Volatility Comovement: A Multifrequency Approach

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood. Estimation can proceed by ML for state spaces of moderate size, and by simulated likelihood via a particle filter in high-dimensional cases. We estimate the model and confirm its main assumptions in likelihood ratio tests. Bivariate MSM compares favorably to a standard multivariate GARCH both in- and out-of-sample. We extend the model to multivariate settings with a potentially large number of assets by proposing a parsimonious multifrequency factor structure.

Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

A number of variables are correlated with subsequent returns on the aggregate US stock market in the 20th Century. Some of these variables are stock market valuation ratios, others reflect patterns in corporate finance or the levels of shortand long-term interest rates. Amit Goyal and Ivo Welch (2004) have argued that in-sample correlations conceal a systematic failure of these variables out of sample: None are able to beat a simple forecast based on the historical average stock return. In this note we show that forecasting variables with significant forecasting power insample generally have a better out-of-sample performance than a forecast based on the historical average return, once sensible restrictions are imposed on the signs of coefficients and return forecasts. The out-of-sample predictive power is small, but we find that it is economically meaningful. We also show that a variable is quite likely to have poor out-of-sample performance for an extended period of time even when the variable genuinely predicts returns with a stable coefficient.

Can Specification Searches Be Useful for Hypothesis Generation?

Previous studies suggest that results from specification searches, as typically employed in structural equation modeling, should not be used to reach strong research conclusions due to their poor reliability. Analyses of computer generated data indicate that search results can be sufficiently reliable for exploratory purposes with properly designed and analyzed studies

Acute effects of nicotine on visual search tasks in young adult smokers

Rationale Nicotine is known to improve performance on tests involving sustained attention and recent research suggests that nicotine may also improve performance on tests involving the strategic allocation of attention and working memory. Objectives We used measures of accuracy and response latency combined with eye-tracking techniques to examine the effects of nicotine on visual search tasks. Methods In experiment 1 smokers and non-smokers performed pop-out and serial search tasks. In experiment 2, we used a within-subject design and a more demanding search task for multiple targets. In both studies, 2-h abstinent smokers were asked to smoke one of their own cigarettes between baseline and tests. Results In experiment 1, pop-out search times were faster after nicotine, without a loss in accuracy. Similar effects were observed for serial searches, but these were significant only at a trend level. In experiment 2, nicotine facilitated a strategic change in eye movements resulting in a higher proportion of fixations on target letters. If the cigarette was smoked on the first trial (when the task was novel), nicotine additionally reduced the total number of fixations and refixations on all letters in the display. Conclusions Nicotine improves visual search performance by speeding up search time and enabling a better focus of attention on task relevant items. This appears to reflect more efficient inhibition of eye movements towards task irrelevant stimuli, and better active maintenance of task goals. When the task is novel, and therefore more difficult, nicotine lessens the need to refixate previously seen letters, suggesting an improvement in working memory

Atmospheric Acetaldehyde: Importance of Air-Sea Exchange and a Missing Source in the Remote Troposphere.

We report airborne measurements of acetaldehyde (CH3CHO) during the first and second deployments of the National Aeronautics and Space Administration (NASA) Atmospheric Tomography Mission (ATom). The budget of CH3CHO is examined using the Community Atmospheric Model with chemistry (CAM-chem), with a newly-developed online air-sea exchange module. The upper limit of the global ocean net emission of CH3CHO is estimated to be 34 Tg a-1 (42 Tg a-1 if considering bubble-mediated transfer), and the ocean impacts on tropospheric CH3CHO are mostly confined to the marine boundary layer. Our analysis suggests that there is an unaccounted CH3CHO source in the remote troposphere and that organic aerosols can only provide a fraction of this missing source. We propose that peroxyacetic acid (PAA) is an ideal indicator of the rapid CH3CHO production in the remote troposphere. The higher-than-expected CH3CHO measurements represent a missing sink of hydroxyl radicals (and halogen radical) in current chemistry-climate models

Transit Timing Observations from Kepler: III. Confirmation of 4 Multiple Planet Systems by a Fourier-Domain Study of Anti-correlated Transit Timing Variations

We present a method to confirm the planetary nature of objects in systems with multiple transiting exoplanet candidates. This method involves a Fourier-Domain analysis of the deviations in the transit times from a constant period that result from dynamical interactions within the system. The combination of observed anti-correlations in the transit times and mass constraints from dynamical stability allow us to claim the discovery of four planetary systems Kepler-25, Kepler-26, Kepler-27, and Kepler-28, containing eight planets and one additional planet candidate.Comment: Accepted to MNRA

Two Earth-sized planets orbiting Kepler-20

Since the discovery of the first extrasolar giant planets around Sun-like stars, evolving observational capabilities have brought us closer to the detection of true Earth analogues. The size of an exoplanet can be determined when it periodically passes in front of (transits) its parent star, causing a decrease in starlight proportional to its radius. The smallest exoplanet hitherto discovered has a radius 1.42 times that of the Earth's radius (R Earth), and hence has 2.9 times its volume. Here we report the discovery of two planets, one Earth-sized (1.03R Earth) and the other smaller than the Earth (0.87R Earth), orbiting the star Kepler-20, which is already known to host three other, larger, transiting planets. The gravitational pull of the new planets on the parent star is too small to measure with current instrumentation. We apply a statistical method to show that the likelihood of the planetary interpretation of the transit signals is more than three orders of magnitude larger than that of the alternative hypothesis that the signals result from an eclipsing binary star. Theoretical considerations imply that these planets are rocky, with a composition of iron and silicate. The outer planet could have developed a thick water vapour atmosphere.Comment: Letter to Nature; Received 8 November; accepted 13 December 2011; Published online 20 December 201

Camilla: A Centaur reconnaissance and impact mission concept

Centaurs, minor planets with a semi-major axis between the orbits of Jupiter and Neptune (5–30 AU), are thought to be among the most diverse small bodies in the solar system. These important targets for future missions may have recently been Kuiper Belt Objects (KBOs), which are thought to be chemically and physically primitive remnants of the early solar system. While the Kuiper Belt spans distances of 30–50 AU, making direct observations difficult, Centaurs' proximity to the Earth and Sun make them more accessible targets for robotic missions. Thus, we outline a mission concept designed to reconnoiter 10199 Chariklo, the largest Centaur and smallest ringed body yet discovered. Named for a legendary Centaur tamer, the conceptual Camilla mission is designed to fit under the cost cap of the National Aeronautics and Space Administration (NASA) New Frontiers program, leveraging a conservative payload to support a foundational scientific investigation to these primitive bodies. Specifically, the single flyby encounter utilizes a combined high-resolution camera/VIS-IR mapping spectrometer, a sub-mm point spectrometer, and a UV mapping spectrometer. In addition, the mission concept utilizes a kinetic impactor, which would provide the first opportunity to sample the composition of potentially primitive subsurface material beyond Saturn, thus providing key insights into solar system origins. Such a flyby of the Chariklo system would provide a linchpin in the understanding of small body composition, evolution, and transport of materials in the solar system

Planetary Candidates Observed by Kepler, III: Analysis of the First 16 Months of Data

New transiting planet candidates are identified in sixteen months (May 2009 - September 2010) of data from the Kepler spacecraft. Nearly five thousand periodic transit-like signals are vetted against astrophysical and instrumental false positives yielding 1,091 viable new planet candidates, bringing the total count up to over 2,300. Improved vetting metrics are employed, contributing to higher catalog reliability. Most notable is the noise-weighted robust averaging of multi-quarter photo-center offsets derived from difference image analysis which identifies likely background eclipsing binaries. Twenty-two months of photometry are used for the purpose of characterizing each of the new candidates. Ephemerides (transit epoch, T_0, and orbital period, P) are tabulated as well as the products of light curve modeling: reduced radius (Rp/R*), reduced semi-major axis (d/R*), and impact parameter (b). The largest fractional increases are seen for the smallest planet candidates (197% for candidates smaller than 2Re compared to 52% for candidates larger than 2Re) and those at longer orbital periods (123% for candidates outside of 50-day orbits versus 85% for candidates inside of 50-day orbits). The gains are larger than expected from increasing the observing window from thirteen months (Quarter 1-- Quarter 5) to sixteen months (Quarter 1 -- Quarter 6). This demonstrates the benefit of continued development of pipeline analysis software. The fraction of all host stars with multiple candidates has grown from 17% to 20%, and the paucity of short-period giant planets in multiple systems is still evident. The progression toward smaller planets at longer orbital periods with each new catalog release suggests that Earth-size planets in the Habitable Zone are forthcoming if, indeed, such planets are abundant.Comment: Submitted to ApJS. Machine-readable tables are available at http://kepler.nasa.gov, http://archive.stsci.edu/kepler/results.html, and the NASA Exoplanet Archiv