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

Diagnosing observation error correlations for Doppler radar radial winds in the Met Office UKV model using observation-minus-background and observation-minus-analysis statistics

With the development of convection-permitting numerical weather prediction the efficient use of high resolution observations in data assimilation is becoming increasingly important. The operational assimilation of these observations, such as Dopplerradar radial winds, is now common, though to avoid violating the assumption of un- correlated observation errors the observation density is severely reduced. To improve the quantity of observations used and the impact that they have on the forecast will require the introduction of the full, potentially correlated, error statistics. In this work, observation error statistics are calculated for the Doppler radar radial winds that are assimilated into the Met Office high resolution UK model using a diagnostic that makes use of statistical averages of observation-minus-background and observation-minus-analysis residuals. This is the first in-depth study using the diagnostic to estimate both horizontal and along-beam correlated observation errors. By considering the new results obtained it is found that the Doppler radar radial wind error standard deviations are similar to those used operationally and increase as the observation height increases. Surprisingly the estimated observation error correlation length scales are longer than the operational thinning distance. They are dependent on both the height of the observation and on the distance of the observation away from the radar. Further tests show that the long correlations cannot be attributed to the use of superobservations or the background error covariance matrix used in the assimilation. The large horizontal correlation length scales are, however, in part, a result of using a simplified observation operator.

Modelling spectral reflectance of open cork oak woodland: a simulation analysis of the effects of vegetation structure and background

This study analyses the influence of vegetation structure (i.e. leaf area index and canopy cover) and seasonal background changes on moderate-resolution imaging spectrometer (MODIS)-simulated reflectance data in open woodland. Approximately monthly spectral reflectance and transmittance field measurements (May 2011 to October 2013) of cork oak tree leaves (Quercus suber) and of the herbaceous understorey were recorded in the region of Ribatejo, Portugal. The geometric-optical and radiative transfer (GORT) model was used to simulate MODIS response (red, near-infrared) and to calculate vegetation indices, investigating their response to changes in the structure of the overstorey vegetation and to seasonal changes in the understorey using scenarios corresponding to contrasting phenological status (dry season vs. wet season). The performance of normalized difference vegetation index (NDVI), soil-adjusted vegetation index (SAVI), and enhanced vegetation index (EVI) is discussed. Results showed that SAVI and EVI were very sensitive to the emergence of background vegetation in the wet season compared to NDVI and that shading effects lead to an opposing trend in the vegetation indices. The information provided by this research can be useful to improve our understanding of the temporal dynamic of vegetation, monitored by vegetation indices.

A generalised background correction algorithm for a Halo Doppler lidar and its application to data from Finland

Current commercially available Doppler lidars provide an economical and robust solution for measuring vertical and horizontal wind velocities, together with the ability to provide co- and cross-polarised backscatter profiles. The high temporal resolution of these instruments allows turbulent properties to be obtained from studying the variation in radial velocities. However, the instrument specifications mean that certain characteristics, especially the background noise behaviour, become a limiting factor for the instrument sensitivity in regions where the aerosol load is low. Turbulent calculations require an accurate estimate of the contribution from velocity uncertainty estimates, which are directly related to the signal-to-noise ratio. Any bias in the signal-to-noise ratio will propagate through as a bias in turbulent properties. In this paper we present a method to correct for artefacts in the background noise behaviour of commercially available Doppler lidars and reduce the signal-to-noise ratio threshold used to discriminate between noise, and cloud or aerosol signals. We show that, for Doppler lidars operating continuously at a number of locations in Finland, the data availability can be increased by as much as 50 % after performing this background correction and subsequent reduction in the threshold. The reduction in bias also greatly improves subsequent calculations of turbulent properties in weak signal regimes.

Characterization of Metal and Trace Element Contents of Particulate Matter (PM10) Emitted by Vehicles Running on Brazilian FuelsHydrated Ethanol and Gasoline with 22% of Anhydrous Ethanol

Emission of fine particles by mobile sources has been a matter of great concern due to its potential risk both to human health and the environment. Although there is no evidence that one sole component may be responsible for the adverse health outcomes, it is postulated that the metal particle content is one of the most important factors, mainly in relation to oxidative stress. Data concerning the amount and type of metal particles emitted by automotive vehicles using Brazilian fuels are limited. The aim of this study was to identify inhalable particles (PM10) and their trace metal content in two light-duty vehicles where one was fueled with ethanol while the other was fueled with gasoline mixed with 22% of anhydrous ethanol (gasohol); these engines were tested on a chassis dynamometer. The elementary composition of the samples was evaluated by the particle-induced x-ray emission technique. The experiment showed that total emission factors ranged from 2.5 to 11.8 mg/km in the gasohol vehicle, and from 1.2 to 3 mg/km in the ethanol vehicle. The majority of particles emitted were in the fine fraction (PM2.5), in which Al, Si, Ca, and Fe corresponded to 80% of the total weight. PM10 emissions from the ethanol vehicle were about threefold lower than those of gasohol. The elevated amount of fine particulate matter is an aggravating factor, considering that these particles, and consequently associated metals, readily penetrate deeply into the respiratory tract, producing damage to lungs and other tissues.

Vehicular particulate matter emissions in road tunnels in Sao Paulo, Brazil

In the metropolitan area of Sao Paulo, Brazil, ozone and particulate matter ( PM) are the air pollutants that pose the greatest threat to air quality, since the PM and the ozone precursors ( nitrogen oxides and volatile organic compounds) are the main source of air pollution from vehicular emissions. Vehicular emissions can be measured inside road tunnels, and those measurements can provide information about emission factors of in-use vehicles. Emission factors are used to estimate vehicular emissions and are described as the amount of species emitted per vehicle distance driven or per volume of fuel consumed. This study presents emission factor data for fine particles, coarse particles, inhalable particulate matter and black carbon, as well as size distribution data for inhalable particulate matter, as measured in March and May of 2004, respectively, in the Janio Quadros and Maria Maluf road tunnels, both located in Sao Paulo. The Janio Quadros tunnel carries mainly light-duty vehicles, whereas the Maria Maluf tunnel carries light-duty and heavy-duty vehicles. In the Janio Quadros tunnel, the estimated light-duty vehicle emission factors for the trace elements copper and bromine were 261 and 220 mu g km(-1), respectively, and 16, 197, 127 and 92 mg km(-1), respectively, for black carbon, inhalable particulate matter, coarse particles and fine particles. The mean contribution of heavy-duty vehicles to the emissions of black carbon, inhalable particulate matter, coarse particles and fine particles was, respectively 29, 4, 6 and 6 times higher than that of light-duty vehicles. The inhalable particulate matter emission factor for heavy-duty vehicles was 1.2 times higher than that found during dynamometer testing. In general, the particle emissions in Sao Paulo tunnels are higher than those found in other cities of the world.

Evolution of primordial black holes in a radiation and phantom energy environment

In this work we extend previous work on the evolution of a primordial black hole (PBH) to address the presence of a dark energy component with a super-negative equation of state as a background, investigating the competition between the radiation accretion, the Hawking evaporation and the phantom accretion, the latter two causing a decrease on black hole mass. It is found that there is an instant during the matter-dominated era after which the radiation accretion becomes negligible compared to the phantom accretion. The Hawking evaporation may become important again depending on a mass threshold. The evaporation of PBHs is quite modified at late times by these effects, but only if the generalized second law of thermodynamics is violated.

Random primordial magnetic fields and the gas content of dark matter haloes

We recently predicted the existence of random primordial magnetic fields (RPMFs) in the form of randomly oriented cells with dipole-like structure with a cell size L(0) and an average magnetic field B(0). Here, we investigate models for primordial magnetic field with a similar web-like structure, and other geometries, differing perhaps in L(0) and B(0). The effect of RPMF on the formation of the first galaxies is investigated. The filtering mass, M(F), is the halo mass below which baryon accretion is severely depressed. We show that these RPMF could influence the formation of galaxies by altering the filtering mass and the baryon gas fraction of a halo, f(g). The effect is particularly strong in small galaxies. We find, for example, for a comoving B(0) = 0.1 mu G, and a reionization epoch that starts at z(s) = 11 and ends at z(e) = 8, for L(0) = 100 pc at z = 12, the f(g) becomes severely depressed for M < 10(7) M(circle dot), whereas for B(0) = 0 the f(g) becomes severely depressed only for much smaller masses, M < 10(5) M(circle dot). We suggest that the observation of M(F) and f(g) at high redshifts can give information on the intensity and structure of primordial magnetic fields.

CONSTRAINING THE NONEXTENSIVE MASS FUNCTION OF HALOS FROM BAO, CMB AND X-RAY DATA

Clusters of galaxies are the most impressive gravitationally-bound systems in the universe, and their abundance (the cluster mass function) is an important statistic to probe the matter density parameter (Omega(m)) and the amplitude of density fluctuations (sigma(8)). The cluster mass function is usually described in terms of the Press-Schecther (PS) formalism where the primordial density fluctuations are assumed to be a Gaussian random field. In previous works we have proposed a non-Gaussian analytical extension of the PS approach with basis on the q-power law distribution (PL) of the nonextensive kinetic theory. In this paper, by applying the PL distribution to fit the observational mass function data from X-ray highest flux-limited sample (HIFLUGCS), we find a strong degeneracy among the cosmic parameters, sigma(8), Omega(m) and the q parameter from the PL distribution. A joint analysis involving recent observations from baryon acoustic oscillation (BAO) peak and Cosmic Microwave Background (CMB) shift parameter is carried out in order to break these degeneracy and better constrain the physically relevant parameters. The present results suggest that the next generation of cluster surveys will be able to probe the quantities of cosmological interest (sigma(8), Omega(m)) and the underlying cluster physics quantified by the q-parameter.

The effect of a single supernova explosion on the cuspy density profile of a small-mass dark matter halo

Some observations of galaxies, and in particular dwarf galaxies, indicate a presence of cored density profiles in apparent contradiction with cusp profiles predicted by dark matter N-body simulations. We constructed an analytical model, using particle distribution functions (DFs), to show how a supernova (SN) explosion can transform a cusp density profile in a small-mass dark matter halo into a cored one. Considering the fact that an SN efficiently removes matter from the centre of the first haloes, we study the effect of mass removal through an SN perturbation in the DFs. We find that the transformation from a cusp into a cored profile occurs even for changes as small as 0.5 per cent of the total energy of the halo, which can be produced by the expulsion of matter caused by a single SN explosion.

Note on ""Continuous matter creation and the acceleration of the universe: the growth of density fluctuations""

Recently, de Roany and Pacheco (Gen Relativ Gravit, doi:10.1007/s10714-010-1069-2) performed a Newtonian analysis on the evolution of perturbations for a class of relativistic cosmological models with Creation of Cold Dark Matter (CCDM) proposed by the present authors (Lima et al. in JCAP 1011:027, 2010). In this note we demonstrate that the basic equations adopted in their work do not recover the specific (unperturbed) CCDM model. Unlike to what happens in the original CCDM cosmology, their basic conclusions refer to a decelerating cosmological model in which there is no transition from a decelerating to an accelerating regime as required by SNe type Ia and complementary observations.

Potentially bioavailable metals in sediment from a tropical polymictic environment-Rio Grande Reservoir, Brazil

Background, aim and scope Although many recent studies have focused on sediment potential toxicity, few of them were performed in tropical shallow aquatic environments. Those places can suffer short-time variations, especially due to water column circulations generated by changes in temperature and wind. Rio Grande reservoir is such an example; aside from that, it suffers various anthropogenic impacts, despite its multiple uses. Materials and methods This work presents the first screening step for understanding sediment quality from Rio Grande reservoir by comparing metal content using three different sediment quality guidelines. We also aimed at verifying any possible spatial heterogeneity. Results and discussion We found spatial heterogeneity varying according to the specific metal. Results showed a tendency for metals to remain as insoluble as metal sulfide (potentially not bioavailable), since sulfide was in excess and sediment physical-chemical characteristics contribute to sulfide maintenance (low redox potential, neutral pH, low dissolved oxygen, and high organic matter content). On the other hand, metal concentrations were much higher than suggested by Canadian guidelines and regional background values, especially Cu, which raises the risk of metal remobilization in cases of water circulation. Further study steps include the temporal evaluation of AVS/SEM, a battery of bioassays and the characterization of organic compounds.

Separating the wheat from the chaff: unbiased filtering of background tandem mass spectra improves protein identification

Only a small fraction of spectra acquired in LC-MS/MS runs matches peptides from target proteins upon database searches. The remaining, operationally termed background, spectra originate from a variety of poorly controlled sources and affect the throughput and confidence of database searches. Here, we report an algorithm and its software implementation that rapidly removes background spectra, regardless of their precise origin. The method estimates the dissimilarity distance between screened MS/MS spectra and unannotated spectra from a partially redundant background library compiled from several control and blank runs. Filtering MS/MS queries enhanced the protein identification capacity when searches lacked spectrum to sequence matching specificity. In sequence-similarity searches it reduced by, on average, 30-fold the number of orphan hits, which were not explicitly related to background protein contaminants and required manual validation. Removing high quality background MS/MS spectra, while preserving in the data set the genuine spectra from target proteins, decreased the false positive rate of stringent database searches and improved the identification of low-abundance proteins.

Anesthetic Activation of Central Respiratory Chemoreceptor Neurons Involves Inhibition of a THIK-1-Like Background K(+) Current

At surgical depths of anesthesia, inhalational anesthetics cause a loss of motor response to painful stimuli (i.e., immobilization) that is characterized by profound inhibition of spinal motor circuits. Yet, although clearly depressed, the respiratory motor system continues to provide adequate ventilation under these same conditions. Here, we show that isoflurane causes robust activation of CO(2)/pH-sensitive, Phox2b-expressing neurons located in the retrotrapezoid nucleus (RTN) of the rodent brainstem, in vitro and in vivo. In brainstem slices from Phox2b-eGFP mice, the firing of pH-sensitive RTN neurons was strongly increased by isoflurane, independent of prevailing pH conditions. At least two ionic mechanisms contributed to anesthetic activation of RTN neurons: activation of an Na(+)-dependent cationic current and inhibition of a background K(+) current. Single-cell reverse transcription-PCR analysis of dissociated green fluorescent protein-labeled RTN neurons revealed expression of THIK-1 (TWIK-related halothane-inhibited K(+) channel, K(2P)13.1), a channel that shares key properties with the native RTN current (i.e., suppression by inhalational anesthetics, weak rectification, inhibition by extracellular Na(+), and pH-insensitivity). Isoflurane also increased firing rate of RTN chemosensitive neurons in urethane-anesthetized rats, again independent of CO(2) levels. In these animals, isoflurane transiently enhanced activity of the respiratory system, an effect that was most prominent at low levels of respiratory drive and mediated primarily by an increase in respiratory frequency. These data indicate that inhalational anesthetics cause activation of RTN neurons, which serve an important integrative role in respiratory control; the increased drive provided by enhanced RTN neuronal activity may contribute, in part, to maintaining respiratory motor activity under immobilizing anesthetic conditions.