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.     

Possible Role of the Iron Coordination Sphere in Hemoprotein Electron Transfer Self-Exchange: (1)H NMR Study of the Cytochrome c-PMe(3) Complex

The rates of self-exchange electron transfer in the trimethylphosphine complex of cytochrome c have been measured by an NMR technique over a large range of ionic strengths. The rate constant is 1.56 x 10(4) M(-)(1) s(-)(1) at 23 degrees C (&mgr; = 0.34 M) at pH 6.9. Dependence on ionic strength of the rate constant is treated by van Leeuwen theory. Extrapolation of the rate constant to infinite ionic strength gives a rate constant of 3.9 x 10(5) M(-)(1) s(-)(1). This rate constant is compared with others reported for myoglobin and cytochrome b(5)(). The values for these systems range over 2 orders of magnitude with myoglobin-PMe(3) < cytochrome b(5)() < cytochrome c-PMe(3) < cytochrome c. Analysis of the data in terms of Marcus theory gives a reorganization energy, lambda, for self-exchange of 0.75 eV mol(-)(1) for cytochrome c-PMe(3). Substitution of Met-80 by PMe(3) appears to influence only weakly the rearrangement barrier to electron transfer.     

Conformation of N(alpha)-substituted hydrazino acetamides in CDCl3, the precious help of the analysis of Deltadelta between amidic hydrogens, and correlation to the conformation of aza-beta3-peptides

[structures: see text] We studied the conformation of a series of primary amides in a solution of chloroform. Classical NMR tools such as dilution experiments, influence of DMSO, and 2D-NOESY, together with X-ray diffraction, were combined with an analysis of the difference of the chemical shift Deltadelta between the geminal amidic protons. This study was addressed in order to understand the conformation adopted by hydrazino acetamides 1a and 1b as model compounds for aza-beta3-peptides. In this manner, it was possible to show that the amidic group of these compounds acts as a H-bond donor and interacts with two different H-bond acceptors. We concluded that the hydrazinoturn, a specific bifurcated H-bond system observed in the solid state, is also the preferred conformation of hydrazino acetamides 1a and 1b in solution. Our results show that the short-range interaction with the N(alpha)-nitrogen lone pair not only stabilizes the C8 pseudocycle but could also contribute to the folding process of aza-beta3-peptides. In light of this, it could explain why aza-beta3-peptides develop a different H-bond network in comparison to their isosteric beta3-peptides analogues. Our work is in keeping with the recent interest of hydrazino peptides as an extension of the beta-peptide concept.     

The dynamical properties of the aromatic hydrogen bond in NH4(C6H5)4B from quasielastic neutron scattering

NH(4)(C(6)H(5))(4)B represents a prototypical system for understanding aromatic H bonds. In NH(4)(C(6)H(5))(4)B an ammonium cation is trapped in an aromatic cage of four phenyl rings and each phenyl ring serves as a hydrogen bond acceptor for the ammonium ion as donor. Here the dynamical properties of the aromatic hydrogen bond in NH(4)(C(6)H(5))(4)B were studied by quasielastic incoherent neutron scattering in a broad temperature range (20< or =T< or =350 K). We show that in the temperature range from 67 to 350 K the ammonium ions perform rotational jumps around C(3) axes. The correlation time for this motion is the lifetime of the "transient" H bonds. It varies from 1.5 ps at T=350 K to 150 ps at T=67 K. The activation energy was found to be 3.14 kJ mol, which means only 1.05 kJ mol per single H bond for reorientations around the C(3) symmetry axis of the ammonium group. This result shows that the ammonium ions have to overcome an exceptionally low barrier to rotate and thereby break their H bonds. In addition, at temperatures above 200 K local diffusive reorientational motions of the phenyl rings, probably caused by interaction with ammonium-group reorientations, were found within the experimental observation time window. At room temperature a reorientation angle of 8.4 degrees +/-2 degrees and a correlation time of 22+/-8 ps were determined for the latter. The aromatic H bonds are extremely short lived due to the low potential barriers allowing for molecular motions with a reorientational character of the donors. The alternating rupture and formation of H bonds causes very strong damping of the librational motion of the acceptors, making the transient H bond appear rather flexible.     

Structural characterization of phosphatidylcholines by atmospheric pressure photoionization mass spectrometry

The potential of atmospheric pressure photoionization was investigated for the structural analysis of phosphatidylcholine lipids (PCs). [M+H]+ ions of high abundance were obtained, along with several fragment ions. Three of these dissociation products corresponded to quite unusual fragmentation pathways but allowed the determination of both the nature and the position on the glycerol backbone (sn-1 or sn-2) of the fatty acyl chains. The loss of a methyl group from the choline head was also observed. These results suggest a complex ionization mechanism in APPI. However, this method proved to be very powerful for the rapid structural analysis of PC species without using MS/MS experiments.     

Strong,Thermally Superinsulating Biopolymer–Silica Aerogel Hybrids by Cogelation of Silicic Acid with Pectin

Silica aerogels are excellent thermal insulators, but their brittle nature has prevented widespread application. To overcome these mechanical limitations, silica–biopolymer hybrids are a promising alternative. A one‐pot process to monolithic, superinsulating pectin–silica hybrid aerogels is presented. Their structural and physical properties can be tuned by adjusting the gelation pH and pectin concentration. Hybrid aerogels made at pH 1.5 exhibit minimal dust release and vastly improved mechanical properties while remaining excellent thermal insulators. The change in the mechanical properties is directly linked to the observed “neck‐free” nanoscale network structure with thicker struts. Such a design is superior to “neck‐limited”, classical inorganic aerogels. This new class of materials opens up new perspectives for novel silica–biopolymer nanocomposite aerogels.     

Distinction between surface hydroxyl and ether groups on boron-doped diamond electrodes using a chemical approach

While it is clearly established that oxidation of as-grown boron-doped diamond (BDD) interfaces results in the introduction of different surface oxygen functions such as ether, carbonyl and hydroxyl groups, there is no reported approach which can clearly distinguish between the different surface functions. For further surface functionalization, it is important to quantify the presence of each group on the diamond surface. In this paper, the presence and amount of surface hydroxyl groups is identified using esterification of the COH groups with trifluoroacetic acid. The presence of CF₃ group in the acid allowed the identification and estimation of the amount of surface hydroxyl groups using X-ray photoelectron spectroscopy (XPS).     

Modular access to heterocycles: methyl 3-aminobenzo[<Emphasis Type="Italic">b</Emphasis>]thiophene-2-carboxylate–thiourea linkage or pyrimidine-4-one-2-thione formation

Abstract  Modular conditions for the formation of thioureas or pyrimidine-4-one-2-thiones connected to the benzo[b]thiophene, benzene and indole structures were performed. A benzo[b]thiophene isothiocyanate derivative was used as a model to study the condensation with simple aromatic amines and amino-l-sorbose derivative. The construction of pyrimidine-4-one-2-thiones using basic conditions afforded efficiently new heterocyclic aromatics, which were further transformed using the alkylated sulfur as a leaving group in palladium-catalyzed cross-coupling reactions. Graphical abstract