Block Structure Multivariate Stochastic Volatility Models

Most multivariate variance models suffer from a common problem, the “curse of dimensionalityâ€. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with milder restrictions, whose purpose was to combine the need for interpretability and efficiency faced by model users with the computational problems that may emerge when the number of assets is quite large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic volatility models.block structures;curse of dimensionality;multivariate stochastic volatility

Modelling and Forecasting Noisy Realized Volatility

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent realized volatility (RV) estimates of IV can contain residual microstructure noise and other measurement errors. Such noise is called “realized volatility errorâ€. Since such errors are ignored, we need to take account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to serious bias in estimators; (ii) the effects of RV errors on one-step ahead forecasts are minor when consistent estimators are used and when the number of intraday observations is large; and (iii) even the partially corrected recently proposed in the literature should be fully corrected for evaluating forecasts. This paper proposes a full correction of . An empirical example for S&P 500 data is used to demonstrate the techniques developed in the paper.forecasting;diffusion;financial econometrics;goodness-of-fit;measurement errors;model evaluation;realized volatility

Asymmetry and leverage in realized volatility

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In both the conditional and stochastic volatility literature, there has been some confusion between the definitions of asymmetry and leverage. In this paper, we first show the relationship among conditional, stochastic, integrated and realized volatilities. Then we develop a new asymmetric volatility model, which takes account of small and large, and positive and negative, shocks. Using the new specification, we examine alternative volatility models that have recently been developed and estimated in order to understand the differences and similarities in the definitions of asymmetry and leverage. We extend the new specification to realized volatility by taking account of measurement errors. As an empirical example, we apply the new model to the realized volatility of Standard and Poor’s 500 Composite Index using Efficient Importance Sampling to show the new specification of asymmetry significantly improves the goodness of fit.

Solution of Orthopositronium lifetime Puzzle

The intrinsic decay rate of orthopositronium formed in ${\rm SiO_2}$ powder is measured using the direct $2\gamma$ correction method such that the time dependence of the pick-off annihilation rate is precisely determined. The decay rate of orthopositronium is found to be $7.0396\pm0.0012 (stat.)\pm0.0011 (sys.)\mu s^{-1}$, which is consistent with our previous measurements with about twice the accuracy. Results agree well with the $O(\alpha^2)$ QED prediction, and also with a result reported very recently using nanoporous film

A XMM-Newton observation during the 2000 outburst of SAX J1808.4-3658

I present a XMM-Newton observation of the accretion driven millisecond X-ray pulsar SAX J1808.4-3658 during its 2000 outburst. The source was conclusively detected, albeit at a level of only ~2 x 10^{32} erg/s. The source spectrum could be fitted with a power-law model (with a photon index of ~2.2), a neutron star atmosphere model (with a temperature of ~0.2 keV), or with a combination of a thermal (either a black-body or an atmosphere model) and a power-law component. During a XMM-Newton observation taken approximately one year later, the source was in quiescence and its luminosity was a factor of ~4 lower. It is possible that the source spectrum during the 2000 outburst was softer than its quiescent 2001 spectrum, however, the statistics of the data do not allow to make a firm conclusion. The results obtained are discussed in the context of the 2000 outburst of SAX J1808.4-3658 and the quiescent properties of the source.Comment: Accepted for publication in ApJ, 15 January 200

The evolution of the high energy tail in the quiescent spectrum of the soft X-ray transient Aql X-1

A moderate level of variability has been detected in the quiescent luminosity of several neutron star soft X-ray transients. Spectral variability was first revealed by Chandra observations of Aql X-1 in the four months that followed the 2000 X-ray outburst. By adopting the canonical model for quiescent spectrum of soft X-ray transients, i.e. an absorbed neutron star atmosphere model plus a power law tail, Rutledge et al. (2002a) concluded that the observed spectral variations can be ascribed to temperature variations of the neutron star atmosphere. These results can hardly be reconciled with the neutron star cooling that is expected to take place in between outbursts (after deep crustal heating in the accretion phase). Here we reanalyse the Chandra spectra of Aql X-1, together with a long BeppoSAX observation in the same period, and propose a different interpretation of the spectral variability: that this is due to correlated variations of the power law component and the column density (>5, a part of which might be intrinsic to the source), while the temperature and flux of the neutron star atmospheric component remained unchanged. This lends support to the idea that the power law component arises from emission at the shock between a radio pulsar wind and inflowing matter from the companion star.Comment: 6 pages, 2 figures. Accepted for publication on Ap

Quasi-Superradiant Soliton State of Matter in Quantum Metamaterials

Strong interaction of a system of quantum emitters (e.g., two-level atoms) with electromagnetic field induces specific correlations in the system accompanied by a drastic insrease of emitted radiation (superradiation or superfluorescence). Despite the fact that since its prediction this phenomenon was subject to a vigorous experimental and theoretical research, there remain open question, in particular, concerning the possibility of a first order phase transition to the superradiant state from the vacuum state. In systems of natural and charge-based artificial atome this transition is prohibited by "no-go" theorems. Here we demonstrate numerically a similar transition in a one-dimensional quantum metamaterial - a chain of artificial atoms (qubits) strongly interacting with classical electromagnetic fields in a transmission line. The system switches from vacuum state with zero classical electromagnetic fields and all qubits being in the ground state to the quasi-superradiant (QS) phase with one or several magnetic solitons and finite average occupation of qubit excited states along the transmission line. A quantum metamaterial in the QS phase circumvents the "no-go" restrictions by considerably decreasing its total energy relative to the vacuum state by exciting nonlinear electromagnetic solitons with many nonlinearly coupled electromagnetic modes in the presence of external magnetic field.Comment: 6 pages, 4 figure

Effects of antibodies against dynein and tubulin on the stiffness of flagellar axonemes

Antidynein antibodies, previously shown to inhibit flagellar oscillation and active sliding of axonemal microtubules, increase the bending resistance of axonemes measured under relaxing conditions, but not the bending resistance of axonemes measured under rigor conditions. These observations suggest that antidynein antibodies can stabilize rigor cross-bridges between outer-doublet microtubules, by interfering with ATP-induced cross-bridge detachment. Stabilization of a small number of cross-bridge appears to be sufficient to cause substantial inhibition of the frequency of flagellar oscillation. Antitubulin antibodies, previously shown to inhibit flagellar oscillation without inhibiting active sliding of axonemal microtubules, do not increase the static bending resistance of axonemes. However, we observed a viscoelastic effect, corresponding to a large increase in the immediate bending resistance. This immediate bending resistance increase may be sufficient to explain inhibition of flagellar oscillation; but several alternative explanations cannot yet be excluded

A search for massive neutral bosons in orthopositronium decay

We have searched for an exotic decay of orthopositronium into a single photon and a short-lived neutral boson in the hitherto unexplored mass region above 900 ${\rm keV}/{\it c}^{2}$, by noting that this decay is one of few remaining candidates which could explain the discrepancy of the orthopositronium decay-rate. A high-resolution measurement of the associated photon energy spectrum was carried out with a germanium detector to search for a sharp peak from this two-body decay. Our negative result provides the upper-limits of\mbox{ }$2.0 \times 10^{-4}$ on the branching ratio of such a decay in the mass region from 847 to 1013 ${\rm keV}/{\it c}^{2}$, and excludes the possibility of this decay mode explaining the discrepancy in the orthopositronium decay-rate.Comment: a LaTeX file (text 7 pages) and a uuencoded gz-compressed PostScript file (text 7 pages + figures 4 pages