Optical properties and transport in PLD-GaN

We present structural, optical and transport data on GaN samples grown by hybrid, two-step low temperature pulsed laser deposition. The band gap of samples with good crystallinity has been deduced from optical spectra. Large below gap band tails were observed. In samples with the lowest crystalline quality the PL spectra are quite dependent on spot laser incidence. The most intense PL lines can be attributed to excitons bounded to stacking faults. When the crystalline quality of the samples is increased the ubiquitous yellow emission band can be detected following a quenching process described by a similar activation energy to that one found in MOCVD grown samples. The samples with the highest quality present, besides the yellow band, show a large near band edge emission which peaked at 3.47 eV and could be observed up to room temperature. The large width of the NBE is attributed to effect of a wide distribution of band tail states on the excitons. Photoconductivity data supports this interpretation.

Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Assimetria na volatilidade - O impacto das más notícias nas rendibilidades do PSI 20

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade

Mestrado em Contabilidade e Análise Financeira