Testing the Gaussian Copula Hypothesis for Financial Assets Dependences

Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets can be modeled by the Gaussian copula. We find that most pairs of currencies and pairs of major stocks are compatible with the Gaussian copula hypothesis, while this hypothesis can be rejected for the dependence between pairs of commodities (metals). Notwithstanding the apparent qualification of the Gaussian copula hypothesis for most of the currencies and the stocks, a non-Gaussian copula, such as the Student's copula, cannot be rejected if it has sufficiently many ``degrees of freedom''. As a consequence, it may be very dangerous to embrace blindly the Gaussian copula hypothesis, especially when the correlation coefficient between the pair of asset is too high as the tail dependence neglected by the Gaussian copula can be as large as 0.6, i.e., three out five extreme events which occur in unison are missed.Comment: Latex document of 43 pages including 14 eps figure

Aromatic Hydrocarbons, Diamonds, and Fullerenes in Interstellar Space: Puzzles to be Solved by Laboratory and Theoretical Astrochemistry

New research is presented, and previous research is reviewed, on the emission and absorption of interstellar aromatic hydrocarbons. Emission from aromatic hydrocarbons dominate the mid-infrared emission of many galaxies, including our own Milky Way galaxy. Only recently have aromatic hydrocarbons been observed in absorption in the interstellar medium, along lines of sight with high column densities of interstellar gas and dust. Much work on interstellar aromatics has been done, with astronomical observations and laboratory and theoretical astrochemistry. In many cases the predictions of laboratory and theoretical work are confirmed by astronomical observations, but in other cases clear discrepancies exist which provide problems to be solved by a combination of astronomical observations, laboratory studies, and theoretical studies. The emphasis of this paper will be on current outstanding puzzles concerning aromatic hydrocarbons which require further laboratory and theoretical astrochemistry to resolve. This paper will also touch on related topics where laboratory and theoretical astrochemistry studies are needed to explain astrophysical observations, such as a possible absorption feature due to interstellar "diamonds" and the search for fullerenes in space.Comment: Spectrochimica Acta A, Feb. 2001, in press. 33 pages including 11 postscript figures, AASTeX format. Full postscript paper also available at http://www.astronomy.ohio-state.edu/~sellgren/saa.htm

Dual Screening the Political:Media Events, Social Media, and Citizen Engagement

Dual screening—the complex bundle of practices that involve integrating, and switching across and between, live broadcast media and social medi—is now routine for many citizens during important political media events. But do these practices shape political engagement, and if so, why? We devised a unique research design combining a large-scale Twitter dataset and a custom-built panel survey focusing on the broadcast party leaders’ debates held during the 2014 European Parliament elections in the United Kingdom. We find that relatively active, “lean-forward” practices, such as commenting live on social media as the debate unfolded, and engaging with conversations via Twitter hashtags, have the strongest and most consistent positive associations with political engagement

Tail Dependence Measure for Examining Financial Extreme Co-movements

Modeling and forecasting extreme co-movements in financial market is important for conducting stress test in risk management. Asymptotic independence and asymptotic dependence behave drastically different in modeling such co-movements. For example, the impact of extreme events is usually overestimated whenever asymptotic dependence is wrongly assumed. On the other hand, the impact is seriously underestimated whenever the data is misspecified as asymptotic independent. Therefore, distinguishing between asymptotic independence/dependence scenarios is very informative for any decision-making and especially in risk management. We investigate the properties of the limiting conditional Kendall’s tau which can be used to detect the presence of asymptotic independence/dependence. We also propose nonparametric estimation for this new measure and derive its asymptotic limit. A simulation study shows good performances of the new measure and its combination with the coefficient of tail dependence proposed by Ledford and Tawn (1996, 1997). Finally, applications to financial and insurance data are provided

Time-dependent density functional study of the electronic spectra of oligoacenes in the charge states -1, 0, +1, and +2

We present a systematic theoretical study of the five smallest oligoacenes (naphthalene, anthracene, tetracene, pentacene, and hexacene) in their anionic,neutral, cationic, and dicationic charge states. We used density functional theory (DFT) to obtain the ground-state optimised geometries, and time-dependent DFT (TD-DFT) to evaluate the electronic absorption spectra. Total-energy differences enabled us to evaluate the electron affinities and first and second ionisation energies, the quasiparticle correction to the HOMO-LUMO energy gap and an estimate of the excitonic effects in the neutral molecules. Electronic absorption spectra have been computed by combining two different implementations of TD-DFT: the frequency-space method to study general trends as a function of charge-state and molecular size for the lowest-lying in-plane long-polarised and short-polarised $\pi\to\pi^\star$ electronic transitions, and the real-time propagation scheme to obtain the whole photo-absorption cross-section up to the far-UV. Doubly-ionised PAHs are found to display strong electronic transitions of $\pi\to\pi^\star$ character in the near-IR, visible, and near-UV spectral ranges, like their singly-charged counterparts. While, as expected, the broad plasmon-like structure with its maximum at about 17-18 eV is relatively insensitive to the charge-state of the molecule, a systematic decrease with increasing positive charge of the absorption cross-section between about 6 and about 12 eV is observed for each member of the class.Comment: 38 pages, 11 figures, 7 tables, accepted for publication in Chemical Physic

Forecasting Using Heterogeneous Panels with Cross-Sectional Dependence

In this paper, we focus on forecasting heterogeneous panels in presence of cross-sectional depen-dence in terms of both spatial error dependence and common factors. We propose two mainapproaches to estimate the factor structure, one using the residuals (“Residuals Based Approach”,RBA) while the second using a panel of some variables (“Auxiliary Variables Approach”, AVA)to extract the factors. Small sample properties of the methods proposed is investigated throughMonte Carlo simulation exercises and used in an application to predict house price inflation inOECD countries

The aromatic infrared bands as seen by ISO-SWS: probing the PAH model

We discuss the Aromatic Infrared Band (AIB) profiles observed by ISO-SWS towards a number of bright interstellar regions where dense molecular gas is illuminated by stellar radiation. Our sample spans a broad range of excitation conditions (exciting radiation fields with effective temperature, Teff, ranging from 23,000 to 45,000 K). The SWS spectra are decomposed coherently in our sample into Lorentz profiles and a broadband continuum. We find that the individual profiles of the main AIBs at 3.3, 6.2, 8.6 and 11.3 microns are well represented with at most two lorentzians. Furthermore, we show that the positions and widths of these AIBs are remarkably stable (within a few cm-1). We then extract the profiles of individual AIBs from the data and compare them to a model of Polycyclic Aromatic Hydrocarbon (PAH) cation emission which includes the temperature dependence of the AIB profiles. The present similarity of the AIB profiles requires that the PAH temperature distribution remains roughly the same whatever the radiation field hardness. Deriving the temperature distribution of interstellar PAHs, we show that its hot tail, which controls the AIB spectrum, sensitively depends on Nmin (the number of C-atoms in the smallest PAH) and Teff. Comparing the observed profiles of the individual AIBs to our model results, we can match most of the AIB profiles if Nmin is increased with Teff. We then discuss our results in the broader context of ISO observations of fainter interstellar regions where PAHs are expected to be in neutral form.Comment: 19 pages, 11 figures, accepted for Astronomy and Astrophysic