Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

Accounting quality, information risk and implied volatility around earnings announcements

We examine the impact of accounting quality, used as a proxy for information risk, on the behavior of equity implied volatility around quarterly earnings announcements. Using US data during 1996–2010, we observe that lower (higher) accounting quality significantly relates to higher (lower) levels of implied volatility (IV) around announcements. Worse accounting quality is further associated with a significant increase in IV before announcements, and is found to relate to a larger resolution in IV after the announcement has taken place. We interpret our findings as indicative of information risk having a significant impact on implied volatility behavior around earnings announcements.

Sparse density estimation on multinomial manifold combining local component analysis

A new sparse kernel density estimator is introduced based on the minimum integrated square error criterion combining local component analysis for the finite mixture model. We start with a Parzen window estimator which has the Gaussian kernels with a common covariance matrix, the local component analysis is initially applied to find the covariance matrix using expectation maximization algorithm. Since the constraint on the mixing coefficients of a finite mixture model is on the multinomial manifold, we then use the well-known Riemannian trust-region algorithm to find the set of sparse mixing coefficients. The first and second order Riemannian geometry of the multinomial manifold are utilized in the Riemannian trust-region algorithm. Numerical examples are employed to demonstrate that the proposed approach is effective in constructing sparse kernel density estimators with competitive accuracy to existing kernel density estimators.

Ecological niche modeling and principal component analysis of Krameria Loefl. (Krameriaceae)

Krameria plants are found in arid regions of the Americas and present a floral system that attracts oil-collecting bees. Niche modeling and multivariate tools were applied to examine ecological and geographical aspects of the 18 species of this genus, using occurrence data obtained from herbaria and literature. Niche modeling showed the potential areas of occurrence for each species and the analysis of climatic variables suggested that North American species occur mostly in deserted or xeric ecoregions with monthly precipitation below 140 mm and large temperature ranges. South American species are mainly found in deserted ecoregions and subtropical savannas where monthly precipitation often exceeds 150 mm and temperature ranges are smaller. Principal Component Analysis (PCA) performed with values of temperature and precipitation showed that the distribution limits of Krameria species are primarily associated with maximum and minimum temperatures. Modeling of Krameria species proved to be a useful tool for analyzing the influence of the ecological niche variables in the geographical distribution of species, providing new information to guide future investigations. (C) 2011 Elsevier Ltd. All rights reserved.

STRUCTURE OF THE SHRUB-ARBOREAL COMPONENT OF AN ATLANTIC FOREST FRAGMENT ON A HILLOCK IN THE CENTRAL LOWLAND OF RIO DE JANEIRO, BRAZIL

The present study describes and evaluates the horizontal and vertical structures of a lowland forest fragment on a hillock in the municipality of Silva Jardim, Rio de Janeiro State, Brazil (22 degrees 31`56 `` S and 42 degrees 20`46 `` W). Twenty plots (10x2m) totaling 0.5ha were laid out following the slope grade using DBH >= 5cm as the inclusion criterion. A total of 734 individuals were encountered, yielding a total density of 1468 ind./ha and a total basal area of 10783m(2). The richness values (129 species/41 families), Shannon-Wiener diversity (4.22) and equitability (0.87) indices indicated an accentuated floristic heterogeneity and low ecological dominance. Lauraceae, Myrtaceae, Fabaceae and Euphorbiaceae showed the greatest species richness, corroborating other studies that indicated these species as the most representative of Atlantic Forest areas in southeastern Brazil. The species with the greatest importance values (VI) were Aparisthmium cordatum, Guapira opposita, Lacistema pubescens, Xylopia sericea, Tapirira guianensis and Piptocarpha macropoda. The high diversity observed was influenced by earlier anthropogenic actions and by the current successional stage. The forest fragment studied demonstrated closer floristic similarity to areas inventoried in a close-by biological reserve than to fragments dispersed throughout the coastal plain. Similarities in soil type, degree of soil saturation and use-history of forest resources all support these relationships. The fragmented physiognomy of the central lowland in this region and the use-history of the landscape make these small remnant forest areas important in terms of establishing strategies for landscape restoration and species conservation.

A new model of outbred genetically selected mice which present a strong acute inflammatory response in the absence of complement component C5

Mice selected for a strong (AIRmax) or weak (AIRmin) acute inflammatory response present different susceptibilities to bacterial infections, autoimmune diseases and carcinogenesis. Variations in these phenotypes have been also detected in AIRmax and AIRmin mice rendered homozygous for Slc11a1 resistant (R) and susceptible (S) alleles. Our aim was to investigate if the phenotypic differences observed in these mice was related to the complement system. AIRmax and AIRmin mice and AIRmax and AIRmin groups homozygous for the resistance (R) or susceptibility (S) alleles of the solute carrier family 11a1 member (Slc11a1) gene, formerly designated Nramp-1. While no difference in complement activity was detected in sera from AIRmax and AIRmin strains, all sera from AIRmax Slc11a1 resistant mice (AIRmax(RR)) presented no complement-dependent hemolytic activity. Furthermore, C5 was not found in their sera by immunodiffusion and, polymerase chain reaction and DNA sequencing of its gene demonstrated that AIRmax(RR) mice are homozygous for the C5 deficient (D) mutation previously described in A/J. Therefore, the C5D allele was fixed in homozygosis in AIRmax(RR) line. The AIRmax(RR) line is a new experimental mouse model in which a strong inflammatory response can be triggered in vivo in the absence of C5.

Deficiency of the human complement regulatory protein factor H associated with low levels of component C9

We identified a 4-year-old Brazilian boy from a family of Japanese descent and history of consanguinity, who suffered from severe recurrent pneumonia. He carries factor H (FH) deficiency associated with reduced levels of component C9 and low serum levels of C3 and factor B. His mother also presented low levels of these proteins and factor I, while his father and sister had only lower levels of FH. Western blot assays confirmed the complete absence of FH and FHL-1 polypeptides in this patient. Sequencing of the proband`s FH cDNA revealed a homozygous G453A substitution, encoding an Arg(127)His change. His mother, father and sister are heterozygous for this substitution. Despite the absence of FH in the plasma, this protein was detected in the patient`s fibroblasts, suggesting that Arg(127) may be important for FH secretion. Low concentrations of C9 were detected in the proband serum but no mutations in the patient`s C9 gene or promoter have been identified, suggesting that this is a consequence of uncontrolled complement activation and high C9 consumption.

Using stochastic volatility models to analyse weekly ozone averages in Mexico City

In this paper we make use of some stochastic volatility models to analyse the behaviour of a weekly ozone average measurements series. The models considered here have been used previously in problems related to financial time series. Two models are considered and their parameters are estimated using a Bayesian approach based on Markov chain Monte Carlo (MCMC) methods. Both models are applied to the data provided by the monitoring network of the Metropolitan Area of Mexico City. The selection of the best model for that specific data set is performed using the Deviance Information Criterion and the Conditional Predictive Ordinate method.

EXPLOITING A GENERIC APPROACH TO CONSTRUCT COMPONENT-BASED SYSTEMS SOFTWARE IN LINUX ENVIRONMENTS

Component-based software engineering has recently emerged as a promising solution to the development of system-level software. Unfortunately, current approaches are limited to specific platforms and domains. This lack of generality is particularly problematic as it prevents knowledge sharing and generally drives development costs up. In the past, we have developed a generic approach to component-based software engineering for system-level software called OpenCom. In this paper, we present OpenComL an instantiation of OpenCom to Linux environments and show how it can be profiled to meet a range of system-level software in Linux environments. For this, we demonstrate its application to constructing a programmable router platform and a middleware for parallel environments.

Solitons of two-component Bose-Einstein condensates modulated in space and time

In this Letter we present soliton solutions of two coupled nonlinear Schrodinger equations modulated in space and time. The approach allows us to obtain solitons for a large variety of solutions depending on the nonlinearity and potential profiles. As examples we show three cases with soliton solutions: a solution for the case of a potential changing from repulsive to attractive behavior, and the other two solutions corresponding to localized and delocalized nonlinearity terms, respectively. (C) 2010 Elsevier B.V. All rights reserved.

Cytological Characterization of YpsB, a Novel Component of the Bacillus subtilis Divisome

Cell division in bacteria is carried out by an elaborate molecular machine composed of more than a dozen proteins and known as the divisome. Here we describe the characterization of a new divisome protein in Bacillus subtilis called YpsB. Sequence comparisons and phylogentic analysis demonstrated that YpsB is a paralog of the division site selection protein DivIVA. YpsB is present in several gram-positive bacteria and likely originated from the duplication of a DivIVA-like gene in the last common ancestor of bacteria of the orders Bacillales and Lactobacillales. We used green fluorescent protein microscopy to determine that YpsB localizes to the divisome. Similarly to that for DivIVA, the recruitment of YpsB to the divisome requires late division proteins and occurs significantly after Z-ring formation. In contrast to DivIVA, however, YpsB is not retained at the newly formed cell poles after septation. Deletion analysis suggests that the N terminus of YpsB is required to target the protein to the divisome. The high similarity between the N termini of YpsB and DivIVA suggests that the same region is involved in the targeting of DivIVA. YpsB is not essential for septum formation and does not appear to play a role in septum positioning. However, a ypsB deletion has a synthetic effect when combined with a mutation in the cell division gene ftsA. Thus, we conclude that YpsB is a novel B. subtilis cell division protein whose function has diverged from that of its paralog DivIVA.

A two-component system, an anti-sigma factor and two paralogous ECF sigma factors are involved in the control of general stress response in Caulobacter crescentus

The extracytoplasmic function sigma factor sigma(T) is the master regulator of general stress response in Caulobacter crescentus and controls the expression of its paralogue sigma(U). In this work we showed that PhyR and NepR act, respectively, as positive and negative regulators of sigma(T) expression and function. Biochemical data also demonstrated that NepR directly binds sigma(T) and the phosphorylated form of PhyR. We also described the essential role of the histidine kinase gene CC3474, here denominated phyK, for expression of sigma(T)-dependent genes and for resistance to stress conditions. Additionally, in vivo evidence of PhyK-dependent phosphorylation of PhyR is presented. This study also identified a conserved cysteine residue (C95) located in the periplasmic portion of PhyK that is crucial for the function of the protein. Furthermore, we showed that PhyK, PhyR and sigma(T) regulate the same set of genes and that sigma(T) apparently directly controls most of its regulon. In contrast, sigma(U) seems to have a very modest contribution to the expression of a subset of sigma(T)-dependent genes. In conclusion, this report describes the molecular mechanism involved in the control of general stress response in C. crescentus.