Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures

This paper studies a heavy-tailed stochastic volatility (SV) model with leverage effect, where a bivariate Student-t distribution is used to model the error innovations of the return and volatility equations. Choy et al. (2008) studied this model by expressing the bivariate Student-t distribution as a scale mixture of bivariate normal distributions. We propose an alternative formulation by first deriving a conditional Student-t distribution for the return and a marginal Student-t distribution for the log-volatility and then express these two Student-t distributions as a scale mixture of normal (SMN) distributions. Our approach separates the sources of outliers and allows for distinguishing between outliers generated by the return process or by the volatility process, and hence is an improvement over the approach of Choy et al. (2008). In addition, it allows an efficient model implementation using the WinBUGS software. A simulation study is conducted to assess the performance of the proposed approach and its comparison with the approach by Choy et al. (2008). In the empirical study, daily exchange rate returns of the Australian dollar to various currencies and daily stock market index returns of various international stock markets are analysed. Model comparison relies on the Deviance Information Criterion and convergence diagnostic is monitored by Geweke’s convergence test.     

Prospects for the use of high-Tc superconductors in fusion magnets and options for their test in SULTAN

In the last few years, the critical current densities of long commercially available REBa₂Cu₃O_7?x (RE-123, where RE represents Y or a rare earth element) coated conductors have reached values of 250 A/cm-width at 77 K and zero applied field. Even higher values of 600 A/cm-w (77 K, B = 0) have been demonstrated in shorter lengths. The attractive features of the use of these high-T_c superconductors (HTS) are operation temperatures above 20 K and/or magnetic fields higher than those envisaged for the ITER TF coils. Possible operation conditions for HTS fusion magnets have been studied taking into consideration the possible further improvements of RE-123 coated conductors. Investigations of stability and quench behavior indicate that stability is not a problem, whereas quench detection and protection need attention. Because of the high currents necessary for fusion magnets, many tapes need to be assembled into a transposed conductor. The qualification of HTS conductors for fusion magnets would require their test at magnetic fields of 11 T and currents well above 10 kA. The possibilities to test straight HTS conductor samples in SULTAN have been considered. For a test at 4.5 K, only the development of a low resistance joint between the HTS conductor under test and the NbTi transformer of SULTAN would be necessary. Tests up to 20 K would require that the HTS sample is connected with the NbTi transformer by a conduction-cooled HTS bus bar of large thermal resistance similar to the HTS module of a current lead. HTS conductor tests at temperatures around 50 K would be possible with modified cryogenics.     

The effects of geometry on skin penetration and failure of polymer microneedles

Microneedles are small-scale devices that may be used for drug delivery and biosensing. In this study, the forces required for mechanical failure, the modes of mechanical failure, as well as the mechanisms for microneedle penetration into porcine skin were examined. Microneedles produced from the acrylate-based polymer e-Shell 200 using an indirect rapid prototyping approach involving two-photon polymerization and poly(dimethylsiloxane) micromolding were found to possess sufficient strength for penetration of porcine skin. The failure forces were an order of magnitude greater than the forces necessary for full insertion into the skin. Bending was the most common form of failure; an increasing aspect ratio and a decreasing tip diameter were associated with lower failure forces. Video captured during skin penetration revealed that microneedle penetration into the skin occurred by means of a series of insertions and not by means of a single insertion event. Images obtained during and after skin penetration confirmed microneedle penetration of skin as well as transdermal delivery of lucifer yellow dye. These findings shed insight into the mechanisms of microneedle penetration and failure, facilitating design improvements for polymer microneedles.     

Comparison of Two Enzyme Sequences for a Novel L-Malate Biosensor

Two novel amperometric biosensors for the determination of L -malic acid in food samples have been compared. Both sensors make use of a Clark-type O₂-electrode but differ in the enzymes used. The first sensor is composed of malate dehydrogenase (decarboxylating), also known as ‘malic enzyme’ (MDH(dec.), EC 1.1.1.40) and pyruvate oxidase (POP, EC 1.2.3.3). It covers a linear detection range from 1 μmol dm⁻³ to 0·9 mmol dm⁻³ L -malate, with a response time of 1·5 min (t₉₀) and a relative standard deviation of 3·5%. Measurements with real samples offered a good correlation with the standard enzymatic assay (difference ±7%). Stored at room temperature, the response of the sensor is constant for 8 days. The second biosensor is based on the three enzyme sequence malate dehydrogenase (MDH, EC 1.1.1.37), oxaloacetate decarboxylase (OAC, EC 4.1.1.3) and pyruvate oxidase (POP, EC 1.2.3.3). It has a non-linear calibration curve. Concentrations from 5 μmol dm⁻³ to 1 mmol dm⁻³ L -malate can be detected, within a response time of 1·5 min and with a relative standard deviation of 20%. The lower detection limit for L -malate is 2 μmol dm⁻³. The response is constant for 10 days when the sensor is stored at room temperature.     

Blue pigments based on CoxZn1−xAl2O4 spinels synthesized by the polymeric precursor method

The Co_xZn_1?xAl₂O₄ system (x = 0; 0.1; 0.3; 0.5; 0.7; 0.9 and 1) was synthesized by the polymeric precursor method and characterized by the techniques XRD, TG-DTA, IR, UV–vis and colorimetry. The XRD patterns displayed the characteristic peaks of the spinel structure and a good crystallinity. The DTA curves showed an exothermic peak corresponding to the enthalpy of the transition taking place at about 700 °C. The infrared spectra displayed vibrations at about 650, 550, 540, 520, 500, 490 cm^?1, which were ascribed to the spinel structure. The UV–vis spectra presented three bands at 550, 580 and 620 nm attributed to the Co²⁺ spin transitions in tetrahedral sites. The colorimetric data point out the formation of blue pigments, corresponding to highly negative values of b¹. The lightness, coordinate L¹, increases with the heat treatment temperature. These facts reveal that Co_xZn_1?xAl₂O₄ is a promising system that can be employed to obtain ceramic blue pigments.     

Hydrogen isotopic enrichment: an indicator of biodegradation at a petroleum hydrocarbon contaminated field site

Compound-specific carbon and hydrogen isotope analysis was used to investigate biodegradation of benzene and ethylbenzene in contaminated groundwater at Dow Benelux BV industrial site. delta13C values for dissolved benzene and ethylbenzene in downgradient samples were enriched by up to 2+/-0.5 per thousand, in 13C, compared to the delta13C value of the source area samples. delta2H values for dissolved benzene and ethylbenzene in downgradient samples exhibited larger isotopic enrichments of up to 27+/-5 per thousand for benzene and up to 50+/-5 per thousand for ethylbenzene relative to the source area. The observed carbon and hydrogen isotopic fractionation in downgradient samples provides evidence of biodegradation of both benzene and ethylbenzene within the study area at Dow Benelux BV. The estimated extents of biodegradation of benzene derived from carbon and hydrogen isotopic compositions for each sample are in agreement, supporting the conclusion that biodegradation is the primary control on the observed differences in carbon and hydrogen isotope values. Combined carbon and hydrogen isotope analyses provides the ability to compare biodegradation in the field based on two different parameters, and hence provides a stronger basis for assessment of biodegradation of petroleum hydrocarbon contaminants.