Robust pair‐copula based forecasts of realized volatility

A useful application for copula functions is modeling the dynamics in the conditional moments of a time series. Using copulas, one can go beyond the traditional linear ARMA (p,q) modeling, which is solely based on the behavior of the autocorrelation function, and capture the entire dependence structure linking consecutive observations. This type of serial dependence is best represented by a canonical vine decomposition, and we illustrate this idea in the context of emerging stock markets, modeling linear and nonlinear temporal dependences of Brazilian series of realized volatilities. However, the analysis of intraday data collected from e‐markets poses some specific challenges. The large amount of real‐time information calls for heavy data manipulation, which may result in gross errors. Atypical points in high‐frequency intraday transaction prices may contaminate the series of daily realized volatilities, thus affecting classical statistical inference and leading to poor predictions. Therefore, in this paper, we propose to robustly estimate pair‐copula models using the weighted minimum distance and the weighted maximum likelihood estimates (WMLE). The excellent performance of these robust estimates for pair‐copula models are assessed through a comprehensive set of simulations, from which the WMLE emerged as the best option for members of the elliptical copula family. We evaluate and compare alternative volatility forecasts and show that the robustly estimated canonical vine‐based forecasts outperform the competitors. Copyright © 2013 John Wiley & Sons, Ltd.     

Congruence properties of pseudocomplemented De Morgan algebras

In this paper we first describe the Priestley duality for pseudocomplemented De Morgan algebras by combining the known dualities of distributive p‐algebras due to Priestley and for De Morgan algebras due to Cornish and Fowler. We then use it to characterize congruence‐permutability, principal join property, and the property of having only principal congruences for pseudocomplemented De Morgan algebras. The congruence‐uniform pseudocomplemented De Morgan algebras are also described.     

Oxidation of ethanolamines by sodium N‐bromobenzenesulfonamide in alkaline buffer medium: A kinetic and mechanistic study

The kinetics of oxidation of ethanolamines, monoethanolamine (MEA), diethanolamine (DEA), and triethanolamine (TEA), by sodium N‐bromobenzenesulfonamide or bromamine‐B (BAB) in alkaline buffer medium (pH 8.7–12.2) has been studied at 40°C. The three reactions follow identical kinetics with first‐order in [oxidant] and fractional‐order each in [substrate] and [OH^?]. Under comparable experimental conditions, the rate of oxidation increases in the order: DEA > TEA > MEA. The added reaction product, benzenesulfonamide, retards the reaction rate. The addition of halide ions and the variation of ionic strength of the medium have no significant effect on the rate. The dielectric effect is negative. The solvent isotope effect k′(H₂O)/k′(D₂O) ≈ 0.92. Activation parameters for the composite reaction and for the rate‐limiting step were computed from the Eyring plots. Michaelis‐Menten type of kinetics is observed. The formation and decomposition constants of ethanolamine‐BAB complexes are evaluated. An isokinetic relationship is observed with β = 430 K indicating that enthalpy factors control the rate. For each substrate, a mechanism consistent with the kinetic data has been proposed. © 2001 John Wiley & Sons, Inc. Int J Chem Kinet 33: 480–490, 2001     

A mathematical analysis of a nonisothermal Allen–Cahn type system: error estimates

In this article, under certain conditions, we prove the regularity for the solutions of an Allen–Cahn phase‐field type system obtained as limits of approximate solutions constructed by using a semidiscrete spectral Galerkin method. With the help of this improved regularity, as one compares to previous results, we then derive error estimates for the approximate solutions in terms of the inverse of the eigenvalues of the Laplacian operator. The system under investigation may model the evolution of solidification or melting of certain binary alloys. Copyright © 2012 John Wiley & Sons, Ltd.     

A rapid and specific derivatization procedure to identify acyl‐glucuronides by mass spectrometry

A simple procedure is described to identify acyl‐glucuronides by coupled liquid chromatography/mass spectrometry after derivatization to a hydroxamic acid with hydroxylamine. The reaction specificity obviates the need for isolation of the acyl‐glucuronide from an extract. Glucuronides derived from carbamic acids, and alkyl‐ and aromatic amines, are inert to the derivatization reaction conditions, making the hydroxamic acid derivative a fingerprint for acyl‐glucuronides. Copyright © 2010 John Wiley & Sons, Ltd.     

Synthesis and Properties of New 2-[2-(N-alkyl)-pyridinium]-4,4,5,5-tetramethylimidazoline-1-oxyl-3-oxide Iodide Radicals

2-(2-pyridyl)-4,4,5,5-tetramethylimidazoline-1-oxyl-3-oxide radical 2 and the 2-[2-(N-alkyl)-pyrid-inium] derivatives (3a and 3b) were synthesized and characterized by elemental analysis, melting points, and spectroscopy. The density functional theory (DFT) was used in order to obtain the structures and electronic properties of the new nitronyl nitroxide radicals. Modified reaction procedures of the intermediates are described with better yield and purity of the final products. The magnetic properties of the compounds 2, 3a, and 3b are predicted for the first time using a simple model of charge transference, in the framework of the molecular orbital calculations. The obtained results show that the substituent at the central carbon atom of the imidazoline is important to determine the spin distribution and consequently the nature of the magnetic interaction.     

Solving the Problem of Rerostering Nurse Schedules with Hard Constraints: New Multicommodity Flow Models

The problem of rerostering nurse schedules arises in hospitals when at least one nurse informs that she will be unable to perform the shifts assigned to her on one or more future work days. As a result, the current roster must be rebuilt in accordance with labour contract rules and institutional requirements. All such restraints are regarded as hard constraints. However, major alterations in the previously assigned nurse schedules must be avoided. This paper is based on a case study of a public hospital in Portugal. It presents two new integer multicommodity flow formulations for the rerostering problem, besides a computational experiment performed using real data. The first model is based on a directed multilevel acyclic network. The aggregation of nodes in this network led to the second model. The results obtained show that the second integer multicommodity flow formulation outperforms the first, both in terms of solution quality, as well as in computational time.