Multiariate Wavelet-based sahpe preserving estimation for dependant observation

We present a new approach on shape preserving estimation of probability distribution and density functions using wavelet methodology for multivariate dependent data. Our estimators preserve shape constraints such as monotonicity, positivity and integration to one, and allow for low spatial regularity of the underlying functions. As important application, we discuss conditional quantile estimation for financial time series data. We show that our methodology can be easily implemented with B-splines, and performs well in a finite sample situation, through Monte Carlo simulations.Conditional quantile; time series; shape preserving wavelet estimation; B-splines; multivariate process

A non parametric ACD model

We carry out a non parametric analysis of financial durations. We make use of an existing algorithm to describe non parametrically the dynamics of the process in terms of its lagged realizations and of a latent variable, its conditional mean. The devices needed to effectively apply the algorithm to our dataset are presented. On simulated data, the non parametric procedure yields better estimates than the ones delivered by an incorrectly specified parametric method. On a real dataset, the non parametric estimator seems to mildly overperform with respect to its parametric counterpart. Moreover the non parametric analysis can convey information on the nature of the data generating process that may not be captured by the parametric specification. In particular, once intraday seasonality is directly used as an explana- tory variable, the non parametric approach provides insights about the time-varying nature of the dynamics in the model that the standard procedures of deseasonaliza- tion may lead to overlook

A nonparametric ACD model

We propose a fully nonparametric approach to the analysis of the Autocorrelated Conditional Duration (ACD) process applied to durations between financial events. We use a recursive algorithm to estimate the nonparametric specification. In a Monte Carlo experiment, we analyse its forecasting performance and compare it with a correctly and a mis-specified parametric estimator. On a real dataset, the nonparametric estimator seems to mildly overperform in terms of predictive power. The nonparametric analysis can also provide guidance on the choice between alternative parametric specifications. In particular, once intraday seasonality is directly modelled in the conditional duration function, the nonparametric approach provides insights into the time-varying nature of the dynamics in the model that the standard procedures of deseasonalization may lead one to overlook

Removal of an Azo Textile Dye from Wastewater by Cyclodextrin-Epichlorohydrin Polymers

Native cyclodextrins (CDs), α-, β- and γ-CDs, were employed to synthetise three different cyclodextrin-based polymers using epichlorohydrin (EPI) as a cross-linker. These polymers were applied as adsorbent material to remove an azo textile dye, Direct Blue 78 (DB78), from water. The formation of inclusion complexes between the alone CDs and DB78 molecules were first studied in aqueous solutions. Then, adsorption experiments of the dye were performed by means of cyclodextrin/epichlorohydrin (CD/EPI) polymers. The effects of various parameters, such as contact time, adsorbent dosage, initial dye concentration, pH and temperature, were examined to determine the better adsorption conditions. The equilibrium isotherms and the adsorption kinetics were also analysed using opportune mathematic models. The chemical-physical characteristics and the morphology of the adsorbent polymers were, respectively, observed by differential scanning calorimetry and field emission scanning electron microscope. The CD/EPI polymers showed a very good ability in the removal of DB78 from aqueous solution; indeed, the maximum efficiencies in the dye removal were found to be about 99% for β-CD/EPI polymer and about 97% for γ-CD/EPI polymer, at pH 6 and 25°C conditions. It is possible to assume that the good adsorbent aptitude of CD/EPI polymers is due to their double peculiarity to include the dye in the inner cavity of CDs and to adsorb the dye on their porous surfaces by physical interaction