87,272 research outputs found

    Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

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    This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density in which skewness and kurtosis appear directly in the functional form of this density. In this setting VaR can be described as a function of the time-varying higher moments by applying the Cornish-Fisher expansion series of the first four moments. An evaluation of the predictive performance of the proposed model in the estimation of 1-day and 10-day VaR forecasts is performed in comparison with the historical simulation, filtered historical simulation and GARCH model. The adequacy of the VaR forecasts is evaluated under the unconditional, independence and conditional likelihood ratio tests as well as Basel II regulatory tests. The results presented have significant implications for risk management, trading and hedging activities as well as in the pricing of equity derivatives

    Strong electronic correlation and strain effects at the interfaces between polar and nonpolar complex oxides

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    The interface between the polar LaAlO3_3 and nonpolar SrTiO3_3 layers has been shown to exhibit various electronic and magnetic phases such as two dimensional electron gas, superconductivity, magnetism and electronic phase separation. These rich phases are expected due to the strong interplay between charge, spin and orbital degree of freedom at the interface between these complex oxides, leading to the electronic reconstruction in this system. However, until now all of these new properties have been studied extensively based on the interfaces which involve a polar LaAlO3_3 layer. To investigate the role of the A and B cationic sites of the ABO3_3 polar layer, here we study various combinations of polar/nonpolar oxide (NdAlO3_3/SrTiO3_3, PrAlO3_3/SrTiO3_3 and NdGaO3_3/SrTiO3_3) interfaces which are similar in nature to LaAlO3_3/SrTiO3_3 interface. Our results show that all of these new interfaces can also produce 2DEG at their interfaces, supporting the idea that the electronic reconstruction is the driving mechanism for the creation of the 2DEG at these oxide interfaces. Furthermore, the electrical properties of these interfaces are shown to be strongly governed by the interface strain and strong correlation effects provided by the polar layers. Our observations may provide a novel approach to further tune the properties of the 2DEG at the selected polar/nonpolar oxide interfaces.Comment: 5 pages, 4 figure

    Atomically flat interface between a single-terminated LaAlO3 substrate and SrTiO3 thin film is insulating

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    The surface termination of (100)-oriented LaAlO3 (LAO) single crystals was examined by atomic force microscopy and optimized to produce a single-terminated atomically flat surface by annealing. Then the atomically flat STO film was achieved on a single-terminated LAO substrate, which is expected to be similar to the n-type interface of two-dimensional electron gas (2DEG), i.e., (LaO)-(TiO2). Particularly, that can serve as a mirror structure for the typical 2DEG heterostructure to further clarify the origin of 2DEG. This newly developed interface was determined to be highly insulating. Additionally, this study demonstrates an approach to achieve atomically flat film growth based on LAO substrates.Comment: 4 pages, 3 figure

    Mechanical and electrochemical properties of multiple-layer diode laser cladding of 316L stainless steel

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    In the present investigation, a detailed mechanical and electrochemical properties of multiple-layer laser clad 316L stainless steel (from the powders produced by gas atomized route) has been carried out. Multiple-layer laser cladding of 316L stainless steel has been conducted using a diode laser. The mechanical property (rmcrohardness) of the fabricated product has been evaluated using a microhardness testing machine and correlated with the process parameters. The electrochemical property, mainly pitting corrosion resistance of the fabricated layer corresponding to maximum microhardness (in a 3.56% NaCl solution) has been evaluated using standard potentiodynamic polarization testing. The microhardness of the laser assisted fabricated layers was found to vary from 170 to 278 VHN, increased with decrease in applied power density and increase in scan speed and was higher than that of conventionally processed 316L (155 VHN). The superior microhardness value is attributed to grain refinement associated with laser melting and rapid solidification. The critical potential to pit formation (E-PP1) was measured to be 550 mV saturated calomel electrode (SCE) and superior to the conventionally processed 316L stainless steel (445 mV (SCE)). (c) 2005 Elsevier B.V. All rights reserved

    Drought events and their effects on vegetation productivity in China

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    Many parts of the world have experienced frequent and severe droughts during the last few decades. Most previous studies examined the effects of specific drought events on vegetation productivity. In this study, we characterized the drought events in China from 1982 to 2012 and assessed their effects on vegetation productivity inferred from satellite data. We first assessed the occurrence, spatial extent, frequency, and severity of drought using the Palmer Drought Severity Index (PDSI). We then examined the impacts of droughts on China\u27s terrestrial ecosystems using the Normalized Difference Vegetation Index (NDVI). During the period 1982–2012, China\u27s land area (%) experiencing drought showed an insignificant trend. However, the drought conditions had been more severe over most regions in northern parts of China since the end of the 1990s, indicating that droughts hit these regions more frequently due to the drier climate. The severe droughts substantially reduced annual and seasonal NDVI. The magnitude and direction of the detrended NDVI under drought stress varied with season and vegetation type. The inconsistency between the regional means of PDSI and detrended NDVI could be attributed to different responses of vegetation to drought and the timing, duration, severity, and lag effects of droughts. The negative effects of droughts on vegetation productivity were partly offset by the enhancement of plant growth resulting from factors such as lower cloudiness, warming climate, and human activities (e.g., afforestation, improved agricultural management practices)

    Competition between the BCS superconductivity and ferromagnetic spin fluctuations in MgCNi3_3

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    The low temperature specific heat of the superconductor MgCNi3_3 and a non-superconductor MgC0.85_{0.85}Ni3_3 is investigated in detail. An additional contribution is observed from the data of MgCNi3_3 but absent in MgC0.85_{0.85}Ni3_3, which is demonstrated to be insensitive to the applied magnetic field even up to 12 Tesla. A detailed discussion on its origin is then presented. By subtracting this additional contribution, the zero field specific heat of MgCNi3_3 can be well described by the BCS theory with the gap ratio (Δ/kBTc\Delta/k_BT_c) determined by the previous tunneling measurements. The conventional s-wave pairing state is further proved by the magnetic field dependence of the specific heat at low temperatures and the behavior of the upper critical field.Comment: To appear in Physical Review B, 6 pages, 7 figure