Persistence of volatility in futures markets

This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility persistence relationships. Intraday realized measures of volatility are found to be more persistent than daily measures, the type of GARCH procedure used for conditional volatility analysis is critical, and realized volatility persistence is not coherent with conditional volatility persistence. Specifically, although there is a good fit between the realized and conditional volatilities, no coherence exists between their degrees of persistence, a counterintuitive finding that shows realized and conditional volatility measures are not a substitute for one another

Electron spin resonance study of puff-resolved free radical formation in mainstream cigarette smoke

Puff-by-puff resolved gas phase free radicals were measured in mainstream smoke from Kentucky 2R4F reference cigarettes using ESR spectroscopy. Three spin-trapping reagents were evaluated: PBN, DMPO and DEPMPO. Two procedures were used to collect gas phase smoke on a puff-resolved basis: i) the accumulative mode, in which all the gas phase smoke up to a particular puff was bubbled into the trap (i.e., the 5th puff corresponded to the total smoke from the 1st to 5th puffs). In this case, after a specified puff, an aliquot of the spin trap was taken and analysed; or, ii) the individual mode, in which the spin trap was analysed and then replaced after each puff. Spin concentrations were determined by double-integration of the first derivative of the ESR signal. This was compared with the integrals of known standards using the TEMPO free radical. The radicals trapped with PBN were mainly carbon-centred, whilst the oxygen-centred radicals were identified with DMPO and DEPMPO. With each spin trap, the puff-resolved radical concentrations showed a characteristic pattern as a function of the puff number. Based on the spin concentrations, the DMPO and DEPMPO spin traps showed better trapping efficiencies than PBN. The implication for gas phase free radical analysis is that a range of different spin traps should be used to probe complex free radical reactions in cigarette smoke.

Spectro-electrochemical and DFT studies of a planar Cu(II)–phenolate complex active in the aerobic oxidation of primary alcohols

A square-planar compound [Cu(pyrimol)Cl] (pyrimol = 4-methyl-2-N-(2-pyridylmethylene)aminophenolate) abbreviated as CuL–Cl) is described as a biomimetic model of the enzyme galactose oxidase (GOase). This copper(II) compound is capable of stoichiometric aerobic oxidation of activated primary alcohols in acetonitrile/water to the corresponding aldehydes. It can be obtained either from Hpyrimol (HL) or its reduced/hydrogenated form Hpyramol (4-methyl-2-N-(2-pyridylmethyl)aminophenol; H2L) readily converting to pyrimol (L-) on coordination to the copper(II) ion. Crystalline CuL–Cl and its bromide derivative exhibit a perfect square-planar geometry with Cu–O(phenolate) bond lengths of 1.944(2) and 1.938(2) Å. The cyclic voltammogram of CuL–Cl exhibits an irreversible anodic wave at +0.50 and +0.57 V versus ferrocene/ferrocenium (Fc/Fc+) in dry dichloromethane and acetonitrile, respectively, corresponding to oxidation of the phenolate ligand to the corresponding phenoxyl radical. In the strongly donating acetonitrile the oxidation path involves reversible solvent coordination at the Cu(II) centre. The presence of the dominant CuII–L. chromophore in the electrochemically and chemically oxidised species is evident from a new fairly intense electronic absorption at 400–480 nm ascribed to a several electronic transitions having a mixed pi-pi(L.) intraligand and Cu–Cl -> L. charge transfer character. The EPR signal of CuL–Cl disappears on oxidation due to strong intramolecular antiferromagnetic exchange coupling between the phenoxyl radical ligand (L.) and the copper(II) centre, giving rise to a singlet ground state (S = 0). The key step in the mechanism of the primary alcohol oxidation by CuL–Cl is probably the alpha-hydrogen abstraction from the equatorially bound alcoholate by the phenoxyl moiety in the oxidised pyrimol ligand, Cu–L., through a five-membered cyclic transition state.

Pyrene-Modified quartz crystal microbalance for the detection of polynitroaromatic compounds

The synthesis of a dithiol-functionalized pyrene derivative is reported, together with studies of interactions between this receptor (and other related pyrenes) and nitroaromatic compounds (NACs), in both solution and in the solid state. Spectroscopic analysis in solution and X-ray crystallographic analysis of cocrystals of pyrene and NACs in the solid state indicate that supramolecular interactions lead to the formation of defined pi-pi stacked complexes. The dithiolfunctionalized pyrene derivative can be used to modify the surface of a gold quartz crystal microbalance (QCM) to create a unique π-electron rich surface, which is able to interact with electron poor aromatic compounds. For example, exposure of the modified QCM surface to the nitroaromatic compound 2,4-dinitrotoluene (DNT) in solution results in a reduction in the resonant frequency of the QCM as a result of supramolecular interactions between the electron-rich pyrenyl surface layer and the electron-poor DNT molecules. These results suggest the potential use of such modified QCM surfaces for the detection of explosive NACs.

Fulvalene titanium and zirconium complexes: synthesis and NMR study of phosphanido-, alkyl-, and alkynyl-derivatives. X-ray crystal structures of [{Ti(η5−C5H5)(μ−PPH2)}2{μ−(η5−C5H4−η5−C5H4)}] and [{Zr(η5−C5H5)(μ−C≡CSiMe3)}2{μ−(η5−C5H4−η5−C5H4)}]

Reaction of with one or two equivalents of LiPPh2 afforded the new phosphanidometal(III) complexes . Reaction of 2 with LiC≡CSiMe3 led to the diamagnetic zirconium(III) alkynyl derivative [{Zr(C5H5)(μ−C≡CSiMe3)}2(μ−η5−C5H4−η5−C5H4], 7. Alkylation of 6 with LiCH2CMe2Ph gave [{Zr(η5−C5H5)(CH2CMe2Ph)2}2{μ−(η5−C5H4)}], 8. A detailed NMR study of complexes 3 and 4 allowed the observation of the spectral behaviour of the eight different fulvalene protons through their coupling to the 31P nucleus. The fluxional behaviour of complex 7 was studied by dynamic DNMR, and kinetic parameters for the σ-π-conversion of the alkynyl ligand were determined. The molecular structures of complexes 3 and 7 were determined by X-ray diffraction methods.