Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.

Nonparametric estimation of structural models for high-frequency currency market data

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method for estimation of structural economic models. The method forces the model to match (under a GMM criterion) the score function of a nonparametric estimate of the conditional density of observed data. The estimation uses weekly U.S.-German currency market data, 1975-90. © 1995.

Predicting the frequency dispersion of electronic hyperpolarizabilities on the basis of absorption data and thomas-kuhn sum rules

Successfully predicting the frequency dispersion of electronic hyperpolarizabilities is an unresolved challenge in materials science and electronic structure theory. We show that the generalized Thomas-Kuhn sum rules, combined with linear absorption data and measured hyperpolarizability at one or two frequencies, may be used to predict the entire frequency-dependent electronic hyperpolarizability spectrum. This treatment includes two- and three-level contributions that arise from the lowest two or three excited electronic state manifolds, enabling us to describe the unusual observed frequency dispersion of the dynamic hyperpolarizability in high oscillator strength M-PZn chromophores, where (porphinato)zinc(II) (PZn) and metal(II)polypyridyl (M) units are connected via an ethyne unit that aligns the high oscillator strength transition dipoles of these components in a head-to-tail arrangement. We show that some of these structures can possess very similar linear absorption spectra yet manifest dramatically different frequency dependent hyperpolarizabilities, because of three-level contributions that result from excited state-to excited state transition dipoles among charge polarized states. Importantly, this approach provides a quantitative scheme to use linear optical absorption spectra and very limited individual hyperpolarizability measurements to predict the entire frequency-dependent nonlinear optical response. Copyright © 2010 American Chemical Society.

Variation in the type and frequency of postoperative invasive Staphylococcus aureus infections according to type of surgical procedure.

OBJECTIVE: To determine the epidemiological characteristics of postoperative invasive Staphylococcus aureus infection following 4 types of major surgical procedures.design. Retrospective cohort study. SETTING: Eleven hospitals (9 community hospitals and 2 tertiary care hospitals) in North Carolina and Virginia. PATIENTS: Adults undergoing orthopedic, neurosurgical, cardiothoracic, and plastic surgical procedures. METHODS: We used previously validated, prospectively collected surgical surveillance data for surgical site infection and microbiological data for bloodstream infection. The study period was 2003 through 2006. We defined invasive S. aureus infection as either nonsuperficial incisional surgical site infection or bloodstream infection. Nonparametric bootstrapping was used to generate 95% confidence intervals (CIs). P values were generated using the Pearson chi2 test, Student t test, or Wilcoxon rank-sum test, as appropriate. RESULTS: In total, 81,267 patients underwent 96,455 procedures during the study period. The overall incidence of invasive S. aureus infection was 0.47 infections per 100 procedures (95% CI, 0.43-0.52); 227 (51%) of 446 infections were due to methicillin-resistant S.aureus. Invasive S. aureus infection was more common after cardiothoracic procedures (incidence, 0.79 infections per 100 procedures [95%CI, 0.62-0.97]) than after orthopedic procedures (0.37 infections per 100 procedures [95% CI, 0.32-0.42]), neurosurgical procedures (0.62 infections per 100 procedures [95% CI, 0.53-0.72]), or plastic surgical procedures (0.32 infections per 100 procedures [95% CI, 0.17-0.47]) (P < .001). Similarly, S. aureus bloodstream infection was most common after cardiothoracic procedures (incidence, 0.57 infections per 100 procedures [95% CI, 0.43-0.72]; P < .001, compared with other procedure types), comprising almost three-quarters of the invasive S. aureus infections after these procedures. The highest rate of surgical site infection was observed after neurosurgical procedures (incidence, 0.50 infections per 100 procedures [95% CI, 0.42-0.59]; P < .001, compared with other procedure types), comprising 80% of invasive S.aureus infections after these procedures. CONCLUSION: The frequency and type of postoperative invasive S. aureus infection varied significantly across procedure types. The highest risk procedures, such as cardiothoracic procedures, should be targeted for ongoing preventative interventions.

Three-dimensional dispersive metallic photonic crystals with a bandgap and a high cutoff frequency.

The goal of this work is to analyze three-dimensional dispersive metallic photonic crystals (PCs) and to find a structure that can provide a bandgap and a high cutoff frequency. The determination of the band structure of a PC with dispersive materials is an expensive nonlinear eigenvalue problem; in this work we propose a rational-polynomial method to convert such a nonlinear eigenvalue problem into a linear eigenvalue problem. The spectral element method is extended to rapidly calculate the band structure of three-dimensional PCs consisting of realistic dispersive materials modeled by Drude and Drude-Lorentz models. Exponential convergence is observed in the numerical experiments. Numerical results show that, at the low frequency limit, metallic materials are similar to a perfect electric conductor, where the simulation results tend to be the same as perfect electric conductor PCs. Band structures of the scaffold structure and semi-woodpile structure metallic PCs are investigated. It is found that band structures of semi-woodpile PCs have a very high cutoff frequency as well as a bandgap between the lowest two bands and the higher bands.

Slow light with a swept-frequency source.

ct: We introduce a new concept for stimulated-Brillouin-scattering-based slow light in optical fibers that is applicable for broadly-tunable frequency-swept sources. It allows slow light to be achieved, in principle, over the entire transparency window of the optical fiber. We demonstrate a slow light delay of 10 ns at 1.55 μm using a 10-m-long photonic crystal fiber with a source sweep rate of 400 MHz/μs and a pump power of 200 mW. We also show that there exists a maximal delay obtainable by this method, which is set by the SBS threshold, independent of sweep rate. For our fiber with optimum length, this maximum delay is ~38 ns, obtained for a pump power of 760 mW.

Low frequency of paleoviral infiltration across the avian phylogeny.

BACKGROUND: Mammalian genomes commonly harbor endogenous viral elements. Due to a lack of comparable genome-scale sequence data, far less is known about endogenous viral elements in avian species, even though their small genomes may enable important insights into the patterns and processes of endogenous viral element evolution. RESULTS: Through a systematic screening of the genomes of 48 species sampled across the avian phylogeny we reveal that birds harbor a limited number of endogenous viral elements compared to mammals, with only five viral families observed: Retroviridae, Hepadnaviridae, Bornaviridae, Circoviridae, and Parvoviridae. All nonretroviral endogenous viral elements are present at low copy numbers and in few species, with only endogenous hepadnaviruses widely distributed, although these have been purged in some cases. We also provide the first evidence for endogenous bornaviruses and circoviruses in avian genomes, although at very low copy numbers. A comparative analysis of vertebrate genomes revealed a simple linear relationship between endogenous viral element abundance and host genome size, such that the occurrence of endogenous viral elements in bird genomes is 6- to 13-fold less frequent than in mammals. CONCLUSIONS: These results reveal that avian genomes harbor relatively small numbers of endogenous viruses, particularly those derived from RNA viruses, and hence are either less susceptible to viral invasions or purge them more effectively.

The Frequency and Impact of Exposure to Potentially Traumatic Events Over the Life Course.

We examined the frequency and impact of exposure to potentially traumatic events among a nonclinical sample of older adults (n = 3,575), a population typically underrepresented in epidemiological research concerning the prevalence of traumatic events. Current PTSD symptom severity and the centrality of events to identity were assessed for events nominated as currently most distressing. Approximately 90% of participants experienced one or more potentially traumatic events. Events that occurred with greater frequency early in the life course were associated with more severe PTSD symptoms compared to events that occurred with greater frequency during later decades. Early life traumas, however, were not more central to identity. Results underscore the differential impact of traumatic events experienced throughout the life course. We conclude with suggestions for further research concerning mechanisms that promote the persistence of post-traumatic stress related to early life traumas and empirical evaluation of psychotherapeutic treatments for older adults with PTSD.

The frequency of voluntary and involuntary autobiographical memories across the life span.

In the present study, ratings of the memory of an important event from the previous week on the frequency of voluntary and involuntary retrieval, belief in its accuracy, visual imagery, auditory imagery, setting, emotional intensity, valence, narrative coherence, and centrality to the life story were obtained from 988 adults whose ages ranged from 15 to over 90. Another 992 adults provided the same ratings for a memory from their confirmation day, when they were at about age 14. The frequencies of involuntary and voluntary retrieval were similar. Both frequencies were predicted by emotional intensity and centrality to the life story. The results from the present study-which is the first to measure the frequency of voluntary and involuntary retrieval for the same events-are counter to both cognitive and clinical theories, which consistently claim that involuntary memories are infrequent as compared with voluntary memories. Age and gender differences are noted.

In vivo guidance and assessment of liver radio-frequency ablation with acoustic radiation force elastography.

The initial results from clinical trials investigating the utility of acoustic radiation force impulse (ARFI) imaging for use with radio-frequency ablation (RFA) procedures in the liver are presented. To date, data have been collected from 6 RFA procedures in 5 unique patients. Large displacement contrast was observed in ARFI images of both pre-ablation malignancies (mean 7.5 dB, range 5.7-11.9 dB) and post-ablation thermal lesions (mean 6.2 dB, range 5.1-7.5 dB). In general, ARFI images provided superior boundary definition of structures relative to the use of conventional sonography alone. Although further investigations are required, initial results are encouraging and demonstrate the clinical promise of the ARFI method for use in many stages of RFA procedures.