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.

Influence of the sputtering flow regime on the structural properties and magnetic behavior of Fe-Ga thin films (Ga ∼ 30 at.%)

In this paper we analyze the structure of Fe-Ga layers with a Ga content of ∼30 at.% deposited by the sputtering technique under two different regimes. We also studied the correlation between the structure and magnetic behavior of the samples. Keeping the Ar pressure fixed, we modified the flow regime from ballistic to diffusive by increasing the distance between the target and the substrate. X-ray diffraction measurements have shown a lower structural quality when growing in the diffusive flow. We investigated the impact of the growth regime by means of x-ray absorption fine structure (XAFS) measurements and obtained signs of its influence on the local atomic order. Full multiple scattering and finite difference calculations based on XAFS measurements point to a more relevant presence of a disordered A2 phase and of orthorhombic Ga clusters on the Fe-Ga alloy deposited under a diffusive regime; however, in the ballistic sample, a higher presence of D0_3/B2 phases is evidenced. Structural characteristics, from local to long range, seem to determine the magnetic behavior of the layers. Whereas a clear in-plane magnetic anisotropy is observed in the film deposited under ballistic flow, the diffusive sample is magnetically isotropic. Therefore, our experimental results provide evidence of a correlation between flow regime and structural properties and its impact on the magnetic behavior of a rather unexplored compositional region of Fe-Ga compounds.

Finite time extinction for nonlinear fractional evolution equations and related properties

The finite time extinction phenomenon (the solution reaches an equilibrium after a finite time) is peculiar to certain nonlinear problems whose solutions exhibit an asymptotic behavior entirely different from the typical behavior of solutions associated to linear problems. The main goal of this work is twofold. Firstly, we extend some of the results known in the literature to the case in which the ordinary time derivative is considered jointly with a fractional time differentiation. Secondly, we consider the limit case when only the fractional derivative remains. The latter is the most extraordinary case, since we prove that the finite time extinction phenomenon still appears, even with a non-smooth profile near the extinction time. Some concrete examples of quasi-linear partial differential operators are proposed. Our results can also be applied in the framework of suitable nonlinear Volterra integro-differential equations.

Finite time extinction for nonlinear fractional evolution equations and related properties.

The finite time extinction phenomenon (the solution reaches an equilibrium after a finite time) is peculiar to certain nonlinear problems whose solutions exhibit an asymptotic behavior entirely different from the typical behavior of solutions associated to linear problems. The main goal of this work is twofold. Firstly, we extend some of the results known in the literature to the case in which the ordinary time derivative is considered jointly with a fractional time differentiation. Secondly, we consider the limit case when only the fractional derivative remains. The latter is the most extraordinary case, since we prove that the finite time extinction phenomenon still appears, even with a non-smooth profile near the extinction time. Some concrete examples of quasi-linear partial differential operators are proposed. Our results can also be applied in the framework of suitable nonlinear Volterra integro-differential equations.

Unpolarized transverse momentum dependent parton distribution and fragmentation functions at next-to-next-to-leading order

The transverse momentum dependent parton distribution/fragmentation functions (TMDs) are essential in the factorization of a number of processes like Drell-Yan scattering, vector boson production, semi-inclusive deep inelastic scattering, etc. We provide a comprehensive study of unpolarized TMDs at next-to-next-to-leading order, which includes an explicit calculation of these TMDs and an extraction of their matching coefficients onto their integrated analogues, for all flavor combinations. The obtained matching coefficients are important for any kind of phenomenology involving TMDs. In the present study each individual TMD is calculated without any reference to a specific process. We recover the known results for parton distribution functions and provide new results for the fragmentation functions. The results for the gluon transverse momentum dependent fragmentation functions are presented for the first time at one and two loops. We also discuss the structure of singularities of TMD operators and TMD matrix elements, crossing relations between TMD parton distribution functions and TMD fragmentation functions, and renormalization group equations. In addition, we consider the behavior of the matching coefficients at threshold and make a conjecture on their structure to all orders in perturbation theory.

Critical behavior of the three-dimensional Ising spin glass

We have simulated, using parallel tempering, the three-dimensional Ising spin glass model with binary couplings in a helicoidal geometry. The largest lattice (L520) has been studied using a dedicated computer (the SUE machine). We have obtained, measuring the correlation length in the critical region, strong evidence for a second-order finite-temperature phase transition, ruling out other possible scenarios like a KosterlitzThouless phase transition. Precise values for the ν and ƞ critical exponents are also presented.

Critical behavior in the site-diluted three-dimensional three-state Potts model

We have studied numerically the effect of quenched site dilution on a weak first-order phase transition in three dimensions. We have simulated the site diluted three-states Potts model studying in detail the secondorder region of its phase diagram. We have found that the n exponent is compatible with the one of the three-dimensional diluted Ising model, whereas the h exponent is definitely different.