Volatility forecasting with range models: An evaluation of new alternatives to the CARR model

The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities.

Portugal making a difference with children and families: the GADIF model

Portugal is a culture grounded in strong traditions and family. Yet, social changes like women returning to the workforce and a decreas ed national birth rate are impacting the traditional family structure and care giving environments of children. Female employment has been increasing steadily in P ortugal over the last three decades (Galego & Pereira, 2006) and the total fert ility rate decreasing from 4.1 to 2.8 (INE, 2006). Furthermore, extended family me mbers, like grandparents, no longer reside close by to their children and grandc hildren as in the past, because of a changing labor market. Many of the younger gen eration are leaving their rural communities to flock to urban areas because o f job opportunities, leaving behind older relatives who would have otherwise par ticipated in the daily care of children. Given these social and economic changes, children are spending more time in out-of-home care with non-familial caregive rs. Yet, government regulations and guidelines in early care and educat ion (ECCE) and early intervention (EI) are only just emerging; it contin ues to be a work in progress.

Two-Higgs-doublet model in light of the standard model H -> tau(+)tau(-) search at the LHC

We study the implications of the searches based on H -> tau(+)tau-by the ATLAS and CMS collaborations on the parameter space of the two-Higgs-doublet model (2HDM). In the 2HDM, the scalars can decay into a tau pair with a branching ratio larger than the SM one, leading to constraints on the 2HDM parameter space. We show that in model II, values of tan beta > 1.8 are definitively excluded if the pseudoscalar is in the mass range 110 GeV < m(A) < 145 GeV. We have also discussed the implications for the 2HDM of the recent dimuon search by the ATLAS collaboration for a CP-odd scalar in the mass range 4-12 GeV.

A resource for signs and Feynman diagrams of the standart model

When performing a full calculation within the standard model (SM) or its extensions, it is crucial that one utilizes a consistent set of signs for the gauge couplings and gauge fields. Unfortunately, the literature is plagued with differing signs and notations. We present all SM Feynman rules, including ghosts, in a convention-independent notation, and we table the conventions in close to 40 books and reviews.

Model risk in the pricing of exotic options

The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Variance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework.

Tsunamigenic earthquakes in the Gulf of Cadiz: fault model and recurrence

The Gulf of Cadiz, as part of the Azores-Gibraltar plate boundary, is recognized as a potential source of big earthquakes and tsunamis that may affect the bordering countries, as occurred on 1 November 1755. Preparing for the future, Portugal is establishing a national tsunami warning system in which the threat caused by any large-magnitude earthquake in the area is estimated from a comprehensive database of scenarios. In this paper we summarize the knowledge about the active tectonics in the Gulf of Cadiz and integrate the available seismological information in order to propose the generation model of destructive tsunamis to be applied in tsunami warnings. The fault model derived is then used to estimate the recurrence of large earthquakes using the fault slip rates obtained by Cunha et al. (2012) from thin-sheet neotectonic modelling. Finally we evaluate the consistency of seismicity rates derived from historical and instrumental catalogues with the convergence rates between Eurasia and Nubia given by plate kinematic models.

Mass-degenerate Higgs bosons at 125 GeV in the two-Higgs-doublet model

The analysis of the Higgs boson data by the ATLAS and CMS Collaborations appears to exhibit an excess of h -> gamma gamma events above the Standard Model (SM) expectations, whereas no significant excess is observed in h -> ZZ* -> four lepton events, albeit with large statistical uncertainty due to the small data sample. These results (assuming they persist with further data) could be explained by a pair of nearly mass-degenerate scalars, one of which is an SM-like Higgs boson and the other is a scalar with suppressed couplings to W+W- and ZZ. In the two-Higgs-doublet model, the observed gamma gamma and ZZ* -> four lepton data can be reproduced by an approximately degenerate CP-even (h) and CP-odd (A) Higgs boson for values of sin (beta - alpha) near unity and 0: 70 less than or similar to tan beta less than or similar to 1. An enhanced gamma gamma signal can also arise in cases where m(h) similar or equal to m(H), m(H) similar or equal to m(A), or m(h) similar or equal to m(H) similar or equal to m(A). Since the ZZ* -> 4 leptons signal derives primarily from an SM-like Higgs boson whereas the gamma gamma signal receives contributions from two (or more) nearly mass-degenerate states, one would expect a slightly different invariant mass peak in the ZZ* -> four lepton and gamma gamma channels. The phenomenological consequences of such models can be tested with additional Higgs data that will be collected at the LHC in the near future. DOI: 10.1103/PhysRevD.87.055009.

Market power analysis in the Iberian electricity market using a conjectural variations model

In the last years the electricity industry has faced a restructuring process. Among the aims of this process was the increase in competition, especially in the generation activity where firms would have an incentive to become more efficient. However, the competitive behavior of generating firms might jeopardize the expected benefits of the electricity industry liberalization. The present paper proposes a conjectural variations model to study the competitive behavior of generating firms acting in liberalized electricity markets. The model computes a parameter that represents the degree of competition of each generating firm in each trading period. In this regard, the proposed model provides a powerful methodology for regulatory and competition authorities to monitor the competitive behavior of generating firms. As an application of the model, a study of the day-ahead Iberian electricity market (MIBEL) was conducted to analyze the impact of the integration of the Portuguese and Spanish electricity markets on the behavior of generating firms taking into account the hourly results of the months of June and July of 2007. The advantages of the proposed methodology over other methodologies used to address market power, namely Residual Supply index and Lerner index are highlighted. (C) 2014 Elsevier Ltd. All rights reserved.

The nature of the ordered phase of the confined self-assembled rigid Rod model

We investigate the nature of the ordered phase and the orientational correlations between adjacent layers of the confined three-dimensional self-assembled rigid rod model, on the cubic lattice. We find that the ordered phase at finite temperatures becomes uniaxial in the thermodynamic limit, by contrast to the ground state (partial) order where the orientation of the uncorrelated layers is perpendicular to one of the three lattice directions. The increase of the orientational correlation between layers as the number of layers increases suggests that the unconfined model may also exhibit uniaxial ordering at finite temperatures.

On the analytical solutions of the Hindmarsh-Rose neuronal model

In this article we analytically solve the Hindmarsh-Rose model (Proc R Soc Lond B221:87-102, 1984) by means of a technique developed for strongly nonlinear problems-the step homotopy analysis method. This analytical algorithm, based on a modification of the standard homotopy analysis method, allows us to obtain a one-parameter family of explicit series solutions for the studied neuronal model. The Hindmarsh-Rose system represents a paradigmatic example of models developed to qualitatively reproduce the electrical activity of cell membranes. By using the homotopy solutions, we investigate the dynamical effect of two chosen biologically meaningful bifurcation parameters: the injected current I and the parameter r, representing the ratio of time scales between spiking (fast dynamics) and resting (slow dynamics). The auxiliary parameter involved in the analytical method provides us with an elegant way to ensure convergent series solutions of the neuronal model. Our analytical results are found to be in excellent agreement with the numerical simulations.