Gamma stochastic volatility models

This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the estimators behave well. The insample analysis shows that return models with gamma autoregressive stochastic volatility processes capture the leptokurtic nature of return distributions and the slowly decaying autocorrelation functions of squared stock index returns for the USA and UK. In comparison with GARCH and EGARCH models, the gamma autoregressive model picks up the persistence in volatility for the US and UK index returns but not the volatility persistence for the Canadian and Japanese index returns. The out-of-sample analysis indicates that the gamma autoregressive model has a superior volatility forecasting performance compared to GARCH and EGARCH models.

Simultaneous determination of nonlinear optical and thermo-optic parameters of liquid samples

The authors apply the theory of photothermal lens formation and also that of pure optical nonlinearity to account for the phase modulation in a beam as it traverses a nonlinear medium. It is used to simultaneously determine the nonlinear optical refraction and the thermo-optic coefficient. They demonstrate this technique using some metal phthalocyanines dissolved in dimethyl sulfoxide, irradiated by a Q-switched Nd:YAG laser with 10 Hz repetition rate and a pulse width of 8 ns. The mechanism for reverse saturable absorption in these materials is also discussed.

Design and development of an LED based fiber optic evanescent wave sensor for simultaneous detection of chromium and nitrite traces in water

The design and development of a cost-effective, simple, sensitive and portable LED based fiber optic evanescent wave sensor for simultaneously detecting trace amounts of chromium and nitrite in water are presented. In order to obtain the desired performance, the middle portions of two multimode plastic clad silica fibers are unclad and are used as the sensing elements in the two arms of the sensor. Each of the sensor arms is sourced by separate super bright green LEDs, which are modulated in a time-sharing manner and a single photo detector is employed for detecting these light signals. The performance and characteristics of this system clearly establish the usefulness of the technique for detecting very low concentrations of the dissolved contaminants.

Simultaneous Embeddings Of Graphs As Median And Antimedian Subgraphs

The distance DG(v) of a vertex v in an undirected graph G is the sum of the distances between v and all other vertices of G. The set of vertices in G with maximum (minimum) distance is the antimedian (median) set of a graph G. It is proved that for arbitrary graphs G and J and a positive integer r 2, there exists a connected graph H such that G is the antimedian and J the median subgraphs of H, respectively, and that dH(G, J) = r. When both G and J are connected, G and J can in addition be made convex subgraphs of H.

Propyl Gallate Synthesis Using Acidophilic Tannase and Simultaneous Production of Tannase and Gallic Acid by Marine Aspergillus awamori BTMFW032

Marine Aspergillus awamori BTMFW032, recently reported by us, produce acidophilic tannase as extracellular enzyme. Here, we report the application of this enzyme for synthesis of propyl gallate by direct transesterification of tannic acid and in tea cream solubilisation besides the simultaneous production of gallic acid along with tannase under submerged fermentation by this fungus. This acidophilic tannase enabled synthesis of propyl gallate by direct transesterification of tannic acid using propanol as organic reaction media under low water conditions. The identity of the product was confirmed with thin layer chromatography and Fourier transform infrared spectroscopy. It was noted that 699 U/ml of enzyme could give 60% solubilisation of tea cream within 1 h. Enzyme production medium was optimized adopting Box–Behnken design for simultaneous synthesis of tannase and gallic acid. Process variables including tannic acid, sodium chloride, ferrous sulphate, dipotassium hydrogen phosphate, incubation period and agitation were recognized as the critical factors that influenced tannase and gallic acid production. The model obtained predicted 4,824.61 U/ml of tannase and 136.206 μg/ml gallic acid after 48 h of incubation, whereas optimized medium supported 5,085 U/ml tannase and 372.6 μg/ml of gallic acid production after 36 and 84 h of incubation, respectively, with a 15-fold increase in both enzyme and gallic acid production. Results indicated scope for utilization of this acidophilic tannase for transesterification of tannic acid into propyl gallate, tea cream solubilisation and simultaneous production of gallic acid along with tannase

Analysis of Stochastic Volatility Sequences Generated by Product Autoregressive Models

The classical methods of analysing time series by Box-Jenkins approach assume that the observed series uctuates around changing levels with constant variance. That is, the time series is assumed to be of homoscedastic nature. However, the nancial time series exhibits the presence of heteroscedasticity in the sense that, it possesses non-constant conditional variance given the past observations. So, the analysis of nancial time series, requires the modelling of such variances, which may depend on some time dependent factors or its own past values. This lead to introduction of several classes of models to study the behaviour of nancial time series. See Taylor (1986), Tsay (2005), Rachev et al. (2007). The class of models, used to describe the evolution of conditional variances is referred to as stochastic volatility modelsThe stochastic models available to analyse the conditional variances, are based on either normal or log-normal distributions. One of the objectives of the present study is to explore the possibility of employing some non-Gaussian distributions to model the volatility sequences and then study the behaviour of the resulting return series. This lead us to work on the related problem of statistical inference, which is the main contribution of the thesis