On forecasting daily stock volatility: the role of intraday information and market conditions

Several recent studies advocate the use of nonparametric estimators of daily price vari- ability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. The forecast race is conducted in a GARCH framework and relies on several loss functions. The realized range fares relatively well in the in-sample .t analysis, for instance, regarding the extent to which it brings normality in returns. However, overall the realised power variation provides the most accurate 1-day-ahead forecasts. Fore- cast combination of all four intraday measures produces the smallest forecast errors in about half of the sampled stocks. A market conditions analysis reveals that the additional use of intraday data on day t .. 1 to forecast volatility on day t is most advantageous when day t is a low volume or an up-market day. The results have implications for value-at-risk analysis.

Combined photo- and electroreflectance of multijunction solar cells enabled by subcell electric coupling

Electric coupling between subcells of a monolithically grown multijunction solar cell in short circuit allows their simultaneous and independent characterization by means of photo- and electroreflectance. The photovoltage generated by selective absorption of the pump beam in a given subcell during photoreflectance measurements results in reverse biasing the complementary subunits at the modulation frequency set on the pump illumination. Such voltage bias modulation acts then as external perturbation on the complementary subcells. The spectral separation of the different subcell absorption ranges permits the probe beam to record in a single spectrum the response of the complete device as a combination of photo- and electroreflectance, thereby providing access for diagnosis of subcells on an individual basis. This form of modulation spectroscopy is demonstrated on a GaInP/GaAs tandem solar cell.Comment: 5 pages, 4 figures. This article has been accepted by Appl. Phys. Lett. After it is published, it will be found at https://doi.org/10.1063/1.506260

High-pressure study of substrate material ScAlMgO4

We report on the structural properties of ScAlMgO4 studied under quasi-hydrostatic pressure using synchrotron high-pressure x-ray diffraction up to 40 GPa. We also report on single-crystal studies of ScAlMgO4 performed at 300 K and 100 K. We found that the low-pressure phase remains stable up to 24 GPa. At 28 GPa, we detected a reversible phase transformation. The high-pressure phase is assigned to a monoclinic distortion of the low-pressure phase. No additional phase transition is observed up to 40 GPa. In addition, the equation of state, compressibility tensor, and thermal expansion coefficients of ScAlMgO4 are determined. The bulk modulus of ScAlMgO4 is found to be 143(8) GPa, with a strong compressibility anisotropy. For the trigonal low-pressure phase, the compressibility along the c-axis is twice than perpendicular one. A perfect lattice match with ZnO is retained under pressure in the pressure range of stability of wurtzite ZnO.Comment: 22 pages, 5 figures, 4 tables, 24 reference

Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching

Theoretical credit risk models à la Merton (1974) predict a non-linear negative link between the default likelihood and asset value of a firm. This motivates us to propose a flexible empirical Markov-switching bivariate copula that allows for distinct time-varying dependence between credit default swap (CDS) spreads and equity prices in “crisis” and “tranquil” periods. The model identifies high-dependence regimes that coincide with the recent credit crunch and the European sovereign debt crises, and is supported by in-sample goodness-of-fit criteria relative to nested copula models that impose within-regime constant dependence or no regime-switching. Value-at-Risk forecasts that aim to set day-ahead trading limits for the hedging of CDS-equity portfolios reveal the economic relevance of the model from the viewpoints of both regulatory and asymmetric piecewise linear loss functions

ECB policy and Eurozone fragility: Was De Grauwe right?

Paul De Grauwe's Eurozone fragility hypothesis states that sovereign debt markets in a monetary union without a lender-of-last-resort are vulnerable to self-fulfilling dynamics fuelled by pessimistic investor sentiment that can trigger default. We test this contention by applying an eclectic methodology to a two-year window around Mario Draghi's “whatever-it-takes” pledge that can be understood as the implicit announcement of the Outright Monetary Transactions (OMT) program. A principal components analysis reveals that the perceived commonality in default risk among peripheral and core Eurozone sovereigns increased after the announcement. An event study reveals significant pre-announcement news transmission from Spain to Italy, France, Belgium and Austria that clearly dissipates post-announcement. Country-specific regressions of CDS spreads on systematic risk factors reveal frequent days of large adverse shocks affecting simultaneously those five Eurozone countries, but only during the pre-announcement period. Altogether these findings support the fragility hypothesis and endorse the OMT program

Cu(In,Ga)Se2 absorber thinning and the homo-interface model: Influence of Mo back contact and 3-stage process on device characteristics

Thinning the absorber layer is one of the possibilities envisaged to further decrease the production costs of Cu(In,Ga)Se2 (CIGSe) thin films solar cell technology. In the present study, the electronic transport in submicron CIGSe-based devices has been investigated and compared to that of standard devices. It is observed that when the absorber is around 0.5 μm-thick, tunnelling enhanced interface recombination dominates, which harms cells energy conversion efficiency. It is also shown that by varying either the properties of the Mo back contact or the characteristics of 3-stage growth processing, one can shift the dominating recombination mechanism from interface to space charge region and thereby improve the cells efficiency. Discussions on these experimental facts led to the conclusions that 3-stage process implies the formation of a CIGSe/CIGSe homo-interface, whose location as well as properties rule the device operation; its influence is enhanced in submicron CIGSe based solar cells

Compressibility and structural stability of ultra-incompressible bimetallic interstitial carbides and nitrides

We have investigated by means of high-pressure x-ray diffraction the structural stability of Pd2Mo3N, Ni2Mo3C0.52N0.48, Co3Mo3C0.62N0.38, and Fe3Mo3C. We have found that they remain stable in their ambient-pressure cubic phase at least up to 48 GPa. All of them have a bulk modulus larger than 330 GPa, being the least compressible material Fe3Mo3C, B0 = 374(3) GPa. In addition, apparently a reduction of compressibility is detected as the carbon content increased. The equation of state for each material is determined. A comparison with other refractory materials indicates that interstitial nitrides and carbides behave as ultra-incompressible materials.Comment: 14 pages, 3 figures, 1 tabl

Correlation functions in the non-relativistic AdS/CFT correspondence

We study the correlation functions of scalar operators in the theory defined as the holographic dual of the Schroedinger background with dynamical exponent z=2 at zero temperature and zero chemical potential. We offer a closed expression of the correlation functions at tree level in terms of Fourier transforms of the corresponding n-point functions computed from pure AdS in the lightcone frame. At the loop level this mapping does not hold and one has to use the full Schroedinger background, after proper regularization. We explicitly compute the 3-point function comparing it with the specific 3-point function of the non-relativistic theory of cold atoms at unitarity. We find agreement of both 3-point functions, including the part not fixed by the symmetry, up to an overall normalization constant.Comment: 32 pages, 7 figures; v2: typos corrected, references added and additional discussion about the case of compact number-direction, includes new appendix with the computations of the 2 and 3 point function for the compact number-direction case. The general results remain the same. Version published in Phys.Rev.

Synthesis of Graphitic Carbon Nanostructures from Sawdust and Their Application as Electrocatalyst Supports

We present a novel and facile synthetic method for fabricating graphitic carbon nanostructures (GCNs) from sawdust. This method is based on the use of catalysts (Fe or Ni) that allows the direct conversion of sawdust into highly graphitized carbon material. The following procedure was used to obtain these graphitic nanoparticles:  (a) impregnation of the sawdust particles with iron or nickel salts, (b) carbonization of the impregnated material at a temperature of 900 or 1000 °C, and (c) selective removal of the non-graphitized carbon (amorphous carbon) by an oxidant (KMnO4). The resulting carbon is made up of nanosized graphitic structures (i.e., nanocapsules, nanocoils, nanoribbons), which have a high crystallinity, as evidenced by TEM/SAED, XRD and Raman analysis. These GCNs were used as supports for platinum nanoparticles. Such prepared electrocatalysts show an electrocatalytical surface area close to 90 m2.g-1 Pt, and they present a similar or higher electrocatalytic activity toward methanol electrooxidation than the Pt/Vulcan electrocatalyst prepared in the same conditions.The financial support for this research work provided by the Spanish MCyT (MAT2005-00262, MAT2004-01479 and FEDER) is gratefully acknowledged.Peer reviewe