Autorregresive conditional volatility, skewness and kurtosis

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.

Pumped double quantum dot with spin-orbit coupling

We study driven by an external electric field quantum orbital and spin dynamics of electron in a one-dimensional double quantum dot with spin-orbit coupling. Two types of external perturbation are considered: a periodic field at the Zeeman frequency and a single half-period pulse. Spin-orbit coupling leads to a nontrivial evolution in the spin and orbital channels and to a strongly spin-dependent probability density distribution. Both the interdot tunneling and the driven motion contribute into the spin evolution. These results can be important for the design of the spin manipulation schemes in semiconductor nanostructures.

Density-potential mapping in the standard and quantum electrodynamical time-dependent density functional theory

131 p.

One-dimensional potential for image-potential states on graphene

In the framework of dielectric theory, the static non-local self-energy of an electron near an ultra-thin polarizable layer has been calculated and applied to study binding energies of image-potential states near free-standing graphene. The corresponding series of eigenvalues and eigenfunctions have been obtained by numerically solving the one-dimensional Schrodinger equation. The imagepotential state wave functions accumulate most of their probability outside the slab. We find that the random phase approximation (RPA) for the nonlocal dielectric function yields a superior description for the potential inside the slab, but a simple Fermi-Thomas theory can be used to get a reasonable quasi-analytical approximation to the full RPA result that can be computed very economically. Binding energies of the image-potential states follow a pattern close to the Rydberg series for a perfect metal with the addition of intermediate states due to the added symmetry of the potential. The formalism only requires a minimal set of free parameters: the slab width and the electronic density. The theoretical calculations are compared with experimental results for the work function and image-potential states obtained by two-photon photoemission.