780 research outputs found
"Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model"
In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data. While the homoskedastic ARFIMA model performs excellently in predicting the Nikkei 225 realized volatility time series and their square-root and log transformations, the residuals of the model suggest presence of strong conditional heteroskedasticity similar to the finding of Corsi et al. (2007) for the realized S&P 500 futures volatility. An ARFIMA model augmented by a GARCH(1,1) specification for the error term largely captures this and substantially improves the fit to the data. In a multi-day forecasting setting, we also find some evidence of predictable time variation in the volatility of the Nikkei 225 volatility captured by the ARFIMA-GARCH model.
Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data. While the homoskedastic ARFIMA model performs excellently in predicting the Nikkei 225 realized volatility time series and their square-root and log transformations, the residuals of the model suggest presence of strong conditional heteroskedasticity similar to the finding of Corsi et al. (2007) for the realized S&P 500 futures volatility. An ARFIMA model augmented by a GARCH(1,1) specification for the error term largely captures this and substantially improves the fit to the data. In a multi-day forecasting setting, we also find some evidence of predictable time variation in the volatility of the Nikkei 225 volatility captured by the ARFIMA-GARCH model.ARFIMA-GARCH, Volatility of realized volatility, Realized bipower variation, Jump detection, BDS test, Hong-Li test, High-frequency Nikkei 225 data
Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data. While the homoskedastic ARFIMA model performs excellently in predicting the Nikkei 225 realized volatility time series and their square-root and log transformations, the residuals of the model suggest presence of strong conditional heteroskedasticity similar to the finding of Corsi et al. (2007) for the realized S&P 500 futures volatility. An ARFIMA model augmented by a GARCH(1,1) specifi-cation for the error term largely captures this and substantially improves the fit to the data. In a multi-day forecasting setting, we also find some evidence of predictable time variation in the volatility of the Nikkei 225 volatility captured by the ARFIMA-GARCH model.
A universal nonlinear relation among boundary states in closed string field theory
We show that the boundary states satisfy a nonlinear relation (the
idempotency equation) with respect to the star product of closed string field
theory. This relation is universal in the sense that various D-branes,
including the infinitesimally deformed ones, satisfy the same equation,
including the coefficient. This paper generalizes our analysis (hep-th/0306189)
in the following senses. (1) We present a background-independent formulation
based on conformal field theory. It illuminates the geometric nature of the
relation and allows us to more systematically analyze the variations around the
D-brane background. (2) We show that the Witten-type star product satisfies a
similar relation but with a more divergent coefficient. (3) We determine the
coefficient of the relation analytically. The result shows that the alpha
parameter can be formally factored out, and the relation becomes universal. We
present a conjecture on vacuum theory based on this computation.Comment: 35 pages, 7 figures, references added, v3:PTPTeX, typos correcte
Magnetic order in pyrochlore iridate NdIrO probed by muon spin relaxation
Muon-spin relaxation results on the pyrochlore iridate NdIrO are
reported. Spontaneous coherent muon-spin precession below the metal-insulator
transition (MIT) temperature of about 33 K is observed, indicating the
appearance of a long-ranged magnetic ordering of Ir moments. With
further decrease in temperature, the internal field at the muon site increases
again below about 9 K. The second increase of internal field suggests the
ordering of Nd moments, which is consistent with a previous neutron
experiment. Our results suggest that the MIT and magnetic ordering of Ir
moments have a close relationship and that the large spin-orbit coupling of Ir
5\textit{d} electrons plays a key role for both MIT and the mechanism of the
magnetic ordering in pyrochlore iridates in the insulting ground state.Comment: 5 pages, 3 figures. Accepted by Physical Review B (rapid
communications
Static magnetic moments revealed by muon spin relaxation and thermodynamic measurements in quantum spin ice YbTiO
We present muon spin relaxation (SR) and specific-heat versus
temperature measurements on polycrystalline and single-crystal samples
of the pyrochlore magnet YbTiO. exhibits a sharp peak at a
of 0.21 and 0.26~K for the single-crystal and polycrystalline
samples respectively. For both samples, the magnetic entropy released between
50~mK and 30~K amounts to per Yb. At temperatures below
we observe a steep drop in the asymmetry of the zero-field SR time spectra
at short time scales, as well as a decoupling of the muon spins from the
internal field in longitudinal magnetic fields of ~T for both the
polycrystalline and single-crystal samples. These muon data are indicative of
static magnetic moments. Our results are consistent with the onset of
long-range magnetic order in both forms of YbTiO.Comment: 6 pages, 4 figures, accepted to PR
Na-ion dynamics in Quasi-1D compound NaV2O4
We have used the pulsed muon source at ISIS to study high-temperature Na-ion
dynamics in the quasi-one-dimensional (Q1D) metallic antiferromagnet NaV2O4. By
performing systematic zero-field and longitudinal-field measurements as a
function of temperature we clearly distinguish that the hopping rate increases
exponentially above Tdiff=250 K. The data is well fitted to an Arrhenius type
equation typical for a diffusion process, showing that the Na-ions starts to be
mobile above Tdiff . Such results makes this compound very interesting for the
tuning of Q1D magnetism using atomic-scale ion-texturing through the periodic
potential from ordered Na-vacancies. Further, it also opens the door to
possible use of NaV2O4 and related compounds in energy related applications.Comment: Accepted for publication in Journal of Physics: Conference Series
(2014
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