Estimating and forecasting generalized fractional Long memory stochastic volatility models

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory processes, and investigate the finite sample properties via Monte Carlo experiments. We apply the model to three exchange rate return series. Overall, the results of the out-of-sample forecasts show the adequacy of the new GLMSV model.

Generalized isotropic Lipkin-Meshkov-Glick models: ground state entanglement and quantum entropies

We introduce a new class of generalized isotropic Lipkin–Meshkov–Glick models with su(m+1) spin and long-range non-constant interactions, whose non-degenerate ground state is a Dicke state of su(m+1) type. We evaluate in closed form the reduced density matrix of a block of Lspins when the whole system is in its ground state, and study the corresponding von Neumann and Rényi entanglement entropies in the thermodynamic limit. We show that both of these entropies scale as a log L when L tends to infinity, where the coefficient a is equal to (m  −  k)/2 in the ground state phase with k vanishing magnon densities. In particular, our results show that none of these generalized Lipkin–Meshkov–Glick models are critical, since when L-->∞ their Rényi entropy R_q becomes independent of the parameter q. We have also computed the Tsallis entanglement entropy of the ground state of these generalized su(m+1) Lipkin–Meshkov–Glick models, finding that it can be made extensive by an appropriate choice of its parameter only when m-k≥3. Finally, in the su(3) case we construct in detail the phase diagram of the ground state in parameter space, showing that it is determined in a simple way by the weights of the fundamental representation of su(3). This is also true in the su(m+1) case; for instance, we prove that the region for which all the magnon densities are non-vanishing is an (m  +  1)-simplex in R^m whose vertices are the weights of the fundamental representation of su(m+1).