Estimating jumps in volatility using realized-range measures

We introduce a generalization of the Heterogeneous Autoregressive (HAR)model for estimating the presence of jumps in volatility, using the realizedrangemeasure as a volatility proxy. By focusing on a set of 36 NYSE stocks,we show that there is a positive probability of jumps in volatility

Chasing volatility: A persistent multiplicative error model with jumps

Persistence and unpredictable large increments characterize the volatility of financial returns.We propose the Multiplicative Error Model with volatility jumps (MEM-J) to describe and predict the probability and the size of these extreme events. Under the MEM-J, the conditional density of the realized measure is a countably infinite mixture of Gamma and Kappa distributions, with closed form conditional moments. We derive stationarity conditions and the asymptotic theory for the maximum likelihood estimation. Estimates of the volatility jump component confirm that the probability of jumps dramatically increases during the financial crises. The MEM-J improves over other models with fat tails

Effective electrothermal analysis of electronic devices and systems with parameterized macromodeling

We propose a parameterized macromodeling methodology to effectively and accurately carry out dynamic electrothermal (ET) simulations of electronic components and systems, while taking into account the influence of key design parameters on the system behavior. In order to improve the accuracy and to reduce the number of computationally expensive thermal simulations needed for the macromodel generation, a decomposition of the frequency-domain data samples of the thermal impedance matrix is proposed. The approach is applied to study the impact of layout variations on the dynamic ET behavior of a state-of-the-art 8-finger AlGaN/GaN high-electron mobility transistor grown on a SiC substrate. The simulation results confirm the high accuracy and computational gain obtained using parameterized macromodels instead of a standard method based on iterative complete numerical analysis

A MATLAB-Based Virtual Laboratory for Teaching Introductory Quasi-Stationary Electromagnetics

This paper reports the realization of a MATLAB- based electromagnetic-fields virtual laboratory, and experimen- tation in the teaching of undergraduate Introductory Electro- magnetics courses. The choice of the developing environment is discussed in the light of authoring issues and user advantages. The virtual laboratory is described in terms of its functionalities, and a selection of examples is illustrated, showing its actual didactic use. The software architecture produced, including the Web interface, is briefly described and the possible extensions or different uses of the environment realized discussed. The positive response from students in a two-year classroom experience is reported, and future developments are outlined

IDENTIFICATION OF 1-D MAGNETIC FIELD PROFILES IN HIGH CURRENT PLASMAS

The identification of magnetic field profiles is crucial in many applications where a direct measurement is difficult. We discuss here a technique, based on the injection of charged particles in the region under examination, which promises to be an innovative and effective tool in the analysis of 1-D field profiles in high current plasma discharges. After the decription of the inverse problem related to the field construction, we consider a suitable discrete identification scheme, and analyze some properties of the latter. The field map in the interest region is reconstructed via a minimization procedure, which identifies the coefficient of a well-suited expansion for the field. In particular, we discuss the precision and robustness of the identification procedure, with respect to the chosen optimization scheme, the amount of data, the order in the field expansion, and the influence of noise on the data

PARTICLE OPTICS FOR A PLASMA BASED BEAM FOCUSING AND TRANSPORT SYSTEM

The ion optical properties of plasma-based final focusing and transport for a heavy ion ICF reactor are discussed. The advantages of plasma-based final focusing are mainly the structure of the field, the beam charge and current neutralization and the reduction of beam rigidity due to stripping of electrons in the lasma. Two possible focusing modes are considered; the first one, more traditional, is the so called coherent mode; it is based on the symmetric strong focusing which can be obtained with a cylindrical, or eventually shape optimized, short lens. The optical properties are in this case favorable compared to quadrupole lenses. The lens is, in particular, highly insensitive to chromatica aberrations. The disadvantage of this focusing scheme, in an ICF scenario, is the relativelt short focal length, which require a design with the lens integrated in the reactor chamber. A very interesting alternative is the use of a transport plasma channel, which can provide the required standoff distance from the pellet. In this case one can exploit the incoherent focusing of an adiabatic lens. The adiabatic lens has an extremely large acceptance both of the beam emittance and momentum spread. Two examples of final focusin and transport systems adapted to differen accelerator and target design are presented in detail