Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Structure of neutron-rich Be and C isotopes

The structure of neutron-rich beryllium isotopes has been investigated using different heavy-ion-induced transfer reactions. In neutron transfer reactions, the population of final states shows a strong sensitivity to the chosen core nucleus, i.e., the target nuclei ⁹Be or ¹⁰Be, respectively. Molecular rotational bands up to high excitation energies are observed with ⁹Be as the core due to its pronounced 2α-cluster structure, whereas only a few states at low excitation energies are populated with ¹⁰Be as the core. For ¹¹Be, a detailed investigation has been performed for the three states at 3.41, 3.89, and 3.96 MeV, which resulted in the most probable spin-parity assignments 3/2⁺, 5/2^?, and 3/2^?, respectively. Furthermore, we have studied particle-hole states of ¹⁶C using the ¹³C(¹²C, ⁹C)¹⁶C reaction and found 14 previously unknown states. Using the ¹²C(¹²C, ⁹C)¹⁵C reaction, five new states were observed for ¹⁵C.     

Oxygen-distribution imaging with a novel two-tracer laser-induced fluorescence technique

We introduce a new technique for imaging oxygen concentrations in fuel/air mixtures that takes advantage of the different responses of toluene and 3-pentanone to collisional quenching by molecular oxygen. Since laser-induced fluorescence signals from both tracers upon excitation at 248 nm are spectrally well separated, simultaneous detection is possible. The technique is first applied to instantaneous imaging in turbulent mixing processes of interacting seeded air and nitrogen flows. Received: 1 August 2001 / Revised version: 29 October 2001 / Published online: 29 November 2001     

Solubility parameter determination of cationic surfactants by inverse GC

Summary The solubility parameters of cationic surfactants were obtained using the inverse gas chromatographic technique. The surfactants didodecyl dimethyl ammonium bromide, dioctadecyl dimethyl ammonium bromide and dodecyl pyridinium chloride were used as stationary phase and retention data of different probe solutes were measured at different temperatures. The results were analysed by the combination of Flory-Huggins and Hildebrand theories, and the solubility parameters of the surfactants were obtained in a range of temperatures between 80–120°C.     

Vector-Orthogonality and Lanczos-Type Methods

A method for solving a linear system is defined. It is a Lanczos-type method, but it uses formal vector orthogonality instead of scalar orthogonality. Moreover, the dimension of vector orthogonality may vary which gives a large freedom in leading the algorithm, and controlling the numerical problems. The ideas of truncated and restarted methods are revisited. The obtained residuals are exactly orthogonal to a space of increasing dimension. Some experiments are done, the problem of finding automaticaly good directions of projection remains partly open.