902 resultados para ARCH-in-mean
Resumo:
A general derivation of the anharmonic coefficients for a periodic lattice invoking the special case of the central force interaction is presented. All of the contributions to mean square displacement (MSD) to order 14 perturbation theory are enumerated. A direct correspondance is found between the high temperature limit MSD and high temperature limit free energy contributions up to and including 0(14). This correspondance follows from the detailed derivation of some of the contributions to MSD. Numerical results are obtained for all the MSD contributions to 0(14) using the Lennard-Jones potential for the lattice constants and temperatures for which the Monte Carlo results were calculated by Heiser, Shukla and Cowley. The Peierls approximation is also employed in order to simplify the numerical evaluation of the MSD contributions. The numerical results indicate the convergence of the perturbation expansion up to 75% of the melting temperature of the solid (TM) for the exact calculation; however, a better agreement with the Monte Carlo results is not obtained when the total of all 14 contributions is added to the 12 perturbation theory results. Using Peierls approximation the expansion converges up to 45% of TM• The MSD contributions arising in the Green's function method of Shukla and Hubschle are derived and enumerated up to and including 0(18). The total MSD from these selected contributions is in excellent agreement with their results at all temperatures. Theoretical values of the recoilless fraction for krypton are calculated from the MSD contributions for both the Lennard-Jones and Aziz potentials. The agreement with experimental values is quite good.
Resumo:
Molec ul ar dynamics calculations of the mean sq ua re displacement have been carried out for the alkali metals Na, K and Cs and for an fcc nearest neighbour Lennard-Jones model applicable to rare gas solids. The computations for the alkalis were done for several temperatures for temperature vol ume a swell as for the the ze r 0 pressure ze ro zero pressure volume corresponding to each temperature. In the fcc case, results were obtained for a wide range of both the temperature and density. Lattice dynamics calculations of the harmonic and the lowe s t order anharmonic (cubic and quartic) contributions to the mean square displacement were performed for the same potential models as in the molecular dynamics calculations. The Brillouin zone sums arising in the harmonic and the quartic terms were computed for very large numbers of points in q-space, and were extrapolated to obtain results ful converged with respect to the number of points in the Brillouin zone.An excellent agreement between the lattice dynamics results was observed molecular dynamics and in the case of all the alkali metals, e~ept for the zero pressure case of CSt where the difference is about 15 % near the melting temperature. It was concluded that for the alkalis, the lowest order perturbation theory works well even at temperat ures close to the melting temperat ure. For the fcc nearest neighbour model it was found that the number of particles (256) used for the molecular dynamics calculations, produces a result which is somewhere between 10 and 20 % smaller than the value converged with respect to the number of particles. However, the general temperature dependence of the mean square displacement is the same in molecular dynamics and lattice dynamics for all temperatures at the highest densities examined, while at higher volumes and high temperatures the results diverge. This indicates the importance of the higher order (eg. ~* ) perturbation theory contributions in these cases.
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The Portuguese community is one of the largest diasporic groups in the Greater Toronto Area and the choice of retention and transmission of language and culture to Luso-Canadians is crucial to the development and sustainability of the community. The overall objective of this study is to learn about the factors that influence Luso-Canadian mothers’ inclination to teach Portuguese language and cultural retention to their children. To explore this topic I employed a qualitative research design that included in-depth interviews conducted in 2012 with six Luso-Canadian mothers. Three central arguments emerged from the findings. First, Luso-Canadian mothers interviewed posses a pronounced desire for their children to succeed academically, and to provide opportunities that their children that they did not have. Second, five of the mothers attempt to achieve this mothering objective partly by disconnecting from their Portuguese roots, and by disassociating their children from the Portuguese language and culture. Third, the disconnection they experience and enact is influenced by the divisions evident in the Portuguese community in the GTA that divides regions and hierarchically ranks dialects, and groups. I conclude that the children in these households inevitably bear the prospects of maintaining a vibrant Portuguese community in the GTA and I propose that actions by the community in ranking dialects influence mothers’ decisions about transmitting language and culture to their children.
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This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the variance and the variance of the variance, that is, the skewness and kurtosis. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M-estimation. The ususal univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms the relevance of our approach, in particular, the importance of skewness.
Resumo:
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.
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We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.
Resumo:
ic first-order transition line ending in a critical point. This critical point is responsible for the existence of large premartensitic fluctuations which manifest as broad peaks in the specific heat, not always associated with a true phase transition. The main conclusion is that premartensitic effects result from the interplay between the softness of the anomalous phonon driving the modulation and the magnetoelastic coupling. In particular, the premartensitic transition occurs when such coupling is strong enough to freeze the involved mode phonon. The implication of the results in relation to the available experimental data is discussed.
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We study numerically the out-of-equilibrium dynamics of the hypercubic cell spin glass in high dimensionalities. We obtain evidence of aging effects qualitatively similar both to experiments and to simulations of low-dimensional models. This suggests that the Sherrington-Kirkpatrick model as well as other mean-field finite connectivity lattices can be used to study these effects analytically.
Resumo:
Background: Isometric grip strength, evaluated with a handgrip dynamometer, is a marker of current nutritional status and cardiometabolic risk and future morbidity and mortality. We present reference values for handgrip strength in healthy young Colombian adults (aged 18 to 29 years). Methods: The sample comprised 5.647 (2.330 men and 3.317 women) apparently healthy young university students (mean age, 20.6±2.7 years) attending public and private institutions in the cities of Bogota and Cali (Colombia). Handgrip strength was measured two times with a TKK analogue dynamometer in both hands and the highest value used in the analysis. Sex- and age-specific normative values for handgrip strength were calculated using the LMS method and expressed as tabulated percentiles from 3 to 97 and as smoothed centile curves (P3, P10, P25, P50, P75, P90 and P97). Results: Mean values for right and left handgrip strength were 38.1±8.9 and 35.9±8.6 kg for men, and 25.1±8.7 and 23.3±8.2 kg for women, respectively. Handgrip strength increased with age in both sexes and was significantly higher in men in all age categories. The results were generally more homogeneous amongst men than women. Conclusions: Sex- and age-specific handgrip strength normative values among healthy young Colombian adults are defined. This information may be helpful in future studies of secular trends in handgrip strength and to identify clinically relevant cut points for poor nutritional and elevated cardiometabolic risk in a Latin American population. Evidence of decline in handgrip strength before the end of the third decade is of concern and warrants further investigation
Combining altimetric/gravimetric and ocean model mean dynamic topography models in the GOCINA region
Resumo:
The sensitivity of the UK Universities Global Atmospheric Modelling Programme (UGAMP) General Circulation Model (UGCM) to two very different approaches to convective parametrization is described. Comparison is made between a Kuo scheme, which is constrained by large-scale moisture convergence, and a convective-adjustment scheme, which relaxes to observed thermodynamic states. Results from 360-day integrations with perpetual January conditions are used to describe the model's tropical time-mean climate and its variability. Both convection schemes give reasonable simulations of the time-mean climate, but the representation of the main modes of tropical variability is markedly different. The Kuo scheme has much weaker variance, confined to synoptic frequencies near 4 days, and a poor simulation of intraseasonal variability. In contrast, the convective-adjustment scheme has much more transient activity at all time-scales. The various aspects of the two schemes which might explain this difference are discussed. The particular closure on moisture convergence used in this version of the Kuo scheme is identified as being inappropriate.
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The aim of this paper is to demonstrate the importance of changing temperature variability with climate change in assessments of future heat-related mortality. Previous studies have only considered changes in the mean temperature. Here we present estimates of heat-related mortality resulting from climate change for six cities: Boston, Budapest, Dallas, Lisbon, London and Sydney. They are based on climate change scenarios for the 2080s (2070-2099) and the temperature-mortality (t-m) models constructed and validated in Gosling et al. (2007). We propose a novel methodology for assessing the impacts of climate change on heat-related mortality that considers both changes in the mean and variability of the temperature distribution.
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We describe numerical simulations designed to elucidate the role of mean ocean salinity in climate. Using a coupled atmosphere-ocean general circulation model, we study a 100-year sensitivity experiment in which the global-mean salinity is approximately doubled from its present observed value, by adding 35 psu everywhere in the ocean. The salinity increase produces a rapid global-mean sea-surface warming of C within a few years, caused by reduced vertical mixing associated with changes in cabbeling. The warming is followed by a gradual global-mean sea-surface cooling of C within a few decades, caused by an increase in the vertical (downward) component of the isopycnal diffusive heat flux. We find no evidence of impacts on the variability of the thermohaline circulation (THC) or El Niño/Southern Oscillation (ENSO). The mean strength of the Atlantic meridional overturning is reduced by 20% and the North Atlantic Deep Water penetrates less deeply. Nevertheless, our results dispute claims that higher salinities for the world ocean have profound consequences for the thermohaline circulation. In additional experiments with doubled atmospheric carbon dioxide, we find that the amplitude and spatial pattern of the global warming signal are modified in the hypersaline ocean. In particular, the equilibrated global-mean sea-surface temperature increase caused by doubling carbon dioxide is reduced by 10%. We infer the existence of a non-linear interaction between the climate responses to modified carbon dioxide and modified salinity.