Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Parametric correlation functions to model the structure of permanent environmental (co)variances in milk yield random regression models

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Mesonic correlation functions at finite temperature in the NJL model

We employ the NJL model to calculate mesonic correlation functions at finite temperature and compare results with recent lattice QCD simulations. We employ an implicit regularization scheme to deal with the divergent amplitudes to obtain ambiguity-free, scale-invariant and symmetry-preserving physical amplitudes. Making the coupling constants of the model temperature dependent, we show that at low momenta our results agree qualitatively with lattice simulations.

Hadronic current correlation functions at finite temperature in the NJL model

Recently there have been suggestions that for a proper description of hadronic matter and hadronic correlation functions within the NJL model at finite density/temperature the parameters of the model should be taken density/temperature dependent. Here we show that qualitatively similar results can be obtained using a cutoff-independent regularization of the NJL model. In this regularization scheme one can express the divergent parts at finite density/temperature of the amplitudes in terms of their counterparts in vacuum.

Gluon field strength correlation functions within a constrained instanton model

We suggest a constrained instanton (CI) solution in the physical QCD vacuum which is described by large-scale vacuum field fluctuations. This solution decays exponentially at large distances. It is stable only if the interaction of the instanton with the background vacuum field is small and additional constraints are introduced. The CI solution is explicitly constructed in the ansatz form, and the two-point vacuum correlator of the gluon field strengths is calculated in the framework of the effective instanton vacuum model. At small distances the results are qualitatively similar to the single instanton case; in particular, the D1 invariant structure is small, which is in agreement with the lattice calculations.

Estimates of covariance functions for growth of Nelore cattle applying a parametric correlation structure to model within-animal correlations

A total of 20,065 weights recorded on 3016 Nelore animals were used to estimate covariance functions for growth from birth to 630 days of age, assuming a parametric correlation structure to model within-animal correlations. The model of analysis included fixed effects of contemporary groups and age of dam as quadratic covariable. Mean trends were taken into account by a cubic regression on orthogonal polynomials of animal age. Genetic effects of the animal and its dam and maternal permanent environmental effects were modelled by random regressions on Legendre polynomials of age at recording. Changes in direct permanent environmental effect variances were modelled by a polynomial variance function, together with a parametric correlation function to account for correlations between ages. Stationary and nonstationary models were used to model within-animal correlations between different ages. Residual variances were considered homogeneous or heterogeneous, with changes modelled by a step or polynomial function of age at recording. Based on Bayesian information criterion, a model with a cubic variance function combined with a nonstationary correlation function for permanent environmental effects, with 49 parameters to be estimated, fitted best. Modelling within-animal correlations through a parametric correlation structure can describe the variation pattern adequately. Moreover, the number of parameters to be estimated can be decreased substantially compared to a model fitting random regression on Legendre polynomial of age. © 2004 Elsevier B.V. All rights reserved.

The electron antineutrino angular correlation coefficient a in free neutron decay: Testing the standard model with the aSPECT-spectrometer

The beta-decay of free neutrons is a strongly over-determined process in the Standard Model (SM) of Particle Physics and is described by a multitude of observables. Some of those observables are sensitive to physics beyond the SM. For example, the correlation coefficients of the involved particles belong to them. The spectrometer aSPECT was designed to measure precisely the shape of the proton energy spectrum and to extract from it the electron anti-neutrino angular correlation coefficient "a". A first test period (2005/ 2006) showed the “proof-of-principles”. The limiting influence of uncontrollable background conditions in the spectrometer made it impossible to extract a reliable value for the coefficient "a" (publication: Baessler et al., 2008, Europhys. Journ. A, 38, p.17-26). A second measurement cycle (2007/ 2008) aimed to under-run the relative accuracy of previous experiments (Stratowa et al. (1978), Byrne et al. (2002)) da/a =5%. I performed the analysis of the data taken there which is the emphasis of this doctoral thesis. A central point are background studies. The systematic impact of background on a was reduced to da/a(syst.)=0.61 %. The statistical accuracy of the analyzed measurements is da/a(stat.)=1.4 %. Besides, saturation effects of the detector electronics were investigated which were initially observed. These turned out not to be correctable on a sufficient level. An applicable idea how to avoid the saturation effects will be discussed in the last chapter.

Kernel density correlation based non-rigid point set matching for statistical model-based 2D/3D reconstruction

This paper presents a kernel density correlation based nonrigid point set matching method and shows its application in statistical model based 2D/3D reconstruction of a scaled, patient-specific model from an un-calibrated x-ray radiograph. In this method, both the reference point set and the floating point set are first represented using kernel density estimates. A correlation measure between these two kernel density estimates is then optimized to find a displacement field such that the floating point set is moved to the reference point set. Regularizations based on the overall deformation energy and the motion smoothness energy are used to constraint the displacement field for a robust point set matching. Incorporating this non-rigid point set matching method into a statistical model based 2D/3D reconstruction framework, we can reconstruct a scaled, patient-specific model from noisy edge points that are extracted directly from the x-ray radiograph by an edge detector. Our experiment conducted on datasets of two patients and six cadavers demonstrates a mean reconstruction error of 1.9 mm

Correlation of peptide specificity and IgG subclass with pathogenic and nonpathogenic autoantibodies in pemphigus vulgaris: a model for autoimmunity.

Pemphigus vulgaris (PV) is a rare, potentially fatal, autoimmune disease that affects the skin and mucous membranes. The PV antigen (PVA) has been characterized as desmoglein 3. PV patients carry HLA-DR4- or HLA-DR6-bearing extended haplotypes. We recently demonstrated that patients with active disease have high titers of PV autoantibodies of the IgG1 and IgG4 subclasses. Patients in remission, healthy unaffected relatives, and some MHC-matched normal individuals have low levels of PV autoantibodies, which are IgG1 only. Furthermore, intraperitoneal injection of IgG from patients with active disease caused clinical disease in mice, but IgG from patients in remission, healthy relatives, or MHC-matched normal individuals did not. We prepared 12 peptides of 30 amino acids each (peptides Bos 1-12) spanning the extracellular domain of PVA. Patients with active disease recognize peptides Bos 1 and Bos 6 with high titers of IgG1 and IgG4 autoantibodies. Patients in remission have IgG1 autoantibodies to peptide Bos 1 only, in statistically significantly lower titers (P < 0.01). They no longer have IgG4 subclass autoantibodies to peptide Bos 6. Healthy relatives and normal unrelated individuals have low levels of only IgG1 autoantibodies that recognize only Bos 1. In vitro studies indicate that Bos 6-specific IgG and, to a lesser extent, Bos 1-specific IgG can cause acantholysis. Our data suggest that Bos 6-specific IgG4 is probably the main acantholytic autoantibody, while Bos 1-specific IgG4 may act as a facilitator or enhancer of the process. In this study we illustrate some of the paradigms that demonstrate the interactions between the MHC, subclass of autoantibodies, and peptide specificities of the autoantibodies in the autoimmune process. Thus, PV provides an important model to study the pathogenesis of autoimmunity.