Simulated likelihood inference for stochastic volatility models using continuous particle filtering

Discrete-time stochastic volatility (SV) models have generated a considerable literature in financial econometrics. However, carrying out inference for these models is a difficult task and often relies on carefully customized Markov chain Monte Carlo techniques. Our contribution here is twofold. First, we propose a new SV model, namely SV–GARCH, which bridges the gap between SV and GARCH models: it has the attractive feature of inheriting unconditional properties similar to the standard GARCH model but being conditionally heavier tailed. Second, we propose a likelihood-based inference technique for a large class of SV models relying on the recently introduced continuous particle filter. The approach is robust and simple to implement. The technique is applied to daily returns data for S&P 500 and Dow Jones stock price indices for various spans.     

Efficient Bayesian Inference for Multivariate Probit Models With Sparse Inverse Correlation Matrices

We propose a Bayesian approach for inference in the multivariate probit model, taking into account the association structure between binary observations. We model the association through the correlation matrix of the latent Gaussian variables. Conditional independence is imposed by setting some off-diagonal elements of the inverse correlation matrix to zero and this sparsity structure is modeled using a decomposable graphical model. We propose an efficient Markov chain Monte Carlo algorithm relying on a parameter expansion scheme to sample from the resulting posterior distribution. This algorithm updates the correlation matrix within a simple Gibbs sampling framework and allows us to infer the correlation structure from the data, generalizing methods used for inference in decomposable Gaussian graphical models to multivariate binary observations. We demonstrate the performance of this model and of the Markov chain Monte Carlo algorithm on simulated and real datasets. This article has online supplementary materials.     

Tight Gabor Frames Associated with Non-separable Lattices and the Hyperbolic Secant

We consider Gabor systems generated by a window given by the hyperbolic secant function. We show that such a system forms a Parseval frame for L ²(?) when the translations and modulations of the window are associated with certain non-separable lattices in ?² which we explicitly describe. We also study the more general problem of characterizing the positive Borel measures μ on ?²ⁿ with the property that the short-time Fourier transform defines an isometric embedding from L ²(? ⁿ ) to L _μ ² (?²ⁿ ) when the window belongs to the Schwartz class and, in particular, we characterize the extreme points of this set. In the case where the window is the hyperbolic secant function, we consider the situation where the measure is discrete with constant weights and supported on a non-separable lattice yielding a Parseval frame. We provide arithmetic conditions on the parameters defining the lattice characterizing when the associated measure is an extreme point.     

Characterization Theorem for Best Polynomial Spline Approximation with Free Knots,Variable Degree and Fixed Tails

In this paper, we derive a necessary condition for a best approximation by piecewise polynomial functions of varying degree from one interval to another. Based on these results, we obtain a characterization theorem for the polynomial splines with fixed tails, that is the value of the spline is fixed in one or more knots (external or internal). We apply nonsmooth nonconvex analysis to obtain this result, which is also a necessary and sufficient condition for inf-stationarity in the sense of Demyanov–Rubinov. This paper is an extension of a paper where similar conditions were obtained for free tails splines. The main results of this paper are essential for the development of a Remez-type algorithm for free knot spline approximation.     

Dissolution of Cellulose and Lignin with Biobased Ionic Liquids

Journal of Solution Chemistry - Choline-based ionic liquids, involving various alkyl chains lengths and carboxylates derived from biobased acids, have been synthetized with high yields through a...     

CuLn complexes with a single μ-oximato bridge

Two original dinuclear (LnYb, 3 and LnEr, 4) and one trinuclear Cu^IILn^IIICu^II (LnGd, 5) complexes derived from a polydentate non symmetrical Schiff base ligand H₂L have been prepared. The ligand possesses two functions (phenol and oxime) able to coordinate the Ln ions, but structural studies (X-ray diffraction and powder X-ray diffraction) show that the Cu^II and Ln^III ions are only bridged by the oximato (NO) pair. The missing phenoxo bridge is replaced by a surprising pseudo-bridge involving one oxygen atom of the nitrato anion linked to the Cu and Ln ions according to a η²: η¹: μ mode. Although this latter contact has no role from the magnetic point of view, it introduces a large deformation of the unique bridging network. The CuYb complex 3 and the trinuclear CuGdCu complex 5 present antiferromagnetic interactions, with a J_CuGd interaction equal to ?1.25 cm^?1 in 5. The genuine single bridge can be considered as responsible for the antiferromagnetic character of the interaction.     

Sterically congested uranyl complexes with seven-coordination of the UO2 unit: the peculiar ligation mode of nitrate in [UO2(NO3)2(Rbtp)] complexes

Addition of 1 or 2 molar equiv of Rbtp [Rbtp = 2,6-bis(5,6-dialkyl-1,2,4-triazin-3-yl)pyridine; R = Me, Pr ( n )] to UO 2(OTf) 2 in anhydrous acetonitrile gave the neutral compounds [UO 2(OTf) 2(Rbtp)] [R = Me ( 1), ( n )Pr ( 2)] and the cationic complexes [UO 2(Rbtp) 2][OTf] 2 [R = Me ( 3), Pr ( n ) ( 4)], respectively. No equilibrium between the mono and bis(Rbtp) complexes or between [UO 2(Rbtp) 2][OTf] 2 and free Rbtp in acetonitrile was detected by NMR spectroscopy. The crystal structures of 1 and 3 resemble those of their terpyridine analogues, and 3 is another example of a uranyl complex with the uranium atom in the unusual rhombohedral environment. In the presence of 1 molar equiv of Rbtp in acetonitrile, UO 2(NO 3) 2 was in equilibrium with [UO 2(NO 3) 2(Rbtp)] and the formation of the bis adduct was not observed, even with an excess of Rbtp. The X-ray crystal structures of [UO 2(NO 3) 2(Rbtp)] [R = Me ( 5), Pr ( n ) ( 6)] reveal a particular coordination geometry with seven coordinating atoms around the UO 2 fragment. The large steric crowding in the equatorial girdle forces the bidentate nitrate ligands to be almost perpendicular to the mean equatorial plane, inducing bending of the UO 2 fragment. The dinuclear oxo compound [U(CyMe 4btbp) 2(mu-O)UO 2(NO 3) 3][OTf] ( 7), which was obtained fortuitously from a 1:2:1 mixture of U(OTf) 4, CyMe 4btbp, and UO 2(NO 3) 2 [CyMe 4btbp = 6,6'-bis-(3,3,6,6-tetramethyl-cyclohexane-1,2,4-triazin-3-yl)-2,2'-bipyridine] is a very rare example of a mixed valence complex involving covalently bound U (IV) and U (VI) ions; its crystal structure also exhibits a seven coordinate uranyl moiety, with one bidentate nitrate group almost parallel to the UO 2 fragment. The distinct structural features of [UO 2(kappa (2)-NO 3) 2(Mebtp)], with its high coordination number and a noticeable bending of the UO 2 fragment, and of [UO 2(kappa (2)-NO 3)(kappa (1)-NO 3)(terpy)], which displays a classical geometry, were analyzed by Density Functional Theory, considering the bonding energy components and the molecular orbitals involved in the interaction between the uranyl, nitrate, and Mebtp or terpy moieties. The unusual geometry of the Mebtp derivative with the seven coordinating atoms around the UO 2 fragment was found very stable. In both the Mebtp and terpy complexes, the origin of the interaction appears to be primarily steric (Pauli repulsion and electrostatic); this term represents 62-63% of the total bonding energy while the orbital term contributes to about 37-38%.     

The determination of organochlorine compounds and petroleum hydrocarbons in a seaweed sample: results of a world-wide intercomparison exercise

A seaweed sample (Fucus sp.) was prepared, homogenised and distributed to laboratories worldwide as the IAEA-140 intercomparison material for the analysis of organochlorine compounds and petroleum hydrocarbons. A total of 80 laboratories from 51 countries reported results for this sample. The data sets reported by laboratories were evaluated statistically and the mean concentration values could be computed with 95% confidence limits for a large number of analytes. The accuracy of the analytical performance of each laboratory has been introduced by using Z-scores. The spread of results reported generally indicates that the accurate determination of many persistent organic pollutants, such as hexachlorobenzene, lindane, Aroclors or fluoranthene, is still difficult for many laboratories. The final results of this intercomparison exercise enable individual participants to assess their performance and, where necessary, to introduce appropriate modifications in their analytical procedures. Furthermore, as a series of statistical criteria was fulfilled for a number of compounds, the sample IAEA-140 can now be used as a reference material for quality control in the determination of chlorinated compounds and petroleum hydrocarbons in environmental samples.     

Design of oxide nanoparticles by aqueous chemistry

The elaboration of nanoparticles designed for technological applications in various fields such as catalysis, optics, magnetism, electronics… needs the strict control of their characteristics, especially chemical composition, crystalline structure, size, and shape. These characteristics bring the physical properties (color, magnetism, band gap…) of the material, and also the surface to volume ratio of particles which is of high importance when they are used as a chemically active or reactive support, in catalysis for instance. The nanoparticles may have also to be surface functionalized by various species, and/or dispersed in aqueous or non aqueous media. We will show that the aqueous chemistry of metal cations is a very versatile and attractive way for the design of oxide nanomaterials, allowing the control of size, shape, and crystalline structure for polymorphic materials. Aqueous surface chemistry, including adsorption of various species, may be used to modify the morphology of nanoparticles. In some cases, redox processes can be involved to control the morphology of nanoparticles. Technologically important nanomaterials such as titania, alumina, and iron oxides are studied.     

A variety of spin-crossover behaviors depending on the counter anion: two-dimensional complexes constructed by NH...Cl- hydrogen bonds, [FeIIH3LMe]Cl.X (X = PF6 -, AsF6 -, SbF6 -, CF3SO3 -; H3L(Me) = Tris[2-{[(2-methylimidazol-4-yl)methylidene]amino}ethyl]amine)

A family of spin-crossover (SC) complexes, [Fe(II)H(3)L(Me)]Cl.X (X(-) = PF(6) (-), AsF(6) (-), SbF(6) (-), CF(3)SO(3) (-)), 1-4, has been synthesized, in which H(3)L(Me) denotes the hexadentate N(6) tripod-like ligand tris[2-{[(2-methylimidazol-4-yl)methylidene]amino}ethyl]amine, containing three imidazole groups, with a view to establishing the effect of the counter anion on the SC behavior. These complexes have been found to crystallize in the same monoclinic crystal system with similar cell dimensions. The general crystal structure consists of a two-dimensional (2D) extended network constructed by NH...Cl- hydrogen bonds between Cl- and the imidazole NH groups of three neighboring [Fe(II)H(3)L(Me)]2+ ions, while the anion X exists as an isolated counter anion and occupies the space between the 2D sheets. Magnetic susceptibilities and M?ssbauer spectra have revealed a variety of SC behaviors depending on the counter anion, including a one-step HS<==>(HS + LS)/2 (1, X = PF(6) (-)), a two-step HS<==>(HS + LS)/2<==>LS with a slow thermal relaxation (2, X = AsF(6) (-)), a gradual one-step HS<==>LS (3, X = SbF(6) (-)), and a steep one-step HS<==>LS with hysteresis (4, X = CF(3)SO(3) (-)). The complexes assume the space group P2(1)/n in the HS state, P2(1) in the HS + LS state, and P2(1)/n in the LS state. The Fe-N bond lengths and the N-Fe-N bond angles are indicative of the HS, HS + LS, and LS states. The molecular volumes, V, of the counter anions have been evaluated by quantum-chemical calculations as follows: 53.4 A(3) (BF(4) (-)), 54.4 A(3) (ClO(4) (-)), 73.0 A(3) (PF(6) (-)), 78.5 A(3) (AsF(6) (-)), 88.7 A(3) (SbF(6) (-)), and 86.9 A(3) (CF(3)SO(3) (-)). The size and shape of the counter anion affects the flexible 2D network structure constructed by the hydrogen bonds, leading to modifications of the SC behavior. These estimated relative sizes of the counter anions correlate well with the observed SC behaviors.