutron scattering data;
the remaining differences can be attributed to the simplified model used here
for the complex pore structure of the materials. A focus of the present work is
the detailed identification of coexisting layer modes and bulk--like
excitations, and, in the case of thick films, ripplon excitations. Involving
essentially two--dimensional motion of atoms, the layer modes are sensitive to
the scattering angle.Comment: Phys. Rev. B (2003, in press
Early Aspects at ICSE 2007: Workshop on Aspect-Oriented Requirements Engineering and Architecture Design
The âEarly Aspects @ ICSEâ07â is the 11th workshop in the series of Early Aspects workshops [1] which focuses on aspect identification during the requirements engineering and architecture derivation activities. The specific aim of the present workshop is twofold: (a) to initiate creation of an Early Aspects application demonstration and comparisons benchmark; and (b) to solicit submission of new
research
Diffusion Monte Carlo study of two-dimensional liquid He
The ground-state properties of two-dimensional liquid He at zero
temperature are studied by means of a quadratic diffusion Monte Carlo method.
As interatomic potential we use a revised version of the HFDHE2 Aziz potential
which is expected to give a better description of the interaction between
helium atoms. The equation of state is determined with great accuracy over a
wide range of densities in the liquid phase from the spinodal point up to the
freezing density. The spinodal decomposition density is estimated and other
properties of the liquid, such as radial distribution function, static form
factor, momentum distribution and density dependence of the condensate fraction
are all presented.Comment: 19 pages, RevTex 3.0, 7 figures available upon reques
Quantum sticking, scattering and transmission of 4He atoms from superfluid 4He surfaces
We develop a microscopic theory of the scattering, transmission, and sticking
of 4He atoms impinging on a superfluid 4He slab at near normal incidence, and
inelastic neutron scattering from the slab. The theory includes coupling
between different modes and allows for inelastic processes. We find a number of
essential aspects that must be observed in a physically meaningful and reliable
theory of atom transmission and scattering; all are connected with
multiparticle scattering, particularly the possibility of energy loss. These
processes are (a) the coupling to low-lying (surface) excitations
(ripplons/third sound) which is manifested in a finite imaginary part of the
self energy, and (b) the reduction of the strength of the excitation in the
maxon/roton region
Disease modification and other trials in systemic sclerosis have come a long way, but have to go further
Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/92019/1/21673_ftp.pd
The Double Quasar Q2138-431: Lensing by a Dark Galaxy?
We report the discovery of a new gravitational lens candidate Q2138-431AB,
comprising two quasar images at a redshift of 1.641 separated by 4.5 arcsecs.
The spectra of the two images are very similar, and the redshifts agree to
better than 115 km.sec. The two images have magnitudes and
, and in spite of a deep search and image subtraction procedure, no
lensing galaxy has been found with . Modelling of the system
configuration implies that the mass-to-light ratio of any lensing galaxy is
likely to be around , with an absolute lower limit of
for an Einstein-de Sitter universe. We conclude that
the most likely explanation of the observations is gravitational lensing by a
dark galaxy, although it is possible we are seeing a binary quasar.Comment: 17 pages (Latex), 8 postscript figures included, accepted by MNRA
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