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 and superconductivity in FexCu1−xBa2YCu2O7+y superconductors synthesized by high pressure

Comprehensive studies of X-ray diffraction, oxygen content, superconductivity and Mössbauer effect have been made on Fe_xCu_1−xBa₂YCu₂O_7+y superconductors (0.00≤x≤0.70) synthesized by ambient (AM) and high pressure (HP). Results indicate that all the HP-samples have tetragonal structure, smaller lattice parameter c and unit-cell volume than the AM-samples. The studies of oxygen content, and Mössbauer spectroscopy indicate that the HP-samples have higher oxygen content, carrier concentration and average valence of Fe than the AM-samples. Moreover, for the HP-samples more Fe atoms located in CuO_x chains have fivefold-oxygen coordination. These are important reasons for the enhancement of T_c in the HP-samples.     

Generalized lattice model of liquid state and its relation to Ginzburg–Landau theory

Basic principles of the generalized lattice model of multicomponent condensed systems are formulated. Short-range parts of interatomic interactions are taken into account by means of the geometric constraints method. Long-range parts of the interactions are taken into account in mean field approximation. The expression for Helmholtz free energy is obtained. A system of integral equations for the equilibrium distributions of components is derived. The asymptotic properties of its solutions are investigated. Moment expansion of interatomic interactions and localization of integral terms in free energy is obtained. A Ginzburg–Landau-like functional of free energy is derived.     

Representations of Positive Projections II

In this paper we obtain a number of Maharam-type slice integral representations, with respect to scalar measures, for positive projections in Dedekind complete vector lattices and f-algebras. AMS Classification: 47B65, 46A40, 06F25     

An investigation on planar dielectric light collectors for illumination and solar energy applications

In this paper the performances of inhomogeneous dielectric slabs as solar light collectors for both illumination and solar energy applications are analysed.