Performance of correlation functionals in ab initio chemisorption cluster-model calculations: Alkali metals on Si(111)

The performance of different correlation functionals has been tested for alkali metals, Li to Cs, interacting with cluster models simulating different active sites of the Si(111) surface. In all cases, the ab initio Hartree-Fock density has been obtained and used as a starting point. The electronic correlation energy is then introduced as an a posteriori correction to the Hartree-Fock energy using different correlation functionals. By making use of the ionic nature of the interaction and of different dissociation limits we have been able to prove that all functionals tested introduce the right correlation energy, although to a different extent. Hence, correlation functionals appear as an effective and easy way to introduce electronic correlation in the ab initio Hartree-Fock description of the chemisorption bond in complex systems where conventional configuration interaction techniques cannot be used. However, the calculated energies may differ by some tens of eV. Therefore, these methods can be employed to get a qualitative idea of how important correlation effects are, but they have some limitations if accurate binding energies are to be obtained.

A Model of ethnic conflict

We present a model of conflict, in which discriminatory government policy or social intolerance is responsive to various forms of ethnic activism, including violence. It is this perceived responsiveness -captured by the probability that the government gives in and accepts a proponed change in ethnic policy- that induces individuals to mobilize in support for their cause. Yet, mobilization is costly and demonstrators have to be compensated accordingly. Individuals have to weigh their ethnic radicalism with their material well-being to determine the size of their money contribution to the cause. Our main results are: (i) a one-sided increase in radicalism or in population size increases conflict; (ii) a one-sided increase in income has ambiguous effects depending on the elasticity of contributions to income; (iii) an increase in within-group inequality increases conflict; and (iv) an increase in the correlation between ethnic radicalism and inequality also increases conflict.

Knowledge of Catalan, public/private sector choice and earnings: Evidence from a double sample selection model

This paper explores the earnings return to Catalan knowledge for public and private workers in Catalonia. In doing so, we allow for a double simultaneous selection process. We consider, on the one hand, the non-random allocation of workers into one sector or another, and on the other, the potential self-selection into Catalan proficiency. In addition, when correcting the earnings equations, we take into account the correlation between the two selectivity rules. Our findings suggest that the apparent higher language return for public sector workers is entirely accounted for by selection effects, whereas knowledge of Catalan has a significant positive return in the private sector, which is somewhat higher when the selection processes are taken into account.

A Political Agency Model of Coattail Voting

In this paper, I provide a formal justi…cation for a well-established coattail effect, when a popular candidate at one branch of government attracts votes to candidates from the same political party for other branches of government. A political agency frame- work with moral hazard is applied to analyze coattails in simultaneous presidential and congressional elections. I show that coattail voting is a natural outcome of the optimal reelection scheme adopted by a representative voter to motivate politicians' efforts in a retrospective voting environment. I assume that an office-motivated politician (executive or congressman) prefers her counterpart to be affiliated with the same political party. This correlation of incentives leads the voter to adopt a joint performance evaluation rule, which is conditioned on the politicians belonging to the same party or different parties. The two-sided coattail effects then arise. On the one hand, the executive's suc- cess/failure props up/drags down her partisan ally in congressional election, which implies presidential coattails. On the other hand, the executive's reelection itself is affected by the congressman's performance, which results in reverse coattails. JEL classi…fication: D72, D86. Keywords: Coattail voting; Presidential coattails; Reverse coattails; Simultaneous elections; Political Agency; Retrospective voting.

Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

How to use the standard model with own data?

In this work discuss the use of the standard model for the calculation of the solvency capital requirement (SCR) when the company aims to use the specific parameters of the model on the basis of the experience of its portfolio. In particular, this analysis focuses on the formula presented in the latest quantitative impact study (2010 CEIOPS) for non-life underwriting premium and reserve risk. One of the keys of the standard model for premium and reserves risk is the correlation matrix between lines of business. In this work we present how the correlation matrix between lines of business could be estimated from a quantitative perspective, as well as the possibility of using a credibility model for the estimation of the matrix of correlation between lines of business that merge qualitative and quantitative perspective.

Modelling world investment markets using threshold conditional correlation models

In this paper we propose a parsimonious regime-switching approach to model the correlations between assets, the threshold conditional correlation (TCC) model. This method allows the dynamics of the correlations to change from one state (or regime) to another as a function of observable transition variables. Our model is similar in spirit to Silvennoinen and Teräsvirta (2009) and Pelletier (2006) but with the appealing feature that it does not suffer from the course of dimensionality. In particular, estimation of the parameters of the TCC involves a simple grid search procedure. In addition, it is easy to guarantee a positive definite correlation matrix because the TCC estimator is given by the sample correlation matrix, which is positive definite by construction. The methodology is illustrated by evaluating the behaviour of international equities, govenrment bonds and major exchange rates, first separately and then jointly. We also test and allow for different parts in the correlation matrix to be governed by different transition variables. For this, we estimate a multi-threshold TCC specification. Further, we evaluate the economic performance of the TCC model against a constant conditional correlation (CCC) estimator using a Diebold-Mariano type test. We conclude that threshold correlation modelling gives rise to a significant reduction in portfolio´s variance.

Impact of antenna correlation on the capacity of multiantenna channels

This paper applies random matrix theory to obtain analytical characterizations of the capacity of correlated multiantenna channels. The analysis is not restricted to the popular separable correlation model, but rather it embraces a more general representation that subsumesmost of the channel models that have been treated in the literature. For arbitrary signal-to-noise ratios (SNR), the characterization is conducted in the regime of large numbers of antennas. For the low- and high-SNR regions, in turn, we uncover compact capacity expansions that are valid for arbitrary numbers of antennas and that shed insight on how antenna correlation impacts the tradeoffs between power, bandwidth and rate.

Job satisfaction and life satisfaction: Analysis of a reciprocal model with social demographic moderators

The general objective of the study was to empirically test a reciprocal model of job satisfaction and life satisfaction while controlling for some social demographic variables. 827 employees working in 34 car dealerships in Northern Quebec (56% responses rate) were surveyed. The multiple item questionnaires were analysed using correlation analysis, chi square and ANOVAs. Results show interesting patterns emerging for the relationships between job and life satisfaction of which 49.2% of all individuals have spillover, 43.5% compensation, and 7.3% segmentation type of relationships. Results, nonetheless, are far richer and the model becomes much more refined when social demographic indicators are taken into account. Globally, social demographic variables demonstrate some effects on each satisfaction individually but also on the interrelation (nature of the relations) between life and work satisfaction.

Generalized canonical correlation analysis of matrices with different row and column orders

A Method is offered that makes it possible to apply generalized canonicalcorrelations analysis (CANCOR) to two or more matrices of different row and column order. The new method optimizes the generalized canonical correlationanalysis objective by considering only the observed values. This is achieved byemploying selection matrices. We present and discuss fit measures to assessthe quality of the solutions. In a simulation study we assess the performance of our new method and compare it to an existing procedure called GENCOM,proposed by Green and Carroll. We find that our new method outperforms the GENCOM algorithm both with respect to model fit and recovery of the truestructure. Moreover, as our new method does not require any type of iteration itis easier to implement and requires less computation. We illustrate the methodby means of an example concerning the relative positions of the political parties inthe Netherlands based on provincial data.

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

By means of classical Itô's calculus we decompose option prices asthe sum of the classical Black-Scholes formula with volatility parameterequal to the root-mean-square future average volatility plus a term dueby correlation and a term due to the volatility of the volatility. Thisdecomposition allows us to develop first and second-order approximationformulas for option prices and implied volatilities in the Heston volatilityframework, as well as to study their accuracy. Numerical examples aregiven.

Micro-Raman study of stress distribution in local isolation structures and correlation with transmission electron microscopy

Stress in local isolation structures is studied by micro‐Raman spectroscopy. The results are correlated with predictions of an analytical model for the stress distribution and with cross‐sectional transmission electron microscopy observations. The measurements are performed on structures on which the Si3N4 oxidation mask is still present. The influence of the pitch of the periodic local isolation pattern, consisting of parallel lines, the thickness of the mask, and the length of the bird"s beak on the stress distribution are studied. It is found that compressive stress is present in the Si substrate under the center of the oxidation mask lines, with a magnitude dependent on the width of the lines. Large tensile stress is concentrated under the bird"s beak and is found to increase with decreasing length of the bird"s beak and with increasing thickness of the Si3N4 film.

Intensity correlation function of dye lasers: Short-time behavior

We propose an equation to calculate the intensity correlation function of a dye-laser model with a pump parameter subject to finite-bandwidth fluctuations. The equation is valid, in the weak-noise limit, for all times. It incorporates novel non-Markovian features. Results are given for the short-time behavior of the correlation function. It exhibits a characteristic initial plateau. Our findings are supported by a numerical simulation of the model.

Effect of External Noise Correlation in Optical Coherence Resonance

Coherence resonance occurring in semiconductor lasers with optical feedback is studied via the Lang-Kobayashi model with external nonwhite noise in the pumping current. The temporal correlation and the amplitude of the noise have a highly relevant influence in the system, leading to an optimal coherent response for suitable values of both the noise amplitude and correlation time. This phenomenon is quantitatively characterized by means of several statistical measures.