Super-Eddington accretion rates in Narrow Line Seyfert 1 galaxies

Using the BH masses deduced from the empirical relation of Kaspi et al. (2000) and assuming that the optical luminosity is provided by the accretion disc, we show that Narrow Line Seyfert Galaxies 1 (NLS1s) accrete at super-Eddington rates, while their luminosity stays of the order of the Eddington limit. We take into account the possibility of a non-viscous energy release in the gravitationally unstable region of the disc. It leads to a smaller accretion rate and to a redder continuum than a standard disc, which agrees better with the observations. The observed bolometric luminosities appear to saturate at a few times the Eddington luminosity for super-Eddington accretion rates, as predicted by slim disc models. The accretion rate stays always of the order of a few M$_{\odot}$/yr, indicating that the growing of the BH is mass supply limited . Since the masses of the BH increases by one order of magnitude in a few 10$^7$ years, it could explain why NLS1s appear to not follow the same BH - bulge relation as other galaxies. NLS1s should thus play an important role in shaping the mass function of local BHs. We discuss the possibility that the masses could be systematically underestimated due to an inclination effect, and we conclude that the accretion rates could thus be strongly overestimated, but only in a small proportion of objects.Comment: 13 pages, 8 figures, accepted in A &

The eyes of suckermouth armoured catfish (Loricariidae, subfamily Hypostomus): pupil response, lenticular longitudinal spherical aberration and retinal topography

The dilated, round pupils of a species of suckermouth armoured catfish (Liposarcus pardalis) constrict slowly on illumination (over 35-40 min) to form crescent-shaped apertures. Ray tracing of He-Ne laser beams shows that the lenses of a related species (Pterygoplichthys etentaculus), which also has a crescent-shaped pupil, are well corrected for longitudinal spherical aberration, suggesting that the primary purpose of the irregular pupil in armoured catfish is not to correct such aberration. It is suggested that the iris operculum may serve to camouflage the pupil of these substrate-dwelling species. An examination of the catfish retina shows the photoreceptors to be exclusively single cones interspersed with elongate rods and demonstrates the presence of multiple optic nerve head papillae. Two areas of high ganglion cell density, each side of a vertically oriented falciform process, provide increased spatial resolving power along the axes examining the substrate in front of and behind the animal

Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is simultaneously a linear combination of yields and the quadratic variation of the spot rate. However, we find empirically that the A1(3) SV model generates a time series for the variance state variable that is strongly negatively correlated with a GARCH estimate of the quadratic variation of the spot rate process. We then investigate affine models that exhibit "unspanned stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai and Singleton (2001). This representation has several advantages, including: (I) the state variables have simple physical interpretations such as level, slope and curvature, (ii) their dynamics remain affine and tractable, (iii) the model is econometrically identifiable, (iv) model-insensitive estimates of the state vector process implied from the term structure are readily available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to exhibit USV.

The structure and radiation spectra of illuminated accretion discs in AGN. I. Moderate illumination

We present detailed computations of the vertical structure of an accretion disc illuminated by hard X-ray radiation with the code {\sc titan-noar} suitable for Compton thick media. The energy generated via accretion is dissipated partially in the cold disc as well as in the X-ray source. We study the differences between the case where the X-ray source is in the form of a lamp post above the accretion disc and the case of a heavy corona. We consider radiative heating via Comptonization together with heating via photo-absorption on numerous heavy elements as carbon, oxygen, silicon, iron. The transfer in lines is precisely calculated. A better description of the heating/cooling through the inclusion of line transfer, a correct description of the temperature in the deeper layers, a correct description of the entire disc vertical structure, as well as the study of the possible coronal pressure effect, constitute an improvement in comparison to previous works. We show that exact calculations of hydrostatic equilibrium and determination of the disc thickness has a crucial impact on the optical depth of the hot illuminated zone. We assume a moderate illumination where the viscous flux equals the X-ray radiation flux. A highly ionized skin is created in the lamp post model, with the outgoing spectrum containing many emission lines and ionization edges in emission or absorption in the soft X-ray domain, as well as an iron line at $\sim 7$ keV consisting of a blend of low ionization line from the deepest layers and hydrogen and helium like resonance line from the upper layers, and almost no absorption edge, contrary to the case of a slab of constant density.A full heavy corona completely suppresses the highly ionized zone on the top of the accretion disc and in such case the spectrum is featureless.Comment: 16 pages, 20 figures, corrected two sentences, accepted by MNRA

Obscuration model of Variability in AGN

There are strong suggestions that the disk-like accretion flow onto massive black hole in AGN is disrupted in its innermost part (10-100 Rg), possibly due to the radiation pressure instability. It may form a hot optically thin quasi spherical (ADAF) flow surrounded by or containing denser clouds due to the disruption of the disk. Such clouds might be optically thick, with a Thompson depth of order of 10 or more. Within the frame of this cloud scenario (Collin-Souffrin et al. 1996, Czerny & Dumont 1998), obscuration events are expected and the effect would be seen as a variability. We consider expected random variability due to statistical dispersion in location of clouds along the line of sight for a constant covering factor. We discuss a simple analytical toy model which provides us with the estimates of the mean spectral properties and variability amplitude of AGN, and we support them with radiative transfer computations done with the use of TITAN code of Dumont, Abrassart & Collin (1999) and NOAR code of Abrassart (1999).Comment: to appear in Proc. of 5th Compton Symposium on Gamma-Ray Astronomy and Astrophysic

On the size of the Fe II emitting region in the AGN Akn 120

We present a reverberation analysis of the strong, variable optical Fe II emission bands in the spectrum of Akn 120, a low-redshift AGN which is one of the best candidates for such a study. On time scales of several years the Fe II line strengths follow the variations in the continuum strength. However, we are unable to measure a clear reverberation lag time for these Fe II lines on any time scale. This is due to the very broad and flat-topped nature of the Fe II cross correlation functions, as compared to the H-beta response which is much more sharply localized in time. Although there is some suggestion in the light curve of a 300-day response time, our statistical analysis does not pick up such a feature. We conclude that the optical Fe II emission does not come from a photoionization-powered region similar in size to the H-beta emitting region, but we cannot say for sure where it does come from. Our results are generally consistent either with emission from a photoionized region several times larger than the H-beta zone, or with emission from gas heated by some other means, perhaps responding only indirectly to the continuum variations.Comment: Accepted for publication in the Ap

Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Empirical evidence shows that changes in aggregate labor income and stock market returns exhibit only weak correlation at short horizons. As we document below, however, this correlation increases substantially at longer horizons, which provides at least suggestive evidence that stock returns and labor income are cointegrated. In this paper, we investigate the implications of such a cointegrated relation for life-cycle optimal portfolio and consumption decisions of an agent whose non-tradable labor income faces permanent and temporary idiosyncratic shocks. We find that, under economically plausible calibrations, the optimal portfolio choice for the young investor is to take a substantial {\em short} position in the risky portfolio, in spite of the large risk premium associated with it. Intuitively, this occurs because the cointegration effect makes the present value of future labor income flows `stock-like' for the young agent. However, for older agents who have shorter times-to-retirement, the cointegration effect does not have sufficient time to act, and the remaining human capital becomes more `bond-like.' Together, these effects create a hump-shaped optimal portfolio decision for the agent over the life cycle, consistent with empirical observation.

Can standard preferences explain the prices of out-of-the-money S&P 500 put options?

The 1987 stock market crash occurred with minimal impact on observable economic variables (e.g., consumption), yet dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general equilibrium model that captures many salient features of the U.S. equity and options markets before, during, and after the crash. The representative agent is endowed with Epstein-Zin preferences and the aggregate dividend and consumption processes are driven by a persistent stochastic growth variable that can jump. In reaction to a market crash, the agent updates her beliefs about the distribution of the jump component. We identify a realistic calibration of the model that matches the prices of shortmaturity at-the-money and deep out-of-the-money S&P 500 put options, as well as the prices of individual stock options. Further, the model generates a steep shift in the implied volatility ‘smirk’ for S&P 500 options after the 1987 crash. This ‘regime shift’ occurs in spite of a minimal impact on observable macroeconomic fundamentals. Finally, the model’s implications are consistent with the empirical properties of dividends, the equity premium, as well as the level and standard deviation of the risk-free rate. Overall, our findings show that it is possible to reconcile the stylized properties of the equity and option markets in the framework of rational expectations, consistent with the notion that these two markets are integrated.Money ; Macroeconomics ; Pricing