Highly nonlinear chalcogenide suspended-core fibers for applications in the mid-infrared

Due to their unique dispersion and nonlinear properties, chalcogenide suspended-core fibers, characterized by a few micrometer-sized core suspended between large air-holes by few small glaß struts, are excellent candidates for mid-infrared applications. In the present study the influence of the main croß-section characteristics of the chalcogenide suspended-core fibers on the dispersion curve and on the position of the zero-dispersion wavelength has been thoroughly analyzed with a full-vector modal solver based on the finite element. In particular, the design of suspended-core fibers made of both As2S3 and As2Se3 has been optimized to obtain dispersion properties suitable for the supercontinuum generation in the mid-infrared.

Long memory and multifractality:a joint test

The properties of statistical tests for hypotheses concerning the parameters of the multifractal model of asset returns (MMAR) are investigated, using Monte Carlo techniques. We show that, in the presence of multifractality, conventional tests of long memory tend to over-reject the null hypothesis of no long memory. Our test addresses this issue by jointly estimating long memory and multifractality. The estimation and test procedures are applied to exchange rate data for 12 currencies. In 11 cases, the exchange rate returns are accurately described by compounding a NIID series with a multifractal time-deformation process. There is no evidence of long memory.

Wealth shocks, credit-supply shocks, and asset allocation:evidence from household and firm portfolios

We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks, which are represented by the sovereign debt crisis in the Eurozone, and credit-supply shocks which arise from reductions in borrowing abilities during bank distress. We document het- erogeneous responses to these two types of shocks. While households with large holdings of secu- rities from stressed Eurozone countries (Greece, Ireland, Italy, Portugal, and Spain) decrease the degree of concentration in their security portfolio as a result of the Eurozone crisis, non-financial firms with similar levels of holdings from stressed Eurozone countries do not. Credit-supply shocks at the bank level (caused by bank distress) result in lower concentration, for both households and non-financial corporations. We also show that only shocks to corporate credit bear ramifications on bank clients’ portfolio concentration, while shocks in retail credit are inconsequential. Our results are robust to falsification tests, propensity score matching techniques, and instrumental variables estimation.