Is stock market volatility persistent? A fractionally integrated approach

This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out using the GARCH, IGARCH and FIGARCH models. The data set consists of the daily returns of the S&P/TSX 60, CAC 40, DAX 30, MIB 30, NIKKEI 225, FTSE 100 and S&P 500 indexes over the period 1999-2009. The results evidences long memory in volatility, which is more pronounced in Germany, Italy and France. On the other hand, Japan appears as the country where this phenomenon is less obvious; nevertheless, the persistence prevails but with minor intensity.

A 5GHz/1.8V CMOS Active Balun Integrated with LNA

The development of high performance monolithic RF front-ends requires innovative RF circuit design to make the best of a good technology. A fully differential approach is usually preferred, due to its well-known properties. Although the differential approach must be preserved inside the chip, there are cases where the input signal is single-ended such as RF image filters and IF filters in a RF receiver. In these situations, a stage able to convert single-ended into differential signals (balun) is needed. The most cited topology, which is capable of providing high gain, consists on a differential stage with one of the two inputs grounded. Unfortunately, this solution has some drawbacks when implemented monolithically. This work presents the design and simulated results of an innovative high-performance monolithic single to differential converter, which overcomes the limitations of the circuits.The integration of the monolithic active balun circuit with an LNA on a 0.18μm CMOS process is also reported. The circuits presented here are aimed at 802.11a. Section 2 describes the balun circuit and section 3 presents its performance when it is connected to a conventional single-ended LNA. Section 4 shows the simulated performance results focused at phase/amplitude balance and noise figure. Finally, the last section draws conclusions and future work.