Medium‐term horizon volatility forecasting: A comparative study

In this paper, volatility is estimated and then forecast using unobserved components‐realized volatility (UC‐RV) models as well as constant volatility and GARCH models. With the objective of forecasting medium‐term horizon volatility, various prediction methods are employed: multi‐period prediction, variable sampling intervals and scaling. The optimality of these methods is compared in terms of their forecasting performance. To this end, several UC‐RV models are presented and then calibrated using the Kalman filter. Validation is based on the standard errors on the parameter estimates and a comparison with other models employed in the literature such as constant volatility and GARCH models. Although we have volatility forecasting for the computation of Value‐at‐Risk in mind the methodology presented has wider applications. This investigation into practical volatility forecasting complements the substantial body of work on realized volatility‐based modelling in business. Copyright © 2007 John Wiley & Sons, Ltd.     

An evaluation of gas-phase micro-mixing models with differential mixing timescales in transported PDF simulations of sooting flame DNS

The use of transported probability density function (TPDF) models to predict soot has the strong advantage that the effects of turbulent fluctuations on soot source terms can be rigorously accounted for. However, soot processes are closely coupled to gas-phase composition. Among the open issues for gas-phase micro-mixing is the species-dependence of mixing timescales. The objective is to carry out an evaluation on the effect of incorporating differential mixing timescales among gas-phase species in a TPDF simulation for soot prediction. A DNS having the configuration of a temporally evolving, non-premixed ethylene flame with a four-step, three-moment soot model is considered as the target for evaluation. The DNS dataset is applied to provide key inputs for TPDF simulations to limit the sources of error to micro-mixing. TPDF simulations with the interaction by exchange with the mean (IEM) and modified Curl (MC) models, which impose the same mixing timescale to all species, underpredict soot mass fraction and overpredict extinction levels regardless of the prescribed mixing frequency. By incorporating differential mixing timescales among gas-phase species, IEM-DD and MC-DD models yield notable improvement in predictions of the overall extinction and soot levels, highlighting the benefit of accounting for differential mixing timescales. A TPDF simulation with the Euclidean minimum spanning tree (EMST) model yields even better predictions, illustrating that the localness in composition space remains a critical issue. The indicated species mixing frequencies by the EMST model are shown to follow the DNS results qualitatively, illustrating that the micro-mixing process based on the Euclidean distance in composition space reproduces to a certain extent the differential mixing timescales due to reaction. Finally, it is shown that incorporating differential mixing timescales of soot moments is expected to have limited value as the mixing timescales of soot moments are sufficiently large to safely neglect soot mixing.     

Stress evaluation in low-modulus and viscoelastic materials using phtoelastic glass inclusions

Stressmeters are gages designed to enable stress changes to be determined without the need to know the elasticity moduli of the body being studied. This paper describes a technique by which the magnitude of the greatest principal stress in a biaxial-stress field can be determined from the isochromatic fringe pattern in a hollow-cylindrical-glass stressmeter. The influence of the moduli and Poisson's ratio of the meter and host material on the sensitivity of the meter are discussed in detail. It is shown that, for a wide range of rock and concrete-like materials, a glass stressmeter will enable the stresses to be determined directly from the meter readings. Experiments to investigate the behavior of photoelastic stressmeters in host materials which are creeping under stress are described. Results of tests using frozen sand slabs have shown that under uniaxial stress there is little effect of creep on the meter readings until excessive fracturing occurs. There is also close agreement between the theoretical and experimental values for the meter sensitivity when it is assumed that the Poisson's ratio of the host materials falls to 0.5 during creep. When set in such materials the final sensitivity of the meter is also independent of the modulus of the meter provided that creep is continuous. Experiments are described which show that, in a material which is creeping, the stress can be determined by inserting a stressmeter and measuring the final steady reading.     

Structural studies and T c dependence in La2−x Dy x Ca y Ba2Cu4+y O z type mixed oxide superconductors

A new series of mixed oxide superconductors with the stoichiometric composition La_2−x Dy _x Ca _y Ba₂Cu_4+y O _z (x=0.0 − 0.5, y=2x) has been studied for structural and superconductiong properties. Our earlier studies on La_2−x (Y/Er) _x Ca _y Ba₂Cu_4+y O _z series, show a strong dependence of T _c on hole concentration (p _sh). In the present work, the results of the analysis of the neutron diffraction measurements at room temprerature on x=0.3 and 0.5 samples are reported. It is interesting to know that Ca substitutes for both La and Ba site with concomitant displacement of La onto Ba site. Superconductivity studies show that maximum T _c is obtained for x=0.5, y=1.0 sample (T _c ∼ 75 K), for La_1.5Dy_0.5Ca₁Ba₂Cu₅O _z (La-2125).     

The 1H And 2H NMR Spectra Of HFeCo3 (CO)12

The detection of the ²H resonance of ²HfeCo₃ (CO)₁₂ led to the detection of the broader ₁H resonance of the ₁H isotopomer. The shift is -21.4 ppm.     

Digital approaches to field neutron spectrometry

Miniature digitising electronics have been coupled to a detector based on an organic liquid scintillator to form a digital neutron and gamma spectrometer. The electronics used are small enough to be packaged with a detector to form an easily portable unit. This miniaturisation has some impact on the achievable sampling rate and resolution, in comparison with the bulkier devices often used for such an application, so it is not clear which of the many pulse shape discrimination algorithms reported in the literature is best suited for use with this device. To explore this, the spectrometer was exposed to a selection of the radiation fields available at NPL, and three different neutron/gamma discrimination algorithms were compared on an equal footing. The energy resolution of the device, and its ease of use, were compared with those of a conventional analogue system.     

Search for T, CP, and CPT violation in B0-B0 mixing with inclusive dilepton events

We report the results of a search for T, CP, CPT, and violation in B0-B0 mixing using an inclusive dilepton sample collected by the BABAR experiment at the PEP-II factory. Using a sample of 232 x 10(6) BB pairs, we measure the T and CP violation parameter |q/p| - 1 = (-0.8 +/- 2.7(stat) +/- 1.9(syst) x 10(-3), and the CPT and CP parameters Imz = (13.9 +/- 7.3(stat) +/- 3.2(syst)) x 10(-3) and Delta Gamma x Rez = (7.1 +/- 3.9(stat) +/- 2.0(stat)) x 10(-3) ps(-1). The statistical correlation between the measurements of Imz and Delta Gamma x Rez is 76%.     

Measurements of the absolute branching fractions of B+/- --> K+/-X(cc)

We study the two-body decays of B+/- mesons to K+/- and a charmonium state X(cc) in a sample of 210.5 fb(-1) of data from the BABAR experiment. We perform measurements of absolute branching fractions beta(B+/- --> K+/-X(cc)) using a missing mass technique, and report several new or improved results. In particular, the upper limit beta(B+/- --> K+/- X(3872)) < 3.2 x 10(-4) at 90% C.L. and the inferred lower limit beta(X(3872)J/psipi+ pi-) > 4.2% will help in understanding the nature of the recently discovered X(3872).     

Search for lepton flavor violating decays tau+/--->l+/-omega

A search for lepton flavor violating decays of a tau to a lighter-mass charged lepton and an omega vector meson is performed using 384.1 fb(-1) of e(+)e(-) annihilation data collected with the BABAR detector at the Stanford Linear Accelerator Center PEP-II storage ring. No signal is found, and the upper limits on the branching ratios are determined to be B(tau(+/-)-->e;{+/-}omega)<1.1 x10 (-7) and B(tau(+/-)-->micro(+/-)omega)<1.0 x 10(-7) at 90% confidence level.