Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

MAGIC observations of the February 2014 flare of 1ES 1011+496 and ensuing constraint of the EBL density

Context. In February-March 2014, the MAGIC telescopes observed the high-frequency peaked BL Lac 1ES 1011+496 (z=0.212) in flaring state at very-high energy (VHE, E>100GeV). The flux reached a level more than 10 times higher than any previously recorded flaring state of the source. Aims. Description of the characteristics of the flare presenting the light curve and the spectral parameters of the night-wise spectra and the average spectrum of the whole period. From these data we aim at detecting the imprint of the Extragalactic Background Light (EBL) in the VHE spectrum of the source, in order to constrain its intensity in the optical band. Methods. We analyzed the gamma-ray data from the MAGIC telescopes using the standard MAGIC software for the production of the light curve and the spectra. For the constraining of the EBL we implement the method developed by the H.E.S.S. collaboration in which the intrinsic energy spectrum of the source is modeled with a simple function (< 4 parameters), and the EBL-induced optical depth is calculated using a template EBL model. The likelihood of the observed spectrum is then maximized, including a normalization factor for the EBL opacity among the free parameters. Results. The collected data allowed us to describe the flux changes night by night and also to produce di_erential energy spectra for all nights of the observed period. The estimated intrinsic spectra of all the nights could be fitted by power-law functions. Evaluating the changes in the fit parameters we conclude that the spectral shape for most of the nights were compatible, regardless of the flux level, which enabled us to produce an average spectrum from which the EBL imprint could be constrained. The likelihood ratio test shows that the model with an EBL density 1:07 (-0.20,+0.24)stat+sys, relative to the one in the tested EBL template (Domínguez et al. 2011), is preferred at the 4:6 σ level to the no-EBL hypothesis, with the assumption that the intrinsic source spectrum can be modeled as a log-parabola. This would translate into a constraint of the EBL density in the wavelength range [0.24 μm,4.25 μm], with a peak value at 1.4 μm of λF_ = 12:27^(+2:75)_ (-2:29) nW m^(-2) sr^(-1), including systematics.

Insights into the emission of the blazar 1ES 1011+496 through unprecedented broadband observations during 2011 and 2012

Context. 1ES 1011+496 (z = 0.212) was discovered in very high-energy (VHE, E >100 GeV) γ rays with MAGIC in 2007. The absence of simultaneous data at lower energies led to an incomplete characterization of the broadband spectral energy distribution (SED). Aims. We study the source properties and the emission mechanisms, probing whether a simple one-zone synchrotron self-Compton (SSC) scenario is able to explain the observed broadband spectrum. Methods. We analyzed data in the range from VHE to radio data from 2011 and 2012 collected by MAGIC, Fermi-LAT, Swift, KVA, OVRO, and Metsähovi in addition to optical polarimetry data and radio maps from the Liverpool Telescope and MOJAVE. Results. The VHE spectrum was fit with a simple power law with a photon index of 3.69 ± 0.22 and a flux above 150 GeV of (1.46±0.16)×10^(−11) ph cm^(−2) s^(−1) . The source 1ES 1011+496 was found to be in a generally quiescent state at all observed wavelengths, showing only moderate variability from radio to X-rays. A low degree of polarization of less than 10% was measured in optical, while some bright features polarized up to 60% were observed in the radio jet. A similar trend in the rotation of the electric vector position angle was found in optical and radio. The radio maps indicated a superluminal motion of 1.8 ± 0.4 c, which is the highest speed statistically significant measured so far in a high-frequency-peaked BL Lac. Conclusions. For the first time, the high-energy bump in the broadband SED of 1ES 1011+496 could be fully characterized from 0.1 GeV to 1 TeV, which permitted a more reliable interpretation within the one-zone SSC scenario. The polarimetry data suggest that at least part of the optical emission has its origin in some of the bright radio features, while the low polarization in optical might be due to the contribution of parts of the radio jet with different orientations of the magnetic field with respect to the optical emission.