Stochastic volatility of volatility in continuous time

DEFF Research Database (Denmark)

Barndorff-Nielsen, Ole; Veraart, Almut

This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility...... of volatility can be defined both non-parametrically, where we link it to the quadratic variation of the stochastic variance process, and parametrically, where we propose two new SV models which allow for stochastic volatility of volatility. In addition, we show that volatility of volatility can be estimated...

Dilution and volatilization of groundwater contaminant discharges in streams

DEFF Research Database (Denmark)

Aisopou, Angeliki; Bjerg, Poul Løgstrup; Sonne, Anne Thobo

2015-01-01

measurement. The solution was successfully applied to published field data obtained in a large and a small Danish stream and provided valuable information on the risk posed by the groundwater contaminant plumes. The results provided by the dilution and volatilization model are very different to those obtained......An analytical solution to describe dilution and volatilization of a continuous groundwater contaminant plume into streams is developed for risk assessment. The location of groundwater plume discharge into the stream (discharge through the side versus bottom of the stream) and different...

The Pricing of Options on Assets with Stochastic Volatilities.

OpenAIRE

Hull, John C; White, Alan D

1987-01-01

One option-pricing problem which has hitherto been unsolved is the pricing of European call on an asset which has a stochastic volatility. This paper examines this problem. The option price is determined in series form for the case in which the stochastic volatility is independent of the stock price. Numerical solutions are also produced for the case in which the volatility is correlated with the stock price. It is found that the Black-Scholes price frequently overprices options and that the ...

Ammonia volatilization from sows on grassland

Science.gov (United States)

Sommer, S. G.; Søgaard, H. T.; Møller, H. B.; Morsing, S.

According to regulations, sows with piglets on organic farms must graze on pastures. Volatilization of ammonia (NH 3) from urine patches may represent a significant source of nitrogen (N) loss from these farms. Inputs of N are low on organic farms and losses may reduce crop production. This study examined spatial variations in NH 3 volatilization using a movable dynamic chamber, and the pH and total ammoniacal nitrogen (TAN) content in the topsoil of pastures with grazing sows was measured during five periods between June 1998 and May 1999. Gross NH 3 volatilization from the pastures was also measured with an atmospheric mass balance technique during seven periods from September 1997 until June 1999. The dynamic chamber study showed a high variation in NH 3 volatilization because of the distribution of urine; losses were between 0 and 2.8 g NH 3-N m -2 day -1. Volatilization was highest near the feeding area and the huts, where the sows tended to urinate. Ammonia volatilization rate was linearly related to the product of NH 3 concentration in the boundary layer and wind speed. The NH 3 in the boundary layer was in equilibrium with NH 3 in soil solution. Gross NH 3 volatilization was in the range 0.07-2.1 kg NH 3-N ha -1 day -1 from a pasture with 24 sows ha -1. Ammonia volatilization was related to the amount of feed given to the sows, incident solar radiation and air temperature during measuring periods, and also to temperature, incident solar radiation and rain 1-2 days before measurements. Annual ammonia loss was 4.8 kg NH 3-N sow -1.

Price volatility in wind dominant electricity markets

DEFF Research Database (Denmark)

Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe

2013-01-01

High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance...... to generation combination portfolio. Proposed solutions should be able to tackle with emerging challenges which are mainly due to high variability and unpredictability of intermittent renewable resources. In this paper high price volatility will be introduced as an emerging challenge in wind dominant...... electricity markets. High price volatility is unappreciated because it imposes high financial risk levels to both electricity consumers and producers. Additionally high price variations impede tracking price signals by consumers in future smart grid and jeopardize implementation of demand response concepts...

The effect of ginger and garlic addition during cooking on the volatile profile of grass carp (Ctenopharyngodon idella) soup.

Science.gov (United States)

Li, Jin-Lin; Tu, Zong-Cai; Zhang, Lu; Sha, Xiao-Mei; Wang, Hui; Pang, Juan-Juan; Tang, Ping-Ping

2016-08-01

Ginger and garlic have long been used in Asian countries to enhance the flavor and to neutralize any unpleasant odors present in fish soup. The purpose of this study was to evaluate the change in the amount of volatile components present in fish soup compared to boiled water solutions of ginger and garlic. The fish soup was prepared by boiling oil-fried grass carp ( Ctenopharyngodon idella ) with or without ginger and/or garlic. Generally, boiling garlic and ginger in water led to a decrease in the amount of the principal volatile constituents of these spices, together with the formation of some new volatiles such as pentanal, hexanal, and nonanal. The results showed that 16 terpenes present in raw ginger, predominantly camphene, β -phellandrene, β -citral, α -zingiberene, and ( E )-neral, were detected in fish soup with added ginger and thus remained in the solution even after boiling. Similarly, 2-propen-1-ol and three sulfur compounds (allyl sulfide, diallyl disulfide, and diallyl trisulfide) present in raw garlic, were present in trace amounts in the boiled garlic solution, but were present in considerably larger amounts in the boiled fish solution with garlic or garlic plus ginger. In conclusion, the effect of adding spices on the volatile profile of grass carp soup can be attributed to the dissolution of flavor volatiles mainly derived from raw spices into the solution, with few additional volatiles being formed during boiling. In addition, boiling previously fried grass carp with spices led to enhanced volatile levels compared to boiled spice solutions.

A closed form solution for vulnerable options with Heston’s stochastic volatility

International Nuclear Information System (INIS)

Lee, Min-Ku; Yang, Sung-Jin; Kim, Jeong-Hoon

2016-01-01

Over-the-counter stock markets in the world have been growing rapidly and vulnerability to default risks of option holders traded in the over-the-counter markets became an important issue, in particular, since the global finance crisis and Eurozone crisis. This paper studies the pricing of European-type vulnerable options when the underlying asset follows the Heston dynamics. In this paper, we obtain a closed form analytic formula of the option price as a stochastic volatility extension of the classical Heston formula and find how the stochastic volatility effect on the Black–Scholes price as well as on the decreasing speed of the option price with credit risk depends on moneyness.

Organic non-volatile memories from ferroelectric phase-separated blends

Science.gov (United States)

Asadi, Kamal; de Leeuw, Dago M.; de Boer, Bert; Blom, Paul W. M.

2008-07-01

New non-volatile memories are being investigated to keep up with the organic-electronics road map. Ferroelectric polarization is an attractive physical property as the mechanism for non-volatile switching, because the two polarizations can be used as two binary levels. However, in ferroelectric capacitors the read-out of the polarization charge is destructive. The functionality of the targeted memory should be based on resistive switching. In inorganic ferroelectrics conductivity and ferroelectricity cannot be tuned independently. The challenge is to develop a storage medium in which the favourable properties of ferroelectrics such as bistability and non-volatility can be combined with the beneficial properties provided by semiconductors such as conductivity and rectification. Here we present an integrated solution by blending semiconducting and ferroelectric polymers into phase-separated networks. The polarization field of the ferroelectric modulates the injection barrier at the semiconductor-metal contact. The combination of ferroelectric bistability with (semi)conductivity and rectification allows for solution-processed non-volatile memory arrays with a simple cross-bar architecture that can be read out non-destructively. The concept of an electrically tunable injection barrier as presented here is general and can be applied to other electronic devices such as light-emitting diodes with an integrated on/off switch.

Nonvolatile, semivolatile, or volatile: redefining volatile for volatile organic compounds.

Science.gov (United States)

Võ, Uyên-Uyén T; Morris, Michael P

2014-06-01

Although widely used in air quality regulatory frameworks, the term "volatile organic compound" (VOC) is poorly defined. Numerous standardized tests are currently used in regulations to determine VOC content (and thus volatility), but in many cases the tests do not agree with each other, nor do they always accurately represent actual evaporation rates under ambient conditions. The parameters (time, temperature, reference material, column polarity, etc.) used in the definitions and the associated test methods were created without a significant evaluation of volatilization characteristics in real world settings. Not only do these differences lead to varying VOC content results, but occasionally they conflict with one another. An ambient evaporation study of selected compounds and a few formulated products was conducted and the results were compared to several current VOC test methodologies: SCAQMD Method 313 (M313), ASTM Standard Test Method E 1868-10 (E1868), and US. EPA Reference Method 24 (M24). The ambient evaporation study showed a definite distinction between nonvolatile, semivolatile, and volatile compounds. Some low vapor pressure (LVP) solvents, currently considered exempt as VOCs by some methods, volatilize at ambient conditions nearly as rapidly as the traditional high-volatility solvents they are meant to replace. Conversely, bio-based and heavy hydrocarbons did not readily volatilize, though they often are calculated as VOCs in some traditional test methods. The study suggests that regulatory standards should be reevaluated to more accurately reflect real-world emission from the use of VOC containing products. The definition of VOC in current test methods may lead to regulations that exclude otherwise viable alternatives or allow substitutions of chemicals that may limit the environmental benefits sought in the regulation. A study was conducted to examine volatility of several compounds and a few formulated products under several current VOC test

A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

Science.gov (United States)

Hozman, J.; Tichý, T.

2017-12-01

Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

Adsorption of Volatile Organic Compounds from Aqueous Solution by Granular Activated Carbon in Batch System

International Nuclear Information System (INIS)

Zeinali, F.; Ghoreyshi, A. A.; Najafpour, G.

2011-01-01

Chlorinated hydrocarbons and aromatics are the major volatile organic compounds that contaminate the ground water and industrial waste waters. The best way to overcome this problem is to recover the dissolved compounds in water. In order to evaluate the potential ability of granular activated carbon for recovery of volatile organic compounds from water, the equilibrium adsorption was investigated. This study deals with the adsorption of dichloromethane as a typical chlorinated volatile organic compound and toluene as the representative of aromatic volatile organic compounds on a commercial granular activated carbon. The adsorption isotherms of these two volatile organic compounds on granular activated carbon were measured at three different temperatures, toluene at 293, 303 and 313 K and dichloromethane at 298, 303 and 313 K within their solubility concentration range in water. The maximum adsorption capacity of dichloromethane and toluene adsorption by granular activated carbon was 4 and 0.2 mol/Kg-1, respectively. The experimental data obtained were correlated with different adsorption isotherm models. The Langmuir model was well adapted to the description of dichloromethane adsorption on granular activated carbon at all three temperatures, while the adsorption of toluene on granular activated carbon was found to be well described by the Langmuir-BET hybrid model at all three temperatures. The heat of adsorption was also calculated based on the thermodynamic equation of Clausius Clapeyron, which indicates the adsorption process is endothermic for both compounds.

Effect of a cationic surfactant on the volatilization of PAHs from soil.

Science.gov (United States)

Lu, Li; Zhu, Lizhong

2012-06-01

Cationic surfactants are common in soils because of their use in daily cosmetic and cleaning products, and their use as a soil amendment for the mitigation and remediation of organic contaminated soils has been proposed. Such surfactant may affect the transfer and fate of organic contaminants in the environment. This study investigated the effect of a cationic surfactant, dodecylpyridinium bromide (DDPB), on the volatilization of polycyclic aromatic hydrocarbons (PAHs) from a paddy soil. The volatilization of PAHs from moist soil amended with different concentrations of DDPB was tested in an open system. The specific effects of DDPB on the liquid-vapor and solid-vapor equilibriums of PAHs were separately investigated in closed systems by headspace analysis. DDPB affects both liquid-vapor and solid-vapor processes of PAHs in soil. At DDPB concentrations below the critical micelle concentration (CMC), movement of PAHs from the bulk solution to the gas-liquid interface appeared to be facilitated by interaction between PAHs and the surfactant monomers adsorbed at the gas-liquid interface, promoting the volatilization of PAHs from solution. However, when DDPB was greater than the CMC, volatilization was inhibited due to the solubilization of PAHs by micelles. On the other hand, the formation of sorbed surfactant significantly inhibited the solid-vapor volatilization of PAHs. The overall effect of the two simultaneous effects of DDPB on liquid-vapor and solid-vapor processes was a decreased volatilization loss of PAHs from soil. Inhibition of PAH volatilization was more significant for the soil with a lower moisture content.

Pricing Volatility of Stock Returns with Volatile and Persistent Components

DEFF Research Database (Denmark)

Zhu, Jie

In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock m......, a positive or risk-premium effect exists between return and the volatile component, yet the persistent component is not significantly priced for return dynamic process....... markets. Their in-mean effects on return are also tested. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant pricing factor of asset returns for most markets...

Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

OpenAIRE

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael

2017-01-01

markdownabstractThe paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test is a stochastic volatility version of the co-movement test proposed by Engle and Susmel (1993), who investigated whether international equity markets have volatility co-movement using t...

Endogenous Lunar Volatiles

Science.gov (United States)

McCubbin, F. M.; Liu, Y.; Barnes, J. J.; Boyce, J. W.; Day, J. M. D.; Elardo, S. M.; Hui, H.; Magna, T.; Ni, P.; Tartese, R.;

Oil and stock market volatility: A multivariate stochastic volatility perspective

International Nuclear Information System (INIS)

Vo, Minh

2011-01-01

This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction. It offers four major findings. First, the stock and oil futures prices are inter-related. Their correlation follows a time-varying dynamic process and tends to increase when the markets are more volatile. Second, conditioned on the past information, the volatility in each market is very persistent, i.e., it varies in a predictable manner. Third, there is inter-market dependence in volatility. Innovations that hit either market can affect the volatility in the other market. In other words, conditioned on the persistence and the past volatility in their respective markets, the past volatility of the stock (oil futures) market also has predictive power over the future volatility of the oil futures (stock) market. Finally, the model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry. - Research Highlights: → This paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility model. → The correlation between the two markets follows a time-varying dynamic process which tends to increase when the markets are more volatile. → The volatility in each market is very persistent. → Innovations that hit either market can affect the volatility in the other market. → The model produces more accurate Value-at-Risk estimates than other benchmarks commonly used in the financial industry.

Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options

Directory of Open Access Journals (Sweden)

Antonie Kotzé

2015-01-01

Full Text Available Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive research in finance, and various models are proposed in order to overcome the shortcomings of the Black-Scholes model that assumes a constant volatility. The Johannesburg Stock Exchange (JSE lists exotic options on its Can-Do platform. Most exotic options listed on the JSE’s derivative exchanges are valued by local volatility models. These models needs a local volatility surface. Dupire derived a mapping from implied volatilities to local volatilities. The JSE uses this mapping in generating the relevant local volatility surfaces and further uses Monte Carlo and Finite Difference methods when pricing exotic options. In this document we discuss various practical issues that influence the successful construction of implied and local volatility surfaces such that pricing engines can be implemented successfully. We focus on arbitrage-free conditions and the choice of calibrating functionals. We illustrate our methodologies by studying the implied and local volatility surfaces of South African equity index and foreign exchange options.

Pricing Volatility of Stock Returns with Volatile and Persistent Components

DEFF Research Database (Denmark)

Zhu, Jie

2009-01-01

This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock ma...... markets. A positive or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly priced for the return dynamic process....... markets. Their in-mean effects on returns are tested. The empirical results show that the persistent component is much more important for the volatility dynamic process than is the volatile component. However, the volatile component is found to be a significant pricing factor of asset returns for most...

Volatility in energy prices

International Nuclear Information System (INIS)

Duffie, D.

1999-01-01

This chapter with 58 references reviews the modelling and empirical behaviour of volatility in energy prices. Constant volatility and stochastic volatility are discussed. Markovian models of stochastic volatility are described and the different classes of Markovian stochastic volatility model are examined including auto-regressive volatility, option implied and forecasted volatility, Garch volatility, Egarch volatility, multivariate Garch volatility, and stochastic volatility and dynamic hedging policies. Other volatility models and option hedging are considered. The performance of several stochastic volatility models as applied to heating oil, light oil, natural gas, electricity and light crude oil are compared

Option volatility and the acceleration Lagrangian

Science.gov (United States)

Baaquie, Belal E.; Cao, Yang

2014-01-01

This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The Black-Scholes model is a simpler case that has a velocity dependent Lagrangian. The acceleration Lagrangian is defined, and the classical solution of the system in Euclidean time is solved by choosing proper boundary conditions. The conditional probability distribution of final position given the initial position is obtained from the transition amplitude. The volatility is the standard deviation of the conditional probability distribution. Using the conditional probability and the path integral method, the martingale condition is applied, and one of the parameters in the Lagrangian is fixed. The call option price is obtained using the conditional probability and the path integral method.

Volatility Discovery

DEFF Research Database (Denmark)

Dias, Gustavo Fruet; Scherrer, Cristina; Papailias, Fotis

The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show...... that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity......). Finally, we compute volatility discovery for 30 actively traded stocks in the U.S. and report that Nyse and Arca dominate Nasdaq....

Level Shifts in Volatility and the Implied-Realized Volatility Relation

DEFF Research Database (Denmark)

Christensen, Bent Jesper; de Magistris, Paolo Santucci

We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the mult......We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization...... to the multivariate case of the univariate level shift technique by Lu and Perron (2008). An application to the S&P500 index and a simulation experiment show that the recently documented empirical properties of strong persistence in volatility and forecastability of future realized volatility from current implied...... volatility, which have been interpreted as long memory (or fractional integration) in volatility and fractional cointegration between implied and realized volatility, are accounted for by occasional common level shifts....

Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models

NARCIS (Netherlands)

J. Chen (Jinghui); M. Kobayashi (Masahito); M.J. McAleer (Michael)

2017-01-01

markdownabstractThe paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The

Electroantennogram response and attraction of Anastrepha suspensa to volatiles of various sugar sources and aged sugar solutions

Science.gov (United States)

With the aim of finding new, sugar-based volatile attractants for economically important tephritid fruit fly species, we used electroantennography (EAG) to quantify olfactory responses of female Caribbean fruit fly, Anastrepha suspensa (Loew), to volatiles of six different sugars (refined white and ...

Lewis-Acid/Base Effects on Gallium Volatility in Molten Chlorides

International Nuclear Information System (INIS)

Williams, D.F.

2001-01-01

It has been proposed that GaCl 3 can be removed by direct volatilization from a Pu-Ga alloy that is dissolved in a molten chloride salt. Although pure GaCl 3 is quite volatile (boiling point, 201 C), the behavior of GaCl 3 dissolved in chloride salts is different due to solution effects and is critically dependent on the composition of the solvent salt (i.e., its Lewis-acid/base character). In this report, the behavior of gallium in prototypical Lewis-acid and Lewis-base salts is compared. It was found that gallium volatility is suppressed in basic melts and enhanced in acidic melts. The implications of these results on the potential for simple gallium removal in molten salt systems are significant

[Study on two preparation methods for beta-CD inclusion compound of four traditional Chinese medicine volatile oils].

Science.gov (United States)

Li, Hailiang; Cui, Xiaoli; Tong, Yan; Gong, Muxin

2012-04-01

To compare inclusion effects and process conditions of two preparation methods-colloid mill and saturated solution-for beta-CD inclusion compound of four traditional Chinese medicine volatile oils and study the relationship between each process condition and volatile oil physical properties and the regularity of selective inclusion of volatile oil components. Volatile oils from Nardostachyos Radix et Rhizoma, Amomi Fructus, Zingiberis Rhizoma and Angelicaesinensis Radix were prepared using two methods in the orthogonal test. These inclusion compounds by optimized processes were assessed and compared by such methods as TLC, IR and scanning electron microscope. Inclusion oils were extracted by steam distillation, and the components found before and after inclusion were analyzed by GC-MS. Analysis showed that new inclusion compounds, but inclusion compounds prepared by the two processes had differences to some extent. The colloid mill method showed a better inclusion effect than the saturated solution method, indicating that their process conditions had relations with volatile oil physical properties. There were differences in the inclusion selectivity of components between each other. The colloid mill method for inclusion preparation is more suitable for industrial requirements. To prepare volatile oil inclusion compounds with heavy gravity and high refractive index, the colloid mill method needs longer time and more water, while the saturated solution method requires higher temperature and more beta-cyclodextrin. The inclusion complex prepared with the colloid mill method contains extended molecular weight chemical composition, but the kinds of components are reduced.

Composition of the volatile fraction of a sample of Brazilian green propolic and its phytotoxic activity.

Science.gov (United States)

Fernandes-Silva, Caroline C; Lima, Carolina A; Negri, Giuseppina; Salatino, Maria L F; Salatino, Antonio; Mayworm, Marco A S

2015-12-01

Propolis is a resinous material produced by honeybees, containing mainly beeswax and plant material. Despite the wide spectrum of biological activity of propolis, to our knowledge no studies have been carried out about phytotoxic properties of Brazilian propolis and its constituents. The aims of this study were to analyze the chemical composition and to evaluate the phytotoxic activity of the volatile fraction of a sample of Brazilian green propolis. Main constituents are the phenylpropanoid 3-prenylcinnamic acid allyl ester (26.3%) and the sesquiterpene spathulenol (23.4%). Several other sesquiterpenes and phenylpropanoids, in addition to linalool and α-terpineol (monoterpenes), were also detected. The activity of solutions of the volatile fraction at 1.0, 0.5 and 0.1% was tested on lettuce seeds and seedlings. The solution at 1% inhibited completely the seed germination and solutions at 0.1 and 0.5% reduced the germination rate index. The solution at 0.5% reduced the growth of the hypocotyl-radicle axis and the development of the cotyledon leaf. The chemical composition of the volatile fraction of this Brazilian green propolis is different from those previously described, and these results may contribute to a better understanding about the chemical variations in propolis. The volatile fraction of Brazilian green propolis influences both germination of seed lettuce and the growth of its seedlings, showing an phytotoxic potential. © 2014 Society of Chemical Industry.

Range-based volatility, expected stock returns, and the low volatility anomaly

Science.gov (United States)

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics. PMID:29190652

Range-based volatility, expected stock returns, and the low volatility anomaly.

Science.gov (United States)

Blau, Benjamin M; Whitby, Ryan J

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

Range-based volatility, expected stock returns, and the low volatility anomaly.

Directory of Open Access Journals (Sweden)

Benjamin M Blau

Full Text Available One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility, which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

Pricing Volatility Referenced Assets

Directory of Open Access Journals (Sweden)

Alan De Genaro Dario

2006-12-01

Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.

Volatile and non-volatile/semi-volatile compounds and in vitro bioactive properties of Chilean Ulmo (Eucryphia cordifolia Cav.) honey.

Science.gov (United States)

Acevedo, Francisca; Torres, Paulina; Oomah, B Dave; de Alencar, Severino Matias; Massarioli, Adna Prado; Martín-Venegas, Raquel; Albarral-Ávila, Vicenta; Burgos-Díaz, César; Ferrer, Ruth; Rubilar, Mónica

2017-04-01

Ulmo honey originating from Eucryphia cordifolia tree, known locally in the Araucania region as the Ulmo tree is a natural product with valuable nutritional and medicinal qualities. It has been used in the Mapuche culture to treat infections. This study aimed to identify the volatile and non-volatile/semi-volatile compounds of Ulmo honey and elucidate its in vitro biological properties by evaluating its antioxidant, antibacterial, antiproliferative and hemolytic properties and cytotoxicity in Caco-2 cells. Headspace volatiles of Ulmo honey were isolated by solid-phase microextraction (SPME); non-volatiles/semi-volatiles were obtained by removing all saccharides with acidified water and the compounds were identified by GC/MS analysis. Ulmo honey volatiles consisted of 50 compounds predominated by 20 flavor components. Two of the volatile compounds, lyrame and anethol have never been reported before as honey compounds. The non-volatile/semi-volatile components of Ulmo honey comprised 27 compounds including 13 benzene derivatives accounting 75% of the total peak area. Ulmo honey exhibited weak antioxidant activity but strong antibacterial activity particularly against gram-negative bacteria and methicillin-resistant Staphylococcus aureus (MRSA), the main strain involved in wounds and skin infections. At concentrations >0.5%, Ulmo honey reduced Caco-2 cell viability, released lactate dehydrogenase (LDH) and increased reactive oxygen species (ROS) production in a dose dependent manner in the presence of foetal bovine serum (FBS). The wide array of volatile and non-volatile/semi-volatile constituents of Ulmo honey rich in benzene derivatives may partly account for its strong antibacterial and antiproliferative properties important for its therapeutic use. Our results indicate that Ulmo honey can potentially inhibit cancer growth at least partly by modulating oxidative stress. Copyright © 2017 Elsevier Ltd. All rights reserved.

Optimal investment models with stochastic volatility: the time ...

African Journals Online (AJOL)

Therefore, a transform is primordial to express the value function in terms of a semilinear PDE with quadratic growth on the derivative term. Some proofs for the existence of smooth solution to this equation have been provided for this equation by Pham [11]. In that paper they illustrated some common stochastic volatility ...

Iodine volatility

International Nuclear Information System (INIS)

Beahm, E.C.; Shockley, W.E.

1984-01-01

The ultimate aim of this program is to couple experimental aqueous iodine volatilities to a fission product release model. Iodine partition coefficients, for inorganic iodine, have been measured during hydrolysis and radiolysis. The hydrolysis experiments have illustrated the importance of reaction time on iodine volatility. However, radiolysis effects can override hydrolysis in determining iodine volatility. In addition, silver metal in radiolysis samples can react to form silver iodide accompanied by a decrease in iodine volatility. Experimental data are now being coupled to an iodine transport and release model that was developed in the Federal Republic of Germany

Asymmetric Realized Volatility Risk

Directory of Open Access Journals (Sweden)

David E. Allen

2014-06-01

Full Text Available In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly Gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks.

It’s all about volatility of volatility

DEFF Research Database (Denmark)

Grassi, Stefano; Santucci de Magistris, Paolo

2015-01-01

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model f...

Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach

DEFF Research Database (Denmark)

Bach, Christian; Christensen, Bent Jesper

process is downward biased. Implied volatility performs better than any of the alternative realized measures when forecasting future integrated volatility. The results are largely similar across the stock market (S&P 500), bond market (30-year U.S. T-bond), and foreign currency exchange market ($/£ )....

Volatilities of ruthenium, iodine, and technetium on calcining fission product nitrate wastes

International Nuclear Information System (INIS)

Rimshaw, S.J.; Case, F.N.

1980-01-01

Various high-level nitrate wastes were subjected to formic acid denitration. Formic acid reacts with the nitrate anion to yield noncondensable, inert gases according to the following equation: 4 HCOOH + 2 HNO 3 → N 2 O + 4 CO 2 + 5 H 2 O. These gases can be scrubbed free of 106 Ru, 131 I, and 99 Tc radioactivities prior to elimination from the plant by passage through HEPA filters. The formation of deleterious NO/sub x/ is avoided. Moreover, formic acid reduces ruthenium to a lower valence state with a sharp reduction in RuO 4 volatility during subsequent calcination of the pretreated waste. It is shown that a minimum of 3% of RuO 4 in an off-gas stream reacts with Davison silica gel (Grade 40) to give a fine RuO 2 aerosol having a particle size of 0.5 μ. This RuO 2 aerosol passes through water or weak acid scrub solutions but is trapped by a caustic scrub solution. Iodine volatilizes almost completely on calcining an acidic waste, and the iodine volatility increases with increasing calcination temperature. On calcining an alkaline sodium nitrate waste the iodine volatility is about an order of magnitude lower, with a relatively low iodine volatility of 0.39% at a calcination temperature of 250 0 C and a moderate volatility of 9.5% at 600 0 C. Volatilities of 99 Tc were generally 0 C. Data are presented to indicate that 99 Tc concentrates in the alkaline sodium nitrate supernatant waste, with approx. 10 mg 99 Tc being associated with each curie of 137 Cs present in the waste. It is shown that lutidine (2,4 dimethyl-pyridine) extracts Tc(VII) quantitatively from alkaline supernatant wastes. The distribution coefficient (K/sub D/) for Tc(VII) going into the organic phase in the above system is 102 for a simulated West Valley waste and 191 for a simulated Savannah River Plant (SRP) waste

DOES ENERGY CONSUMPTION VOLATILITY AFFECT REAL GDP VOLATILITY? AN EMPIRICAL ANALYSIS FOR THE UK

Directory of Open Access Journals (Sweden)

Abdul Rashid

2013-10-01

Full Text Available This paper empirically examines the relation between energy consumption volatility and unpredictable variations in real gross domestic product (GDP in the UK. Estimating the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP volatility. The results from the Markov regime-switching model show that the variability of energy consumption has a significant role to play in determining the behavior of GDP volatilities. Moreover, the results suggest that the impacts of unpredictable variations in energy consumption on GDP volatility are asymmetric, depending on the intensity of volatility. In particular, we find that while there is no significant contemporaneous relationship between energy consumption volatility and GDP volatility in the first (low-volatility regime, GDP volatility is significantly positively related to the volatility of energy utilization in the second (high-volatility regime.

Testing for co-integration in vector autoregressions with non-stationary volatility

DEFF Research Database (Denmark)

Cavaliere, Giuseppe; Rahbek, Anders Christian; Taylor, Robert M.

2010-01-01

cases. We show that the conventional rank statistics computed as in (Johansen, 1988) and (Johansen, 1991) are potentially unreliable. In particular, their large sample distributions depend on the integrated covariation of the underlying multivariate volatility process which impacts on both the size...... and power of the associated co-integration tests, as we demonstrate numerically. A solution to the identified inference problem is provided by considering wild bootstrap-based implementations of the rank tests. These do not require the practitioner to specify a parametric model for volatility, or to assume...

Realized Volatility Risk

NARCIS (Netherlands)

D.E. Allen (David); M.J. McAleer (Michael); M. Scharth (Marcel)

2013-01-01

textabstractIn this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive.

A numerical solution to three-dimensional multiphase transport of volatile organic compounds in unsaturated soils -- with an application to the remedial method of in-situ volatilization

International Nuclear Information System (INIS)

Filley, T.; Tomasko, D.

1992-04-01

Part I of this paper presents the development and application of a numerical model for determining the fate and transport of volatile organic compounds (VOCS) in the unsaturated zone resulting from forced volatilization and gaseous advection-dispersion of organic vapor in a multipartitioned three-dimensional environment. The model allows for single-component transport in the gas and water phases. The hydrocarbon is assumed to be in specific retention and, therefore, immobile. Partitioning of the hydrocarbon between the oil, water, gas, and soil is developed as rate-limited functions that are incorporated into sink/source terms in the transport equations. The code for the model was developed specifically to investigate in-situ volatilization (ISV) remedial strategies, predict the extent of cleanup from information obtained at a limited number of measurement locations, and to help design ISV remedial systems. Application of the model is demonstrated for a hypothetical one-dimensional ISV system. Part II of this paper will present the analysis of an existing ISV system using the full three-dimensional capability of the model

Virtual volatility

Science.gov (United States)

Silva, A. Christian; Prange, Richard E.

2007-03-01

We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation strategy.

Radiolysis of spray solutions

International Nuclear Information System (INIS)

Habersbergerova, A.; Janovsky, I.

1985-01-01

The factors were studied affecting thiosulfate radiolysis in the so-called spray solution for nuclear power plant containments. The reaction mechanism of primary radiolytic reactions leading to thiosulfate decomposition was studied using pulse radiolysis. Also measured was hydrazine loss in the irradiation of the bubbling solution intended for the capture of volatile chemical forms of radioiodine. Pulse radiolysis was used to study the kinetics of hydrazine reaction with elemental iodine. (author)

Effect of ISPAD Anaerobic Digestion on Ammonia Volatilization from Soil Applied Swine Manure

Directory of Open Access Journals (Sweden)

Susan King

2012-01-01

Full Text Available Swine manure subjected to in-storage psychrophilic anaerobic digestion (ISPAD undergoes proteins degradation but limited NH3 volatilization, producing an effluent rich in plant-available nitrogen. Accordingly, ISPAD effluent can offer a higher fertilizer value during land application, as compared to manure of similar age stored in an open tank. However, this additional nitrogen can also be lost by volatilization during land application. The objective of this study was therefore to measure NH3 volatilization from both ISPAD and open tank swine manures when applied to 5 different soils, namely, washed sand, a Ste Rosalie clay, an Upland sandy loam, a St Bernard loam, and an Ormstown loam. This research was conducted using laboratory wind tunnels simulating land application. The five experimental soils offered similar pH values but different water holding capacity, cation exchange capacity, cation saturation, and organic matter. After 47 h of wind tunnel monitoring, the % of total available nitrogen (TAN or NH4 + and NH3 volatilized varied with both manure and soil type. For all soil types, the ISPAD manure consistently lost less NH3 as compared to the open tank manure, averaging 53% less. Lower volatile solids content improving manure infiltration into the soil and a more complex ionic solution explain the effect of the ISPAD manure advantages. This was reinforced by the St Bernard sandy loam losing the same nitrogen mass for both manures, because of its higher pH and buffer pH coupled with an intermediate CEC resulting in more soil solution NH3. Within each manure type, % TAN volatilized was highest for washed sand and lowest for the clay soil. As a result, ISPAD manure can offer up to 21% more plant-available nitrogen fertilizer especially when the manure is not incorporated into the soil following its application.

Realized volatility and absolute return volatility: a comparison indicating market risk.

Science.gov (United States)

Zheng, Zeyu; Qiao, Zhi; Takaishi, Tetsuya; Stanley, H Eugene; Li, Baowen

2014-01-01

Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.

Realized volatility and absolute return volatility: a comparison indicating market risk.

Directory of Open Access Journals (Sweden)

Zeyu Zheng

Full Text Available Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.

Unstable volatility

DEFF Research Database (Denmark)

Casas, Isabel; Gijbels, Irène

2012-01-01

The objective of this paper is to introduce the break-preserving local linear (BPLL) estimator for the estimation of unstable volatility functions for independent and asymptotically independent processes. Breaks in the structure of the conditional mean and/or the volatility functions are common...... in Finance. Nonparametric estimators are well suited for these events due to the flexibility of their functional form and their good asymptotic properties. However, the local polynomial kernel estimators are not consistent at points where the volatility function has a break. The estimator presented...

Excessive price reduction and extreme volatility in wind dominant electricity markets; solutions and emerging challenges

DEFF Research Database (Denmark)

Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe; Mousavi, Omid Alizadeh

2013-01-01

High intermittency in the nature of wind power emphasize conceptual revising in the mechanisms of electricity markets with high wind power penetration levels. This paper introduces overmuch price reduction and high price volatility as two adverse consequences in future wind dominant electricity...... is developed. The paper indicates discriminatory pricing approach can be beneficial in high penetration of wind power because it alleviates high price variations and spikiness in one hand and prevents overmuch price reduction in wind dominant electricity markets on the other hand....... markets. While high price volatility imposes elevated risk levels for both electricity suppliers and consumers, excessive price reduction of electricity is a disincentive for investment in new generation capacity and might jeopardizes system adequacy in long term. A comparative study between marginal...

DETERMINING PARAMETERS OF THE DIELECTRIC FUNCTION OF A SUBSTANCE IN AQUEOUS SOLUTION BY SELF-REFERENCED REFLECTION THZ SPECTROSCOPY

DEFF Research Database (Denmark)

2008-01-01

Method and apparatus for determining dielectric function of liquid solutions and thereby concentrations of substances in aqueous solution or the volatile/non-volatile nature of the liquid by self-referenced reflection THz spectroscopy. Having the aqueous solution in any container with a window al....... The invention is particularly useful for determining alcohol (ethanol) content in aqueous solution containing other substances and particles....

Pluto's Volatile Transport

Science.gov (United States)

Young, Leslie

2012-10-01

Pluto's varying subsolar latitude and heliocentric distance leads to large variations in the surface volatile distribution and surface pressure. I present results of new volatile transport models (Young 2012a, b). The models include insolation, thermal emission, subsurface conduction, heating of a volatile slab, internal heat flux, latent heat of sublimation, and strict global mass balance. Numeric advances include initial conditions that allow for rapid convergence, efficient computation with matrix arithmetic, and stable Crank-Nicholson timesteps for both bare and volatile-covered areas. Runs of the model show six distinct seasons on Pluto. (1) As Pluto approaches perihelion, the volatiles on the old winter pole (the Rotational North Pole, RNP) becomes more directly illuminated , and the pressure and albedo rise rapidly. (2) When a new ice cap forms on the Rotational South Pole, RSP, volatiles are exchanged between poles. The pressure and albedo change more slowly. (3) When all volatiles have sublimed from the RNP, the albedo and pressure drop rapidly. (4-6) A similar pattern is repeated near aphelion with a reversal of the roles and the poles. I will compare results with earlier Pluto models of Hansen and Paige (1996), show the dependence on parameters such as substrate inertia, and make predictions for the New Horizons flyby of Pluto in 2015. This work was supported, in part, by funding from NASA Planetary Atmospheres Grant NNG06GF32G and the Spitzer project (JPL research support Agreement 1368573). Hansen, C. J. and D. A. Paige 1996. Seasonal Nitrogen Cycles on Pluto. Icarus 120, 247-265. Young, L. A. 2012a. Volatile transport on inhomogeneous surfaces: I - Analytic expressions, with application to Pluto’s day. Icarus, in press Young, L. A. 2012b. Volatile transport on inhomogeneous surfaces: II. Numerical calculations, with application to Pluto's season. In preparation.

Enhanced non-volatile and updatable holography using a polymer composite system.

Science.gov (United States)

Wu, Pengfei; Sun, Sam Q; Baig, Sarfaraz; Wang, Michael R

2012-03-12

Updatable holography is considered as the ultimate technique for true 3D information recording and display. However, there is no practical solution to preserve the required features of both non-volatility and reversibility which conflict with each other when the reading has the same wavelength as the recording. We demonstrate a non-volatile and updatable holographic approach by exploiting new features of molecular transformations in a polymer recording system. In addition, by using a new composite recording film containing photo-reconfigurable liquid-crystal (LC) polymer, the holographic recording is enhanced due to the collective reorientation of LC molecules around the reconfigured polymer chains.

On the determination of diffusivities of volatile hydrocarbons in semi-solid bitumen

International Nuclear Information System (INIS)

Tang, J. S.

2001-01-01

Carbon dioxide, supercritical ethane and propane have been considered as solvents to recover heavy oil. Given that mixing solvent with bitumen is one of the important parameters governing the performance of the solvent extraction processes, good understanding of solvent dispersion is essential for the proper design of the process. Produced bitumen can still contain some residual volatile hydrocarbons after gas flashing off a three-phase separator. When exposed to the air due to a spill or ruptured line, these residual hydrocarbons can escape and create air pollution problems. Consequently, knowledge of the diffusivities of volatile components in bitumen is needed to assess the extent of environmental damage that may result from bitumen spill or working loss of vapour to the atmosphere. This paper discusses the de-coupled transfer model developed by this author (and described in a paper in vol. 78 of this journal) and its limiting solution, and provides a re-intrepretation of the method by Fu and Phillips (1979) which in turn was based on the late-time limiting solution advanced by Tang and Zhang (2000). The analysis indicates that gas purging is a valid method for determining the diffusion coefficients of trace, volatile hydrocarbons in bitumen. However, the assumption of de-coupling may not be appropriate for large diffusion flux and slow gas flow. Furthermore, improper use of the limiting solution theory could lead to a 25 per cent error in calculating the diffusion coefficient. 14 refs., 2 tabs., 8 figs

Volatility of source apportioned wintertime organic aerosol in the city of Athens

Science.gov (United States)

Louvaris, Evangelos E.; Florou, Kalliopi; Karnezi, Eleni; Papanastasiou, Dimitrios K.; Gkatzelis, Georgios I.; Pandis, Spyros N.

2017-06-01

The volatility distribution of ambient organic aerosol (OA) and its components was measured during the winter of 2013 in the city of Athens combining a thermodenuder (TD) and a High Resolution Time-of-Flight Aerosol Mass Spectrometer (HR-ToF-AMS). Positive Matrix Factorization (PMF) analysis of both the ambient and the thermodenuder AMS-spectra resulted in a four-factor solution for the OA, namely: hydrocarbon-like OA (HOA), biomass burning OA (BBOA), cooking OA (COA), and oxygenated OA (OOA). The thermograms of the four factors were analyzed and the corresponding volatility distributions were estimated using the volatility basis set (VBS). All four factors included compounds with a wide range of effective volatilities from 10 to less than 10-4 μg m-3 at 298 K. Almost 40% of the HOA consisted of low-volatility organic compounds (LVOCs) with the semi-volatile compounds (SVOCs) representing roughly 30%, while the remaining 30% consisted of extremely low volatility organic compounds (ELVOCs). BBOA was more volatile than the HOA factor on average, with 10% ELVOCs, 40% LVOCs, and 50% SVOCs. 10% of the COA consisted of ELVOCs, another 65% LVOCs, and 50% SVOCs. Finally, the OOA was the least volatile factor and included 40% ELVOCs, 25% LVOCs, and 35% SVOCs. Combining the volatility distributions and the O:C ratios of the various factors, we placed our results in the 2D-VBS analysis framework of Donahue et al. (2012). HOA and BBOA are in the expected region but also include an ELVOC component. COA is in similar range as HOA, but on average is half an order of magnitude more volatile. The OOA in these wintertime conditions had a moderate O:C ratio and included both semi-volatile and extremely low volatility components. The above results are sensitive to the assumed values of the effective vaporization enthalpy and the accommodation coefficient. A reduction of the accommodation coefficient by an order of magnitude or the reduction of the vaporization enthalpy by 20 kJ mol-1

Normalization for Implied Volatility

OpenAIRE

Fukasawa, Masaaki

2010-01-01

We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European options which are written in terms of the implied volatility are given. In particular, we prove elegant formulas for the fair strikes of the variance swap and the gamma swap.

Money growth volatility and the demand for money in Germany: Friedman's volatility hypothesis revisited

OpenAIRE

Brüggemann, Imke; Nautz, Dieter

1997-01-01

Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman's money growth volatility hypothesis. Granger-causality tests provide some evidence for a velocity-volatility linkage. However the estimation of volatility-augmented money demand functions reveals that - in contras...

Chasing volatility

DEFF Research Database (Denmark)

Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo

The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification, the condi......The realized volatility of financial returns is characterized by persistence and occurrence of unpreditable large increments. To capture those features, we introduce the Multiplicative Error Model with jumps (MEM-J). When a jump component is included in the multiplicative specification...... estimate alternative specifications of the model using a set of daily bipower measures for 7 stock indexes and 16 individual NYSE stocks. The estimates of the jump component confirm that the probability of jumps dramatically increases during the financial crisis. Compared to other realized volatility...... models, the introduction of the jump component provides a sensible improvement in the fit, as well as for in-sample and out-of-sample volatility tail forecasts....

Algal growth inhibition test in filled, closed bottles for volatile and sorptive materials

DEFF Research Database (Denmark)

Mayer, Philipp; Nyholm, Niels; Verbruggen, Eric M. J.

2000-01-01

Exposure concentrations of many hydrophobic substances are difficult to maintain in algal growth inhibition tests performed in open agitated flasks. This is partly because such compounds tend to volatilize from aqueous solution and partly because of sorption to the algal biomass as well as to the......Exposure concentrations of many hydrophobic substances are difficult to maintain in algal growth inhibition tests performed in open agitated flasks. This is partly because such compounds tend to volatilize from aqueous solution and partly because of sorption to the algal biomass as well......, and the resulting dissolved CO2 concentration supported maximum algal growth rates without pH drift for algal densities up to 4 mg dry weight/L. Two-day toxicity tests with kerosene were performed with this new test design and compared with an open bottle test and with a closed bottle test with headspace. Exposure...... concentrations of the volatile fraction of kerosene decreased by 99% in the open test, by 77% in the closed flask test with headspace, and by 16% in the filled closed bottle test. Algal growth inhibition was observed at much lower additions of kerosene in the new test design because of the improved maintenance...

Analysis of the hygroscopic and volatile properties of ammonium sulphate seeded and unseeded SOA particles

Science.gov (United States)

Meyer, N. K.; Duplissy, J.; Gysel, M.; Metzger, A.; Dommen, J.; Weingartner, E.; Alfarra, M. R.; Prevot, A. S. H.; Fletcher, C.; Good, N.; McFiggans, G.; Jonsson, Â. M.; Hallquist, M.; Baltensperger, U.; Ristovski, Z. D.

2009-01-01

The volatile and hygroscopic properties of ammonium sulphate seeded and unseeded secondary organic aerosol (SOA) derived from the photo-oxidation of atmospherically relevant concentrations of α-pinene were studied. The seed particles were electrospray generated ammonium sulphate ((NH4)2SO4) having diameters of approximately 33 nm with a quasi-mono-disperse size distribution (geometric standard deviation σg=1.3). The volatile and hygroscopic properties of both seeded and unseeded SOA were simultaneously measured with a VH-TDMA (volatility - hygroscopicity tandem differential mobility analyzer). VH-TDMA measurements of unseeded SOA show a decrease in the hygroscopic growth (HGF) factor for increased volatilisation temperatures such that the more volatile compounds appear to be more hygroscopic. This is opposite to the expected preferential evaporation of more volatile but less hygroscopic material, but could also be due to enhanced oligomerisation occurring at the higher temperature in the thermodenuder. In addition, HGF measurements of seeded SOA were measured as a function of time at two relative humidities, below (RH 75%) and above (RH 85%) the deliquescence relative humidity (DRH) of the pure ammonium sulphate seeds. As these measurements were conducted during the onset phase of photo-oxidation, during particle growth, they enabled us to find the dependence of the HGF as a function of the volume fraction of the SOA coating. HGF's measured at RH of 85% showed a continuous decrease as the SOA coating thickness increased. The measured growth factors show good agreements with ZSR predictions indicating that, at these RH values, there are only minor solute-solute interactions. At 75% RH, as the SOA fraction increased, a rapid increase in the HGF was observed indicating that an increasing fraction of the (NH4)2SO4 is subject to a phase transition, going into solution, with an increasing volume fraction of SOA. To our knowledge this is the first time that SOA derived

Recovery of time-dependent volatility in option pricing model

Science.gov (United States)

Deng, Zui-Cha; Hon, Y. C.; Isakov, V.

2016-11-01

In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective. The work described in this paper was partially supported by a grant from the Research Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 and by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).

Volatility in Equilibrium

DEFF Research Database (Denmark)

Bollerslev, Tim; Sizova, Natalia; Tauchen, George

Stock market volatility clusters in time, carries a risk premium, is fractionally inte- grated, and exhibits asymmetric leverage effects relative to returns. This paper develops a first internally consistent equilibrium based explanation for these longstanding empirical facts. The model is cast i......, and the dynamic cross-correlations of the volatility measures with the returns calculated from actual high-frequency intra-day data on the S&P 500 aggregate market and VIX volatility indexes....

American options under stochastic volatility

NARCIS (Netherlands)

Chockalingam, A.; Muthuraman, K.

2011-01-01

The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility

Volatilization from borosilicate glass melts of simulated Savannah River Plant waste

International Nuclear Information System (INIS)

Wilds, G.W.

1979-01-01

Laboratory scale studies determined the rates at which the semivolatile components sodium, boron, lithium, cesium, and ruthenium volatilized from borosilicate glass melts that contained simulated Savannah River Plant waste sludge. Sodium and boric oxides volatilize as the thermally stable compound sodium metaborate, and accounted for approx. 90% of the semivolatiles that evolved. The amounts of semivolatiles that evolved increased linearly with the logarithm of the sodium content of the glass-forming mixture. Cesium volatility was slightly suppressed when titanium dioxide was added to the melt, but was unaffected when cesium was added to the melt as a cesium-loaded zeolite rather than as a cesium carbonate solution. Volatility of ruthenium was not suppressed when the glass melt was blanketed with a nonoxidizing atmosphere. Trace quantities of mercury were removed from vapor streams by adsorption onto a silver-exchanged zeolite. A bed containing silver in the ionic state removed more than 99.9% of the mercury and had a high chemisorption capacity. Beds of lead-, copper-, and copper sulfide-exchanged zeolite-X and also an unexchanged zeolite-X were tested. None of these latter beds had high removal efficiency and high chemisorption capacity

Volatilization from borosilicate glass melts of simulated Savannah River Plant waste

International Nuclear Information System (INIS)

Wilds, G.W.

1978-01-01

Laboratory scale studies determined the rates at which the semivolatile components sodium, boron, lithium, cesium, and ruthenium volatilized from borosilicate glass melts that contained simulated Savannah River Plant waste sludge. Sodium and boric oxides volatilize as the thermally stable compound sodium metaborate, and accounted for approx. 90% of the semivolatiles that evolved. The amounts of semivolatiles that evolved increased linearly with the logarithm of the sodium content of the glass-forming mixture. Cesium volatility was slightly suppressed when titanium dioxide was added to the melt, but was unaffected when cesium was added to the melt as a cesium-loaded zeolite rather than as a cesium carbonate solution. Volatility of ruthenium was not suppressed when the glass melt was blanketed with a nonoxidizing atmosphere. Trace quantities of mercury were removed from vapor streams by adsorption onto a silver-exchanged zeolite. A bed containing silver in the ionic state removed more than 99.9% of the mercury and had a high chemisorption capacity. Beds of lead-, copper-, and copper sulfide-exchanged zeolite-X and also an unexchanged zeolite-X were tested. None of these latter beds had high removal efficiency and high chemisorption capacity

Proboscis extension reflex platform for volatiles and semi-volatiles detection

Energy Technology Data Exchange (ETDEWEB)

Wingo, Robert M. (Los Alamos, NM); McCabe, Kirsten J. (Los Alamos, NM); Haarmann, Timothy K. (Jemez Pueblo, NM)

2010-11-30

The present invention provides an apparatus for the detection of volatile and semi-volatile chemicals using the olfactory abilities of honey bees that are trained to respond to the presence of a specific chemical in a sample of gas with the proboscis extension reflex (PER). In particular, the geometry and arrangement of the parts of the apparatus are such that the amount of surface area in contact with the sample of gas prior to its introduction to the bees is minimized to improve the detection of particular volatile and semi-volatile that have a tendency to "stick" to contacting surfaces, especially certain chemicals associated with explosives and narcotics. According to another aspect of the present invention, a pre-concentrating means is incorporated with the device to effectively increase the concentration of "sticky" chemicals presented to the insects.

Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market

International Nuclear Information System (INIS)

Nomikos, Nikos K.; Soldatos, Orestes A.

2010-01-01

In this paper we examine the importance of mean reversion and spikes in the stochastic behaviour of the underlying asset when pricing options on power. We propose a model that is flexible in its formulation and captures the stylized features of power prices in a parsimonious way. The main feature of the model is that it incorporates two different speeds of mean reversion to capture the differences in price behaviour between normal and spiky periods. We derive semi-closed form solutions for European option prices using transform analysis and then examine the properties of the implied volatilities that the model generates. We find that the presence of jumps generates prominent volatility skews which depend on the sign of the mean jump size. We also show that mean reversion reduces the volatility smile as time to maturity increases. In addition, mean reversion induces volatility skews particularly for ITM options, even in the absence of jumps. Finally, jump size volatility and jump intensity mainly affect the kurtosis and thus the curvature of the smile with the former having a more important role in making the volatility smile more pronounced and thus increasing the kurtosis of the underlying price distribution.

Determination of inorganic pollutants in soil after volatilization using microwave-induced combustion

Energy Technology Data Exchange (ETDEWEB)

Picoloto, Rochele S. [Departamento de Química, Universidade Federal de Santa Maria, 97105-900, Santa Maria, RS, Brazil and Instituto Nacional de Ciência e Tecnologia de Bioanalítica, Campinas, SP (Brazil); Wiltsche, Helmar; Knapp, Günter [Institute of Analytical Chemistry and Food Chemistry, Graz University of Technology, Graz (Austria); Mello, Paola A. [Departamento de Química, Universidade Federal de Santa Maria, 97105-900, Santa Maria, RS, Brazil and Instituto Nacional de Ciência e Tecnologia de Bioanalítica, Campinas, SP (Brazil); Barin, Juliano S. [Departamento de Tecnologia e Ciência dos Alimentos, Universidade Federal de Santa Maria, 97105-900, Santa Maria, RS (Brazil); Flores, Erico M.M., E-mail: ericommf@gmail.com [Departamento de Química, Universidade Federal de Santa Maria, 97105-900, Santa Maria, RS, Brazil and Instituto Nacional de Ciência e Tecnologia de Bioanalítica, Campinas, SP (Brazil)

2013-08-01

Microwave-induced combustion (MIC) was applied for analyte volatilization from soil and subsequent determination of As, Cd and Pb by inductively coupled plasma mass spectrometry (ICP-MS) and inductively coupled plasma optical emission spectrometry (ICP-OES), and Hg by cold vapor generation inductively coupled plasma mass spectrometry (CVG-ICP-MS). Soil samples (up to 300 mg) were mixed with microcrystalline cellulose, pressed as pellets and combusted in closed quartz vessels pressurized with 20 bar O{sub 2}. Analytes were volatilized from soil during combustion and quantitatively absorbed in a suitable solution: nitric acid (1, 2, 4 or 6 mol L{sup −1}) or a solution of nitric (2 mol L{sup −1}) and hydrochloric (1, 2 or 4 mol L{sup −1}) acids. Accuracy was evaluated using certified reference materials of soil (NIST 2709, San Joaquin Soil) and sediment (SUD-1, Sudbury sediment for trace elements). Agreement with certified values was better than 95% (t-test, 95% confidence level) for all analytes when 6 mL of a solution of 2 mol L{sup −1} HNO{sub 3} and 2 mol L{sup −1} HCl was used with a reflux step of 5 min. The limit of detection was 0.010, 0.002, 0.009 and 0.012 μg g{sup −1} for As, Cd, Hg and Pb, respectively using ICP-MS determination. A clear advantage of the proposed method over classical approaches is that only diluted solution is used. Moreover, a complete separation of the analytes from matrix is achieved minimizing potential interferences in ICP-MS or ICP-OES determination. Up to eight samples can be digested in a single run of only 25 min, resulting in a solution suitable for the determination of all analytes by both techniques. - Highlights: ► Microwave-induced combustion method was applied for soil samples. ► Analytes were volatilized during MIC allowing a suitable separation from matrix. ► Matrix interferences during the determination step are minimized. ► As, Cd, Hg and Pb were determined by ICP-MS. ► Diluted acid solutions were

Analysis of the hygroscopic and volatile properties of ammonium sulphate seeded and un-seeded SOA particles

Science.gov (United States)

Meyer, N. K.; Duplissy, J.; Gysel, M.; Metzger, A.; Dommen, J.; Weingartner, E.; Alfarra, M. R.; Fletcher, C.; Good, N.; McFiggans, G.; Jonsson, Ã. M.; Hallquist, M.; Baltensperger, U.; Ristovski, Z. D.

2008-05-01

The volatile and hygroscopic properties of ammonium sulphate seeded and un-seeded secondary organic aerosol (SOA) derived from the photo-oxidation of atmospherically relevant concentrations of α-pinene were studied. The seed particles were electrospray generated ammonium sulphate ((NH4)2SO4) having diameters of approximately 33 nm with a quasi-mono-disperse size distribution (geometric standard deviation σg=1.3). The volatile and hygroscopic properties of both seeded and unseeded SOA were simultaneously measured with a VH-TDMA (volatility - hygroscopicity tandem differential mobility analyzer). VH-TDMA measurements of unseeded SOA show a decrease in the hygroscopic growth (HGF) factor for increased volatilisation temperatures such that the more volatile compounds appear to be more hygroscopic. This is opposite to the expected preferential evaporation of more volatile but less hygroscopic material, but could also be due to enhanced oligomerisation occurring at the higher temperature in the thermodenuder. In addition, HGF measurements of seeded SOA were measured as a function of time at two relative humidities, below (RH 75%) and above (RH 85%) the deliquescence relative humidity (DRH) of the pure ammonium sulphate seeds. As these measurements were conducted during the onset phase of photo-oxidation, during particle growth, they enabled us to find the dependence of the HGF as a function of the volume fraction of the SOA coating. HGF's measured at RH of 85% showed a continuous decrease as the SOA coating thickness increased. The measured growth factors show good agreements with ZSR predictions indicating that, at these RH values, there are only minor solute-solute interactions. At 75% RH, as the SOA fraction increased, a rapid increase in the HGF was observed indicating that an increasing fraction of the (NH4)2SO4 is subject to a phase transition, going into solution, with an increasing volume fraction of SOA. To our knowledge this is the first time that SOA derived

Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

OpenAIRE

Röring, Johan

2017-01-01

Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. Two kinds of volatility derivatives are volatility swaps and variance swaps. The problem with volatility swaps and variance swaps is that they require estimations of the future variance and volati...

Endogenous Lunar Volatiles

Science.gov (United States)

McCubbin, F. M.; Liu, Y.; Barnes, J. J.; Anand, M.; Boyce, J. W.; Burney, D.; Day, J. M. D.; Elardo, S. M.; Hui, H.; Klima, R. L.; Magna, T.; Ni, P.; Steenstra, E.; Tartèse, R.; Vander Kaaden, K. E.

2018-04-01

This abstract discusses numerous outstanding questions on the topic of endogenous lunar volatiles that will need to be addressed in the coming years. Although substantial insights into endogenous lunar volatiles have been gained, more work remains.

Emerging non-volatile memories

CERN Document Server

Hong, Seungbum; Wouters, Dirk

2014-01-01

This book is an introduction to the fundamentals of emerging non-volatile memories and provides an overview of future trends in the field. Readers will find coverage of seven important memory technologies, including Ferroelectric Random Access Memory (FeRAM), Ferromagnetic RAM (FMRAM), Multiferroic RAM (MFRAM), Phase-Change Memories (PCM), Oxide-based Resistive RAM (RRAM), Probe Storage, and Polymer Memories. Chapters are structured to reflect diffusions and clashes between different topics. Emerging Non-Volatile Memories is an ideal book for graduate students, faculty, and professionals working in the area of non-volatile memory. This book also: Covers key memory technologies, including Ferroelectric Random Access Memory (FeRAM), Ferromagnetic RAM (FMRAM), and Multiferroic RAM (MFRAM), among others. Provides an overview of non-volatile memory fundamentals. Broadens readers' understanding of future trends in non-volatile memories.

Origin of Volatiles in Earth: Indigenous Versus Exogenous Sources Based on Highly Siderophile, Volatile Siderophile, and Light Volatile Elements

Science.gov (United States)

Righter, K.; Danielson, L.; Pando, K. M.; Marin, N.; Nickodem, K.

2015-01-01

Origin of Earth's volatiles has traditionally been ascribed to late accretion of material after major differentiation events - chondrites, comets, ice or other exogenous sources. A competing theory is that the Earth accreted its volatiles as it was built, thus water and other building blocks were present early and during differentiation and core formation (indigenous). Here we discuss geochemical evidence from three groups of elements that suggests Earth's volatiles were acquired during accretion and did not require additional sources after differentiation.

Intense pyrification of volatile inorganic halides

International Nuclear Information System (INIS)

Nesel'son, L.A.; Tret'yakov, K.V.; Cherenkov, A.V.; Solov'ev, V.F.

1992-01-01

It is found that the studies systems form the fusibility curves of eutectic type with the limited regions of separation in the middle part of composition. The liquid-vapour equilibrium of the WF 6 -Nb(Ta)F 5 systems is characterized by strong positive deviation from the ideal case but without formation of azeotropes. The values of coefficients for relative volatility of the dilute solutions of niobium and tantalum pentafluorides in tungsten hexafluoride are found. The values of these coefficients are sufficiently large to provide the efficient purification from niobium and tantalum by the method of fractional distillation

Volatility transmission and volatility impulse response functions in European electricity forward markets

International Nuclear Information System (INIS)

Le Pen, Yannick; Sevi, Benoit

2008-01-01

Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function(VIRF) to quantify the impact of shock on expected conditional volatility. We observe that a shock has a high positive impact only if its size is large compared to the current level of volatility. The impact of shocks are usually not persistent, which may be an indication of market efficiency. Finally, we estimate the density of the VIRF at different forecast horizon. These fitted distributions are asymmetric and show that extreme events are possible even if their probability is low. These results have interesting implications for market participants whose risk management policy is based on option prices which themselves depend on the volatility level. (authors)

Analysis of the hygroscopic and volatile properties of ammonium sulphate seeded and unseeded SOA particles

Directory of Open Access Journals (Sweden)

N. K. Meyer

2009-01-01

Full Text Available The volatile and hygroscopic properties of ammonium sulphate seeded and unseeded secondary organic aerosol (SOA derived from the photo-oxidation of atmospherically relevant concentrations of α-pinene were studied. The seed particles were electrospray generated ammonium sulphate ((NH4₂SO₄ having diameters of approximately 33 nm with a quasi-mono-disperse size distribution (geometric standard deviation σ_g=1.3. The volatile and hygroscopic properties of both seeded and unseeded SOA were simultaneously measured with a VH-TDMA (volatility – hygroscopicity tandem differential mobility analyzer. VH-TDMA measurements of unseeded SOA show a decrease in the hygroscopic growth (HGF factor for increased volatilisation temperatures such that the more volatile compounds appear to be more hygroscopic. This is opposite to the expected preferential evaporation of more volatile but less hygroscopic material, but could also be due to enhanced oligomerisation occurring at the higher temperature in the thermodenuder. In addition, HGF measurements of seeded SOA were measured as a function of time at two relative humidities, below (RH 75% and above (RH 85% the deliquescence relative humidity (DRH of the pure ammonium sulphate seeds. As these measurements were conducted during the onset phase of photo-oxidation, during particle growth, they enabled us to find the dependence of the HGF as a function of the volume fraction of the SOA coating. HGF's measured at RH of 85% showed a continuous decrease as the SOA coating thickness increased. The measured growth factors show good agreements with ZSR predictions indicating that, at these RH values, there are only minor solute-solute interactions. At 75% RH, as the SOA fraction increased, a rapid increase in the HGF was observed indicating that an increasing fraction of the (NH₄₂SO₄ is subject to a phase transition, going into solution, with an

Volatility Mean Reversion and the Market Price of Volatility Risk

NARCIS (Netherlands)

Boswijk, H.P.

2001-01-01

This paper analyzes sources of derivative pricing errors in a stochastic volatility model estimated on stock return data. It is shown that such pricing errors may reflect the existence of a market price of volatility risk, but also may be caused by estimation errors due to a slow mean reversion in

Low-power non-volatile spintronic memory: STT-RAM and beyond

International Nuclear Information System (INIS)

Wang, K L; Alzate, J G; Khalili Amiri, P

2013-01-01

The quest for novel low-dissipation devices is one of the most critical for the future of semiconductor technology and nano-systems. The development of a low-power, universal memory will enable a new paradigm of non-volatile computation. Here we consider STT-RAM as one of the emerging candidates for low-power non-volatile memory. We show different configurations for STT memory and demonstrate strategies to optimize key performance parameters such as switching current and energy. The energy and scaling limits of STT-RAM are discussed, leading us to argue that alternative writing mechanisms may be required to achieve ultralow power dissipation, a necessary condition for direct integration with CMOS at the gate level for non-volatile logic purposes. As an example, we discuss the use of the giant spin Hall effect as a possible alternative to induce magnetization reversal in magnetic tunnel junctions using pure spin currents. Further, we concentrate on magnetoelectric effects, where electric fields are used instead of spin-polarized currents to manipulate the nanomagnets, as another candidate solution to address the challenges of energy efficiency and density. The possibility of an electric-field-controlled magnetoelectric RAM as a promising candidate for ultralow-power non-volatile memory is discussed in the light of experimental data demonstrating voltage-induced switching of the magnetization and reorientation of the magnetic easy axis by electric fields in nanomagnets. (paper)

Cost Linkages Transmit Volatility Across Markets

DEFF Research Database (Denmark)

Nguyen, Daniel Xuyen; Schaur, Georg

We present and test a model relating a firm's idiosyncratic cost, its exporting status, and the volatilities of its domestic and export sales. In prior models of trade, supply costs for domestic and exports were linear and thus additively separable. We introduce a nonlinear cost function in order...... to link the domestic and export supply costs. This theoretical contribution has two new implications for the exporting firm. First, the demand volatility in the foreign market now directly affects the firm's domestic sales volatility. Second, firms hedge domestic demand volatility with exports. The model...... has several testable predictions. First, larger firms have lower total and domestic sales volatilities. Second, foreign market volatility increases domestic sales volatilities for exporters. Third, exporters allocate output across both markets in order to reduce total sales volatility. We find...

Time-Varying Periodicity in Intraday Volatility

DEFF Research Database (Denmark)

Andersen, Torben Gustav; Thyrsgaard, Martin; Todorov, Viktor

We develop a nonparametric test for deciding whether return volatility exhibits time-varying intraday periodicity using a long time-series of high-frequency data. Our null hypothesis, commonly adopted in work on volatility modeling, is that volatility follows a stationary process combined...... with a constant time-of-day periodic component. We first construct time-of-day volatility estimates and studentize the high-frequency returns with these periodic components. If the intraday volatility periodicity is invariant over time, then the distribution of the studentized returns should be identical across...... with estimating volatility moments through their sample counterparts. Critical values are computed via easy-to-implement simulation. In an empirical application to S&P 500 index returns, we find strong evidence for variation in the intraday volatility pattern driven in part by the current level of volatility...

Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange

Science.gov (United States)

Takaishi, Tetsuya

2018-06-01

The realized stochastic volatility model has been introduced to estimate more accurate volatility by using both daily returns and realized volatility. The main advantage of the model is that no special bias-correction factor for the realized volatility is required a priori. Instead, the model introduces a bias-correction parameter responsible for the bias hidden in realized volatility. We empirically investigate the bias-correction parameter for realized volatilities calculated at various sampling frequencies for six stocks on the Tokyo Stock Exchange, and then show that the dynamic behavior of the bias-correction parameter as a function of sampling frequency is qualitatively similar to that of the Hansen-Lunde bias-correction factor although their values are substantially different. Under the stochastic diffusion assumption of the return dynamics, we investigate the accuracy of estimated volatilities by examining the standardized returns. We find that while the moments of the standardized returns from low-frequency realized volatilities are consistent with the expectation from the Gaussian variables, the deviation from the expectation becomes considerably large at high frequencies. This indicates that the realized stochastic volatility model itself cannot completely remove bias at high frequencies.

Forecasting volatility of crude oil markets

International Nuclear Information System (INIS)

Kang, Sang Hoon; Kang, Sang-Mok; Yoon, Seong-Min

2009-01-01

This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)

Forecasting volatility of crude oil markets

Energy Technology Data Exchange (ETDEWEB)

Kang, Sang Hoon [Department of Business Administration, Gyeongsang National University, Jinju, 660-701 (Korea); Kang, Sang-Mok; Yoon, Seong-Min [Department of Economics, Pusan National University, Busan, 609-735 (Korea)

2009-01-15

This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)

Identification of a volatile phytotoxin from algae

Science.gov (United States)

Garavelli, J. S.; Fong, F.; Funkhouser, E. A.

1984-01-01

The objectives were to develop a trap system for isolating fractions of volatile algal phytotoxin and to characterize the major components of the isolated phytotoxin fractions. A bioassay using Phaseolus vulgaris seedlings was developed to aid in investigating the properties of the phytotoxin produced by cultures of Euglena gracilis var. bacillaris and Chlorella vulgaris. Two traps were found, 1.0 M hydrochloric acid and 0 C, which removed the phytotoxin from the algal effluent and which could be treated to release that phytotoxin as judged with the bioassay procedure. It was also determined that pretraps of 1.0 M sodium hydroxide and 1.0 M potassium biocarbonate could be used without lowering the phytotoxin effect. Ammonia was identified in trap solutions by ninhydrin reaction, indophenol reaction and derivatization with dansyl chloride and phenylisothiocyanate. Ammonia at the gaseous concentrations detected was found to have the same effects in the bioassay system as the volatile phytotoxin. It is possible that other basic, nitrogen containing compounds which augment the effects of ammonia were present at lower concentrations in the algal effluent.

Alternative Asymmetric Stochastic Volatility Models

NARCIS (Netherlands)

M. Asai (Manabu); M.J. McAleer (Michael)

2010-01-01

textabstractThe stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is

Pitfalls in the analysis of volatile breath biomarkers: suggested solutions and SIFT-MS quantification of single metabolites

Czech Academy of Sciences Publication Activity Database

Smith, D.; Španěl, Patrik

2015-01-01

Roč. 9, č. 2 (2015), 022001 ISSN 1752-7155 Institutional support: RVO:61388955 Keywords : SIFT-MS * volatile biomarkers * quantifications Subject RIV: CF - Physical ; Theoretical Chemistry Impact factor: 4.177, year: 2015

Chlorination of antimony and its volatilization treatment of waste antimony-uranium composite oxide catalyst

International Nuclear Information System (INIS)

Sawada, K.; Enokida, Y.

2011-01-01

For the waste antimony-uranium composite oxide catalyst, the chlorination of antimony and its volatilization treatment were proposed, and evaluated using hydrogen chloride gas at 873-1173 K. During the treatment, the weight loss of the composite oxide sample, which resulted from the volatilization of antimony, was confirmed. An X-ray diffraction analysis showed that uranium oxide, U 3 O 8 , was formed during the reaction. After the treatment at 1173 K for 1 h, almost all the uranium contained in the waste catalyst was dissolved by a 3 M nitric acid solution at 353 K within 10 min, although that of the non-treated catalyst was less than 0.1%. It was found that the chlorination and volatilization treatment was effective to separate antimony from the composite oxide catalyst and change uranium into its removable form. (orig.)

Drag of a growing bubble at rectilinear accelerated ascension in pure liquids and binary solutions

Directory of Open Access Journals (Sweden)

Ašković Radomir

2003-01-01

Full Text Available The problem of predicting the drag coefficient of a growing bubble at rectilinear accelerated ascension in uniformly super­heated pure liquids and in binary solutions with a non-volatile solute at large Reynolds and Peclet numbers is discussed. In the case of pure liquids, the general solution for the drag coefficient of an accelerated growing bubble from its inception at the critical radius and through the surface-tension-, inertia-, and heat-diffusion-controlled regimes is established, as well as some necessary adaptations in the case of binary solutions with a non-volatile solute. Two particular limiting regimes in the case of pure liquids, inertia-controlled and heat-diffusion-controlled regimes, respectively, are analyzed in details, with satisfactory results. .

Impact of microorganism on polonium volatilization

International Nuclear Information System (INIS)

Momoshima, N.; Ishida, A.; Fukuda, A.; Yoshinaga, C.

2007-01-01

Volatilization of polonium by microorganisms, Chromobacterium violaceum, Escherichia coli and Bacillus subtilis was examined for pure cultures in LB medium at 30 deg C, showing relative Po emission intensity 100, 10 and 1, respectively. Chromobacterium violaceum pre-cultured in LB medium without Po and suspended in water with Po showed high Po volatilization in spite of poor nutriment condition. Antibiotics inhibit volatilization of Po and cultivation at low temperature greatly reduced volatilization. The results strongly support the biological effects on Po volatilization. (author)

Etude par chromatographie en phase gazeuse de substances volatiles issues du bois de chêne

Directory of Open Access Journals (Sweden)

F. Marsal

1987-03-01

A gas-liquid chromatography method for determination of volatile compounds of oak wood barrels (furfural, 5-methyl furfural, furfuryl alcohol, cis and trans β-methyl γ-octalactone is described. We study the evolution of these substances in synthetic solutions and wines.

Stochastic volatility models and Kelvin waves

Science.gov (United States)

Lipton, Alex; Sepp, Artur

2008-08-01

We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

Stochastic volatility models and Kelvin waves

International Nuclear Information System (INIS)

Lipton, Alex; Sepp, Artur

2008-01-01

We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics

Stochastic volatility models and Kelvin waves

Energy Technology Data Exchange (ETDEWEB)

Lipton, Alex [Merrill Lynch, Mlfc Main, 2 King Edward Street, London EC1A 1HQ (United Kingdom); Sepp, Artur [Merrill Lynch, 4 World Financial Center, New York, NY 10080 (United States)], E-mail: Alex_Lipton@ml.com, E-mail: Artur_Sepp@ml.com

2008-08-29

We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

The price of fixed income market volatility

CERN Document Server

Mele, Antonio

2015-01-01

Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...

Volatile accretion history of the Earth.

Science.gov (United States)

Wood, B J; Halliday, A N; Rehkämper, M

2010-10-28

It has long been thought that the Earth had a protracted and complex history of volatile accretion and loss. Albarède paints a different picture, proposing that the Earth first formed as a dry planet which, like the Moon, was devoid of volatile constituents. He suggests that the Earth's complement of volatile elements was only established later, by the addition of a small veneer of volatile-rich material at ∼100 Myr (here and elsewhere, ages are relative to the origin of the Solar System). Here we argue that the Earth's mass balance of moderately volatile elements is inconsistent with Albarède's hypothesis but is well explained by the standard model of accretion from partially volatile-depleted material, accompanied by core formation.

Demonstration of Novel Sampling Techniques for Measurement of Turbine Engine Volatile and Non-Volatile Particulate Matter (PM) Emissions

Science.gov (United States)

2017-03-06

WP-201317) Demonstration of Novel Sampling Techniques for Measurement of Turbine Engine Volatile and Non-volatile Particulate Matter (PM... Engine Volatile and Non-Volatile Particulate Matter (PM) Emissions 6. AUTHOR(S) E. Corporan, M. DeWitt, C. Klingshirn, M.D. Cheng, R. Miake-Lye, J. Peck...the performance and viability of two devices to condition aircraft turbine engine exhaust to allow the accurate measurement of total (volatile and non

Confinement of ruthenium oxides volatilized during nuclear fuels reprocessing

International Nuclear Information System (INIS)

Maas, E.T. Jr.; Longo, J.M.

1980-01-01

While many materials have been suggested and employed as trapping agents for gaseous oxides of fission product ruthenium volatilized during nuclear fuels reprocessing, none that is known to form thermodynamically stable compounds with rutheniunm has been utilized. We have employed alkaline earth metal compounds for this purpose because of their ability to form stable mixed metal oxide phases with ruthenium. Results of experiments in which RuO 4 was volatilized from either a solid source (RuO 2 .xH 2 O) or from solution [Ru(NO)(NO 3 ) 3 ] in HNO 3 and passed through beds of alkaline earth metal carbonates and calcium oxide held at 600 to 750 0 C have demonstrated that compounds of formulation MRuO 3 (M = calcium, strontium, barium) are formed. Under oxidizing conditions, these materials exist as stable ceramic phases, whereas under reducing conditions, they are transformed into intimate mixtures of the alkaline earth metal oxide and nonvolatile ruthenium metal

Line printing solution-processable small molecules with uniform surface profile via ink-jet printer.

Science.gov (United States)

Liu, Huimin; Xu, Wei; Tan, Wanyi; Zhu, Xuhui; Wang, Jian; Peng, Junbiao; Cao, Yong

2016-03-01

Line printing offers a feasible approach to remove the pixel well structure which is widely used to confine the ink-jet printed solution. In the study, a uniform line is printed by an ink-jet printer. To achieve a uniform surface profile of the printed line, 10vol% low-volatile solvent DMA (3,4-Dimethylanisole) is mixed with high-volatile solvent Pxy (p-xylene) as the solvent. After a solution-processable small molecule is dissolved, the surface tension of DMA solution becomes lower than that of Pxy solution, which creates an inward Marangoni flow during the solvent evaporation. The inward Marangoni flow balances out the outward capillary flow, thereby forming a flat film surface. The line width of the printed line depends on the contact angle of the solution on the hole injection layer. Copyright © 2015 Elsevier Inc. All rights reserved.

Financial market volatility and contagion effect: A copula-multifractal volatility approach

Science.gov (United States)

Chen, Wang; Wei, Yu; Lang, Qiaoqi; Lin, Yu; Liu, Maojuan

2014-03-01

In this paper, we propose a new approach based on the multifractal volatility method (MFV) to study the contagion effect between the U.S. and Chinese stock markets. From recent studies, which reveal that multifractal characteristics exist in both developed and emerging financial markets, according to the econophysics literature we could draw conclusions as follows: Firstly, we estimate volatility using the multifractal volatility method, and find out that the MFV method performs best among other volatility models, such as GARCH-type and realized volatility models. Secondly, we analyze the tail dependence structure between the U.S. and Chinese stock market. The estimated static copula results for the entire period show that the SJC copula performs best, indicating asymmetric characteristics of the tail dependence structure. The estimated dynamic copula results show that the time-varying t copula achieves the best performance, which means the symmetry dynamic t copula is also a good choice, for it is easy to estimate and is able to depict both the upper and lower tail dependence structure. Finally, with the results of the previous two steps, we analyze the contagion effect between the U.S. and Chinese stock markets during the subprime mortgage crisis. The empirical results show that the subprime mortgage crisis started in the U.S. and that its stock market has had an obvious contagion effect on the Chinese stock market. Our empirical results should/might be useful for investors allocating their portfolios.

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

DEFF Research Database (Denmark)

Bollerslev, Tim; Gibson, Michael; Zhou, Hao

experiment confirms that the procedure works well in practice. Implementing the procedure with actual S&P500 option-implied volatilities and high-frequency five-minute-based realized volatilities indicates significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn...

Preliminary assessment of laboratory techniques for measurement of volatiles through soils at hazardous waste sites

International Nuclear Information System (INIS)

Breckenridge, R.P.; Case, J.T.

1985-01-01

This study was conducted to determine if an inexpensive laboratory screening technique could be developed to detect the presence of hazardous volatile compounds without disturbing the soil over buried waste. A laboratory investigation was designed to evaluate the movement of two volatile organics through packed soil columns. Six soil columns were filled with three different soils. Two volatile organics, trichloroethylene (TCE) and dichloroethylene (1, 2 DCE), were placed at the base of the columns as a saturated water solution. Column headspace analysis was performed by purging the top of the columns with nitrogen gas and bubbling this gas through a pentane trap. Samples in the air space were also collected using 25 and 100 microliter gas tight syringes. All samples were analyzed using Electron Capture Detector (ECD) by gas chromatography. Results indicate that the volatile organic compounds can be detected through a five foot column of soil in concentrations down to parts-per-billion (ppb) for both TCE and DCE. Distribution coefficients (Kd) experiments were also conducted to assess breakthrough time and related concentration with soil type

Parallel Prediction of Stock Volatility

Directory of Open Access Journals (Sweden)

Priscilla Jenq

2017-10-01

Full Text Available Volatility is a measurement of the risk of financial products. A stock will hit new highs and lows over time and if these highs and lows fluctuate wildly, then it is considered a high volatile stock. Such a stock is considered riskier than a stock whose volatility is low. Although highly volatile stocks are riskier, the returns that they generate for investors can be quite high. Of course, with a riskier stock also comes the chance of losing money and yielding negative returns. In this project, we will use historic stock data to help us forecast volatility. Since the financial industry usually uses S&P 500 as the indicator of the market, we will use S&P 500 as a benchmark to compute the risk. We will also use artificial neural networks as a tool to predict volatilities for a specific time frame that will be set when we configure this neural network. There have been reports that neural networks with different numbers of layers and different numbers of hidden nodes may generate varying results. In fact, we may be able to find the best configuration of a neural network to compute volatilities. We will implement this system using the parallel approach. The system can be used as a tool for investors to allocating and hedging assets.

Volatile communication in plant-aphid interactions.

Science.gov (United States)

de Vos, Martin; Jander, Georg

2010-08-01

Volatile communication plays an important role in mediating the interactions between plants, aphids, and other organisms in the environment. In response to aphid infestation, many plants initiate indirect defenses through the release of volatiles that attract ladybugs, parasitoid wasps, and other aphid-consuming predators. Aphid-induced volatile release in the model plant Arabidopsis thaliana requires the jasmonate signaling pathway. Volatile release is also induced by infection with aphid-transmitted viruses. Consistent with mathematical models of optimal transmission, viruses that are acquired rapidly by aphids induce volatile release to attract migratory aphids, but discourage long-term aphid feeding. Although the ecology of these interactions is well-studied, further research is needed to identify the molecular basis of aphid-induced and virus-induced changes in plant volatile release. Copyright 2010 Elsevier Ltd. All rights reserved.

Essays on nonparametric econometrics of stochastic volatility

NARCIS (Netherlands)

Zu, Y.

2012-01-01

Volatility is a concept that describes the variation of financial returns. Measuring and modelling volatility dynamics is an important aspect of financial econometrics. This thesis is concerned with nonparametric approaches to volatility measurement and volatility model validation.

Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

DEFF Research Database (Denmark)

Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim

in the search for alternative specifications. We then estimate the models using maximum likelihood on S&P500 returns. Finally, we employ nonlinear least squares on a panel of option data. In comparison with earlier studies that explicitly solve the filtering problem, we analyze a more comprehensive option data......Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...... alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properties of the SQR model and to guide us...

The exploitation of volatile oil

Institute of Scientific and Technical Information of China (English)

MENG Teng; ZHANG Da; TENG Xiangjin; LINing; HAO Zaibin

2007-01-01

Rose is a kind of favorite ornamental plant. This article briefly introduced the cultivation and the use of rose around the world both in ancient time and nowadays. Today, volatile oil becomes the mainstream of the rose industry. People pay attention to the effect of volatile oil; meanwhile, they speed up their research on extracting volatile oil and the ingredients.

Understanding Financial Market Volatility

NARCIS (Netherlands)

A. Opschoor (Anne)

2014-01-01

markdownabstract__Abstract__ Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. Loosely speaking, volatility is defined as the average magnitude of fluctuations observed in some phenomenon over

Oil Volatility Risk and Expected Stock Returns

DEFF Research Database (Denmark)

Christoffersen, Peter; Pan, Xuhui (Nick)

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...... return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

Core-Mantle Partitioning of Volatile Elements and the Origin of Volatile Elements in Earth and Moon

Science.gov (United States)

Righter, K.; Pando, K.; Danielson, L.; Nickodem, K.

2014-01-01

Depletions of siderophile elements in mantles have placed constraints on the conditions on core segregation and differentiation in bodies such as Earth, Earth's Moon, Mars, and asteroid 4 Vesta. Among the siderophile elements there are a sub-set that are also volatile (volatile siderophile elements or VSE; Ga, Ge, In, As, Sb, Sn, Bi, Zn, Cu, Cd), and thus can help to constrain the origin of volatile elements in these bodies, and in particular the Earth and Moon. One of the fundamental observations of the geochemistry of the Moon is the overall depletion of volatile elements relative to the Earth, but a satisfactory explanation has remained elusive. Hypotheses for Earth include addition during accretion and core formation and mobilized into the metallic core, multiple stage origin, or addition after the core formed. Any explanation for volatile elements in the Earth's mantle must also be linked to an explanation of these elements in the lunar mantle. New metal-silicate partitioning data will be applied to the origin of volatile elements in both the Earth and Moon, and will evaluate theories for exogenous versus endogenous origin of volatile elements.

Supercritical fluid extraction of volatile and non-volatile compounds from Schinus molle L.

Directory of Open Access Journals (Sweden)

M. S. T. Barroso

2011-06-01

Full Text Available Schinus molle L., also known as pepper tree, has been reported to have antimicrobial, antifungal, anti-inflammatory, antispasmodic, antipyretic, antitumoural and cicatrizing properties. This work studies supercritical fluid extraction (SFE to obtain volatile and non-volatile compounds from the aerial parts of Schinus molle L. and the influence of the process on the composition of the extracts. Experiments were performed in a pilot-scale extractor with a capacity of 1 L at pressures of 9, 10, 12, 15 and 20 MPa at 323.15 K. The volatile compounds were obtained by CO2 supercritical extraction with moderate pressure (9 MPa, whereas the non-volatile compounds were extracted at higher pressure (12 to 20 MPa. The analysis of the essential oil was carried out by GC-MS and the main compounds identified were sabinene, limonene, D-germacrene, bicyclogermacrene, and spathulenol. For the non-volatile extracts, the total phenolic content was determined by the Folin-Ciocalteau method. Moreover, one of the goals of this study was to compare the experimental data with the simulated yields predicted by a mathematical model based on mass transfer. The model used requires three adjustable parameters to predict the experimental extraction yield curves.

Production of a transparent lavender flavour nanocapsule aqueous solution and pyrolysis characteristics of flavour nanocapsule

OpenAIRE

Zhu, Guangyong; Xiao, Zuobing; Zhou, Rujun; Feng, Nienie

2014-01-01

Flavour plays an important role and has been widely used in many products. Usually, the components of flavour are volatile and the sensory perception can be changed as a result of volatilization, heating, oxidation and chemical interactions. Encapsulation can prevent the loss of volatile aromatic ingredients, provide protection and enhance the stability of the core materials. This work concentrated on production of a transparent lavender flavour nanocapsule aqueous solution. The results showe...

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

DEFF Research Database (Denmark)

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to r...

Potentiometric determination of trace amounts of volatile thiols in natural gas

International Nuclear Information System (INIS)

Farroha, S.M.; Habboush, A.E.; Kurthab, S.Y.

1986-01-01

A potentiometric titration method was developed for the determination of volatile thiols in natural gas. An apparatus was devised for the quantitative absorption of volatile thiols. The measurements were performed in an ethanolic ammonium buffer solution containing a known amount of silver nitrate as supporting electrolyte. The excess silver was precipitated by a known amount of potassium iodide. The excess of iodide was back titrated potentiometrically with a standard solution of silver nitrate. The direct titration of the excess silver ions with a standard solution of potassium iodide gave a poor accuracy compared with the back titration method. Iodide selective electrode was employed as an indicator electrode and a silver-silver chloride electrode as reference electrode. The accuracy and reproducibility of the method were established by preparing several synthetic samples in which ethanthiol containing from 346.61 to 12.11 μUg mercaptan sulfur was taken as standard nitrogen as carrier gas with an optimum flow rate of 31.5 L/hr. The results obtained expressed in the form of Grans plot showed an error ranging from 0.16 to 2.39% by weight and the relative standard deviation did not exceed 2.20%. The amount of mercaptan sulfur determined in Iraqi natural gas taken directly in a cylinder from Dora refinery, Baghdad, Iraq, and after six months of storage we 23.15 Ug/L and 21.25 Ug/L respectively with a relative standard deviation not exceeded 1%. The interferences of hydrogen sulfide could be eliminated by absorption in cadimium acetate containing solution. Other sulfur containing compounds e.g. disulfides, sulfoxides which may be present in natural gas do not interfere with the analysis

Asymmetric Realized Volatility Risk

NARCIS (Netherlands)

D.E. Allen (David); M.J. McAleer (Michael); M. Scharth (Marcel)

2014-01-01

markdownabstract__Abstract__ In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized

Modelling pesticide volatilization after soil application using the mechanistic model Volt'Air

Science.gov (United States)

Bedos, Carole; Génermont, Sophie; Le Cadre, Edith; Garcia, Lucas; Barriuso, Enrique; Cellier, Pierre

Volatilization of pesticides participates in atmospheric contamination and affects environmental ecosystems including human welfare. Modelling at relevant time and spatial scales is needed to better understand the complex processes involved in pesticide volatilization. Volt'Air-Pesticides has been developed following a two-step procedure to study pesticide volatilization at the field scale and at a quarter time step. Firstly, Volt'Air-NH 3 was adapted by extending the initial transfer of solutes to pesticides and by adding specific calculations for physico-chemical equilibriums as well as for the degradation of pesticides in soil. Secondly, the model was evaluated in terms of 3 pesticides applied on bare soil (atrazine, alachlor, and trifluralin) which display a wide range of volatilization rates. A sensitivity analysis confirmed the relevance of tuning to K h. Then, using Volt'Air-Pesticides, environmental conditions and emission fluxes of the pesticides were compared to fluxes measured under 2 environmental conditions. The model fairly well described water temporal dynamics, soil surface temperature, and energy budget. Overall, Volt'Air-Pesticides estimates of the order of magnitude of the volatilization flux of all three compounds were in good agreement with the field measurements. The model also satisfactorily simulated the decrease in the volatilization rate of the three pesticides during night-time as well as the decrease in the soil surface residue of trifluralin before and after incorporation. However, the timing of the maximum flux rate during the day was not correctly described, thought to be linked to an increased adsorption under dry soil conditions. Thanks to Volt'Air's capacity to deal with pedo-climatic conditions, several existing parameterizations describing adsorption as a function of soil water content could be tested. However, this point requires further investigation. Practically speaking, Volt'Air-Pesticides can be a useful tool to make

Nonparametric methods for volatility density estimation

NARCIS (Netherlands)

Es, van Bert; Spreij, P.J.C.; Zanten, van J.H.

2009-01-01

Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of the volatility process. Both models based on

Uncertainty of Volatility Estimates from Heston Greeks

Directory of Open Access Journals (Sweden)

Oliver Pfante

2018-01-01

Full Text Available Volatility is a widely recognized measure of market risk. As volatility is not observed it has to be estimated from market prices, i.e., as the implied volatility from option prices. The volatility index VIX making volatility a tradeable asset in its own right is computed from near- and next-term put and call options on the S&P 500 with more than 23 days and less than 37 days to expiration and non-vanishing bid. In the present paper we quantify the information content of the constituents of the VIX about the volatility of the S&P 500 in terms of the Fisher information matrix. Assuming that observed option prices are centered on the theoretical price provided by Heston's model perturbed by additive Gaussian noise we relate their Fisher information matrix to the Greeks in the Heston model. We find that the prices of options contained in the VIX basket allow for reliable estimates of the volatility of the S&P 500 with negligible uncertainty as long as volatility is large enough. Interestingly, if volatility drops below a critical value of roughly 3%, inferences from option prices become imprecise because Vega, the derivative of a European option w.r.t. volatility, and thereby the Fisher information nearly vanishes.

On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps

OpenAIRE

Bayraktar, Erhan

2007-01-01

We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quasi-variational inequality, that it is $C^2$ except at the stopping boundary and that it is $C^1$ everywhere (i.e. the smooth pasting condition always holds).

Mitigation of release of volatile iodine species during severe reactor accidents - a novel reliable process of safety technology

International Nuclear Information System (INIS)

Guentay, S.; Bruchertseifer, H.

2010-01-01

In severe accidents, a significant risk for public health may be generated as a result of release of the gaseous iodine species into the environment through the containment leaks or containment venting filter systems with low retention efficiency. The elemental iodine and volatile organic iodides are the main gaseous iodine species in the containment. Potential release of large quantities of gaseous elemental iodine from the reactor coolant system or its radiolytic generation in the containment sump constitute the key source of gaseous elemental iodine in containment atmosphere. Iodine paint reactions as well as the reaction of iodine with organic residuals in sump water are the main mechanisms for the generation of high volatile organic iodides in the containment. Although very much desired, significant research activities conducted in 70's unfortunately did not create any technically feasible solution to mitigate iodine release into the environment under prevailing conditions. Development of a process leading to a fast, comprehensive and reliable retention of volatile iodine species in aqueous solution with an aim to implement for the severe accident management applications has been subject of a research project in the recent years at Paul Scherrer Institut. The process developed utilizes simultaneous use of two customary technical chemical additives in an aqueous solution. The results of the experimental program have demonstrated a fast and reliable destruction of high volatile organic iodine species and fast reduction of elemental iodine into iodide ions in aqueous solutions and an efficient mitigation of the re-formation of gaseous iodine from iodide ions. Investigations covered a broad range of anticipated severe accident conditions in the containment. The project additionally focused on possible application of the process to existing containment venting filter systems, specifically as a passive add-on for back-fitting. This paper describes the process

Fluctuation behaviors of financial return volatility duration

Science.gov (United States)

Niu, Hongli; Wang, Jun; Lu, Yunfan

2016-04-01

It is of significantly crucial to understand the return volatility of financial markets because it helps to quantify the investment risk, optimize the portfolio, and provide a key input of option pricing models. The characteristics of isolated high volatility events above certain threshold in price fluctuations and the distributions of return intervals between these events arouse great interest in financial research. In the present work, we introduce a new concept of daily return volatility duration, which is defined as the shortest passage time when the future volatility intensity is above or below the current volatility intensity (without predefining a threshold). The statistical properties of the daily return volatility durations for seven representative stock indices from the world financial markets are investigated. Some useful and interesting empirical results of these volatility duration series about the probability distributions, memory effects and multifractal properties are obtained. These results also show that the proposed stock volatility series analysis is a meaningful and beneficial trial.

Ambient Volatility of Triethyl Phosphate

Science.gov (United States)

2017-08-01

of materials is predictable using Raoult’s law. This report details the measurement of the effect of water vapor partial pressure on the volatility...empirical correlation taking into account nonideal behavior was developed to enable estimation of TEPO volatility at any combination of ambient...of the second component is expected to be one-half as much as in the absence of water vapor. Similarly, the measured volatility of the second

Effect of sugars on liquid-vapour partition of volatile compounds in ready-to-drink coffee beverages.

Science.gov (United States)

Piccone, P; Lonzarich, V; Navarini, L; Fusella, G; Pittia, P

2012-09-01

The effect of sugars (sucrose, lactose, glucose, fructose, 10%w/v) on the liquid-vapour partition of selected volatile compounds of coffee beverages has been investigated in espresso coffee and ready-to-drink (RTD) canned coffee prepared and obtained by using the same Arabica roasted coffee beans blend. Aroma composition of coffee beverages has been preliminary investigated by headspace-gas chromatography (HS-GC) and solid phase microextraction-HS-GC-mass spectrometry to characterize the volatile pattern of the systems and to evaluate the effects of sugars on the aroma release/retention. Then, the liquid-vapour partition coefficient (k) of 4 selected key aroma compounds (diacetyl, 2,3-pentanedione, ethylpyrazine, hexanal) was determined in water, sugars solutions as well as RTD coffee brews added with the same sugars (10%w/v). Sugars added in coffee beverages affected the release of the volatiles and thus its aroma profile with differences due to the type of added sugar and coffee brew type. The k values of the selected volatile compounds resulted different depending on the model system composition (water, coffee brew) and sugar type added. In particular, melanoidins as well as other non-volatile components (lipids, acids, carbohydrates) in the RTD coffee brews could be implied in the change of k of the volatile compounds in respect to that observed in water. The effects of the sugar type on the release/retention of the four key coffee aroma compounds were partly explained in terms of 'salting out' especially for the more polar volatile compounds and in the sucrose-added model systems. The change of chemical and physico-chemical properties of the water and brews induced by the sugars as well as the occurrence of interactions between volatile compounds and non-volatile components may be implied in the reduction of the vapour partition of the aroma compounds. Copyright © 2012 John Wiley & Sons, Ltd.

Volatility persistence in crude oil markets

International Nuclear Information System (INIS)

Charles, Amélie; Darné, Olivier

2014-01-01

Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets – Brent, West Texas Intermediate (WTI) and Organization of Petroleum Exporting Countries (OPEC) – between January 2, 1985 and June 17, 2011. We identify outliers using a new semi-parametric test based on conditional heteroscedasticity models. These large shocks can be associated with particular event patterns, such as the invasion of Kuwait by Iraq, the Operation Desert Storm, the Operation Desert Fox, and the Global Financial Crisis as well as OPEC announcements on production reduction or US announcements on crude inventories. We show that outliers can bias (i) the estimates of the parameters of the equation governing volatility dynamics; (ii) the regularity and non-negativity conditions of GARCH-type models (GARCH, IGARCH, FIGARCH and HYGARCH); and (iii) the detection of structural breaks in volatility, and thus the estimation of the persistence of the volatility. Therefore, taking into account the outliers on the volatility modelling process may improve the understanding of volatility in crude oil markets. - Highlights: • We study the impact of outliers on volatility persistence of crude oil markets. • We identify outliers and patches of outliers due to specific events. • We show that outliers can bias (i) the estimates of the parameters of GARCH models, (ii) the regularity and non-negativity conditions of GARCH-type models, (iii) the detection of structural breaks in volatility of crude oil markets

Multi-volatile method for aroma analysis using sequential dynamic headspace sampling with an application to brewed coffee.

Science.gov (United States)

Ochiai, Nobuo; Tsunokawa, Jun; Sasamoto, Kikuo; Hoffmann, Andreas

2014-12-05

A novel multi-volatile method (MVM) using sequential dynamic headspace (DHS) sampling for analysis of aroma compounds in aqueous sample was developed. The MVM consists of three different DHS method parameters sets including choice of the replaceable adsorbent trap. The first DHS sampling at 25 °C using a carbon-based adsorbent trap targets very volatile solutes with high vapor pressure (>20 kPa). The second DHS sampling at 25 °C using the same type of carbon-based adsorbent trap targets volatile solutes with moderate vapor pressure (1-20 kPa). The third DHS sampling using a Tenax TA trap at 80 °C targets solutes with low vapor pressure (0.9910) and high sensitivity (limit of detection: 1.0-7.5 ng mL(-1)) even with MS scan mode. The feasibility and benefit of the method was demonstrated with analysis of a wide variety of aroma compounds in brewed coffee. Ten potent aroma compounds from top-note to base-note (acetaldehyde, 2,3-butanedione, 4-ethyl guaiacol, furaneol, guaiacol, 3-methyl butanal, 2,3-pentanedione, 2,3,5-trimethyl pyrazine, vanillin, and 4-vinyl guaiacol) could be identified together with an additional 72 aroma compounds. Thirty compounds including 9 potent aroma compounds were quantified in the range of 74-4300 ng mL(-1) (RSD<10%, n=5). Copyright © 2014 The Authors. Published by Elsevier B.V. All rights reserved.

Improving Garch Volatility Forecasts

NARCIS (Netherlands)

Klaassen, F.J.G.M.

1998-01-01

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our model

The effect of volatility on percutaneous absorption.

Science.gov (United States)

Rouse, Nicole C; Maibach, Howard I

2016-01-01

Topically applied chemicals may volatilize, or evaporate, from skin leaving behind a chemical residue with new percutaneous absorptive capabilities. Understanding volatilization of topical medications, such as sunscreens, fragrances, insect repellants, cosmetics and other commonly applied topicals may have implications for their safety and efficacy. A systematic review of English language articles from 1979 to 2014 was performed using key search terms. Articles were evaluated to assess the relationship between volatility and percutaneous absorption. A total of 12 articles were selected and reviewed. Key findings were that absorption is enhanced when coupled with a volatile substance, occlusion prevents evaporation and increases absorption, high ventilation increases volatilization and reduces absorption, and pH of skin has an affect on a chemical's volatility. The articles also brought to light that different methods may have an affect on volatility: different body regions; in vivo vs. in vitro; human vs. Data suggest that volatility is crucial for determining safety and efficacy of cutaneous exposures and therapies. Few articles have been documented reporting evaporation in the context of percutaneous absorption, and of those published, great variability exists in methods. Further investigation of volatility is needed to properly evaluate its role in percutaneous absorption.

Analysis of Volatile Markers for Virgin Olive Oil Aroma Defects by SPME-GC/FID: Possible Sources of Incorrect Data.

Science.gov (United States)

Oliver-Pozo, Celia; Aparicio-Ruiz, Ramón; Romero, Inmaculada; García-González, Diego L

2015-12-09

The need to explain virgin olive oil (VOO) aroma descriptors by means of volatiles has raised interest in applying analytical techniques for trapping and quantitating volatiles. Static headspace sampling with solid phase microextraction (SPME) as trapping material is one of the most applied solutions for analyzing volatiles. The use of an internal standard and the determination of the response factors of the main volatiles seem to guarantee the correct determination of volatile concentrations in VOOs by SPME-GC/FID. This paper, however, shows that the competition phenomena between volatiles in their adsorption to the SPME fiber, inherent in static headspace sampling, may affect the quantitation. These phenomena are more noticeable in the particular case of highly odorant matrices, such as rancid and vinegary VOOs with high intensity of defect. The competition phenomena can modify the measurement sensitivity, which can be observed in volatile quantitation as well as in the recording of internal standard areas in different matrices. This paper analyzes the bias of the peak areas and concentrations of those volatiles that are markers for each sensory defect of VOOs (rancid, vinegary, musty, and fusty) when the intensity and complexity of aroma are increased. Of the 17 volatile markers studied in this work, 10 presented some anomalies in the quantitation in highly odorant matrices due the competition phenomena. However, quantitation was not affected in the concentration ranges at which each volatile marker is typically found in the defective oils they were characteristic of, validating their use as markers.

Utilization of ruthenium volatilization at heating of residue containing phosphates and nitrates for ruthenium separation and for its qualitative proof

International Nuclear Information System (INIS)

Holgye, Z.

1979-01-01

The volatility of ruthenium during the heating of a residue after evaporation of a solution containing ruthenium, phosphates and nitrates may be utilized for the separation of ruthenium from various substances. Sup(103,106) Ru may be rapidly, selectively, and quantitatively separated from fission products mixture. Ruthenium may be also separated in this way from various inorganic salts or from biological material. The volatility of ruthenium may be used also for its qualitative proof. (author)

Interior Volatile Reservoirs in Mercury

Science.gov (United States)

Anzures, B. A.; Parman, S. W.; Milliken, R. E.; Head, J. W.

2018-05-01

More measurements of 1) surface volatiles, and 2) pyroclastic deposits paired with experimental volatile analyses in silicate minerals can constrain conditions of melting and subsequent eruption on Mercury.

Non-volatile memories

CERN Document Server

Lacaze, Pierre-Camille

2014-01-01

Written for scientists, researchers, and engineers, Non-volatile Memories describes the recent research and implementations in relation to the design of a new generation of non-volatile electronic memories. The objective is to replace existing memories (DRAM, SRAM, EEPROM, Flash, etc.) with a universal memory model likely to reach better performances than the current types of memory: extremely high commutation speeds, high implantation densities and retention time of information of about ten years.

Volcanic fluxes of volatiles. Preliminary estimates based on rare gas and major volatile calibration

International Nuclear Information System (INIS)

Marty, B.

1992-01-01

New estimates for volatile fluxes into the atmosphere and hydrosphere through volcanism have been computed using the measured fluxes of 3 He in oceans and SO 2 in the atmosphere, and the ratios between the volatiles in Mid-Ocean Ridge basalts and in high temperature volcanic gases. These estimates have been checked using independent estimates of the volcanic fluxes. This method provides a reliable means of tracing volatile fluxes, although its precision is restricted by the limited amount of data currently available. (author). 19 refs, 1 tab

Dimethyl Ether (DME) Assessment of Viscosity Using the New Volatile Fuel Viscometer (VFVM)

DEFF Research Database (Denmark)

Sivebæk, Ion Marius; Sorenson, Spencer C; Jakobsen, J.

2001-01-01

This paper describes the development and test of a viscometer capable of handling dimethyl Ether (DME) and other volatile fuels. DME has excellent combustion characteristics in diesel engines but the injection equipment can break down prematurely due to extensive wear when handling this fuel. It ...... is present in very large proportions. It is not believed that reasonably additised DME can reach the same viscosity and lubricity as diesel oil. The solution is rather to design the pumps so they can handle pure DME.......This paper describes the development and test of a viscometer capable of handling dimethyl Ether (DME) and other volatile fuels. DME has excellent combustion characteristics in diesel engines but the injection equipment can break down prematurely due to extensive wear when handling this fuel...

[Chemical components of Vetiveria zizanioides volatiles].

Science.gov (United States)

Huang, Jinghua; Li, Huashou; Yang, Jun; Chen, Yufen; Liu, Yinghu; Li, Ning; Nie, Chengrong

2004-01-01

The chemical components of the volatiles from Vetiveria zizanioides were analyzed by SPME and GC-MS. In the roots, the main component was valencene (30.36%), while in the shoots and leaves, they were 9-octadecenamide (33.50%), 2,6,10,15,19,23-hexamethyl-2,6,10,14,18,22-tetracosahexaene (27.46%), and 1,2-benzendicarboxylic acid, diisooctyl ester(18.29%). The results showed that there were many terpenoids in the volatils. In shoot volatiles, there existed 3 monoterpenes, 2 sequiterpenes and 1 triterpene. Most of the volatiles in roots were sesquiterpenes.

PERUBAHAN KOMPONEN VOLATIL SELAMA FERMENTASI KECAP [Change Volatile Components During Soy Sauce Fermentation

Directory of Open Access Journals (Sweden)

Anton Apriyantono1

2004-08-01

Full Text Available A study has been conducted to investigate changes of volatile components during soy sauce fermentation. During the fermentation, many volatile components produced may contribute to soy sauce flavor. THe volatile identified by GC-MS werw classified into hydrocarbon (15, alcohol (15, aldehyde (14, ester (14, ketone (9, benzene derivative (11, fatty acid (9, furan (5, terpenoid (18, pyrazine (3, thiazole (1, pyridine (1 and sulfur containing compound (2.Concentration of compounds found in almost all fermentation steps, such as hexanal and benzaldehyde did. These compounds may be derived from raw soybean, since they were all present in raw soybean and their concentration did not change during fermentation. Concentration of palmitic acid and benzeneacetaldehyde, in general, increased during all fermentation steps. They are probably derived from lipid degradation or microorganism activities. Concentrations of some fatty acids, esters and hydrocarbons, such as linoleic acid, methyl palmitate and heptadecane increased during salt fermentation only. Concentration of some other compounds, such as 2,4 decadienal decreased or undetected during fermentation.The absence of some volatile compounds, e.g. (E-nerolidol and (E,E-famesol in boiled soybean which were previously present in raw soybean may be due to evaporation of these compounds during boiling. Some volatile compounds such as, methyl heptadecanoate and few aromatic alcohols are likely derived from Aspergillus sojae, since these compounds were identified only in 0 day koji

Maximum likelihood approach for several stochastic volatility models

International Nuclear Information System (INIS)

Camprodon, Jordi; Perelló, Josep

2012-01-01

Volatility measures the amplitude of price fluctuations. Despite it being one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility follow a two-dimensional diffusion process where volatility is the stochastic diffusion coefficient of the log-price dynamics. We apply this method to the simplest versions of the expOU, the OU and the Heston stochastic volatility models and we study their performance in terms of the log-price probability, the volatility probability, and its Mean First-Passage Time. The approach has some predictive power on the future returns amplitude by only knowing the current volatility. The assumed models do not consider long-range volatility autocorrelation and the asymmetric return-volatility cross-correlation but the method still yields very naturally these two important stylized facts. We apply the method to different market indices and with a good performance in all cases. (paper)

Metal-organic molecular device for non-volatile memory storage

International Nuclear Information System (INIS)

Radha, B.; Sagade, Abhay A.; Kulkarni, G. U.

2014-01-01

Non-volatile memory devices have been of immense research interest for their use in active memory storage in powered off-state of electronic chips. In literature, various molecules and metal compounds have been investigated in this regard. Molecular memory devices are particularly attractive as they offer the ease of storing multiple memory states in a unique way and also represent ubiquitous choice for miniaturized devices. However, molecules are fragile and thus the device breakdown at nominal voltages during repeated cycles hinders their practical applicability. Here, in this report, a synergetic combination of an organic molecule and an inorganic metal, i.e., a metal-organic complex, namely, palladium hexadecylthiolate is investigated for memory device characteristics. Palladium hexadecylthiolate following partial thermolysis is converted to a molecular nanocomposite of Pd(II), Pd(0), and long chain hydrocarbons, which is shown to exhibit non-volatile memory characteristics with exceptional stability and retention. The devices are all solution-processed and the memory action stems from filament formation across the pre-formed cracks in the nanocomposite film.

Current status of fluoride volatility method development

Energy Technology Data Exchange (ETDEWEB)

Uhlir, J.; Marecek, M.; Skarohlid, J. [UJV - Nuclear Research Institute, Research Centre Rez, CZ-250 68 Husinec - Rez 130 (Czech Republic)

2013-07-01

The Fluoride Volatility Method is based on a separation process, which comes out from the specific property of uranium, neptunium and plutonium to form volatile hexafluorides whereas most of fission products (mainly lanthanides) and higher transplutonium elements (americium, curium) present in irradiated fuel form nonvolatile tri-fluorides. Fluoride Volatility Method itself is based on direct fluorination of the spent fuel, but before the fluorination step, the removal of cladding material and subsequent transformation of the fuel into a powdered form with a suitable grain size have to be done. The fluorination is made with fluorine gas in a flame fluorination reactor, where the volatile fluorides (mostly UF{sub 6}) are separated from the non-volatile ones (trivalent minor actinides and majority of fission products). The subsequent operations necessary for partitioning of volatile fluorides are the condensation and evaporation of volatile fluorides, the thermal decomposition of PuF{sub 6} and the finally distillation and sorption used for the purification of uranium product. The Fluoride Volatility Method is considered to be a promising advanced pyrochemical reprocessing technology, which can mainly be used for the reprocessing of oxide spent fuels coming from future GEN IV fast reactors.

Stochastic volatility and stochastic leverage

DEFF Research Database (Denmark)

Veraart, Almut; Veraart, Luitgard A. M.

This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...

Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary

DEFF Research Database (Denmark)

Dahl, Christian Møller; Iglesias, Emma M.

In this paper a new GARCH-M type model, denoted the GARCH-AR, is proposed. In particular, it is shown that it is possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized disturbance process. Importantly, the volatility in the GARCH......, we provide an empirical illustration showing the empirical relevance of the GARCH-AR model based on modelling a wide range of leading US stock return series....

High-performance solution-processed polymer ferroelectric field-effect transistors

NARCIS (Netherlands)

Naber, RCG; Tanase, C; Blom, PWM; Gelinck, GH; Marsman, AW; Touwslager, FJ; Setayesh, S; De Leeuw, DM; Naber, Ronald C.G.; Gelinck, Gerwin H.; Marsman, Albert W.; Touwslager, Fred J.

We demonstrate a rewritable, non-volatile memory device with flexible plastic active layers deposited from solution. The memory device is a ferroelectric field-effect transistor (FeFET) made with a ferroelectric fluoropolymer and a bisalkoxy-substituted poly(p-phenylene vinylene) semiconductor

Evaporation of a non-ideal solution and its application to writing ink aging.

Science.gov (United States)

Cantú, Antonio A

2015-02-01

The evaporation of a solution consisting of a non-volatile solute dissolved in a volatile solvent has been previously treated using a simple model called the beaker model. This model considers the solution to be in a non-porous container that has vertical walls like a glass beaker and assumes the solution is an ideal solution so that Raoult's law is obeyed. A particular novel finding was that under a certain condition, the evaporation or aging curve of the solution has a point of maximum acceleration. Prior to this point, the solution is in its fast drying mode and after this point, it is in its slow drying mode. This phenomenon is observed in the drying of many writing inks. In this work this model is modified to consider the evaporation of (a) a non-ideal solution, (b) a solution that become saturated, (c) a solution on a glass slide, and (d) a solution on a porous substrate. In each of these cases, the existence and location of the point of maximum acceleration of the drying process are examined. These modifications lead to a description of the dying process of a solution that is remarkably similar to that of writing inks but obtained via an entirely different physical model. Copyright © 2014 Elsevier Ireland Ltd. All rights reserved.

Diffusivity measurements of volatile organics in levitated viscous aerosol particles

Science.gov (United States)

Bastelberger, Sandra; Krieger, Ulrich K.; Luo, Beiping; Peter, Thomas

2017-07-01

Field measurements indicating that atmospheric secondary organic aerosol (SOA) particles can be present in a highly viscous, glassy state have spurred numerous studies addressing low diffusivities of water in glassy aerosols. The focus of these studies is on kinetic limitations of hygroscopic growth and the plasticizing effect of water. In contrast, much less is known about diffusion limitations of organic molecules and oxidants in viscous matrices. These may affect atmospheric chemistry and gas-particle partitioning of complex mixtures with constituents of different volatility. In this study, we quantify the diffusivity of a volatile organic in a viscous matrix. Evaporation of single particles generated from an aqueous solution of sucrose and small amounts of volatile tetraethylene glycol (PEG-4) is investigated in an electrodynamic balance at controlled relative humidity (RH) and temperature. The evaporative loss of PEG-4 as determined by Mie resonance spectroscopy is used in conjunction with a radially resolved diffusion model to retrieve translational diffusion coefficients of PEG-4. Comparison of the experimentally derived diffusivities with viscosity estimates for the ternary system reveals a breakdown of the Stokes-Einstein relationship, which has often been invoked to infer diffusivity from viscosity. The evaporation of PEG-4 shows pronounced RH and temperature dependencies and is severely depressed for RH ≲ 30 %, corresponding to diffusivities pollutant molecules such as polycyclic aromatic hydrocarbons (PAHs).

Manure application and ammonia volatilization

NARCIS (Netherlands)

Huijsmans, J.F.M.

2003-01-01

Keywords: manure application, ammonia volatilization, environmental conditions, application technique, incorporation technique, draught force, work organization, costs Livestock manure applied on farmland is an important source of ammonia (NH3) volatilization, and NH3 is a major atmospheric

Waste acid/metal solution reduction and recovery by vacuum distillation

International Nuclear Information System (INIS)

Jones, E.O.; Wilcox, W.A.; Johnson, N.T.; Bowdish, F.W.

1995-01-01

Processes involving distillation under reduced pressure were developed at the Pacific Northwest Laboratory several years ago to recover spent acid solutions generated during the manufacture of nuclear fuel for the N-Reactor at the Hanford site. Following construction and testing of a pilot-plant, the technology was licensed to Viatec Recovery Systems, Inc. for commercialization. The technology developed included specialized distillation and rectification of volatile acids, removal of water and/or volatile acid from sulfuric acid, and precipitation of salts. A key feature of the Waste Acid Detoxification and Reclamation (WADR) technology is the development and use of advanced thermoplastic and fluoropolymer materials of construction in all critical process equipment. The technology was then expanded to include crystallization to recover metal salts for possible reuse. Economic and environmental advantages of the procedures include recovery of acids for reuse, simplification or elimination of the disposal of waste solutions, and possible recovery of metals. Industries expected to benefit from such applications include galvanizing, electroplating, sand leaching and any where metals are cleaned in acid solutions. Currently a modular system has been assembled for recovery of several different spent acid solutions

Inflation Volatility and the Inflation-Growth Tradeoff in India

OpenAIRE

Raghbendra Jha; Varsha S. Kulkarni

2012-01-01

This paper amends the New Keynesian Phillips curve model to include inflation volatility and tests the determinants of such volatility for India. It provides results on the determinants of inflation volatility and expected inflation volatility for OLS and ARDL (1,1) models and for change in inflation volatility and change in expected inflation volatility using ECM models. Output gap affects change in expected inflation volatility along (in the ECM model) and not in the other models. Major det...

Financial Development, Financial Structure, and Macroeconomic Volatility: Evidence from China

Directory of Open Access Journals (Sweden)

Feng Wei

2016-11-01

Full Text Available Using annual data from 1997–2014 of 30 provinces, municipalities, and autonomous regions, subdividing trended and cyclical volatility of macroeconomics and inflation, considering different indicators of financial development and financial structure, this paper investigated the impact of financial development and financial structure on macroeconomic volatility. The empirical results found that (1 the trended and cyclical volatility of the previous macroeconomic period had a significantly positive impact on that of the current period, and the impact of trended volatility was greater than that of cyclical volatility; (2 financial development had a significantly negative impact on macroeconomic cyclical volatility through inflation cyclical volatility, but inflation trended volatility would amplify macroeconomic volatility; financial markets have no significant effect on macroeconomic volatility; financial structure measured with the ratio of stock market turnover and the efficiency of the financial development had a significant positive impact on macroeconomic cyclical volatility; and (3 inflation trended volatility had a significantly negative impact on macroeconomic cyclical volatility and trended volatility, while inflation cyclical volatility had a significantly positive impact on macroeconomic cyclical volatility.

Effects of Idiosyncratic Volatility in Asset Pricing

Directory of Open Access Journals (Sweden)

André Luís Leite

2016-04-01

Full Text Available This paper aims to evaluate the effects of the aggregate market volatility components - average volatility and average correlation - on the pricing of portfolios sorted by idiosyncratic volatility, using Brazilian data. The study investigates whether portfolios with high and low idiosyncratic volatility - in relation to the Fama and French model (1996 - have different exposures to innovations in average market volatility, and consequently, different expectations for return. The results are in line with those found for US data, although they portray the Brazilian reality. Decomposition of volatility allows the average volatility component, without the disturbance generated by the average correlation component, to better price the effects of a worsening or an improvement in the investment environment. This result is also identical to that found for US data. Average variance should thus command a risk premium. For US data, this premium is negative. According to Chen and Petkova (2012, the main reason for this negative sign is the high level of investment in research and development recorded by companies with high idiosyncratic volatility. As in Brazil this type of investment is significantly lower than in the US, it was expected that a result with the opposite sign would be found, which is in fact what occurred.

Volatiles in the Martian regolith

International Nuclear Information System (INIS)

Clark, B.C.; Baird, A.K.

1979-01-01

An inventory of released volatiles on Mars has been derived based upon Viking measurements of atmospheric and surface chemical composition, and upon the inferred mineralogy of a ubiquitous regolith, assumed to average 200m in depth. This model is consistent with the relative abundances of volatiles (except for S) on the Earth's surface, but implies one-fifteenth of the volatile release of Earth if starting materials were comparable. All constituents are accommodated as chemical components of, or absorbed phases on, regolith materials--without the necessity of invoking unobservable deposits of carbonates, nitrates, or permafrost ice

HS-SPME-GC-MS ANALYSIS OF VOLATILE AND SEMI-VOLATILE COMPOUNDS FROM DRIED LEAVES OF Mikania glomerata Sprengel

Directory of Open Access Journals (Sweden)

Esmeraldo A. Cappelaro

2015-03-01

Full Text Available This paper reports on the identification of volatile and semi-volatile compounds and a comparison of the chromatographic profiles obtained by Headspace Solid-Phase Microextraction/Gas Chromatography with Mass Spectrometry detection (HS-SPME-GC-MS of dried leaves of Mikania glomerata Sprengel (Asteraceae, also known as 'guaco.' Three different types of commercial SPME fibers were tested: polydimethylsiloxane (PDMS, polydimethylsiloxane/divinylbenzene (PDMS/DVB and polyacrylate (PA. Fifty-nine compounds were fully identified by HS-SPME-HRGC-MS, including coumarin, a marker for the quality control of guaco-based phytomedicines; most of the other identified compounds were mono- and sesquiterpenes. PA fibers performed better in the analysis of coumarin, while PDMS-DVB proved to be the best choice for a general and non-selective analysis of volatile and semi-volatile guaco-based compounds. The SPME method is faster and requires a smaller sample than conventional hydrodistillation of essential oils, providing a general overview of the volatile and semi-volatile compounds of M. glomerata.

Determination of the solubility of low volatility liquid organic compounds in water using volatile-tracer assisted headspace gas chromatography.

Science.gov (United States)

Zhang, Shu-Xin; Chai, Xin-Sheng; Barnes, Donald G

2016-02-26

This study reports a new headspace gas chromatographic method (HS-GC) for the determination of water solubility of low volatility liquid organic compounds (LVLOs). The HS-GC analysis was performed on a set of aqueous solutions containing a range of concentrations of toluene-spiked (as a tracer) LVLOs, from under-saturation to over-saturation. A plot of the toluene tracer GC signal vs. the concentration of the LVLO results in two lines of different slopes that intersect at the concentration corresponding to the compound's solubility in water. The results showed that the HS-GC method has good precision (RSD waters of environmental and biological systems. Copyright © 2016 Elsevier B.V. All rights reserved.

Herbivore-induced blueberry volatiles and intra-plant signaling.

Science.gov (United States)

Rodriguez-Saona, Cesar R

2011-12-18

Herbivore-induced plant volatiles (HIPVs) are commonly emitted from plants after herbivore attack. These HIPVs are mainly regulated by the defensive plant hormone jasmonic acid (JA) and its volatile derivative methyl jasmonate (MeJA). Over the past 3 decades researchers have documented that HIPVs can repel or attract herbivores, attract the natural enemies of herbivores, and in some cases they can induce or prime plant defenses prior to herbivore attack. In a recent paper, I reported that feeding by gypsy moth caterpillars, exogenous MeJA application, and mechanical damage induce the emissions of volatiles from blueberry plants, albeit differently. In addition, blueberry branches respond to HIPVs emitted from neighboring branches of the same plant by increasing the levels of JA and resistance to herbivores (i.e., direct plant defenses), and by priming volatile emissions (i.e., indirect plant defenses). Similar findings have been reported recently for sagebrush, poplar, and lima beans. Here, I describe a push-pull method for collecting blueberry volatiles induced by herbivore (gypsy moth) feeding, exogenous MeJA application, and mechanical damage. The volatile collection unit consists of a 4 L volatile collection chamber, a 2-piece guillotine, an air delivery system that purifies incoming air, and a vacuum system connected to a trap filled with Super-Q adsorbent to collect volatiles. Volatiles collected in Super-Q traps are eluted with dichloromethane and then separated and quantified using Gas Chromatography (GC). This volatile collection method was used in my study to investigate the volatile response of undamaged branches to exposure to volatiles from herbivore-damaged branches within blueberry plants. These methods are described here. Briefly, undamaged blueberry branches are exposed to HIPVs from neighboring branches within the same plant. Using the same techniques described above, volatiles emitted from branches after exposure to HIPVs are collected and

Endogenous Lunar Volatiles: Insights into the Abundances of Volatiles in the Moon from Lunar Apatite

Science.gov (United States)

McCubbin, Francis

2016-01-01

At the time of publication of New Views of the Moon, it was thought that the Moon was bone dry with less than about 1 ppb H2O. However in 2007, initial reports at the 38th Lunar and Planetary Science Conference speculated that H-species were present in both apatites and pyroclastic volcanic lunar glasses. These early reports were later confirmed through peer-review, which motivated many subsequent studies on magmatic volatiles in and on the Moon within the last decade. Some of these studies have cast into question the post-Apollo view of lunar formation, the distribution and sources of volatiles in the Earth-Moon system, and the thermal and magmatic evolution of the Moon. The mineral apatite has been one of the pillars of this new field of study, and it will be the primary focus of this abstract. Although apatite has been used both to understand the abundances of volatiles in lunar systems as well as the isotopic compositions of those volatiles, the focus here will be on the abundances of F, Cl, and H2O. This work demonstrates the utility of apatite in advancing our understanding of lunar volatiles, hence apatite should be among the topics covered in the endogenous lunar volatile chapter in NVM II. Truncated ternary plot of apatite X-site occupancy (mol%) from highlands apatite and mare basalt apatite plotted on the relative volatile abundance diagram from. The solid black lines delineate fields of relative abundances of F, Cl, and H2O (on a weight basis) in the melt from which the apatite crystallized. The diagram was constructed using available apatite/melt partitioning data for fluorine, chlorine, and hydroxyl.

Electricity market price volatility: The case of Ontario

International Nuclear Information System (INIS)

Zareipour, Hamidreza; Bhattacharya, Kankar; Canizares, Claudio A.

2007-01-01

Price volatility analysis has been reported in the literature for most competitive electricity markets around the world. However, no studies have been published yet that quantify price volatility in the Ontario electricity market, which is the focus of the present paper. In this paper, a comparative volatility analysis is conducted for the Ontario market and its neighboring electricity markets. Volatility indices are developed based on historical volatility and price velocity concepts, previously applied to other electricity market prices, and employed in the present work. The analysis is carried out in two scenarios: in the first scenario, the volatility indices are determined for the entire price time series. In the second scenario, the price time series are broken up into 24 time series for each of the 24 h and volatility indices are calculated for each specific hour separately. The volatility indices are also applied to the locational marginal prices of several pricing points in the New England, New York, and PJM electricity markets. The outcomes reveal that price volatility is significantly higher in Ontario than the three studied neighboring electricity markets. Furthermore, comparison of the results of this study with similar findings previously published for 15 other electricity markets demonstrates that the Ontario electricity market is one of the most volatile electricity markets world-wide. This high volatility is argued to be associated with the fact that Ontario is a single-settlement, real-time market

Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models

International Nuclear Information System (INIS)

Gulisashvili, Archil; Stein, Elias M.

2010-01-01

We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process and the density of the stock price process in the Stein-Stein and the Heston model. We find explicit formulas for leading terms in asymptotic expansions of these densities and give error estimates. As an application of our results, sharp asymptotic formulas for the implied volatility in the Stein-Stein and the Heston model are obtained.

Determination of volatile compounds in grape distillates by solid-phase extraction and gas chromatography.

Science.gov (United States)

Lukić, Igor; Banović, Mara; Persurić, Dordano; Radeka, Sanja; Sladonja, Barbara

2006-01-06

Solid-phase extraction (SPE) procedure on octadecylsilica (C18) was developed for accumulation of volatile compounds from grape distillates. The procedure was optimised for final analysis by capillary gas chromatography. At mass concentrations in model solutions ranging from 0.1 to 50 mg/l solid-phase extraction recoveries of all analytes ranged from 69% for 2-phenylethanol to 102% for capric acid, with RSD values from 2 to 9%. SPE recoveries of internal standards to be added in the sample solution prior to extraction, higher alcohols 2-ethyl-1-hexanol and 1-undecanol, were 97 and 93%, respectively, with RSD values of 3%. Detection limits of analyzed compounds in model solutions ranged from 0.011 mg/l for isoamyl acetate to 0.037 mg/l for caproic acid. Method efficiency was tested in relation to acetic acid content, volume fraction of ethanol and possible matrix effects. A significant influence of matrix on SPE efficiency for geraniol, cis-2-hexen-1-ol and cis-3-hexen-1-ol was detected. For the same reason, 2-phenylethanol could not be determined by developed SPE method in samples of grape distillates. The developed solid-phase extraction method was successfully applied to determine the differences in volatile compound content in different grape distillates produced by the distillation of crushed, pressed and fermented grapes.

Dynamic Asset Allocation Strategies Based on Volatility, Unexpected Volatility and Financial Turbulence

OpenAIRE

Grimsrud, David Borkner

2015-01-01

Masteroppgave økonomi og administrasjon- Universitetet i Agder, 2015 This master thesis looks at unexpected volatility- and financial turbulence’s predictive ability, and exploit these measures of financial risk, together with volatility, to create three dynamic asset allocation strategies, and test if they can outperform a passive and naively diversified buy-and-hold strategy. The idea with the dynamic strategies is to increase the portfolio return by keeping the portfolio risk at a low a...

A nonparametric approach to forecasting realized volatility

OpenAIRE

Adam Clements; Ralf Becker

2009-01-01

A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate to the development of time series models of volatility. This paper proposes an alternative method for forecasting volatility that does not involve such a model. Under this approach a forecast is a weighted average of historical volatility. The greatest weight is given to periods that exhibit the most similar market conditions to the time at which the forecast is being formed...

A discrete-time two-factor model for pricing bonds and interest rate derivatives under random volatility

OpenAIRE

Heston, Steven L.; Nandi, Saikat

1999-01-01

This paper develops a discrete-time two-factor model of interest rates with analytical solutions for bonds and many interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level of the short rate itself. Besides bond and bond futures, the model yields analytical solutions for prices of European options on discount bonds (and futures) as well as other interest rate derivatives such as caps, floors, average rate options, yield curv...

Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility

DEFF Research Database (Denmark)

Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri

We introduce a multivariate GARCH model that utilizes and models realized measures of volatility and covolatility. The realized measures extract information contained in high-frequency data that is particularly beneficial during periods with variation in volatility and covolatility. Applying the ...

Flower volatiles, crop varieties and bee responses.

Directory of Open Access Journals (Sweden)

Björn K Klatt

Full Text Available Pollination contributes to an estimated one third of global food production, through both the improvement of the yield and the quality of crops. Volatile compounds emitted by crop flowers mediate plant-pollinator interactions, but differences between crop varieties are still little explored. We investigated whether the visitation of crop flowers is determined by variety-specific flower volatiles using strawberry varieties (Fragaria x ananassa Duchesne and how this affects the pollination services of the wild bee Osmia bicornis L. Flower volatile compounds of three strawberry varieties were measured via headspace collection. Gas chromatography showed that the three strawberry varieties produced the same volatile compounds but with quantitative differences of the total amount of volatiles and between distinct compounds. Electroantennographic recordings showed that inexperienced females of Osmia bicornis had higher antennal responses to all volatile compounds than to controls of air and paraffin oil, however responses differed between compounds. The variety Sonata was found to emit a total higher level of volatiles and also higher levels of most of the compounds that evoked antennal responses compared with the other varieties Honeoye and Darselect. Sonata also received more flower visits from Osmia bicornis females under field conditions, compared with Honeoye. Our results suggest that differences in the emission of flower volatile compounds among strawberry varieties mediate their attractiveness to females of Osmia bicornis. Since quality and quantity of marketable fruits depend on optimal pollination, a better understanding of the role of flower volatiles in crop production is required and should be considered more closely in crop-variety breeding.

The multivariate supOU stochastic volatility model

DEFF Research Database (Denmark)

Barndorff-Nielsen, Ole; Stelzer, Robert

Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second order...... structure of the volatility, the log returns, as well as their "squares" are discussed in detail. Moreover, we give several examples in which long memory effects occur and study how the model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations....... In particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup)OU stochastic volatility models can be combined with a factor modelling approach....

Forecasting Exchange Rate Volatility in the Presence of Jumps

DEFF Research Database (Denmark)

Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniquesto compute realized return volatility and its separate continuous sample path and jumpcomponents, and measures based on prices...... of exchange rate futures options, allowingcalculation of option implied volatility. We find that implied volatility is an informationallyefficient but biased forecast of future realized exchange rate volatility. Furthermore,we show that log-normality is an even better distributional approximation...... for impliedvolatility than for realized volatility in this market. Finally, we show that the jump componentof future realized exchange rate volatility is to some extent predictable, and thatoption implied volatility is the dominant forecast of the future jump component....

Dynamic Factor Models for the Volatility Surface

DEFF Research Database (Denmark)

van der Wel, Michel; Ozturk, Sait R.; Dijk, Dick van

The implied volatility surface is the collection of volatilities implied by option contracts for different strike prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility surface. Three model types are considered to examine desirable...

A fast and simple method for quantitative determination of fat-derived medium and low-volatile compounds in cheese

NARCIS (Netherlands)

Alewijn, M.; Sliwinski, E.L.; Wouters, J.T.M.

2003-01-01

Cheese flavour is a mixture of many (volatile) compounds, mostly formed during ripening. The current method was developed to qualify and quantify fat-derived compounds in cheese. Cheese samples were extracted with acetonitrile, which led to a concentrated solution of potential favour compounds,

Fundamental volatility is regime specific

NARCIS (Netherlands)

Arnold, I.J.M.; MacDonald, R.; Vries, de C.G.

2006-01-01

A widely held notion holds that freely floating exchange rates are excessively volatile when judged against fundamentals and when moving from fixed to floating exchange rates. We re-examine the data and conclude that the disparity between the fundamentals and exchange rate volatility is more

In-cloud processes of methacrolein under simulated conditions – Part 3: Hygroscopic and volatility properties of the formed secondary organic aerosol

Directory of Open Access Journals (Sweden)

A. Monod

2009-07-01

Full Text Available The hygroscopic and volatility properties of secondary organic aerosol (SOA produced from the nebulization of solutions after aqueous phase photooxidation of methacrolein was experimentally studied in a laboratory, using a Volatility-Hygroscopicity Tandem DMA (VHTDMA. The obtained SOA were 80% 100°C-volatile after 5 h of reaction and only 20% 100°C-volatile after 22 h of reaction. The Hygroscopic Growth Factor (HGF of the SOA produced from the nebulization of solutions after aqueous-phase photooxidation of methacrolein is 1.34–1.43, which is significantly higher than the HGF of SOA formed by gas-phase photooxidation of terpenes, usually found almost hydrophobic. These hygroscopic properties were confirmed for SOA formed by the nebulization of the same solutions where NaCl was added. The hygroscopic properties of the cloud droplet residuals decrease with the reaction time, in parallel with the formation of more refractory compounds. This decrease was mainly attributed to the 250°C-refractive fraction (presumably representative of the highest molecular weight compounds, which evolved from moderately hygroscopic (HGF of 1.52 to less hygroscopic (HGF of 1.36. Oligomerization is suggested as a process responsible for the decrease of both volatility and hygroscopicity with time. The NaCl seeded experiments enabled us to show that 19±4 mg L⁻¹ of SOA was produced after 9.5 h of reaction and 41±9 mg L⁻¹ after 22 h of in-cloud reaction. Because more and more SOA is formed as the reaction time increases, our results show that the reaction products formed during the aqueous-phase OH-oxidation of methacrolein may play a major role in the properties of residual particles upon the droplet's evaporation. Therefore, the specific physical properties of SOA produced during cloud processes should be taken into account for a global estimation of SOA and their atmospheric impacts.

Consistent ranking of volatility models

DEFF Research Database (Denmark)

Hansen, Peter Reinhard; Lunde, Asger

2006-01-01

We show that the empirical ranking of volatility models can be inconsistent for the true ranking if the evaluation is based on a proxy for the population measure of volatility. For example, the substitution of a squared return for the conditional variance in the evaluation of ARCH-type models can...... variance in out-of-sample evaluations rather than the squared return. We derive the theoretical results in a general framework that is not specific to the comparison of volatility models. Similar problems can arise in comparisons of forecasting models whenever the predicted variable is a latent variable....

Diffusivity measurements of volatile organics in levitated viscous aerosol particles

Directory of Open Access Journals (Sweden)

S. Bastelberger

2017-07-01

Full Text Available Field measurements indicating that atmospheric secondary organic aerosol (SOA particles can be present in a highly viscous, glassy state have spurred numerous studies addressing low diffusivities of water in glassy aerosols. The focus of these studies is on kinetic limitations of hygroscopic growth and the plasticizing effect of water. In contrast, much less is known about diffusion limitations of organic molecules and oxidants in viscous matrices. These may affect atmospheric chemistry and gas–particle partitioning of complex mixtures with constituents of different volatility. In this study, we quantify the diffusivity of a volatile organic in a viscous matrix. Evaporation of single particles generated from an aqueous solution of sucrose and small amounts of volatile tetraethylene glycol (PEG-4 is investigated in an electrodynamic balance at controlled relative humidity (RH and temperature. The evaporative loss of PEG-4 as determined by Mie resonance spectroscopy is used in conjunction with a radially resolved diffusion model to retrieve translational diffusion coefficients of PEG-4. Comparison of the experimentally derived diffusivities with viscosity estimates for the ternary system reveals a breakdown of the Stokes–Einstein relationship, which has often been invoked to infer diffusivity from viscosity. The evaporation of PEG-4 shows pronounced RH and temperature dependencies and is severely depressed for RH ≲ 30 %, corresponding to diffusivities < 10−14 cm2 s−1 at temperatures < 15 °C. The temperature dependence is strong, suggesting a diffusion activation energy of about 300 kJ mol−1. We conclude that atmospheric volatile organic compounds can be subject to severe diffusion limitations in viscous organic aerosol particles. This may enable an important long-range transport mechanism for organic material, including pollutant molecules such as polycyclic aromatic hydrocarbons (PAHs.

Sulfur volatiles from Allium spp. affect Asian citrus psyllid, Diaphorina citri Kuwayama (Hemiptera: Psyllidae), response to citrus volatiles.

Science.gov (United States)

Mann, R S; Rouseff, R L; Smoot, J M; Castle, W S; Stelinski, L L

2011-02-01

The Asian citrus psyllid, Diaphorina citri Kuwayama, vectors Candidatus Liberibacter asiaticus (Las) and Candidatus Liberibacter americanus (Lam), the presumed causal agents of huanglongbing. D. citri generally rely on olfaction and vision for detection of host cues. Plant volatiles from Allium spp. (Alliaceae) are known to repel several arthropod species. We examined the effect of garlic chive (A. tuberosum Rottl.) and wild onion (A. canadense L.) volatiles on D. citri behaviour in a two-port divided T-olfactometer. Citrus leaf volatiles attracted significantly more D. citri adults than clean air. Volatiles from crushed garlic chive leaves, garlic chive essential oil, garlic chive plants, wild onion plants and crushed wild onion leaves all repelled D. citri adults when compared with clean air, with the first two being significantly more repellent than the others. However, when tested with citrus volatiles, only crushed garlic chive leaves and garlic chive essential oil were repellent, and crushed wild onions leaves were not. Analysis of the headspace components of crushed garlic chive leaves and garlic chive essential oil by gas chromatography-mass spectrometry revealed that monosulfides, disulfides and trisulfides were the primary sulfur volatiles present. In general, trisulfides (dimethyl trisulfide) inhibited the response of D. citri to citrus volatiles more than disulfides (dimethyl disulfide, allyl methyl disulfide, allyl disulfide). Monosulfides did not affect the behaviour of D. citri adults. A blend of dimethyl trisulfide and dimethyl disulfide in 1:1 ratio showed an additive effect on inhibition of D. citri response to citrus volatiles. The plant volatiles from Allium spp. did not affect the behaviour of the D. citri ecto-parasitoid Tamarixia radiata (Waterston). Thus, Allium spp. or the tri- and di-sulphides could be integrated into management programmes for D. citri without affecting natural enemies.

Aerosol volatility in a boreal forest environment

Science.gov (United States)

Häkkinen, S. A. K.; ńijälä, M.; Lehtipalo, K.; Junninen, H.; Virkkula, A.; Worsnop, D. R.; Kulmala, M.; Petäjä, T.; Riipinen, I.

2012-04-01

Climate and health effects of atmospheric aerosols are determined by their properties such as their chemical composition. Aerosol chemical composition can be studied indirectly by measuring volatility of aerosol particles. The volatility of submicron aerosol particles (20-500 nm) was studied in a boreal forest site at SMEAR II (Station for Measuring Ecosystem-Atmosphere Relations II) station (Vesala et al., 1998) in Hyytiälä, Finland, during 01/2008-05/2010. The instrument used for the measurements was VDMPS (Volatility Differential Mobility Particle Sizer), which consists of two separate instruments: DMPS (Differential Mobility Particle Sizer, Aalto et al., 2001) and TD (Thermodenuder, Wehner et al., 2002). Aerosol evaporation was examined by heating the aerosol and comparing the total aerosol mass before and after heating. In the VDMPS system ambient aerosol sample was heated up to temperatures ranging from 80 °C to 280 °C. The higher the heating temperature was the more aerosol material was evaporated. There was a non-volatile residual present in aerosol particles when heated up to 280 °C. This residual explained (20±8)% of the total aerosol mass. Aerosol non-volatile mass fraction was highest during winter and smallest during summer months. The role of black carbon in the observed non-volatile residual was determined. Black carbon explained 40 to 90% of the non-volatile mass. Especially during colder seasons noticeable amount of non-volatile material, something else than black carbon, was observed. According to Kalberer et al. (2004) some atmospheric organic species can form polymers that have high evaporation temperatures. Also low-volatile organic salts may contribute to the non-volatile aerosol (Smith et al., 2010). Aerosol mass composition measured directly with AMS (Aerosol Mass Spectrometer, Jayne et al., 2000) was analyzed in order to examine the properties of the non-volatile material (other than black carbon). The AMS measurements were performed

Analysis of volatiles from irradiated yeast extract

International Nuclear Information System (INIS)

Liao Tao; Li Xin; Zu Xiaoyan; Chen Yuxia; Geng Shengrong

2013-01-01

The method for determination volatiles from irradiated yeast extract (YE) using headspace solid phase microextraction (HS-SPME) and gas chromatography-mass spectrometry (GC-MS) was developed in this paper. The extraction conditions were optimized with reference to the peak area and number of volatiles as aldehyde, ketone, alcohol, acid, ester and sulfur compounds. The optimized conditions of HS-SPME for volatiles in irradiated YE were: divinyl benzene/Carboxen/polydimethylsiloxane (DVB/CAR/PDMS) fiber, extration time 40 min, extraction temperature 40℃. The volatiles from YE irradiated by 0-19.8 kGy were detected using HS-SPME coupled with GC-MS. The results showed that only 15 volatiles were detected from no irradiated YE and main compounds were acetic acid, 2, 3-butanediol and 1-hexanol, 2-ethyl-. There were 40 volatiles detected from irradiated YE and the main compounds were acetic acid, phenylethyl alcohol, heptanal and nonanal. Compare to no irradiated yeast extract, the aldehyde, ketone, alkene and disulfide, dimethyl were produced by irradiating process. (authors)

Semianalytical model predicting transfer of volatile pollutants from groundwater to the soil surface.

Science.gov (United States)

Atteia, Olivier; Höhener, Patrick

2010-08-15

Volatilization of toxic organic contaminants from groundwater to the soil surface is often considered an important pathway in risk analysis. Most of the risk models use simplified linear solutions that may overpredict the volatile flux. Although complex numerical models have been developed, their use is restricted to experienced users and for sites where field data are known in great detail. We present here a novel semianalytical model running on a spreadsheet that simulates the volatilization flux and vertical concentration profile in a soil based on the Van Genuchten functions. These widely used functions describe precisely the gas and water saturations and movement in the capillary fringe. The analytical model shows a good accuracy over several orders of magnitude when compared to a numerical model and laboratory data. The effect of barometric pumping is also included in the semianalytical formulation, although the model predicts that barometric pumping is often negligible. A sensitivity study predicts significant fluxes in sandy vadose zones and much smaller fluxes in other soils. Fluxes are linked to the dimensionless Henry's law constant H for H < 0.2 and increase by approximately 20% when temperature increases from 5 to 25 degrees C.

A dynamic two-dimensional system for measuring volatile organic compound volatilization and movement in soils.

Science.gov (United States)

Allaire, S E; Yates, S R; Ernst, F F; Gan, J

2002-01-01

There is an important need to develop instrumentation that allows better understanding of atmospheric emission of toxic volatile compounds associated with soil management. For this purpose, chemical movement and distribution in the soil profile should be simultaneously monitored with its volatilization. A two-dimensional rectangular soil column was constructed and a dynamic sequential volatilization flux chamber was attached to the top of the column. The flux chamber was connected through a manifold valve to a gas chromatograph (GC) for real-time concentration measurement. Gas distribution in the soil profile was sampled with gas-tight syringes at selected times and analyzed with a GC. A pressure transducer was connected to a scanivalve to automatically measure the pressure distribution in the gas phase of the soil profile. The system application was demonstrated by packing the column with a sandy loam in a symmetrical bed-furrow system. A 5-h furrow irrigation was started 24 h after the injection of a soil fumigant, propargyl bromide (3-bromo-1-propyne; 3BP). The experience showed the importance of measuring lateral volatilization variability, pressure distribution in the gas phase, chemical distribution between the different phases (liquid, gas, and sorbed), and the effect of irrigation on the volatilization. Gas movement, volatilization, water infiltration, and distribution of degradation product (Br-) were symmetric around the bed within 10%. The system saves labor cost and time. This versatile system can be modified and used to compare management practices, estimate concentration-time indexes for pest control, study chemical movement, degradation, and emissions, and test mathematical models.

Political institutions and economic volatility

NARCIS (Netherlands)

Klomp, Jeroen; de Haan, Jakob

We examine the effect of political 'institutions' on economic growth volatility, using data from more than 100 countries over the period 1960 to 2005, taking into account various control variables as suggested in previous studies. Our indicator of volatility is the relative standard deviation of the

The predictive content of CBOE crude oil volatility index

Science.gov (United States)

Chen, Hongtao; Liu, Li; Li, Xiaolei

2018-02-01

Volatility forecasting is an important issue in the area of econophysics. The information content of implied volatility for financial return volatility has been well documented in the literature but very few studies focus on oil volatility. In this paper, we show that the CBOE crude oil volatility index (OVX) has predictive ability for spot volatility of WTI and Brent oil returns, from both in-sample and out-of-sample perspectives. Including OVX-based implied volatility in GARCH-type volatility models can improve forecasting accuracy most of time. The predictability from OVX to spot volatility is also found for longer forecasting horizons of 5 days and 20 days. The simple GARCH(1,1) and fractionally integrated GARCH with OVX performs significantly better than the other OVX models and all 6 univariate GARCH-type models without OVX. Robustness test results suggest that OVX provides different information from as short-term interest rate.

Volatility literature of chlorine, iodine, cesium, strontium, technetium, and rhenium; technetium and rhenium volatility testing

International Nuclear Information System (INIS)

Langowski, M.H.; Darab, J.G.; Smith, P.A.

1996-03-01

A literature review pertaining to the volatilization of Sr, Cs, Tc (and its surrogate Re), Cl, I and other related species during the vitrification of Hanford Low Level Waste (LLW) streams has been performed and the relevant information summarized. For many of these species, the chemistry which occurs in solution prior to the waste stream entering the melter is important in dictating their loss at higher temperatures. In addition, the interactive effects between the species being lost was found to be important. A review of the chemistries of Tc and Re was also performed. It was suggested that Re would indeed act as an excellent surrogate for Tc in non-radioactive materials testing. Experimental results on Tc and Re loss from sodium aluminoborosilicate melts of temperatures ranging from 900--1350 degrees C performed at PNL are reported and confirm that Re behaves in a nearly identical manner to that of technetium

Oil Volatility Risk and Expected Stock Returns

DEFF Research Database (Denmark)

Christoffersen, Peter; Pan, Xuhui (Nick)

return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

ZnO as dielectric for optically transparent non-volatile memory

International Nuclear Information System (INIS)

Salim, N. Tjitra; Aw, K.C.; Gao, W.; Wright, Bryon E.

2009-01-01

This paper discusses the application of a DC sputtered ZnO thin film as a dielectric in an optically transparent non-volatile memory. The main motivation for using ZnO as a dielectric is due to its optical transparency and mechanical flexibility. We have established the relationship between the electrical resistivity (ρ) and the activation energy (E a ) of the electron transport in the conduction band of the ZnO film. The ρ of 2 x 10 4 -5 x 10 7 Ω-cm corresponds to E a of 0.36-0.76 eV, respectively. The k-value and optical band-gap for films sputtered with Ar:O 2 ratio of 4:1 are 53 ± 3.6 and 3.23 eV, respectively. In this paper, the basic charge storage element for a non-volatile memory is a triple layer dielectric structure in which a 50 nm thick ZnO film is sandwiched between two layers of methyl silsesquioxane sol-gel dielectric of varying thickness. A pronounced clockwise capacitance-voltage (C-V) hysteresis was observed with a memory window of 6 V. The integration with a solution-processable pentacene, 13,6-N-Sulfinylacetamodipentacene resulted in an optically transparent organic field effect transistor non-volatile memory (OFET-NVM). We have demonstrated that this OFET-NVM can be electrically programmed and erased at low voltage (± 10 V) with a threshold voltage shift of 4.0 V.

Understanding Interest Rate Volatility

DEFF Research Database (Denmark)

Volker, Desi

This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty...... and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochastic Volatility" (co-authored with Sebastian Fux), investigates the ability of the class of regime switching models...... with and without stochastic volatility to capture the main stylized features of U.S. interest rates. The third essay, \\Variance Risk Premia in the Interest Rate Swap Market", investigates the time-series and cross-sectional properties of the compensation demanded for holding interest rate variance risk. The essays...

Equity Volatility and Corporate Bond Yields

OpenAIRE

John Y. Campbell; Glen B. Taksler

2002-01-01

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields. The definitive version is available at www.blackwell-synergy.com.

Permanent and transitory oil volatility and aggregate investment in Malaysia

International Nuclear Information System (INIS)

Ibrahim, Mansor H.; Ahmed, Huson Joher Ali

2014-01-01

This paper investigates the relation between aggregate investment and oil volatility and its permanent and transitory components for a developing country, Malaysia. In the paper, the components generalized autoregressive conditional heteroskedasticity (CGARCH) model is utilized to decompose conditional oil volatility into permanent oil volatility and transitory oil volatility. Respectively reflecting fundamental-driven and random shifts in oil volatility, they are expected to exert differential effects on aggregate investment. Adopting a vector autoregression (VAR) framework to allow feedback effects between aggregate investment and its determinants, the paper documents evidence supporting the adverse effects of conditional oil volatility, permanent oil volatility and transitory oil volatility on aggregate investment and real output. Interestingly, contrary to the findings for the developed markets (US and OECD), the real effects of permanent oil volatility tend to be stronger. These findings are reasonably robust to variable specification and measurements in the VAR system. Hence, there is an indication that heightened oil volatility accounts for the slumps in Malaysia's aggregate investment after the Asian financial crisis. - Highlights: • Examines the role of oil volatility in Malaysia's aggregate investment. • Makes distinction between permanent and temporary volatility using CGARCH. • Both volatility components depress investment. • Permanent volatility has larger adverse effects. • Results are robust to alternative model specifications

Firm-level volatility and exports

NARCIS (Netherlands)

Vannoorenberghe, G.C.L.

2012-01-01

This paper shows that the share of exports in the total sales of a firm has a positive and substantial impact on the volatility of its sales. Decomposing the volatility of sales of exporters between their domestic and export markets, I show using an identification strategy based on a firm-specific

Modeling and forecasting petroleum futures volatility

International Nuclear Information System (INIS)

Sadorsky, Perry

2006-01-01

Forecasts of oil price volatility are important inputs into macroeconometric models, financial market risk assessment calculations like value at risk, and option pricing formulas for futures contracts. This paper uses several different univariate and multivariate statistical models to estimate forecasts of daily volatility in petroleum futures price returns. The out-of-sample forecasts are evaluated using forecast accuracy tests and market timing tests. The TGARCH model fits well for heating oil and natural gas volatility and the GARCH model fits well for crude oil and unleaded gasoline volatility. Simple moving average models seem to fit well in some cases provided the correct order is chosen. Despite the increased complexity, models like state space, vector autoregression and bivariate GARCH do not perform as well as the single equation GARCH model. Most models out perform a random walk and there is evidence of market timing. Parametric and non-parametric value at risk measures are calculated and compared. Non-parametric models outperform the parametric models in terms of number of exceedences in backtests. These results are useful for anyone needing forecasts of petroleum futures volatility. (author)

Drug interactions: volatile anesthetics and opioids.

Science.gov (United States)

Glass, P S; Gan, T J; Howell, S; Ginsberg, B

1997-09-01

Multiple drugs are used to provide anesthesia. Volatile anesthetics are commonly combined with opioids. Several studies have demonstrated that small doses of opioid (i.e., within the analgesic range) result in a marked reduction in minimum alveolar concentration (MAC) of the volatile anesthetic that will prevent purposeful movement in 50% of patients at skin incision). Further increases in opioid dose provide only a further small reduction in MAC. Thus, a ceiling effect of the opioid is observed at a MAC value of the volatile anesthetic equal to its MAC awake. Recovery from anesthesia when an opioid is combined with a volatile anesthetic is dependent on the rate of decrease of both drugs to their respective concentrations that are associated with adequate spontaneous ventilation and awakening. Through an understanding of the pharmacodynamic interaction of volatile anesthetics with opioids and the pharmacokinetic processes responsible for the recovery from drug effect, optimal dosing schemes can thus be developed. A review of these pharmacodynamic and pharmacokinetic principles that will allow clinicians to administer drugs to provide a more optimal anesthetic is provided.

Inflation, its Volatility and the Inflation-Growth Tradeoff in India

OpenAIRE

Raghbendra Jha; Varsha S. Kulkarni

2013-01-01

This paper amends the New Keynesian Phillips curve model to include inflation volatility. It provides results on the determinants of inflation volatility and expected inflation volatility for OLS and ARDL(1,1) models and for change in inflation volatility and change in expected inflation volatility using ECM models. Output gap affects change in expected inflation volatility alone (in the ECM model) and not in the other models. Major determinants of inflation volatility and expected inflation ...

A volatile topic: Parsing out the details of Earth's formation through experimental metal-silicate partitioning of volatile and moderately volatile elements

Science.gov (United States)

Mahan, B. M.; Siebert, J.; Blanchard, I.; Badro, J.; Sossi, P.; Moynier, F.

2017-12-01

Volatile and moderately volatile elements display different volatilities and siderophilities, as well as varying sensitivity to thermodynamic controls (X, P, T, fO2) during metal-silicate differentiation. The experimental determination of the metal-silicate partitioning of these elements permits us to evaluate processes controlling the distribution of these elements in Earth. In this work, we have combined metal-silicate partitioning data and results for S, Sn, Zn and Cu, and input these characterizations into Earth formation models. Model parameters such as source material, timing of volatile delivery, fO2 path, and degree of impactor equilibration were varied to encompass an array of possible formation scenarios. These models were then assessed to discern plausible sets of conditions that can produce current observed element-to-element ratios (e.g. S/Zn) in the Earth's present-day mantle, while also satisfying current estimates on the S content of the core, at no more than 2 wt%. The results of our models indicate two modes of accretion that can maintain chondritic element-to-element ratios for the bulk Earth and can arrive at present-day mantle abundances of these elements. The first mode requires the late addition of Earth's entire inventory of these elements (assuming a CI-chondritic composition) and late-stage accretion that is marked by partial equilibration of large impactors. The second, possibly more intuitive mode, requires that Earth accreted - at least initially - from volatile poor material preferentially depleted in S relative to Sn, Zn, and Cu. From a chemical standpoint, this source material is most similar to type I chondrule rich (and S poor) materials (Hewins and Herzberg, 1996; Mahan et al., 2017; Amsellem et al., 2017), such as the metal-bearing carbonaceous chondrites.

Estimation of volatility of selected oil production projects

International Nuclear Information System (INIS)

Costa Lima, Gabriel A.; Suslick, Saul B.

2006-01-01

In oil project valuation and investment decision-making, volatility is a key parameter, but it is difficult to estimate. From a traditional investment viewpoint, volatility reduces project value because it increases its discount rate via a higher risk premium. Contrarily, according to the real-option pricing theory, volatility may aggregate value to the project, since the downside potential is limited whereas the upside is theoretically unbounded. However, the estimation of project volatility is very complicated since there is not a historical series of project values. In such cases, many analysts assume that oil price volatility is equal to that of project. In order to overcome such problems, in this paper an alternative numerical method based on present value of future cash flows and Monte Carlo simulation is proposed to estimate the volatility of projects. This method is applied to estimate the volatility of 12 deep-water offshore oil projects considering that oil price will evolve according to one of two stochastic processes: Geometric Brownian Motion and Mean-Reverting Motion. Results indicate that the volatility of commodity usually undervalue that of project. For the set of offshore projects analyzed in this paper, project volatility is at least 79% higher than that of oil prices and increases dramatically in those cases of high capital expenditures and low price. (author)

Production Function of Outgassed Volatiles on Mercury: Implications for Polar Volatiles on Mercury and the Moon

Science.gov (United States)

Deutsch, A. N.; Head, J. W.

2018-05-01

We are interested in the flux of volatiles delivered to the polar regions of Mercury and the Moon through time. We integrate the production functions for volatile delivery from impacts, solar wind, and volcanism, which we focus on initially.

Volatile and non-volatile compounds in green tea affected in harvesting time and their correlation to consumer preference.

Science.gov (United States)

Kim, Youngmok; Lee, Kwang-Geun; Kim, Mina K

2016-10-01

Current study was designed to find out how tea harvesting time affects the volatile and non-volatile compounds profiles of green tea. In addition, correlation of instrumental volatile and non-volatile compounds analyses to consumer perception were analyzed. Overall, earlier harvested green tea had stronger antioxidant capacity (~61.0%) due to the polyphenolic compounds from catechin (23,164 mg/L), in comparison to later harvested green teas (11,961 mg/L). However, high catechin content in green tea influenced negatively the consumer likings of green tea, due to high bitterness (27.6%) and astringency (13.4%). Volatile compounds drive consumer liking of green tea products were also identified, that included linalool, 2,3-methyl butanal, 2-heptanone, (E,E)-3,5-Octadien-2-one. Finding from current study are useful for green tea industry as it provide the difference in physiochemical properties of green tea harvested at different intervals.

On the non-causal link between volatility and growth

DEFF Research Database (Denmark)

Posch, Olaf; Wälde, Klaus

A model highlighting the endogeneity of both volatility and growth is presented. Volatility and growth are therefore correlated but there is no causal link from volatility to growth. This joint endogeneity is illustrated by working out the effects through which economies with different tax levels...... di er both in their volatility and growth. Using a continuous-time DSGE model with plausible parametric restrictions, we obtain closedform measures of macro volatility based on cyclical components and output growth rates. Given our results, empirical volatility-growth analysis should include controls...

Volatilization of iodine from soils and plants

International Nuclear Information System (INIS)

Wildung, R.E.; Cataldo, D.A.; Garland, T.R.

1985-04-01

Elevated levels of 129 I, a long-lived fission product, are present in the environment as a result of nuclear weapons testing and fuel reprocessing. To aid in understanding the anomalous behavior of this element, relative to natural I ( 127 I), in the vicinity of nuclear fuel reprocessing plants, preliminary laboratory-growth chamber studies were undertaken to examine the possible formation of volatile inorganic and organic I species in soil and plant systems. Inorganic 129 I added to soil was volatilized from both the soil and plant during plant growth, at average ratios of 2 x 10 -3 %/day soil and 9 x 10 -3 %/day foliage, respectively. Volatilization rates from soil were an order of magnitude less in the absence of growing roots. Less than 2% of soil or plant volatiles was subsequently retained by plant canopies. Volatile I, chemically characterized by selective sorption methods, consisted principally of alkyl iodides formed by both soil and plant processes. However, plants and soils containing actively growing roots produced a larger fraction of volatile inorganic I than soil alone. 14 refs., 1 fig., 3 tabs

Constraining the volatile budget of the lunar interior

Science.gov (United States)

Potts, N. J.; Bromiley, G. D.

2017-12-01

Measurements of volatiles (F, Cl, S, H2O) in a range of lunar samples confirm the presence of volatile material in lunar magmas. It remains unknown, however, where this volatile material is stored and when it was delivered to the Moon. On Earth, point defects within mantle olivine, and its high-pressure polymorphs, are thought to be the largest reservoir of volatile material. However, as volatiles have been cycled into and out of the Earth's mantle throughout geological time, via subduction and volcanism, this masks any original volatile signatures. As the Moon has no plate tectonics, it is expected that any volatile material present in the deep lunar interior would have been inherited during accretion and differentiation, providing insight into the delivery of volatiles to the early Earth-Moon system. Our aim was, therefore, to test the volatile storage capacity of the deep lunar mantle and determine mineral/melt partitioning for key volatiles. Experiments were performed in a primitive lunar mantle composition and run at relevant T, P, and at fO2 below the IW buffer. Experiments replicated the initial stages of LMO solidification with either olivine + melt, olivine + pyroxene + melt, or pyroxene + melt as the only phases present. Mineral-melt partition coefficients (Dx) derived for volatile material (F, Cl, S, H2O) vary significantly compared to those derived for terrestrial conditions. An order of magnitude more H2O was found to partition into lunar olivine compared to the terrestrial upper mantle. DF derived for lunar olivine are comparable to the highest terrestrial derived values whilst no Cl was found to partition into lunar olivine under these conditions. Furthermore, an inverse trend between DF and DOH hints towards coupled-substitution mechanisms between H and F under low-fO2/lunar bulk composition. These results suggest that if volatile material was present in the LMO a significant proportion could be partitioned into the lower lunar mantle. The

Investigation of the Factors Influencing Volatile Chemical Fate During Steady-state Accretion on Wet-growing Hail

Science.gov (United States)

Michael, R. A.; Stuart, A. L.

2007-12-01

Phase partitioning during freezing affects the transport and distribution of volatile chemical species in convective clouds. This consequently can have impacts on tropospheric chemistry, air quality, pollutant deposition, and climate change. Here, we discuss the development, evaluation, and application of a mechanistic model for the study and prediction of volatile chemical partitioning during steady-state hailstone growth. The model estimates the fraction of a chemical species retained in a two-phase freezing hailstone. It is based upon mass rate balances over water and solute for accretion under wet-growth conditions. Expressions for the calculation of model components, including the rates of super-cooled drop collection, shedding, evaporation, and hail growth were developed and implemented based on available cloud microphysics literature. Solute fate calculations assume equilibrium partitioning at air-liquid and liquid-ice interfaces. Currently, we are testing the model by performing mass balance calculations, sensitivity analyses, and comparison to available experimental data. Application of the model will improve understanding of the effects of cloud conditions and chemical properties on the fate of dissolved chemical species during hail growth.

Labour Demand and Exchange Rate Volatility

OpenAIRE

Udo Broll; Sabine Hansen

2004-01-01

The purpose of this paper is to assess under what conditions exchange rate volatility exerts a positive effect on a firm's labour demand. As the exchange rate volatility increases, so does the value of the export option provided the firm under study is flexible. Flexibility is important because it gives the firm option value. Higher volatility increases the potential gains from trade and may increase the demand for labour. This may explain part of the mixed empirical findings regarding the ef...

Making Molecular Balloons in Laser-Induced Explosive Boiling of Polymer Solutions

International Nuclear Information System (INIS)

Leveugle, Elodie; Sellinger, Aaron; Fitz-Gerald, James M.; Zhigilei, Leonid V.

2007-01-01

The effect of the dynamic molecular rearrangements leading to compositional segregation is revealed in coarse-grained molecular dynamics simulations of short pulse laser interaction with a polymer solution in a volatile matrix. An internal release of matrix vapor at the onset of the explosive boiling of the overheated liquid is capable of pushing polymer molecules to the outskirts of a transient bubble, forming a polymer-rich surface layer enclosing the volatile matrix material. The results explain unexpected 'deflated balloon' structures observed in films deposited by the matrix-assisted pulsed laser evaporation technique

Elemental volatility of HT-9 fusion reactor alloy

International Nuclear Information System (INIS)

Henslee, S.P.; Neilson, R.M. Jr.

1985-01-01

The volatility of elemental constituents from HT-9, a ferritic steel, proposed for fusion reactor structures, was investigated. Tests were conducted in flowing air at temperatures from 800 to 1200 0 C for durations of 1 to 20 h. Elemental volatility was calculated in terms of the weight fraction of the element volatilized from the initial alloy; molybdenum, manganese, and nickel were the primary constituents volatilized. Comparisons with elemental volatilities observed for another candidate fusion reactor materials. Primary Candidate Alloy (PCA), an austenitic stainless steel, indicate significant differences between the volatilities of these steels that may impact fusion reactor safety analysis and alloy selection. Scanning electron microscopy and energy dispersive spectrometry were used to investigate the oxide layers formed on HT-9 and to measure elemental contents within these layers

Estimation and prediction under local volatility jump-diffusion model

Science.gov (United States)

Kim, Namhyoung; Lee, Younhee

2018-02-01

Volatility is an important factor in operating a company and managing risk. In the portfolio optimization and risk hedging using the option, the value of the option is evaluated using the volatility model. Various attempts have been made to predict option value. Recent studies have shown that stochastic volatility models and jump-diffusion models reflect stock price movements accurately. However, these models have practical limitations. Combining them with the local volatility model, which is widely used among practitioners, may lead to better performance. In this study, we propose a more effective and efficient method of estimating option prices by combining the local volatility model with the jump-diffusion model and apply it using both artificial and actual market data to evaluate its performance. The calibration process for estimating the jump parameters and local volatility surfaces is divided into three stages. We apply the local volatility model, stochastic volatility model, and local volatility jump-diffusion model estimated by the proposed method to KOSPI 200 index option pricing. The proposed method displays good estimation and prediction performance.

Aspects of volatility targeting for South African equity investors

Directory of Open Access Journals (Sweden)

Bhekinkosi Khuzwayo

2014-11-01

Full Text Available We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing the allocation of the assets based on an indicator of the future volatility of the risky asset. We use the three month rolling implied volatility as an indicator of future volatility to influence our asset allocation. We compare investments based on different volatility targets to the performance of bonds, equities, property as well as the Absolute Return peer mean. We examine risk and return characteristics of the volatility targeting strategy as compared to different asset classes.

Volatility Forecast in Crises and Expansions

Directory of Open Access Journals (Sweden)

Sergii Pypko

2015-08-01

Full Text Available We build a discrete-time non-linear model for volatility forecasting purposes. This model belongs to the class of threshold-autoregressive models, where changes in regimes are governed by past returns. The ability to capture changes in volatility regimes and using more accurate volatility measures allow outperforming other benchmark models, such as linear heterogeneous autoregressive model and GARCH specifications. Finally, we show how to derive closed-form expression for multiple-step-ahead forecasting by exploiting information about the conditional distribution of returns.

Volatility of ruthenium-106, technetium-99, and iodine-129, and the evolution of nitrogen oxide compounds during the calcination of high-level, radioactive nitric acid waste

International Nuclear Information System (INIS)

Rimshaw, S.J.; Case, F.N.; Tompkins, J.A.

1980-02-01

The nitrate anion is the predominant constituent in all high-level nuclear wastes. Formic acid reacts with the nitrate anion to yield noncondensable, inert gases (N 2 or N 2 O), which can be scrubbed free of 106 Ru, 129 I, and 99 Tc radioactivities prior to elimination from the plant by passing through HEPA filters. Treatment of a high-level authentic radioactive waste with two moles of formic acid per mole of nitrate anion leads to a low RuO 4 volatility of about 0.1%, which can be reduced to an even lower level of 0.007% on adding a 15% excess of formic acid. Without pretreatment of the nitrate waste with formic acid, a high RuO 4 volatility of approx. 35% is observed on calcining a 4.0 N HNO 3 solution in quartz equipment at 350 0 C. The RuO 4 volatility falls to approx. 1.0% on decreasing the initial HNO 3 concentration to 1.0 N or lower. It is postulated that thermal denitration of a highly nitrated ruthenium complex leads to the formation of volatile RuO 4 , while decarboxylation of a ruthenium-formate complex leads to the formation of nonvolatile RuO 2 . Wet scrubbing with water is used to remove RuO 4 from the off-gas stream. In all glass equipment, small amounts of particulate RuO 2 are formed in the gas phase by decomposition of RuO 4 . The 99 Tc volatility was found to vary from 0.2 to 1.4% on calcining HNO 3 and HCOOH (formic acid) solutions over the temperature range of 250 to 600 0 C. These unexpectedly low volatilities of 99 Tc are correlated to the high thermal stability limits of various metal pertechnetates and technetates. Iodine volatilities were high, varying from a low of 30% at 350 0 C to a high of 97% at 650 0 C. It is concluded that with a proper selection of pretreatment and operating conditions the 106 Ru and 99 Tc activities can be retained in the calcined solid with recycle of the wet scrubbing solution

Multifractal analysis of implied volatility in index options

Science.gov (United States)

Oh, GabJin

2014-06-01

In this paper, we analyze the statistical and the non-linear properties of the log-variations in implied volatility for the CAC40, DAX and S& P500 daily index options. The price of an index option is generally represented by its implied volatility surface, including its smile and skew properties. We utilize a Lévy process model as the underlying asset to deepen our understanding of the intrinsic property of the implied volatility in the index options and estimate the implied volatility surface. We find that the options pricing models with the exponential Lévy model can reproduce the smile or sneer features of the implied volatility that are observed in real options markets. We study the variation in the implied volatility for at-the-money index call and put options, and we find that the distribution function follows a power-law distribution with an exponent of 3.5 ≤ γ ≤ 4.5. Especially, the variation in the implied volatility exhibits multifractal spectral characteristics, and the global financial crisis has influenced the complexity of the option markets.

Detecting instability in the volatility of carbon prices

Energy Technology Data Exchange (ETDEWEB)

Chevallier, Julien [Univ. Paris Dauphine (France)

2011-01-15

This article investigates the presence of outliers in the volatility of carbon prices. We compute three different measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility), and intraday data (realized volatility). Based on the methodology developed by Zeileis et al. (2003) and Zeileis (2006), we detect instability in the volatility of carbon prices based on two kinds of tests: retrospective tests (OLS-/Recursive-based CUSUM processes, F-statistics, and residual sum of squares), and forward-looking tests (by monitoring structural changes recursively or with moving estimates). We show evidence of strong shifts mainly for the EGARCH and IV models during the time period. Overall, we suggest that yearly compliance events, and growing uncertainties in post-Kyoto international agreements, may explain the instability in the volatility of carbon prices. (author)

Aqueous Oxidation of Green Leaf Volatiles as a Source of Secondary Organic Aerosol

Science.gov (United States)

Richards-Henderson, N. K.; Hansel, A.; Pham, A. T.; Vempati, H. S.; Valsaraj, K. T.; Anastasio, C.

2013-12-01

Vegetation emits volatile oxygenated hydrocarbons - the green leaf volatiles (GLVs) - which are formed from the biochemical conversion of linoleic and linolenic acids within plant cells. Stress or damage to vegetation can significantly elevate emission fluxes of these compounds, some of which are fairly water soluble. Aqueous-phase reactions of the GLVs with photochemically generated oxidants - such as hydroxyl radical (OH), singlet oxygen (1O2) and excited triplet states of organic compounds (3C*) _ might then form low-volatility products that can act as secondary organic aerosol (SOA). In order to determine if GLVs can be a significant source of secondary organic carbon in fogwater, studies of GLVs in laboratory solutions are needed to elucidate the oxidation kinetics and the corresponding SOA mass yields. In this study we are determining the second-order rate constants, and SOA mass yields, for five GLVs (cis-3-hexen-1-ol, cis-3-hexenylacetate, methyl salicylate, methyl jasmonate, and 2-methyl-3-butene-2-ol) reacting with OH,1O2 and 3C*. Experiments are performed at relevant fog water pHs, temperatures, and oxidant concentrations. Rate constants are determined using a relative rate approach in which the decay of GLVs and reference compounds are monitored as function of time by HPLC. The capacity of GLVs to form aqueous SOA was determined by following the formation of their decomposition products with HPLC-UV/DAD and HPLC-ESI/MS. SOA mass yields are measured gravimetrically from laboratory solutions containing atmospherically relevant concentrations of photooxidants and GLVs, and irradiated with simulated sunlight. We will use our results to assess the potential contribution of aqueous GLV reactions as a source of SOA in cloudy or foggy atmospheres.

Studies of dissolution solutions of ruthenium metal, oxide and mixed compounds in nitric acid

International Nuclear Information System (INIS)

Mousset, F.; Eysseric, C.; Bedioui, F.

2004-01-01

Ruthenium is one of the fission products generated by irradiated nuclear fuel. It is present throughout all the steps of nuclear fuel reprocessing-particularly during extraction-and requires special attention due to its complex chemistry and high βγ activity. An innovative electro-volatilization process is now being developed to take advantage of the volatility of RuO 4 in order to eliminate it at the head end of the Purex process and thus reduce the number of extraction cycles. Although the process operates successfully with synthetic nitrato-RuNO 3+ solutions, difficulties have been encountered in extrapolating it to real-like dissolution solutions. In order to better approximate the chemical forms of ruthenium found in fuel dissolution solutions, kinetic and speciation studies on dissolved species were undertaken with RuO 2 ,xH 2 O and Ru 0 in nitric acid media. (authors)

CAM Stochastic Volatility Model for Option Pricing

Directory of Open Access Journals (Sweden)

Wanwan Huang

2016-01-01

Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.

[Solidification of volatile oil with graphene oxide].

Science.gov (United States)

Yan, Hong-Mei; Jia, Xiao-Bin; Zhang, Zhen-Hai; Sun, E; Xu, Yi-Hao

2015-02-01

To evaluate the properties of solidifying volatile oil with graphene oxide, clove oil and zedoary turmeric oil were solidified by graphene oxide. The amount of graphene oxide was optimized with the eugenol yield and curcumol yield as criteria. Curing powder was characterized by differential scanning calorimetry (DSC) and scanning electron microscopy (SEM). The effects of graphene oxide on dissolution in vitro and thermal stability of active components were studied. The optimum solidification ratio of graphene oxide to volatile oil was 1:1. Dissolution rate of active components had rare influence while their thermal stability improved after volatile oil was solidified. Solidifying herbal volatile oil with graphene oxide deserves further study.

Macroeconomic Volatility and Welfare in Developing Countries

OpenAIRE

Loayza, Norman V.; Rancière, Romain; Servén, Luis; Ventura, Jaume

2007-01-01

Macroeconomic Volatility and Welfare in Developing Countries: An Introduction Norman V. Loayza, Romain Ranciere, Luis Serven, ` and Jaume Ventura Macroeconomic volatility, both a source and a reflection of underdevelopment, is a fundamental concern for developing countries. This article provides a brief overview of the recent literature on macroeconomic volatility in developing countries, highlighting its causes, consequences, and possible remedies. to reduce domestic policy-induced macroecon...

Volatile liquid storage system

International Nuclear Information System (INIS)

Laverman, R.J.; Winters, P.J.; Rinehart, J.K.

1992-01-01

This patent describes a method of collecting and abating emission from a volatile liquid in an above ground storage tank. It comprises the liquid storage tank having a bottom, a vertical cylindrical circular wall having a lower edge portion joined to the bottom, and an external fixed roof, the tank having an internal floating roof floating on a volatile liquid stored in the tank, and air vent means in the tank in communication with a vapor space in the tank constituting at least the space above the floating roof when the floating roof floats on a predetermined maximum volume of volatile liquid in the tank; permitting ambient air; pumping emission laden air from the tank vapor space above the floating roof; and by means of the emissions abatement apparatus eliminating most of the emission from the emissions laden air with formation of a gaseous effluent and then discharging the resulting gaseous effluent to the atmosphere

Bacterial contribution to iodine volatilization in the environment

Energy Technology Data Exchange (ETDEWEB)

Amachi, S; Kasahara, M; Fujii, T [Chiba Univ., Dept. of Bioresources Chemistry, Matsudo, Chiba (Japan); Muramatsu, Y [National Inst. of Radiological Sciences, Chiba (Japan)

2003-09-01

The roles of microorganisms in iodine volatilization from the environment were studied. More than 100 bacterial strains were isolated from various environments such as soils, seawater and marine sediments, and were examined their capacities for volatilizing iodine. Approximately 40% of these bacteria showed significant capacities for volatilizing iodine. Gas chromatographic determinations revealed that the chemical species of gaseous iodine is methyl iodide (CH{sub 3}I). Phylogenetic analysis based on 16S ribosomal DNA showed that these 'iodine-volatilizing bacteria' are widely distributed through the bacterial domain. The iodide-methylating reaction was mediated by an enzyme protein with S-adenosyl-L-methionine (SAM) as the methyl donor. We then estimated bacterial contribution to iodine volatilization from soils. Iodine in soils was volatilized mainly as CH{sub 3}I. CH{sub 3}I emission was enhanced in the presence of glucose or yeast extract, but was inhibited by autoclaving of soils. Little CH{sub 3}I was produced under anaerobic conditions. Furthermore, the addition of streptomycin and tetracycline, antibiotics which inhibit bacterial growth, strongly inhibited CH{sub 3}I emission, while a fungal inhibitor cycloheximide caused little effect. These results suggest that iodine in soils is volatilized as CH{sub 3}I mainly by the action of aerobic soil bacteria. Similar experiment was carried out by using sea water samples. The emission of iodine from sea waters occurred biologically, and bacterial (and also other microbial) contribution was confirmed. Our results suggest that iodine is methylated and volatilized into the atmosphere as a result of bacterial activities. Since bacteria are so abundant and widespread in the environments, they may significantly contribute to global iodine volatilization. This indicates that if {sup 129}I would be released from nuclear facilities, weapons testing or ground storage of nuclear wastes, the pathway of volatilization by

Decomposing European bond and equity volatility

DEFF Research Database (Denmark)

Christiansen, Charlotte

The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatilities are analyzed simultaneously. A new model belonging to the "volatilityspillover" family is suggested: The conditio...

The economic value of realized volatility

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunou, Bruno; Jacobs, Kris

2014-01-01

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so, we ...

Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm

International Nuclear Information System (INIS)

Takaishi, Tetsuya

2013-01-01

The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables. We perform the HMC simulations of the SV model for two liquid stock returns traded on the Tokyo Stock Exchange and measure the volatilities of those stock returns. Then we calculate the accuracy of the volatility measurement using the realized volatility as a proxy of the true volatility and compare the SV model with the GARCH model which is one of other volatility models. Using the accuracy calculated with the realized volatility we find that empirically the SV model performs better than the GARCH model.

Observability of market daily volatility

Science.gov (United States)

Petroni, Filippo; Serva, Maurizio

2016-02-01

We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 to 2014. We show that it is possible to define a Daily Market Volatility σ(t) which is directly observable from data. This quantity is usually indirectly defined by r(t) = σ(t) ω(t) where the r(t) are the daily returns of the market index and the ω(t) are i.i.d. random variables with vanishing average and unitary variance. The relation r(t) = σ(t) ω(t) alone is unable to give an operative definition of the index volatility, which remains unobservable. On the contrary, we show that using the whole information available in the market, the index volatility can be operatively defined and detected.

Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector

Directory of Open Access Journals (Sweden)

V. Chirila

2015-01-01

Full Text Available This paper presents the results obtained following the testing of five hypotheses regarding conditional return and volatility of the most listed European stocks in the steel & iron subsector. The following elements of the stocks are analysed: time variation of volatility, seasonality of return and volatility, relationship between return and volatility and volatility asymmetry. The results obtained confirm for all the analyzed stocks the existence of volatility variation in time, the lack of correlation between return and volatility, the existence of asymmetry phenomenon of volatility and the presence in some stocks of the seasonality effect both for return and volatility.

Bias-reduced estimation of long memory stochastic volatility

DEFF Research Database (Denmark)

Frederiksen, Per; Nielsen, Morten Ørregaard

We propose to use a variant of the local polynomial Whittle estimator to estimate the memory parameter in volatility for long memory stochastic volatility models with potential nonstation- arity in the volatility process. We show that the estimator is asymptotically normal and capable of obtaining...

Volatile-mediated interactions between phylogenetically different soil bacteria

Directory of Open Access Journals (Sweden)

Paolina eGarbeva

2014-06-01

Full Text Available There is increasing evidence that organic volatiles play an important role in interactions between micro-organisms in the porous soil matrix. Here we report that volatile compounds emitted by different soil bacteria can affect the growth, antibiotic production and gene expression of the soil bacterium Pseudomonas fluorescens Pf0-1. We applied a novel cultivation approach that mimics the natural nutritional heterogeneity in soil in which P. fluorescens grown on nutrient-limited agar was exposed to volatiles produced by 4 phylogenetically different bacterial isolates (Collimonas pratensis, Serratia plymuthica, Paenibacillus sp. and Pedobacter sp. growing in sand containing artificial root exudates. Contrary to our expectation, the produced volatiles stimulated rather than inhibited the growth of P. fluorescens. A genome-wide, microarray-based analysis revealed that volatiles of all 4 bacterial strains affected gene expression of P. fluorescens, but with a different pattern of gene expression for each strain. Based on the annotation of the differently expressed genes, bacterial volatiles appear to induce a chemotactic motility response in P. fluorescens, but also an oxidative stress response. A more detailed study revealed that volatiles produced by C. pratensis triggered, antimicrobial secondary metabolite production in P. fluorescens. Our results indicate that bacterial volatiles can have an important role in communication, trophic - and antagonistic interactions within the soil bacterial community.

Investment timing under hybrid stochastic and local volatility

International Nuclear Information System (INIS)

Kim, Jeong-Hoon; Lee, Min-Ku; Sohn, So Young

2014-01-01

Highlights: • The effects of hybrid stochastic volatility on real option prices are studied. • The stochastic volatility consists of a fast mean-reverting component and a CEV type one. • A fast mean-reverting factor lowers real option prices and investment thresholds. • The increase of elasticity raises real option prices and investment thresholds. • The effects of the addition of a slowly varying factor depend upon the project value. - Abstract: We consider an investment timing problem under a real option model where the instantaneous volatility of the project value is given by a combination of a hidden stochastic process and the project value itself. The stochastic volatility part is given by a function of a fast mean-reverting process as well as a slowly varying process and the local volatility part is a power (the elasticity parameter) of the project value itself. The elasticity parameter controls directly the correlation between the project value and the volatility. Knowing that the project value represents the market price of a real asset in many applications and the value of the elasticity parameter depends on the asset, the elasticity parameter should be treated with caution for investment decision problems. Based on the hybrid structure of volatility, we investigate the simultaneous impact of the elasticity and the stochastic volatility on the real option value as well as the investment threshold

Autoradiographic methods for studying marked volatile substances (1961); Methode.d'etude autoradiographique de substances marquees volatiles (1961)

Energy Technology Data Exchange (ETDEWEB)

Cohen, Y; Wepierre, J [Commissariat a l' Energie Atomique, Saclay (France). Centre d' Etudes Nucleaires

1961-07-01

The autoradiographic methods for animals used up to the present do not make it possible to localise exactly the distribution of marked volatile molecules. The Ullberg method (1954) which we have modified (Cohen, Delassue, 1959) involves cold desiccant. The method due to Pellerin (1957) avoids this desiccant but the histological comparison of the autoradiography with the biological document itself is difficult, if not impossible. Nevertheless, we have adopted certain points in the two methods and propose the following technique for the autoradiographic study of marked volatile molecules: 1- The surface of the frozen sample to be studied is prepared using a freezing microtome. 2- The last section, which is 20 {mu} thick and whose histological elements are parallel to those of the block, is dried by cooling and is used as the biological reference document for the autoradiography obtained, as is indicated in 3; 3- The radiography films are applied to the frozen block at -30 deg. C. The autoradiographs correspond to the radioactivity of the volatile molecule and of its non-volatile degradation products. 4- The radiographic film is also applied to the 20 {mu} section previously dried at -20 deg. C. This autoradiography corresponds to the radioactivity of the non-volatile degradation products of the molecule. 5- We confirmed the absence of diffusion of the volatile molecule and of pseudo-radiographic effects (photochemical and others). This method, which has enabled us to study the distribution of a carbide, para-cymene (C{sup 14}) 7, macroscopically in the case of a whole mouse and microscopically on the skin of a dog, can find general applications. (authors) [French] Les methodes d'autoradiographies sur l'animal, proposees jusqu'a present, ne permettent pas de localiser de facon precise la distribution de molecules marquees volatiles. En effet, la methode de Ullberg (1954) que nous avons modifiee (Cohen, Delassue, 1959) necessite la dessiccation par le froid. La methode

The Volatility Effect: Lower Risk without Lower Return

NARCIS (Netherlands)

D.C. Blitz (David); P. van Vliet (Pim)

2007-01-01

textabstractWe present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this volatility effect within the US, European and

Mechanistic studies of the oxidation of soluble species of ruthenium in nitric acid solutions. Application to the removal of ruthenium from nuclear fuel dissolution solutions

International Nuclear Information System (INIS)

Carron, V.

2001-01-01

Ruthenium is one of the most troublesome fission products during nuclear fuel reprocessing. His removal from nitric acid fuel dissolution solutions, above the PUREX process, is under consideration. Electro-volatilization could be a possible way to eliminate this element. It consists in the oxidation of soluble ruthenium species coupled with the volatilization of formed RuO 4 . Soluble species are nitrate and nitro complexes of nitrosyl ruthenium RuNO 3+ . The first part of this work deals with the direct oxidation of RuNO 3+ at a golden or a platinum anode. It has been investigated by cyclic voltammetry and infrared and UV-visible reflectance spectroscopy. The oxidation of RuNO 3+ begins with an adsorption step, which precedes the formation of RuO 4 . Then a reaction between RuO 4 and RuNO 3+ occurs to produce a Ru IV compound, which is also electro-oxidized to RuO 4 . The second part concerns potentiostatic electro-volatilization experiences. The rate of electro-volatilization decreases with increasing HNO 3 concentration. At low concentrations, kinetic is controlled by the volatilization of RuO 4 . The rate-determining step is the oxidation of RuNO 3+ at concentrations higher than 1 M. In HNO 3 4 M, the addition of AgNO 3 is required to accelerate the oxidation of RuNO 3+ . The last part is devoted to the study of the indirect oxidation of RuNO 3+ . The electrocatalytic power of electro-generated Ag II is illustrated by voltammetric techniques and potentiostatic electrolysis. The existence of a limit concentration of AgNO 3 is shown (which value depends on experimental conditions) beyond which kinetic is controlled by the RuO 4 volatilization step. These results indicate that the electro-volatilization kinetic could be increased by optimizing the volatilization conditions. (author)

The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework

DEFF Research Database (Denmark)

Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano

error bounds for VIX futures, options and implied volatilities. In particular, we derive exact asymptotic results for VIX implied volatilities, and their sensitivities, in the joint limit of short time-to-maturity and small log-moneyness. The obtained expansions are explicit, based on elementary...... approximations of equity (SPX) options. However, the generalizations needed to cover the case of VIX options are by no means straightforward as the dynamics of the underlying VIX futures are not explicitly known. To illustrate the accuracy of our technique, we provide numerical implementations for a selection...... functions and they neatly uncover how the VIX skew depends on the specific choice of the volatility and the vol-of-vol processes. Our results are based on perturbation techniques applied to the infinitesimal generator of the underlying process. This methodology has been previously adopted to derive...

Release of volatile mercury from vascular plants

Science.gov (United States)

Siegel, S. M.; Puerner, N. J.; Speitel, T. W.

1974-01-01

Volatile, organic solvent soluble mercury has been found in leaves and seeds of several angiosperms. Leaves of garlic vine, avocado, and haole-koa release mercury in volatile form rapidly at room temperature. In garlic vine, the most active release is temperature dependent, but does not parallel the vapor-pressure temperature relationship for mercury. Mercury can be trapped in nitric-perchloric acid digestion fluid, or n-hexane, but is lost from the hexane unless the acid mixture is present. Seeds of haole-koa also contain extractable mercury but volatility declines in the series n-hexane (90%), methanol (50%), water (10%). This suggests that reduced volatility may accompany solvolysis in the more polar media.

Investigate Volatility Jumps in Chinese Stock Index Future and Spot Markets Based on Realized Volatility

Institute of Scientific and Technical Information of China (English)

Zhang qiang

2014-01-01

This paper aims to investigate Chinese stock index future and spot market's volatility jumps characteristics by using recentlydeveloped jumpstest(Barndorff-Nielsenand Shephard,2004).Thedataisoneyearhigh frequencydatafromthe period19/04/2012 to 19/04/2013. The empirical results show two important points. Firstly, the logarithm of adjusted realized volatility shows a high degree of autocorrelation and folows a normal distribution nearly perfect. These characteristics show a potential high forecast ability. Secondly,thedailyrealizedvolatilityjumpsshowalowdegreeofautocorrealtionbutwithsignificantvolatilityclusters.Ingeneral,thejumps component has a low percentage in realized volatility estimation for both future and spot market. On average, there is one significant jumpswithinevery ten continue trading days.Spotmarkets showshigherdegree of jumps,anda rapidly jumpscharacterises.It implies that jumps may transmission from spot to future market, and spot market dominate future market at some degree.

Volatility forecasting for low-volatility portfolio selection in the US and the Korean equity markets

Science.gov (United States)

Kim, Saejoon

2018-01-01

We consider the problem of low-volatility portfolio selection which has been the subject of extensive research in the field of portfolio selection. To improve the currently existing techniques that rely purely on past information to select low-volatility portfolios, this paper investigates the use of time series regression techniques that make forecasts of future volatility to select the portfolios. In particular, for the first time, the utility of support vector regression and its enhancements as portfolio selection techniques is provided. It is shown that our regression-based portfolio selection provides attractive outperformances compared to the benchmark index and the portfolio defined by a well-known strategy on the data-sets of the S&P 500 and the KOSPI 200.

Fundamental uncertainty and stock market volatility

NARCIS (Netherlands)

Arnold, I.J.M.; Vrugt, E.B.

2008-01-01

We provide empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from participants in the Survey of Professional Forecasters over the period 1969 to 1996.

Estimation of Stochastic Volatility Models by Nonparametric Filtering

DEFF Research Database (Denmark)

Kanaya, Shin; Kristensen, Dennis

2016-01-01

/estimated volatility process replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps and market microstructure noise. The resulting estimators of the stochastic volatility model will carry additional biases...... and variances due to the first-step estimation, but under regularity conditions we show that these vanish asymptotically and our estimators inherit the asymptotic properties of the infeasible estimators based on observations of the volatility process. A simulation study examines the finite-sample properties...

Volatile flavor compounds in yogurt: a review.

Science.gov (United States)

Cheng, Hefa

2010-11-01

Considerable knowledge has been accumulated on the volatile compounds contributing to the aroma and flavor of yogurt. This review outlines the production of the major flavor compounds in yogurt fermentation and the analysis techniques, both instrumental and sensory, for quantifying the volatile compounds in yogurt. The volatile compounds that have been identified in plain yogurt are summarized, with the few key aroma compounds described in detail. Most flavor compounds in yogurt are produced from lipolysis of milkfat and microbiological transformations of lactose and citrate. More than 100 volatiles, including carbonyl compounds, alcohols, acids, esters, hydrocarbons, aromatic compounds, sulfur-containing compounds, and heterocyclic compounds, are found in yogurt at low to trace concentrations. Besides lactic acid, acetaldehyde, diacetyl, acetoin, acetone, and 2-butanone contribute most to the typical aroma and flavor of yogurt. Extended storage of yogurt causes off-flavor development, which is mainly attributed to the production of undesired aldehydes and fatty acids during lipid oxidation. Further work on studying the volatile flavor compounds-matrix interactions, flavor release mechanisms, and the synergistic effect of flavor compounds, and on correlating the sensory properties of yogurt with the compositions of volatile flavor compounds are needed to fully elucidate yogurt aroma and flavor.

Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis

Directory of Open Access Journals (Sweden)

Christian Conrad

2018-05-01

Full Text Available We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on long-term Bitcoin volatility. The finding is atypical for volatility co-movements across financial markets. Moreover, we find that the S&P 500 volatility risk premium has a significantly positive effect on long-term Bitcoin volatility. Finally, we find a strong positive association between the Baltic dry index and long-term Bitcoin volatility. This result shows that Bitcoin volatility is closely linked to global economic activity. Overall, our findings can be used to construct improved forecasts of long-term Bitcoin volatility.

A Jump Diffusion Model for Volatility and Duration

DEFF Research Database (Denmark)

Wei, Wei; Pelletier, Denis

by the market microstructure theory. Traditional measures of volatility do not utilize durations. I adopt a jump diffusion process to model the persistence of intraday volatility and conditional duration, and their interdependence. The jump component is disentangled from the continuous part of the price......, volatility and conditional duration process. I develop a MCMC algorithm for the inference of irregularly spaced multivariate process with jumps. The algorithm provides smoothed estimates of the latent variables such as spot volatility, jump times and jump sizes. I apply this model to IBM data and I find...... meaningful relationship between volatility and conditional duration. Also, jumps play an important role in the total variation, but the jump variation is smaller than traditional measures that use returns sampled at lower frequency....

[Study on absorbing volatile oil with mesoporous carbon].

Science.gov (United States)

Yan, Hong-mei; Jia, Xiao-bin; Zhang, Zhen-hai; Sun, E; Yang Nan

2014-11-01

Clove oil and turmeric oil were absorbed by mesoporous carbon. The absorption ratio of mesoporous carbon to volatile oil was optimized with the eugenol yield and curcumol yield as criteria Curing powder was characterized by scanning electron microscopy (SEM) and differential scanning calorietry (DSC). The effects of mesoporous carbon on dissolution in vitro and thermal stability of active components were studied. They reached high adsorption rate when the absorption ratio of mesoporous carbon to volatile oil was 1:1. When volatile oil was absorbed, dissolution rate of active components had a little improvement and their thermal stability improved after volatile oil was absorbed by the loss rate decreasing more than 50%. Absorbing herbal volatile oil with mesoporous carbon deserves further studying.

Gasoline taxes and revenue volatility: An application to California

International Nuclear Information System (INIS)

Madowitz, M.; Novan, K.

2013-01-01

This paper examines how applying different combinations of excise and sales taxes on motor fuels impact the volatility of retail fuel prices and tax revenues. Two features of gasoline and diesel markets make the choice of tax mechanism a unique problem. First, prices are very volatile. Second, demand for motor fuels is extremely inelastic. As a result, fuel expenditures vary substantially over time. Tying state revenues to these expenditures, as is the case with a sales tax, results in a volatile stream of revenue which imposes real costs on agents in an economy. On July 1, 2010, California enacted Assembly Bill x8-6, the “Gas Tax Swap”, increasing the excise tax and decreasing the sales tax on gasoline purchases. While the initial motivation behind the revenue neutral swap was to provide the state with greater flexibility within its budget, we highlight that this change has two potentially overlooked benefits; it reduces retail fuel price volatility and tax revenue volatility. Simulating the monthly fuel prices and tax revenues under alternative tax policies, we quantify the potential reductions in revenue volatility. The results reveal that greater benefits can be achieved by going beyond the tax swap and eliminating the gasoline sales tax entirely. - Highlights: • We examine how gasoline taxes affect government revenue volatility. • We simulate the impact of California's Gasoline Tax Swap policy. • Sales taxes are shown to magnify price volatility and government revenue volatility. • A pure excise tax policy results in less volatile fuel prices and state revenues. • We argue that reductions in both forms of volatility are welfare enhancing

Biogenic volatile emissions from the soil.

Science.gov (United States)

Peñuelas, J; Asensio, D; Tholl, D; Wenke, K; Rosenkranz, M; Piechulla, B; Schnitzler, J P

2014-08-01

Volatile compounds are usually associated with an appearance/presence in the atmosphere. Recent advances, however, indicated that the soil is a huge reservoir and source of biogenic volatile organic compounds (bVOCs), which are formed from decomposing litter and dead organic material or are synthesized by underground living organism or organs and tissues of plants. This review summarizes the scarce available data on the exchange of VOCs between soil and atmosphere and the features of the soil and particle structure allowing diffusion of volatiles in the soil, which is the prerequisite for biological VOC-based interactions. In fact, soil may function either as a sink or as a source of bVOCs. Soil VOC emissions to the atmosphere are often 1-2 (0-3) orders of magnitude lower than those from aboveground vegetation. Microorganisms and the plant root system are the major sources for bVOCs. The current methodology to detect belowground volatiles is described as well as the metabolic capabilities resulting in the wealth of microbial and root VOC emissions. Furthermore, VOC profiles are discussed as non-destructive fingerprints for the detection of organisms. In the last chapter, belowground volatile-based bi- and multi-trophic interactions between microorganisms, plants and invertebrates in the soil are discussed. © 2014 John Wiley & Sons Ltd.

The Forecast Performance of Competing Implied Volatility Measures

DEFF Research Database (Denmark)

Tsiaras, Leonidas

This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and "model-free" implied volatility expectations, the recently proposed corridor implie......, volatility definitions, loss functions and forecast evaluation settings....

A new variable temperature solution-solid interface scanning tunneling microscope.

Science.gov (United States)

Jahanbekam, Abdolreza; Mazur, Ursula; Hipps, K W

2014-10-01

We present a new solution-solid (SS) interface scanning tunneling microscope design that enables imaging at high temperatures with low thermal drift and with volatile solvents. In this new design, distinct from the conventional designs, the entire microscope is surrounded in a controlled-temperature and controlled-atmosphere chamber. This allows users to take measurements at high temperatures while minimizing thermal drift. By incorporating an open solution reservoir in the chamber, solvent evaporation from the sample is minimized; allowing users to use volatile solvents for temperature dependent studies at high temperatures. The new design enables the user to image at the SS interface with some volatile solvents for long periods of time (>24 h). An increase in the nonlinearity of the piezoelectric scanner in the lateral direction as a function of temperature is addressed. A temperature dependent study of cobalt(II) octaethylporphyrin (CoOEP) at the toluene/Au(111) interface has been performed with this instrument. It is demonstrated that the lattice parameters remain constant within experimental error from 24 °C to 75 °C. Similar quality images were obtained over the entire temperature range. We report the unit cell of CoOEP at the toluene/Au(111) interface (based on two molecules per unit cell) to be A = (1.36 ± 0.04) nm, B = (2.51 ± 0.04) nm, and α = 97° ± 2°.

Stock market volatility and macroeconomic uncertainty

NARCIS (Netherlands)

Arnold, I.J.M.; Vrugt, E.B.

2006-01-01

This paper provides empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from SPF survey participants over the period from 1969 to 1996. This link is much

CHEMICAL INVESTIGATION OF THE VOLATILE CONSTITUENTS ...

African Journals Online (AJOL)

CHEMICAL INVESTIGATION OF THE VOLATILE CONSTITUENTS OF CLEOME VISCOSA FROM NIGERIA. Gabriel Olatunji, Peter Weyerstahl, Stephen Oguntoye. Abstract. The major volatile constituents of the oils from the integral parts of Cleome viscosa L. from Nigeria have been identified by GC, GC/MS and 1H NMR.

Long Memory in STOCK Market Volatility: the International Evidence

Science.gov (United States)

Yang, Chunxia; Hu, Sen; Xia, Bingying; Wang, Rui

2012-08-01

It is still a hot topic to catch the auto-dependence behavior of volatility. Here, based on the measurement of average volatility, under different observation window size, we investigated the dependence of successive volatility of several main stock indices and their simulated GARCH(1, 1) model, there were obvious linear auto-dependence in the logarithm of volatility under a small observation window size and nonlinear auto-dependence under a big observation. After calculating the correlation and mutual information of the logarithm of volatility for Dow Jones Industrial Average during different periods, we find that some influential events can change the correlation structure and the volatilities of different periods have distinct influence on that of the remote future. Besides, GARCH model could produce similar behavior of dependence as real data and long memory property. But our analyses show that the auto-dependence of volatility in GARCH is different from that in real data, and the long memory is undervalued by GARCH.

Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

NARCIS (Netherlands)

Gardebroek, C.; Hernandez, M.A.

2013-01-01

This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

NARCIS (Netherlands)

Gardebroek, C.; Hernandez, M.A.

2012-01-01

This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

NARCIS (Netherlands)

Hernandez, M.A.; Gardebroek, C.

2012-01-01

This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher

Option Valuation with Observable Volatility and Jump Dynamics

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae

Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...

Option Valuation with Observable Volatility and Jump Dynamics

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae

2015-01-01

Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...

Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model

Science.gov (United States)

Cheong, Chin Wen

2008-02-01

This article investigated the influences of structural breaks on the fractionally integrated time-varying volatility model in the Malaysian stock markets which included the Kuala Lumpur composite index and four major sectoral indices. A fractionally integrated time-varying volatility model combined with sudden changes is developed to study the possibility of structural change in the empirical data sets. Our empirical results showed substantial reduction in fractional differencing parameters after the inclusion of structural change during the Asian financial and currency crises. Moreover, the fractionally integrated model with sudden change in volatility performed better in the estimation and specification evaluations.

Volatility estimation using a rational GARCH model

Directory of Open Access Journals (Sweden)

Tetsuya Takaishi

2018-03-01

Full Text Available The rational GARCH (RGARCH model has been proposed as an alternative GARCHmodel that captures the asymmetric property of volatility. In addition to the previously proposedRGARCH model, we propose an alternative RGARCH model called the RGARCH-Exp model thatis more stable when dealing with outliers. We measure the performance of the volatility estimationby a loss function calculated using realized volatility as a proxy for true volatility and compare theRGARCH-type models with other asymmetric type models such as the EGARCH and GJR models.We conduct empirical studies of six stocks on the Tokyo Stock Exchange and find that a volatilityestimation using the RGARCH-type models outperforms the GARCH model and is comparable toother asymmetric GARCH models.

MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA

Directory of Open Access Journals (Sweden)

OSAZEE GODWIN OMOROKUNWA

2014-10-01

Full Text Available The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market.

Identify and Manage the Software Requirements Volatility

OpenAIRE

Khloud Abd Elwahab; Mahmoud Abd EL Latif; Sherif Kholeif

2016-01-01

Management of software requirements volatility through development of life cycle is a very important stage. It helps the team to control significant impact all over the project (cost, time and effort), and also it keeps the project on track, to finally satisfy the user which is the main success criteria for the software project. In this research paper, we have analysed the root causes of requirements volatility through a proposed framework presenting the requirements volatility causes and how...

Volatility in GARCH Models of Business Tendency Index

Science.gov (United States)

Wahyuni, Dwi A. S.; Wage, Sutarman; Hartono, Ateng

2018-01-01

This paper aims to obtain a model of business tendency index by considering volatility factor. Volatility factor detected by ARCH (Autoregressive Conditional Heteroscedasticity). The ARCH checking was performed using the Lagrange multiplier test. The modeling is Generalized Autoregressive Conditional Heteroscedasticity (GARCH) are able to overcome volatility problems by incorporating past residual elements and residual variants.

40 CFR 53.66 - Test procedure: Volatility test.

Science.gov (United States)

2010-07-01

... 40 Protection of Environment 5 2010-07-01 2010-07-01 false Test procedure: Volatility test. 53.66... Characteristics of Class II Equivalent Methods for PM2.5 § 53.66 Test procedure: Volatility test. (a) Overview. This test is designed to ensure that the candidate method's losses due to volatility when sampling semi...

Does NVIX matter for market volatility? Evidence from Asia-Pacific markets

Science.gov (United States)

Su, Zhi; Fang, Tong; Yin, Libo

2018-02-01

Forecasting financial market volatility is an important issue in the area of econophysics, and revealing the determinants of the market volatility has drawn much attentions of the academics. In order to better predict market volatilities, we use news-based implied volatility (NVIX) to measure uncertainty, and examine the predictive power of NVIX on the stock market volatility in both long and short-term among Asia-Pacific markets via GARCH-MIDAS model. We find that NVIX does not well explain long-term volatility variants in the full sample period, and it is positively associated with market volatility through a subsample analysis starting from the Financial Crisis. We also find that NVIX is more efficient in determining short-term volatility than the long-term volatility, indicating that the impact of NVIX is short-lived and information that investors concern could be quickly reflected in the stock market volatilities.

Long memory and tail dependence in trading volume and volatility

DEFF Research Database (Denmark)

Rossi, Eduardo; Santucci de Magistris, Paolo

2013-01-01

We investigate the relationship between volatility, measured by realized volatility, and trading volume for 25 NYSE stocks. We show that volume and volatility are long memory but not fractionally cointegrated in most cases. We also find right tail dependence in the volatility and volume innovations...

Environment and Pollution Management of Pollution Volatile Organic Compounds in Cluj-Napoca

Directory of Open Access Journals (Sweden)

Carmen Florean

2016-10-01

Full Text Available Pollution negative influences the environmental, human health, buildings and increase the production of waste. We are currently witnessing pollution and degradation in some cases irreversible, of the environment. Environmental issues are extremely complex and cover all sectors. Worldwide, industrial pollution strategies necessary to reduce emissions to the atmosphere hydrocarbons, volatile organic compounds (VOCs and other polluants in urban areas. The highest concentrations of volatile organic compounds of more than 80 mg/m3 occur in densely populated areas. The latest data reported in the residential area of Cluj-Napoca values did not exceed 20 m /m3. However peaks reported VOC concentrations, depending on the season, exceeding the upper limit that according to Law. 104/2011 is 75 μ/m3. It was identified due to increase annual mean concentration of VOCs as, in particular, road traffic exceeding sanitary standards on the main traffic routes within the city. In this paper the results obtained after carrying out an analysis of the average VOC concentration recorded in the city Cluj-Napoca as a result of car traffic. They were pursued average concentrations of VOCs resulting from the combustion of liquid fuels, petrol and diesel type. Analyzing the results obtained are proposed solutions for reducing VOC emissions. The rule under which these solutions have been proposed to reduce the concentration of VOCs took into account the possibility implementation and maintenance costs thereof.

Pyrolysis and volatilization of cocaine

International Nuclear Information System (INIS)

Martin, B.R.; Lue, L.P.; Boni, J.P.

1989-01-01

The increasing popularity of inhaling cocaine vapor prompted the present study, to determine cocaine's fate during this process. The free base of [3H]cocaine (1 microCi/50 mg) was added to a glass pipe, which was then heated in a furnace to simulate freebasing. Negative pressure was used to draw the vapor through a series of glass wool, ethanol, acidic, and basic traps. Air flow rate and temperature were found to have profound effects on the volatilization and pyrolysis of cocaine. At a temperature of 260 degrees C and a flow rate of 400 mL/min, 37% of the radioactivity remained in the pipe, 39% was found in the glass wool trap, and less than 1% in the remainder of the volatilization apparatus after a 10-min volatilization. Reducing the air flow rate to 100 mL/min reduced the amount of radioactivity collected in the glass wool trap to less than 10% of the starting material and increased the amount that remained in the pipe to 58%. GC/MS analysis of the contents of the glass wool trap after volatilization at 260 degrees C and a flow rate of 400 mL/min revealed that 60% of the cocaine remained intact, while approximately 6 and 2% of the starting material was recovered as benzoic acid and methylecgonidine, respectively. As the temperature was increased to 650 degrees C, benzoic acid and methylecgonidine accounted for 83 and 89% of the starting material, respectively, whereas only 2% of the cocaine remained intact. Quantitation of cocaine in the vapor during the course of volatilization revealed high concentrations during the first two min and low concentrations for the remaining time

Study on off-odor volatiles of irradiated packaged raw pork

International Nuclear Information System (INIS)

Lin Ruotai; Geng Shengrong; Liu Yangmin

2008-01-01

Analysing the compositions of off-odor volatiles in irradiated refrigerated vacuum-packaged pork and research on its origin. First, the off-odor volatiles were collected by a cooled via in liquid nitrogen, then the main composition of off-odor volatiles were analyzed by gas chromatograph mass spectrometry (GC-MS). The main composition of off-odor volatiles are dimethyl disulfide, dimethyl sulfide, dimethyl trisulfide, methanethiol and S-methyl thioacetate. The off-odor volatiles come from irradiated cystine, methionine and VB1. The main composition of off-odor volatiles are S-containing compounds from irradiated S-containing amino acid and VB1

A volatile tracer-assisted headspace analytical technique for determining the swelling capacity of superabsorbent polymers.

Science.gov (United States)

Zhang, Shu-Xin; Jiang, Ran; Chai, Xin-Sheng

2017-09-01

This paper reports on a new method for the determination of swelling capacity of superabsorbent polymers by a volatile tracer-assisted headspace gas chromatography (HS-GC). Toluene was used as a tracer and added to the solution for polymers swelling test. Based on the differences of the tracer partitioned between the vapor and hydrogel phase before and after the polymer's swelling capacity, a transition point (corresponding to the material swelling capacity) can be observed when plotting the GC signal of toluene vs. the ratio of solution added to polymers. The present method has good precision (RSDpolymers at the elevated temperatures. Copyright © 2017 Elsevier B.V. All rights reserved.

Sodium channels as targets for volatile anesthetics

Directory of Open Access Journals (Sweden)

Karl F. Herold

2012-03-01

Full Text Available The molecular mechanisms of modern inhaled anesthetics although widely used in clinical settings are still poorly understood. Considerable evidence supports effects on membrane proteins such as ligand- and voltage-gated ion channels of excitable cells. Na+ channels are crucial to action potential initiation and propagation, and represent potential targets for volatile anesthetics. Inhibition of presynaptic Na+ channels leads to reduced neurotransmitter release at the synapse and could therefore contribute to the mechanisms by which volatile anesthetics produce their characteristic effects: amnesia, unconsciousness, and immobility. Early studies on crayfish and squid giant axon showed inhibition of Na+ currents by volatile anesthetics. Subsequent studies using native neuronal preparations and heterologous expression systems with various mammalian Na+ channel isoforms implicated inhibition of presynaptic Na+ channels in anesthetic actions. Volatile anesthetics reduce peak Na+ current and shift the voltage of half-maximal steady-state inactivation towards more negative potentials, thus stabilizing the fast-inactivated state. Furthermore recovery from fast-inactivation is slowed together with an enhanced use-dependent block during pulse train protocols. These effects can reduce neurotransmitter release by depressing presynaptic excitability, depolarization and Ca entry, and ultimately transmitter release. This reduction in transmitter release is more portent for glutamatergic vs. GABAergic terminals. Involvement of Na+ channel inhibition in mediating the immobility caused by volatile anesthetics has been demonstrated in animal studies, in which intrathecal infusion of the Na+ channel blocker tetrodotoxin increases volatile anesthetic potency, whereas infusion of the Na+ channels agonist veratridine reduces anesthetic potency. These studies indicate that inhibition of presynaptic Na+ channels by volatile anesthetics is involved in mediating some of

Can Internet search queries help to predict stock market volatility?

OpenAIRE

Dimpfl, Thomas; Jank, Stephan

2011-01-01

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback effect to predict volatility we find that search queries contain additional information about market...

Modelling of volatility in monetary transmission mechanism

Energy Technology Data Exchange (ETDEWEB)

Dobešová, Anna; Klepáč, Václav; Kolman, Pavel [Department of Statistics and Operation Analysis, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 61300, Brno (Czech Republic); Bednářová, Petra [Institute of Technology and Business, Okružní 517/10, 370 01, České Budějovice (Czech Republic)

2015-03-10

The aim of this paper is to compare different approaches to modeling of volatility in monetary transmission mechanism. For this purpose we built time-varying parameter VAR (TVP-VAR) model with stochastic volatility and VAR-DCC-GARCH model with conditional variance. The data from three European countries are included in the analysis: the Czech Republic, Germany and Slovakia. Results show that VAR-DCC-GARCH system captures higher volatility of observed variables but main trends and detected breaks are generally identical in both approaches.

Modelling of volatility in monetary transmission mechanism

International Nuclear Information System (INIS)

Dobešová, Anna; Klepáč, Václav; Kolman, Pavel; Bednářová, Petra

2015-01-01

The aim of this paper is to compare different approaches to modeling of volatility in monetary transmission mechanism. For this purpose we built time-varying parameter VAR (TVP-VAR) model with stochastic volatility and VAR-DCC-GARCH model with conditional variance. The data from three European countries are included in the analysis: the Czech Republic, Germany and Slovakia. Results show that VAR-DCC-GARCH system captures higher volatility of observed variables but main trends and detected breaks are generally identical in both approaches

Arsenic volatilization in model anaerobic biogas digesters

International Nuclear Information System (INIS)

Mestrot, Adrien; Xie, Wan-Ying; Xue, Ximei; Zhu, Yong-Guan

2013-01-01

Highlights: • Arsenic is volatilized form all model anaerobic digesters, including the non-treated ones. • Volatile As species can be identified and quantified in all digesters. • Non-arsenic treated digesters volatilization rates are higher than Roxarsone treated ones. - Abstract: Arsenic is a class 1 non-threshold carcinogen which is highly ubiquitous. Arsenic undergoes many different transformations (biotic or abiotic) between and within environmental compartments, leading to a number of different chemical species possessing different properties and toxicities. One specific transformation is As biotic volatilization which is coupled with As biomethylation and has been scarcely studied due to inherent sampling issues. Arsenic methylation/volatilization is also linked with methanogenesis and occurs in anaerobic environments. In China, rice straw and animal manure are very often used to produce biogas and both can contain high amounts of As, especially if the rice is grown in areas with heavy mining or smelting industries and if Roxarsone is fed to the animals. Roxarsone is an As-containing drug which is widely used in China to control coccidian intestinal parasites, to improve feed efficiency and to promote rapid growth. Previous work has shown that this compound degrades to inorganic As under anaerobic conditions. In this study the focus is on biotic transformations of As in small microcosms designed as biogas digester models (BDMs) using recently validated As traps, thus, enabling direct quantification and identification of volatile As species. It is shown that although there was a loss of soluble As in the BDMs, their conditions favored biomethylation. All reactors produced volatile As, especially the monomethylarsonic acid spiked ones with 413 ± 148 ng As (mean ± SD, n = 3) which suggest that the first methylation step, from inorganic As, is a limiting factor. The most abundant species was trimethylarsine, but the toxic arsine was present in the

Factor Structure in Commodity Futures Return and Volatility

DEFF Research Database (Denmark)

Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther

Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...... with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008......-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity...

Hammerstein system represention of financial volatility processes

Science.gov (United States)

Capobianco, E.

2002-05-01

We show new modeling aspects of stock return volatility processes, by first representing them through Hammerstein Systems, and by then approximating the observed and transformed dynamics with wavelet-based atomic dictionaries. We thus propose an hybrid statistical methodology for volatility approximation and non-parametric estimation, and aim to use the information embedded in a bank of volatility sources obtained by decomposing the observed signal with multiresolution techniques. Scale dependent information refers both to market activity inherent to different temporally aggregated trading horizons, and to a variable degree of sparsity in representing the signal. A decomposition of the expansion coefficients in least dependent coordinates is then implemented through Independent Component Analysis. Based on the described steps, the features of volatility can be more effectively detected through global and greedy algorithms.

Qualitative and Quantitative Analysis of Volatile Components of Zhengtian Pills Using Gas Chromatography Mass Spectrometry and Ultra-High Performance Liquid Chromatography.

Science.gov (United States)

Liu, Cui-Ting; Zhang, Min; Yan, Ping; Liu, Hai-Chan; Liu, Xing-Yun; Zhan, Ruo-Ting

2016-01-01

Zhengtian pills (ZTPs) are traditional Chinese medicine (TCM) which have been commonly used to treat headaches. Volatile components of ZTPs extracted by ethyl acetate with an ultrasonic method were analyzed by gas chromatography mass spectrometry (GC-MS). Twenty-two components were identified, accounting for 78.884% of the total components of volatile oil. The three main volatile components including protocatechuic acid, ferulic acid, and ligustilide were simultaneously determined using ultra-high performance liquid chromatography coupled with diode array detection (UHPLC-DAD). Baseline separation was achieved on an XB-C18 column with linear gradient elution of methanol-0.2% acetic acid aqueous solution. The UHPLC-DAD method provided good linearity (R (2) ≥ 0.9992), precision (RSD components, protocatechuic acid, ferulic acid, and ligustilide, in 13 batches of ZTPs, which is suitable for discrimination and quality assessment of ZTPs.

Microwave oven fabricated hybrid memristor devices for non-volatile memory storage

International Nuclear Information System (INIS)

Verrelli, E; Gray, R J; O’Neill, M; Kemp, N T; Kelly, S M

2014-01-01

Novel hybrid non-volatile memories made using an ultra-fast microwave heating method are reported for the first time. The devices, consisting of aligned ZnO nanorods embedded in poly (methyl methacrylate), require no forming step and exhibit reliable and reproducible bipolar resistive switching at low voltages and with low power usage. We attribute these properties to a combination of the high aspect ratio of the nanorods and the polymeric hybrid structure of the device. The extremely easy, fast and low-cost solution based method of fabrication makes possible the simple and quick production of cheap memory cells. (paper)

Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

OpenAIRE

Antoine Jacquier; Martin Keller-Ressel; Aleksandar Mijatovic

2011-01-01

Let $\\sigma_t(x)$ denote the implied volatility at maturity $t$ for a strike $K=S_0 e^{xt}$, where $x\\in\\bbR$ and $S_0$ is the current value of the underlying. We show that $\\sigma_t(x)$ has a uniform (in $x$) limit as maturity $t$ tends to infinity, given by the formula $\\sigma_\\infty(x)=\\sqrt{2}(h^*(x)^{1/2}+(h^*(x)-x)^{1/2})$, for $x$ in some compact neighbourhood of zero in the class of affine stochastic volatility models. The function $h^*$ is the convex dual of the limiting cumulant gen...

A Fractionally Integrated Wishart Stochastic Volatility Model

NARCIS (Netherlands)

M. Asai (Manabu); M.J. McAleer (Michael)

2013-01-01

textabstractThere has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of

The volatility of stock market prices.

Science.gov (United States)

Shiller, R J

1987-01-02

If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.

Can Equity Volatility Explain the Global Loan Pricing Puzzle?

OpenAIRE

Lewis Gaul; Pinar Uysal

2013-01-01

This paper examines whether unobservable differences in firm volatility are responsible for the global loan pricing puzzle, which is the observation that corporate loan interest rates appear to be lower in Europe than in the United States. We analyze whether equity volatility, an error prone measure of firm volatility, can explain this difference in loan spreads. We show that using equity volatility in OLS regressions will result in biased and inconsistent estimates of the difference in U.S. ...

Stock Market Volatility: Examining North America, Europe and Asia

OpenAIRE

Gamini Premaratne; Lakshmi Bala

2004-01-01

An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on risk averse investors. Using daily returns from 1992 to 2002, we investigate volatility co-movement between the Singapore stock market and the markets of US, UK, Hong Kong and Japan. In order to gauge...

Multiscaling and clustering of volatility

Science.gov (United States)

Pasquini, Michele; Serva, Maurizio

1999-07-01

The dynamics of prices in stock markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, while the distribution of returns of the most important indices is known to be a truncated Lévy, the behaviour of volatility correlations is still poorly understood. What is well known is that absolute returns have memory on a long time range, this phenomenon is known in financial literature as clustering of volatility. In this paper we show that volatility correlations are power laws with a non-unique scaling exponent. This kind of multiscale phenomenology is known to be relevant in fully developed turbulence and in disordered systems and it is pointed out here for the first time for a financial series. In our study we consider the New York Stock Exchange (NYSE) daily index, from January 1966 to June 1998, for a total of 8180 working days.

Volatile compounds in meat and meat products

Directory of Open Access Journals (Sweden)

Monika KOSOWSKA

Full Text Available Abstract Meaty flavor is composed of a few hundreds of volatile compounds, only minor part of which are responsible for the characteristic odor. It is developed as a result of multi-directional reactions proceeding between non-volatile precursors contained in raw meat under the influence of temperature. The volatile compounds are generated upon: Maillard reactions, lipid oxidation, interactions between Maillard reaction products and lipid oxidation products as well as upon thiamine degradation. The developed flavor is determined by many factors associated with: raw material (breed, sex, diet and age of animal, conditions and process of slaughter, duration and conditions of meat storage, type of muscle, additives applied and the course of the technological process. The objective of this review article is to draw attention to the issue of volatile compounds characteristic for meat products and factors that affect their synthesis.

Does Interest rate Exposure explain the Low-Volatility Anomaly?

NARCIS (Netherlands)

Driessen, Joost; Kuiper, Ivo; Beilo, R.

We show that part of the outperformance of low-volatility stocks can be explained by a premium for interest rate exposure. Low-volatility stock portfolios have negative exposure to interest rates, whereas the more volatile stocks have positive exposure. Incorporating an interest rate premium

Oil prices and financial stress: A volatility spillover analysis

International Nuclear Information System (INIS)

Nazlioglu, Saban; Soytas, Ugur; Gupta, Rangan

2015-01-01

This paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test. We employ WTI crude oil prices and Cleveland financial stress index for the period 1991–2014 and divide the sample into pre-crisis, in-crisis, and post-crisis periods due to the downward trend in oil price in 2008. The volatility model estimations indicate that oil prices and financial stress index are dominated by long-run volatility. The volatility spillover causality test supports evidence on risk transfer from oil prices to financial stress before the crisis and from financial stress to oil prices after the crisis. The impulse response analysis shows that the volatility transmission pattern has similar dynamics before and after the crisis and is characterized by higher and long-lived effects during the crisis. Our results have implications for both policy makers and investors, and for future work. -- Highlights: •Volatility spillover between oil prices and financial stress index is examined. •Analysis is conducted for sub-periods: pre-crisis, in-crisis, and post-crisis •Oil prices spill on financial stress before the crisis, but spillover reversed after the crisis. •Volatility transmission pattern has similar dynamics before and after the crisis. •Implications for investors and policy makers are discussed

Silicon isotopes in angrites and volatile loss in planetesimals

Science.gov (United States)

Moynier, Frédéric; Savage, Paul S.; Badro, James; Barrat, Jean-Alix

2014-01-01

Inner solar system bodies, including the Earth, Moon, and asteroids, are depleted in volatile elements relative to chondrites. Hypotheses for this volatile element depletion include incomplete condensation from the solar nebula and volatile loss during energetic impacts. These processes are expected to each produce characteristic stable isotope signatures. However, processes of planetary differentiation may also modify the isotopic composition of geochemical reservoirs. Angrites are rare meteorites that crystallized only a few million years after calcium–aluminum-rich inclusions and exhibit extreme depletions in volatile elements relative to chondrites, making them ideal samples with which to study volatile element depletion in the early solar system. Here we present high-precision Si isotope data that show angrites are enriched in the heavy isotopes of Si relative to chondritic meteorites by 50–100 ppm/amu. Silicon is sufficiently volatile such that it may be isotopically fractionated during incomplete condensation or evaporative mass loss, but theoretical calculations and experimental results also predict isotope fractionation under specific conditions of metal–silicate differentiation. We show that the Si isotope composition of angrites cannot be explained by any plausible core formation scenario, but rather reflects isotope fractionation during impact-induced evaporation. Our results indicate planetesimals initially formed from volatile-rich material and were subsequently depleted in volatile elements during accretion. PMID:25404309

Herbivory by a Phloem-feeding insect inhibits floral volatile production.

Science.gov (United States)

Pareja, Martin; Qvarfordt, Erika; Webster, Ben; Mayon, Patrick; Pickett, John; Birkett, Michael; Glinwood, Robert

2012-01-01

There is extensive knowledge on the effects of insect herbivory on volatile emission from vegetative tissue, but little is known about its impact on floral volatiles. We show that herbivory by phloem-feeding aphids inhibits floral volatile emission in white mustard Sinapis alba measured by gas chromatographic analysis of headspace volatiles. The effect of the Brassica specialist aphid Lipaphis erysimi was stronger than the generalist aphid Myzus persicae and feeding by chewing larvae of the moth Plutella xylostella caused no reduction in floral volatile emission. Field observations showed no effect of L. erysimi-mediated floral volatile emission on the total number of flower visits by pollinators. Olfactory bioassays suggested that although two aphid natural enemies could detect aphid inhibition of floral volatiles, their olfactory orientation to infested plants was not disrupted. This is the first demonstration that phloem-feeding herbivory can affect floral volatile emission, and that the outcome of interaction between herbivory and floral chemistry may differ depending on the herbivore's feeding mode and degree of specialisation. The findings provide new insights into interactions between insect herbivores and plant chemistry.

Volatile element trends in gas-rich meteorites

Energy Technology Data Exchange (ETDEWEB)

Bart, G; Lipschutz, M E [Purdue Univ., Lafayette, IN (USA). Dept. of Chemistry

1979-09-01

Study of 10 volatile elements (and non-volatile Co) in co-existing light and dark portions of 5 gas-rich chondrites indicates patterns of distinct but non-uniform enrichment of volatile elements. Only Cs is enriched in all samples; Bi and Tl enrichments covary. The observed enrichments are inconsistent with prior suggestions of admixture of C1 or C2 chondritic matter, whether pristine or partly devolatilized, but suggest that both light and dark portions of each chondrite represents a compositionally more extended sampling of parental nebular material than hitherto known.

Characterisation of selected volatile organic compounds in ...

African Journals Online (AJOL)

GCMS), was used to identify volatile compounds at three different temperatures. Fifty volatile compounds, inclusive of 14 acids, 14 alcohols, and 22 esters were identified and quantified in the two brands of indigenous banana beer samples. Only 12 ...

Volatility of an Indian stock market: A random matrix approach

International Nuclear Information System (INIS)

Kulkarni, V.; Deo, N.

2006-07-01

We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000- 2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to (i) do a brief comparative analysis with statistics of eigenvalues and eigenvectors of the matrix C of correlations between price fluctuations, in time regimes of different volatilities. While a bulk of eigenvalues falls within RMT bounds in all the time periods, we see that the largest (deviating) eigenvalue correlates well with the volatility of the index, the corresponding eigenvector clearly shows a shift in the distribution of its components from volatile to less volatile periods and verifies the qualitative association between participation and volatility (ii) observe that the Inverse participation ratio for the last eigenvector is sensitive to market fluctuations (the two quantities are observed to anti correlate significantly) (iii) set up a variability index, V whose temporal evolution is found to be significantly correlated with the volatility of the overall market index. MIRAMAR (author)

The memory of volatility

Directory of Open Access Journals (Sweden)

Kai R. Wenger

2018-03-01

Full Text Available The focus of the volatility literature on forecasting and the predominance of theconceptually simpler HAR model over long memory stochastic volatility models has led to the factthat the actual degree of memory estimates has rarely been considered. Estimates in the literaturerange roughly between 0.4 and 0.6 - that is from the higher stationary to the lower non-stationaryregion. This difference, however, has important practical implications - such as the existence or nonexistenceof the fourth moment of the return distribution. Inference on the memory order is complicatedby the presence of measurement error in realized volatility and the potential of spurious long memory.In this paper we provide a comprehensive analysis of the memory in variances of international stockindices and exchange rates. On the one hand, we find that the variance of exchange rates is subject tospurious long memory and the true memory parameter is in the higher stationary range. Stock indexvariances, on the other hand, are free of low frequency contaminations and the memory is in the lowernon-stationary range. These results are obtained using state of the art local Whittle methods that allowconsistent estimation in presence of perturbations or low frequency contaminations.

Process engineering versus product engineering - A case study on volatile organic compounds removal

DEFF Research Database (Denmark)

Coutinho, João A.P.; Vilela, T.; Pereira, P.

2005-01-01

Three solutions for removing the dangerous volatile organic compound (VOC) xylene from an industrial coating process are presented and compared. Two of them are based on classical process engineering principles, i.e., development of separation-cleaning methods such as incineration and adsorption...... to the problem-need specified in the beginning of the project, but producing a novel formulation (chemical product design) represents a method that results to a completely xylene-free process which is environmentally and economically more interesting than those generated via the more traditional process...

Volatile organic carbon/air separation test using gas membranes

International Nuclear Information System (INIS)

King, C.V.; Kaschemekat, J.

1993-08-01

An estimated 900 metric tons of carbon tetrachloride were discharged to soil columns during the Plutonium Finishing Plant Operations at the Hanford Site. The largest percentage of this volatile organic compound was found in the vadose region of the 200 West Area. Using a Vacuum Extraction System, the volatile organic compound was drawn from the soil in an air mixture at a concentration of about 1,000 parts per million. The volatile organic compounds were absorbed from the air stream using granulated activated carbon canisters. A gas membrane separation system, developed by Membrane Technology and Research, Inc., was tested at the Vacuum Extraction System site to determine if the volatile organic compound load on the granulated activated carbon could be reduced. The Vacuum Extraction System condensed most of the volatile organic compound into liquid carbon tetrachloride and vented the residual gas stream into the granulated activated carbon. This system reduced the cost of operation about $5/kilogram of volatile organic compound removed

Changing volatility of U.S. annual tornado reports

Science.gov (United States)

Tippett, Michael K.

2014-10-01

United States (U.S.) tornado activity results in substantial loss of life and property damage each year. A simple measure of the U.S. tornado climatology is the average number of tornadoes per year. However, even this statistic is elusive because of nonstationary behavior due in large part to changes in reporting practices. Differencing of the annual report data results in a quantity without mean trends and whose standard deviation we denote as volatility, since it is an indication of the likely year-to-year variation in the number of tornadoes reported. While volatility changes detected prior to 2000 can be associated with known reporting practice changes, an increase in volatility in the 2000s across intensity levels cannot. A volatility increase is also seen in a tornado environment index which measures the favorability of atmospheric conditions to tornado activity, providing evidence that the recent increase in tornado report volatility is related to the physical environment.

Mutual fund volatility timing and management fees

NARCIS (Netherlands)

Giambona, E.; Golec, J.

2009-01-01

This paper shows that compensation incentives partly drive fund managers’ market volatility timing strategies. Larger incentive management fees lead to less counter-cyclical or more pro-cyclical volatility timing. But fund styles or aggregate fund flows could also account for this relation;

Volatility jumps and their economic determinants

DEFF Research Database (Denmark)

Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo

that there is a positive probability of jumps in volatility. A common factor in the volatility jumps is shown to be related to a set of financial covariates (such as variance risk premium, S&P500 volume, credit-default swap, and federal fund rates). The credit-default swap on US banks and variance risk premium have...... predictive power on expected jump moves, thus confirming the common interpretation that sudden and large increases in equity volatility can be anticipated by credit deterioration of the US bank sector as well as changes in the market expectations of future risks. Finally, the model is extended to incorporate...... the credit-default swap and the variance risk premium in the dynamics of the jump size and intensity....

Volatilization of gasoline from soil

International Nuclear Information System (INIS)

Arthus, P.

1993-05-01

Gasoline contaminated soil threatens water resources and air quality. The extent of the threat depends on gasoline behavior in soil, which is affected by various mechanisms such as volatilization. To quantify volatilization, gasoline spills were simulated in the laboratory using a synthetic gasoline and three dry soils. Total gasoline and individual gasoline compound concentrations in soil were monitored as a function of depth and time. The time to reduce overall gasoline concentration in coarse sand, sandy loam, and silt loam to 40% of initial concentration, averaged between surface and a 200-mm depth, ranged from 0.25 d to 10 d. A wicking phenomenon which contributed to gasoline flux toward the atmosphere was indicated by behavior of a low-volatility gasoline compound. Based on separate wicking experiments, this bulk immiscible movement was estimated at an upward velocity of 0.09 m/d for Delhi sandy loam and 0.05 m/d for Elora silt loam. 70 refs., 24 figs., 34 tabs

Stock price dynamics and option valuations under volatility feedback effect

Science.gov (United States)

Kanniainen, Juho; Piché, Robert

2013-02-01

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.

Hedging electricity price volatility using nuclear power

International Nuclear Information System (INIS)

Mari, Carlo

2014-01-01

Highlights: • Nuclear power is an important asset to reduce the volatility of electricity prices. • Unpredictability of fossil fuels and carbon prices makes power prices very volatile. • The dynamics of fossil fuels and carbon prices is described by Brownian motions. • LCOE values, volatilities and correlations are obtained via Monte Carlo simulations. • Optimal portfolios of generating technologies are get using a mean–variance approach. - Abstract: The analysis presented in this paper aims to put in some evidence the role of nuclear power as hedging asset against the volatility of electricity prices. The unpredictability of natural gas and coal market prices as well as the uncertainty in environmental policies may affect power generating costs, thus enhancing volatility in electricity market prices. The nuclear option, allowing to generate electricity without carbon emissions, offers the possibility to reduce the volatility of electricity prices through optimal diversification of power generating technologies. This paper provides a methodological scheme to plan well diversified “portfolios” of generating capacity that minimize the electricity price risk induced by random movements of fossil fuels market prices and by unpredictable fluctuations of carbon credits prices. The analysis is developed within a stochastic environment in which the dynamics of fuel prices as well as the dynamics of carbon credits prices is assumed to evolve in time according to well defined Brownian processes. Starting from market data and using Monte Carlo techniques to simulate generating cost values, the hedging argument is developed by selecting optimal portfolio of power generating technologies using a mean–variance approach

Herbivory by a Phloem-feeding insect inhibits floral volatile production.

Directory of Open Access Journals (Sweden)

Martin Pareja

Full Text Available There is extensive knowledge on the effects of insect herbivory on volatile emission from vegetative tissue, but little is known about its impact on floral volatiles. We show that herbivory by phloem-feeding aphids inhibits floral volatile emission in white mustard Sinapis alba measured by gas chromatographic analysis of headspace volatiles. The effect of the Brassica specialist aphid Lipaphis erysimi was stronger than the generalist aphid Myzus persicae and feeding by chewing larvae of the moth Plutella xylostella caused no reduction in floral volatile emission. Field observations showed no effect of L. erysimi-mediated floral volatile emission on the total number of flower visits by pollinators. Olfactory bioassays suggested that although two aphid natural enemies could detect aphid inhibition of floral volatiles, their olfactory orientation to infested plants was not disrupted. This is the first demonstration that phloem-feeding herbivory can affect floral volatile emission, and that the outcome of interaction between herbivory and floral chemistry may differ depending on the herbivore's feeding mode and degree of specialisation. The findings provide new insights into interactions between insect herbivores and plant chemistry.

The volatile compound BinBase mass spectral database.

Science.gov (United States)

Skogerson, Kirsten; Wohlgemuth, Gert; Barupal, Dinesh K; Fiehn, Oliver

2011-08-04

Volatile compounds comprise diverse chemical groups with wide-ranging sources and functions. These compounds originate from major pathways of secondary metabolism in many organisms and play essential roles in chemical ecology in both plant and animal kingdoms. In past decades, sampling methods and instrumentation for the analysis of complex volatile mixtures have improved; however, design and implementation of database tools to process and store the complex datasets have lagged behind. The volatile compound BinBase (vocBinBase) is an automated peak annotation and database system developed for the analysis of GC-TOF-MS data derived from complex volatile mixtures. The vocBinBase DB is an extension of the previously reported metabolite BinBase software developed to track and identify derivatized metabolites. The BinBase algorithm uses deconvoluted spectra and peak metadata (retention index, unique ion, spectral similarity, peak signal-to-noise ratio, and peak purity) from the Leco ChromaTOF software, and annotates peaks using a multi-tiered filtering system with stringent thresholds. The vocBinBase algorithm assigns the identity of compounds existing in the database. Volatile compound assignments are supported by the Adams mass spectral-retention index library, which contains over 2,000 plant-derived volatile compounds. Novel molecules that are not found within vocBinBase are automatically added using strict mass spectral and experimental criteria. Users obtain fully annotated data sheets with quantitative information for all volatile compounds for studies that may consist of thousands of chromatograms. The vocBinBase database may also be queried across different studies, comprising currently 1,537 unique mass spectra generated from 1.7 million deconvoluted mass spectra of 3,435 samples (18 species). Mass spectra with retention indices and volatile profiles are available as free download under the CC-BY agreement (http://vocbinbase.fiehnlab.ucdavis.edu). The Bin

The volatile compound BinBase mass spectral database

Directory of Open Access Journals (Sweden)

Barupal Dinesh K

2011-08-01

Full Text Available Abstract Background Volatile compounds comprise diverse chemical groups with wide-ranging sources and functions. These compounds originate from major pathways of secondary metabolism in many organisms and play essential roles in chemical ecology in both plant and animal kingdoms. In past decades, sampling methods and instrumentation for the analysis of complex volatile mixtures have improved; however, design and implementation of database tools to process and store the complex datasets have lagged behind. Description The volatile compound BinBase (vocBinBase is an automated peak annotation and database system developed for the analysis of GC-TOF-MS data derived from complex volatile mixtures. The vocBinBase DB is an extension of the previously reported metabolite BinBase software developed to track and identify derivatized metabolites. The BinBase algorithm uses deconvoluted spectra and peak metadata (retention index, unique ion, spectral similarity, peak signal-to-noise ratio, and peak purity from the Leco ChromaTOF software, and annotates peaks using a multi-tiered filtering system with stringent thresholds. The vocBinBase algorithm assigns the identity of compounds existing in the database. Volatile compound assignments are supported by the Adams mass spectral-retention index library, which contains over 2,000 plant-derived volatile compounds. Novel molecules that are not found within vocBinBase are automatically added using strict mass spectral and experimental criteria. Users obtain fully annotated data sheets with quantitative information for all volatile compounds for studies that may consist of thousands of chromatograms. The vocBinBase database may also be queried across different studies, comprising currently 1,537 unique mass spectra generated from 1.7 million deconvoluted mass spectra of 3,435 samples (18 species. Mass spectra with retention indices and volatile profiles are available as free download under the CC-BY agreement (http

Capital mobility and macroeconomic volatility: evidence from Greece

OpenAIRE

Anastasios, Pappas

2010-01-01

This paper focuses on the impact of full capital account liberalization on macroeconomic volatility in Greece. According to the standard neoclassical model, such liberalization is to be desired because, among other advantages, it may reduce macroeconomic volatility. The link between macroeconomic volatility and capital account openness in the Greek economy is investigated by applying a simple three-month rolling standard deviation of real GDP growth and real final (total) consumption growth c...

Chemically-resolved volatility measurements of organic aerosol fom different sources.

Science.gov (United States)

Huffman, J A; Docherty, K S; Mohr, C; Cubison, M J; Ulbrich, I M; Ziemann, P J; Onasch, T B; Jimenez, J L

2009-07-15

A newly modified fast temperature-stepping thermodenuder (TD) was coupled to a High Resolution Time-of-Flight Aerosol Mass Spectrometer for rapid determination of chemically resolved volatility of organic aerosols (OA) emitted from individual sources. The TD-AMS system was used to characterize primary OA (POA) from biomass burning, trash burning surrogates (paper and plastic), and meat cooking as well as chamber-generated secondary OA (SOA) from alpha-pinene and gasoline vapor. Almost all atmospheric models represent POA as nonvolatile, with no allowance for evaporation upon heating or dilution, or condensation upon cooling. Our results indicate that all OAs observed show semivolatile behavior and that most POAs characterized here were at least as volatile as SOA measured in urban environments. Biomass-burning OA (BBOA) exhibited a wide range of volatilities, but more often showed volatility similar to urban OA. Paper-burning resembles some types of BBOA because of its relatively high volatility and intermediate atomic oxygen-to-carbon (O/C) ratio, while meat-cooking OAs (MCOA) have consistently lower volatility than ambient OA. Chamber-generated SOA under the relatively high concentrations used intraditional experiments was significantly more volatile than urban SOA, challenging extrapolation of traditional laboratory volatility measurements to the atmosphere. Most OAs sampled show increasing O/C ratio and decreasing H/C (hydrogen-to-carbon) ratio with temperature, further indicating that more oxygenated OA components are typically less volatile. Future experiments should systematically explore a wider range of mass concentrations to more fully characterize the volatility distributions of these OAs.

Ammonia volatilization from coated urea forms

Directory of Open Access Journals (Sweden)

Carlos Antonio Costa do Nascimento

2013-08-01

Full Text Available Nitrogen fertilization is a major component of the cost of agricultural production, due to the high cost and low efficiency of fertilizers. In the case of urea, the low efficiency is mainly due to losses by volatilization, which are more pronounced in cultivation systems in which plant residues are left on the soil. The objective of this work was to compare the influence of urea coated with sulfur or boric acid and copper sulfate with conventional N fertilizers on N volatilization losses in sugar cane harvested after stubble burning. The sources urea, sulfur-coated urea, urea coated with boric acid and copper sulfate, as well as nitrate and ammonium sulfate, were tested at amounts containing N rates of 120 kg ha-1 N. The integration of new technologies in urea fertilization can reduce N losses by volatilization. These losses were most reduced when using nitrate and ammonium sulfate. The application of a readily acidified substance (boric acid to urea was more efficient in reducing volatilization losses and nutrient removal by sugar cane than that of a substance with gradual acidification (elemental sulfur.

The electoral volatility in Serbia: Comparison and explanation

Directory of Open Access Journals (Sweden)

Antonić Slobodan

2005-01-01

Full Text Available In the first part of this article the electoral volatility in Serbia is compared to those in other countries. The Pedersen’s Index for Serbia from 1990 to 2003 is 19.6, which means there is high electoral volatility. However, compared to other countries in transition, the volatility in Serbia turns out to be average. Therefore, I conclude that the causes of high volatility in Serbia could not be specific, but similar to the reasons in other post-communist countries. In the second part, I analyze the general reasons for the increased volatility. They are: the large number of parties participating in political life, and insufficient time, passed since the restoration of multiparty elections, for the voters to become more seriously tied to the parties, or for the parties to become socially anchored. In the third part, I analyze the particular causes of the increased volatility that are specific, first of all, for Serbia and other post-communist societies. They are: the fast change of social structure, which leads to a general feeling of social and personal insecurity, as well as the widespread dissatisfaction with the gap between the increase of social inequality and the number of social winners, which increases the frequency of protest voting. At the end, I conclude that, in time, some of these factors would probably lose their significance, so the volatility in Serbia would decrease. However, a noticeable decrease could hardly be expected during the next ten years at least.

Modelling oil price volatility with structural breaks

International Nuclear Information System (INIS)

Salisu, Afees A.; Fasanya, Ismail O.

2013-01-01

In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data series; and (ii) the latter method is modified to include both symmetric and asymmetric volatility models. We identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to the Iraqi/Kuwait conflict and the global financial crisis, respectively. We find evidence of persistence and leverage effects in the oil price volatility. While further extensions can be pursued, the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling oil price volatility. - Highlights: ► We analyze oil price volatility using NP (2010) and LN (2010) tests. ► We modify the LN (2010) to account for leverage effects in oil price. ► We find two structural breaks that reflect major global crisis in the oil market. ► We find evidence of persistence and leverage effects in oil price volatility. ► Leverage effects and structural breaks are fundamental in oil price modelling.

Fabrication of three-dimensional micro-nanofiber structures by a novel solution blow spinning device

Directory of Open Access Journals (Sweden)

Feng Liang

2017-02-01

Full Text Available The fabrication of three-dimensional scaffolds has attracted more attention in tissue engineering. The purpose of this study is to explore a new method for the fabrication of three-dimensional micro-nanofiber structures by combining solution blow spinning and rotating collector. In this study, we successfully fabricated fibers with a minimum diameter of 200 nm and a three-dimensional structure with a maximum porosity of 89.9%. At the same time, the influence of various parameters such as the solvent volatility, the shape of the collector, the feed rate of the solution and the applied gas pressure were studied. It is found that solvent volatility has large effect on the formation of the three-dimensional shape of the structure. The shape of the collector affects the porosity and fiber distribution of the three-dimensional structure. The fiber diameter and fiber uniformity can be controlled by adjusting the solution feed rate and the applied gas pressure. It is feasible to fabricate high-quality three-dimensional micro-nanofiber structure by this new method, which has great potential in tissue engineering.

Multifractal in Volatility of Family Business Stocks Listed on Casablanca STOCK Exchange

Science.gov (United States)

Lahmiri, Salim

In this paper, we check for existence of multifractal in volatility of Moroccan family business stock returns and in volatility of Casablanca market index returns based on multifractal detrended fluctuation analysis (MF-DFA) technique. Empirical results show strong evidence of multifractal characteristics in volatility series of both family business stocks and market index. In addition, it is found that small variations in volatility of family business stocks are persistent, whilst small variations in volatility of market index are anti-persistent. However, large variations in family business volatility and market index volatility are both anti-persistent. Furthermore, multifractal spectral analysis based results show strong evidence that volatility in Moroccan family business companies exhibits more multifractality than volatility in the main stock market. These results may provide insightful information for risk managers concerned with family business stocks.

Influence of lambda-carrageenan on the release of systematic series of volatile flavor compounds from viscous food model systems

DEFF Research Database (Denmark)

Bylaite, Egle; Ilgunaite, Z.; Meyer, Anne Boye Strunge

2004-01-01

-liquid partition coefficients K (37degreesC) of a total of 43 aroma compounds were determined in pure water and in the lambda-carrageenan solutions by static headspace gas chromatography. Mass transfer of the aroma compounds in water and in the thickened lambda-carrageenan solutions which had a wide viscosity...... range was assessed by dynamic headspace gas chromatography. K(37degreesC) increased as the carbon chain increased within each homologous series. Esters exhibited the highest volatility, followed by aldehydes, ketones, and alcohols. Under equilibrium, no overall effect of lambda-carrageenan was found...

Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

International Nuclear Information System (INIS)

Perelló, Josep; Masoliver, Jaume; Sircar, Ronnie

2008-01-01

We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein–Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein–Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force, toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones index data

Some recent developments in stochastic volatility modelling

DEFF Research Database (Denmark)

Barndorff-Nielsen, Ole Eiler; Nicolato, Elisa; Shephard, N.

2002-01-01

This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation...

Volatility transmission and patterns in Bund futures

NARCIS (Netherlands)

Ph.H.B.F. Franses (Philip Hans); R. van Ieperen; A.J. Menkveld (Bert); P. Kofman (Paul); M.P.E. Martens (Martin)

1997-01-01

textabstractWe analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a

Order flow and volatility: An empirical investigation

NARCIS (Netherlands)

Opschoor, A.; Taylor, N.; van der Wel, M.; van Dijk, D.

2014-01-01

We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S. Treasury

The Cosmochemistry of Pluto: A Primordial Origin of Volatiles?

Science.gov (United States)

Glein, C. R.; Waite, J. H., Jr.

2017-12-01

Pluto is a wonderland of volatiles. Nitrogen, methane, and carbon monoxide are the principal volatiles that maintain its tenuous atmosphere, and they have also created a mesmerizing landscape of icy geological features, including Pluto's iconic "heart". Recent data, particularly those returned by the New Horizons mission [1-3], allow us to begin testing hypotheses for the cosmochemical origins of these world-shaping species on Pluto. Here, we investigate if Pluto's volatiles could have been accreted in its building blocks. We take both bottom-up and top-down approaches in testing this hypothesis in terms of mass balance. We estimate Pluto's primordial inventory of volatiles by scaling a range of cometary abundances up to the ice mass fraction of Pluto. We also make estimates of the present and lost inventories of volatiles based on surface observations and interpretations, as well as different scenarios of atmospheric photochemistry and escape. We find that, if primordial Pluto resembled a giant comet with respect to volatile abundances, then the initial volatile inventory would have been sufficient to account for the estimated present and lost inventories. This consistency supports a primordial origin for Pluto's volatiles. However, the observed ratio of CO/N2 in Pluto's atmosphere [4] is several orders of magnitude lower than the nominal cometary value. We are currently using phase equilibrium and rate models to explore if volatile layering in Sputnik Planitia, or the destruction of CO in a past or present subsurface ocean of liquid water could explain the apparent depletion of CO on Pluto. References: [1] Moore et al. (2016) Science 351, 1284. [2] Grundy et al. (2016) Science 351, aad9189. [3] Gladstone et al. (2016) Science 351, aad8866. [4] Lellouch et al. (2017) Icarus 286, 289.

21 CFR 573.914 - Salts of volatile fatty acids.

Science.gov (United States)

2010-04-01

... 21 Food and Drugs 6 2010-04-01 2010-04-01 false Salts of volatile fatty acids. 573.914 Section 573... Food Additive Listing § 573.914 Salts of volatile fatty acids. (a) Identity. The food additive is a... contains ammonium or calcium salts of volatile fatty acids and shall conform to the following...

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock and Bond Markets

DEFF Research Database (Denmark)

Christensen, Bent Jesper

We study the forecasting of future realized volatility in the stock, bond, and foreign exchange markets, as well as the continuous sample path and jump components of this, from variables in the information set, including implied volatility backed out from option prices. Recent nonparametric...

Networks of volatility spillovers among stock markets

Science.gov (United States)

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; Výrost, Tomáš

2018-01-01

In our network analysis of 40 developed, emerging and frontier stock markets during the 2006-2014 period, we describe and model volatility spillovers during both the global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We document the presence of significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of interconnectedness, which is measured by high spatial autocorrelation. This finding is confirmed by spatial regression models showing that indirect effects are much stronger than direct effects; i.e., market-related changes in 'neighboring' markets (within a network) affect volatility spillovers more than changes in the given market alone, suggesting that spatial effects simply cannot be ignored when modeling stock market relationships. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness.

A whiff of death: fatal volatile solvent inhalation abuse.

Science.gov (United States)

Steffee, C H; Davis, G J; Nicol, K K

1996-09-01

Inhalation abuse of volatile solvents, previously known generically as "glue sniffing," is typically pursued by adolescents. A wide range of legal, easily obtained products containing volatile substances are available for abuse. We report two illustrative cases of fatal volatile substance abuse: gasoline sniffing in a 20-year-old man and aerosol propellant gas inhalation (aerosol air freshener) in a 16-year-old girl with underlying reactive airway disease. Although the ratio of deaths to nonfatal inhalation escapades is extremely low, volatile solvent abuse carries the risk of sudden death due to cardiac arrest after a dysrhythmia or vasovagal event, central nervous system respiratory depression, hypoxia and hypercapnia due to the techniques of inhalation, and other mechanisms. Investigation of the patient's substance abuse history, examination of the scene of death, and special toxicologic analyses are critical to identifying volatile substance inhalation abuse as the cause of death because anatomic autopsy findings will typically be nonspecific. Above all, physicians must suspect the diagnosis of volatile substance inhalation abuse, especially in any case of sudden death involving an otherwise healthy young person.

Volatiles from roasted byproducts of the poultry-processing industry.

Science.gov (United States)

Wettasinghe, M; Vasanthan, T; Temelli, F; Swallow, K

2000-08-01

Volatiles of roasted chicken breast muscle and byproducts, such as backbones, breastbones, spent bones, and skin, were investigated. Total volatile concentrations ranged from 2030 ppb in the roasted backbones to 4049 ppb in the roasted skin. The major classes of volatile compounds detected in roasted samples were aldehydes (648-1532 ppb) and alcohols (336-1006 ppb). Nitrogen- and/or sulfur-containing compounds were also detected in appreciable quantities (161-706 ppb) in all samples. For all samples, hexanal and 2-methyl-2-buten-1-ol were dominant among the aldehydes and alcohols, respectively. Among the nitrogen- and sulfur-containing compounds, Maillard reaction products, such as tetrahydropyridazines, piperidines, and thiazoles, were the major contributors to the total volatile content in all samples. The composition of volatiles observed in roasted byproducts was markedly different from that of the roasted breast muscle. Therefore, the blending of the byproducts in appropriate proportions or blending of volatile flavor extracts from different byproducts may be necessary to obtain an aroma that mimics roasted chicken aroma.

Volatility Spillover in Chinese Steel Markets

Science.gov (United States)

Fang, Wen

2018-03-01

This paper examines volatility spillover in Chinese steel markets by comparing spillover effects before and after steel futures market established and finds some interesting change. Volatility spillover method based on multi-GARCH model are proposed. The results show that there is significant proof for spillover effects from B2B electronic market to spot market, and two-way effects between futures and spot market. Market policy planners and practitioners could make decisions according to the master of spillovers. We also find that B2B e-market and futures market can both provide efficient protection against steel price volatility risk, B2B e-market offer a broad-based platform for trading steel commodities over time and space since e-market role in information flow process is dominant.

Volatility

Directory of Open Access Journals (Sweden)

María Sánchez

2016-11-01

Full Text Available The action consists of moving with small kicks a tin of cola refresh -without Brand-from a point of the city up to other one. During the path I avoid bollards, the slope differences between sidewalks, pedestrians, parked motorcycles, etc. Volatility wants to say exactly that the money is getting lost. That the money is losing by gentlemen and by ladies who are neither financial sharks, nor big businessmen… or similarly, but ingenuous people, as you or as me, who walk down the street.

Different methods for volatile sampling in mammals.

Directory of Open Access Journals (Sweden)

Marlen Kücklich

Full Text Available Previous studies showed that olfactory cues are important for mammalian communication. However, many specific compounds that convey information between conspecifics are still unknown. To understand mechanisms and functions of olfactory cues, olfactory signals such as volatile compounds emitted from individuals need to be assessed. Sampling of animals with and without scent glands was typically conducted using cotton swabs rubbed over the skin or fur and analysed by gas chromatography-mass spectrometry (GC-MS. However, this method has various drawbacks, including a high level of contaminations. Thus, we adapted two methods of volatile sampling from other research fields and compared them to sampling with cotton swabs. To do so we assessed the body odor of common marmosets (Callithrix jacchus using cotton swabs, thermal desorption (TD tubes and, alternatively, a mobile GC-MS device containing a thermal desorption trap. Overall, TD tubes comprised most compounds (N = 113, with half of those compounds being volatile (N = 52. The mobile GC-MS captured the fewest compounds (N = 35, of which all were volatile. Cotton swabs contained an intermediate number of compounds (N = 55, but very few volatiles (N = 10. Almost all compounds found with the mobile GC-MS were also captured with TD tubes (94%. Hence, we recommend TD tubes for state of the art sampling of body odor of mammals or other vertebrates, particularly for field studies, as they can be easily transported, stored and analysed with high performance instruments in the lab. Nevertheless, cotton swabs capture compounds which still may contribute to the body odor, e.g. after bacterial fermentation, while profiles from mobile GC-MS include only the most abundant volatiles of the body odor.

Financial sector development, economic volatility and shocks in sub-Saharan Africa

Science.gov (United States)

Ibrahim, Muazu; Alagidede, Paul

2017-10-01

The role of financial sector development in economic volatility has been extensively studied albeit without informative results largely on the failure of extant studies to decompose volatility into its various components. By disaggregating volatility using the spectral approach, this study examines the effect of financial development on volatility components as well as channels through which finance affects volatility in 23 sub-Saharan African countries over the period 1980-2014. Our findings based on the newly developed panel cointegration estimation strategy reveal that while financial development affects business cycle volatility in a non-linear fashion, its effect on long run fluctuation is imaginary. More specifically, well developed financial sectors dampen volatility. Further findings show that while monetary shocks have large magnifying effect on volatility, their effect in the short run is minuscule. The reverse, however, holds for real shocks. The channels of manifestation shows that financial development dampens (magnifies) the effect of real shocks (monetary shocks) on the components of volatility with the dampening effects consistently larger only in the short run. Strengthening financial sector supervision and cross-border oversight may be very crucial in examining the right levels of finance and price stability necessary to falter economic fluctuations.

Does Exchange Rate Volatility Affect Korea's Seaborne Import Volume?

Directory of Open Access Journals (Sweden)

Chang Beom Kim

2017-03-01

Full Text Available This study used monthly data from 2000 to 2015 to analyze the effects of USD/KRW exchange rate volatility on seaborne import volume in Korea. The results of an autoregressive distributed lag (ARDL analysis indicate that USD/KRW exchange rate volatility has a statistically significant negative influence on Korea's seaborne import volume. Moreover, the results of a vector error correction model (VECM analysis found that the USD/KRW exchange rate volatility exhibited short-term unidirectional causality on import volume and real income, and confirmed bidirectional causality between the real effective exchange rate and exchange rate volatility.

A supply and demand based volatility model for energy prices

International Nuclear Information System (INIS)

Kanamura, Takashi

2009-01-01

This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices. (author)

Exchange Rate Volatility and Investment: A Panel Data Cointegration Approach

Directory of Open Access Journals (Sweden)

Ibrahima Amadou DIALLO

2015-05-01

Full Text Available This paper examines the link between real exchange rate volatility and domestic investment by using panel data cointegration techniques. We study the empirical connection between real effective exchange rate volatility and investment for 51 developing countries (23 low-income and 28 middle-income countries. The theoretical relationship between investment and real exchange rate volatility predicts that the effects of exchange rate uncertainty on profits are ambiguous. The empirical results illustrate that real effective exchange rate volatility has a strong negative impact on investment. This outcome is robust in low income and middle income countries, and by using an alternative measurement of exchange rate volatility.

A supply and demand based volatility model for energy prices

Energy Technology Data Exchange (ETDEWEB)

Kanamura, Takashi [J-POWER, 15-1, Ginza 6-Chome, Chuo-ku, Tokyo 104-8165 (Japan)

2009-09-15

This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices. (author)

Modeling returns volatility: Realized GARCH incorporating realized risk measure

Science.gov (United States)

Jiang, Wei; Ruan, Qingsong; Li, Jianfeng; Li, Ye

2018-06-01

This study applies realized GARCH models by introducing several risk measures of intraday returns into the measurement equation, to model the daily volatility of E-mini S&P 500 index futures returns. Besides using the conventional realized measures, realized volatility and realized kernel as our benchmarks, we also use generalized realized risk measures, realized absolute deviation, and two realized tail risk measures, realized value-at-risk and realized expected shortfall. The empirical results show that realized GARCH models using the generalized realized risk measures provide better volatility estimation for the in-sample and substantial improvement in volatility forecasting for the out-of-sample. In particular, the realized expected shortfall performs best for all of the alternative realized measures. Our empirical results reveal that future volatility may be more attributable to present losses (risk measures). The results are robust to different sample estimation windows.

Extension of a dynamic headspace multi-volatile method to milliliter injection volumes with full sample evaporation: Application to green tea.

Science.gov (United States)

Ochiai, Nobuo; Sasamoto, Kikuo; Tsunokawa, Jun; Hoffmann, Andreas; Okanoya, Kazunori; MacNamara, Kevin

2015-11-20

An extension of multi-volatile method (MVM) technology using the combination of a standard dynamic headspace (DHS) configuration, and a modified DHS configuration incorporating an additional vacuum module, was developed for milliliter injection volume of aqueous sample with full sample evaporation. A prior step involved investigation of water management by weighing of the water residue in the adsorbent trap. The extended MVM for 1 mL aqueous sample consists of five different DHS method parameter sets including choice of the replaceable adsorbent trap. An initial two DHS sampling sets at 25°C with the standard DHS configuration using a carbon-based adsorbent trap target very volatile solutes with high vapor pressure (>10 kPa) and volatile solutes with moderate vapor pressure (1-10 kPa). Subsequent three DHS sampling sets at 80°C with the modified DHS configuration using a Tenax TA trap target solutes with low vapor pressure (88%) for 17 test aroma compounds and moderate recoveries (44-71%) for 4 test compounds. The method showed good linearity (r(2)>0.9913) and high sensitivity (limit of detection: 0.1-0.5 ng mL(-1)) even with MS scan mode. The improved sensitivity of the method was demonstrated with analysis of a wide variety of aroma compounds in brewed green tea. Compared to the original 100 μL MVM procedure, this extension to 1 mL MVM allowed detection of nearly twice the number of aroma compounds, including 18 potent aroma compounds from top-note to base-note (e.g. 2,3-butanedione, coumarin, furaneol, guaiacol, cis-3-hexenol, linalool, maltol, methional, 3-methyl butanal, 2,3,5-trimethyl pyrazine, and vanillin). Sensitivity for 23 compounds improved by a factor of 3.4-15 under 1 mL MVM conditions. Copyright © 2015 Elsevier B.V. All rights reserved.

Investor attention and FX market volatility

OpenAIRE

Goddard, John; Kita, Arben; Wang, Qingwei

2015-01-01

We study the relationship between investors’ active attention, measured by a Google search volume index (SVI), and the dynamics of currency prices. Investor attention is correlated with the trading activities of large FX market participants. Investor attention comoves with comtemporaneous FX market volatility and predicts subsequent FX market volatility, after controlling for macroeconomic fundamentals. In addition, investor attention is related to the currency risk premium. Our results sugge...

Decomposing European bond and equity volatility

OpenAIRE

Christiansen, Charlotte

2004-01-01

The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatilities are analyzed simultaneously. A new model belonging to the "volatilityspillover" family is suggested: The conditional variance of e.g. the unexpected German stock return is divided into separate effects from the contemporaneous idiosyncratic variance of US bonds, US stocks, European bonds, European stocks, German...

Surface microlayer enrichment of volatile organic compounds and semi-volatile organic compounds in drinking water source.

Science.gov (United States)

Huang, Zhi; Zhou, Wen; Yu, Ya-juan; Zhang, Ai-qian; Han, Shuo-kui; Wang, Lian-sheng

2004-01-01

Enrichment of volatile organic compounds(VOC) and semi-volatility organic compounds(SVOC) in surface microlayer(SM) of three drinking water sources were studied. The enrichment factor(EFs) were 0.67 to 13.37 and 0.16 to 136, respectively. The results showed some VOC and most SVOC could enrich in SM. Some EFs of SVOC was quite high. Suspension and temperature could affect EFs of SVOC, slim wind and water movement do not destroy enrichment of organic in SM.

Beta Risk and Regime Shift in Market Volatility

OpenAIRE

Don U.A. Galagedera; Roland G. Shami

2004-01-01

In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the different market volatility regimes. We test the significance of the premium of the beta risk associated with the different market regimes and find evidence of a relationship between security return an...

Volatility Spillovers Across User-Generated Content and Stock Market Performance

NARCIS (Netherlands)

M. van Dieijen (Myrthe); A. Borah (Abhishek); G.J. Tellis (Gerard); Ph.H.B.F. Franses (Philip Hans)

2016-01-01

textabstractVolatility is an important metric of financial performance, indicating uncertainty or risk. So, predicting and managing volatility is of interest to both company managers and investors. This study investigates whether volatility in user-generated content (UGC) can spill over to

HISTORICAL AND IMPLIED VOLATILITY: AN INVESTIGATION INTO NSE NIFTY FUTURES AND OPTIONS

OpenAIRE

N R Parasuraman; P.Janaki Ramudu

2011-01-01

The broad objective of the paper is to have an understanding of the movement of volatility over a fair period in respect of the market portfolio. Also, it enables an understanding on how divergent the implied volatility has been from this estimate. It uses Volatility Cone, Volatility Smile and Volatility Surface as the parameters. The study takes different rolling periods percentiles of volatility. Hoadley Options Calculator is used for calculation and analysis purpose. The study empirically...

Long-term memory and volatility clustering in high-frequency price changes

Science.gov (United States)

oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun

2008-02-01

We studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return series, while a strong long-term memory property was found in the volatility time series. The possible causes of the long-term memory property were investigated using the return data filtered by the AR(1) model, reflecting the short-term memory property, the GARCH(1,1) model, reflecting the volatility clustering property, and the FIGARCH model, reflecting the long-term memory property of the volatility time series. The memory effect in the AR(1) filtered return and volatility time series remained unchanged, while the long-term memory property diminished significantly in the volatility series of the GARCH(1,1) filtered data. Notably, there is no long-term memory property, when we eliminate the long-term memory property of volatility by the FIGARCH model. For all data used, although the Hurst exponents of the volatility time series changed considerably over time, those of the time series with the volatility clustering effect removed diminish significantly. Our results imply that the long-term memory property of the volatility time series can be attributed to the volatility clustering observed in the financial time series.

29 CFR 1910.1002 - Coal tar pitch volatiles; interpretation of term.

Science.gov (United States)

2010-07-01

... 29 Labor 6 2010-07-01 2010-07-01 false Coal tar pitch volatiles; interpretation of term. 1910.1002... Hazardous Substances § 1910.1002 Coal tar pitch volatiles; interpretation of term. As used in § 1910.1000 (Table Z-1), coal tar pitch volatiles include the fused polycyclic hydrocarbons which volatilize from the...

Consequences for option pricing of a long memory in volatility

OpenAIRE

Taylor, S J

2001-01-01

The economic consequences of a long memory assumption about volatility are documented, by comparing implied volatilities for option prices obtained from short and long memory volatility processes. Numerical results are given for options on the S&P 100 index from 1984 to 1998, with lives up to two years. The long memory assumption is found to have a significant impact upon the term structure of implied volatilities and a relatively minor impact upon smile effects. These conclusions are importa...

THE EFFECT OF EXCHANGE RATE VOLATILITY ON WHEAT TRADE WORLDWIDE

OpenAIRE

Sun, Changyou; Kim, Mina; Koo, Won W.; Cho, Guedae; Jin, Hyun Joung

2002-01-01

A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports worldwide. Special attention was given to the econometric properties of the gravity model within panel framework. Short and long-term measures of exchange rate volatility were constructed and compared. Both measures of exchange rate volatility have exhibited a negative effect on world wheat trade and the long-term effect was even larger. This result implies that exchange rate volatil...

Volatility of organic aerosol and its components in the Megacity of Paris

Science.gov (United States)

Paciga, A.; Karnezi, E.; Kostenidou, E.; Hildebrandt, L.; Psichoudaki, M.; Engelhart, G. J.; Lee, B.-H.; Crippa, M.; Prévôt, A. S. H.; Baltensperger, U.; Pandis, S. N.

2015-08-01

Using a mass transfer model and the volatility basis set, we estimate the volatility distribution for the organic aerosol (OA) components during summer and winter in Paris, France as part of the collaborative project MEGAPOLI. The concentrations of the OA components as a function of temperature were measured combining data from a thermodenuder and an aerosol mass spectrometer (AMS) with Positive Matrix Factorization (PMF) analysis. The hydrocarbon-like organic aerosol (HOA) had similar volatility distributions for the summer and winter campaigns with half of the material in the saturation concentration bin of 10 μg m-3 and another 35-40 % consisting of low and extremely low volatility organic compounds (LVOCs and ELVOCs, respectively). The winter cooking OA (COA) was more than an order of magnitude less volatile than the summer COA. The low volatility oxygenated OA (LV-OOA) factor detected in the summer had the lowest volatility of all the derived factors and consisted almost exclusively of ELVOCs. The volatility for the semi-volatile oxygenated OA (SV-OOA) was significantly higher than that of the LV-OOA, containing both semi-volatile organic components (SVOCs) and LVOCs. The oxygenated OA (OOA) factor in winter consisted of SVOCs (45 %), LVOCs (25 %) and ELVOCs (30 %). The volatility of marine OA (MOA) was higher than that of the other factors containing around 60 % SVOCs. The biomass burning OA (BBOA) factor contained components with a wide range of volatilities with significant contributions from both SVOCs (50 %) and LVOCs (30 %). Finally, combining the O : C ratio and volatility distributions of the various factors, we incorporated our results into the two-dimensional volatility basis set (2D-VBS). Our results show that the factors cover a broad spectrum of volatilities with no direct link between the average volatility and average O : C of the OA components. Agreement between our findings and previous publications is encouraging for our understanding of the

Human skin volatiles: a review.

Science.gov (United States)

Dormont, Laurent; Bessière, Jean-Marie; Cohuet, Anna

2013-05-01

Odors emitted by human skin are of great interest to biologists in many fields; applications range from forensic studies to diagnostic tools, the design of perfumes and deodorants, and the ecology of blood-sucking insect vectors of human disease. Numerous studies have investigated the chemical composition of skin odors, and various sampling methods have been used for this purpose. The literature shows that the chemical profile of skin volatiles varies greatly among studies, and the use of different sampling procedures is probably responsible for some of these variations. To our knowledge, this is the first review focused on human skin volatile compounds. We detail the different sampling techniques, each with its own set of advantages and disadvantages, which have been used for the collection of skin odors from different parts of the human body. We present the main skin volatile compounds found in these studies, with particular emphasis on the most frequently studied body regions, axillae, hands, and feet. We propose future directions for promising experimental studies on odors from human skin, particularly in relation to the chemical ecology of blood-sucking insects.

Regime-switching stochastic volatility. Evidence from the crude oil market

International Nuclear Information System (INIS)

Vo, Minh T.

2009-01-01

This paper incorporates regime-switching into the stochastic volatility (SV) framework in an attempt to explain the behavior of crude oil prices in order to forecast their volatility. More specifically, it models the volatility of oil return as a stochastic volatility process whose mean is subject to shifts in regime. The shift is governed by a two-state first-order Markov process. The Bayesian Markov Chain Monte Carlo method is used to estimate the models. The main findings are: first, there is clear evidence of regime-switching in the oil market. Ignoring it will lead to a false impression that the volatility is highly persistent and therefore highly predictable. Second, incorporating regime-switching into the SV framework significantly enhances the forecasting power of the SV model. Third, the regime-switching stochastic volatility model does a good job in capturing major events affecting the oil market. (author)

Volatility Determination in an Ambit Process Setting

DEFF Research Database (Denmark)

Barndorff-Nielsen, Ole; Graversen, Svend-Erik

The probability limit behaviour of normalised quadratic variation is studied for a simple tempo-spatial ambit process, with particular regard to the question of volatility memorylessness.......The probability limit behaviour of normalised quadratic variation is studied for a simple tempo-spatial ambit process, with particular regard to the question of volatility memorylessness....

Volatility of ruthenium during vitrification operations on fission products. part 1. nitric solutions distillation concentrates calcination. part 2. fixation on a steel tube. decomposition of the peroxide; Volatilite du ruthenium au cours des operations de vitrification des produits de fission. 1. partie distillation des solutions nitriques calcination des concentrats 2. partie fixation sur un tube d'acier decomposition du peroxyde

Energy Technology Data Exchange (ETDEWEB)

Ortins de Bettencourt, A.; Jouan, A. [Commissariat a l' Energie Atomique, Fontenay-aux-Roses (France). Centre d' Etudes Nucleaires

1969-07-01

During vitrification of fission product solutions, a high percentage of the ruthenium initially present in these solutions in the form of nitrosyl-ruthenium nitrates is volatilized with the production of the peroxide which itself is decomposed to ruthenium dioxide. The aim of this work has been to study the volatility of the ruthenium during the vitrification processes. During the distillation of the nitric solutions, we have studied in particular the influence on the volatility of the temperature , of the chemical form in which the ruthenium is introduced, of the bubbling of a gas through the solution, of the nitric concentration and of the nitrate concentration. During the calcination, we have observed the influence of the temperature, of the time, of the flow rate and of the nature of the carrier gas, as well as of the action of the ruthenium bi-oxide and the iron oxide on the volatility of the ruthenium. Part 2. This report deals with the study of the thermal decomposition of ruthenium peroxide, RuO{sub 4}, and its deposition on steel tubing. After a brief bibliographic review of the various properties of this substance, a study is made, in the first part, of its deposition on a steel tube. In order to do this, we pass a gas current containing RuO{sub 4} marked with {sup 106}Ru through a stainless steel tube subjected to a temperature gradient which decreases in the direction of the gas flow. The temperature at which RuO{sub 4} is deposited or is fixed on the tube is determined and the influence of the flow rate on this deposit is studied. In the second part, an attempt has been made to study by a static method the kinetics of the decomposition reaction of ruthenium peroxide to give the dioxide: RuO{sub 4} {yields} RuO{sub 2} + O{sub 2}. To do this, we have tried to introduce gaseous RuO{sub 4} into a container placed in an electric oven, and to follow the reaction by {gamma} counting. (author) [French] Au cours de la vitrification des solutions de produits de

Volatility of ruthenium during vitrification operations on fission products. part 1. nitric solutions distillation concentrates calcination. part 2. fixation on a steel tube. decomposition of the peroxide; Volatilite du ruthenium au cours des operations de vitrification des produits de fission. 1. partie distillation des solutions nitriques calcination des concentrats 2. partie fixation sur un tube d'acier decomposition du peroxyde

Energy Technology Data Exchange (ETDEWEB)

Ortins de Bettencourt, A; Jouan, A [Commissariat a l' Energie Atomique, Fontenay-aux-Roses (France). Centre d' Etudes Nucleaires

1969-07-01

During vitrification of fission product solutions, a high percentage of the ruthenium initially present in these solutions in the form of nitrosyl-ruthenium nitrates is volatilized with the production of the peroxide which itself is decomposed to ruthenium dioxide. The aim of this work has been to study the volatility of the ruthenium during the vitrification processes. During the distillation of the nitric solutions, we have studied in particular the influence on the volatility of the temperature , of the chemical form in which the ruthenium is introduced, of the bubbling of a gas through the solution, of the nitric concentration and of the nitrate concentration. During the calcination, we have observed the influence of the temperature, of the time, of the flow rate and of the nature of the carrier gas, as well as of the action of the ruthenium bi-oxide and the iron oxide on the volatility of the ruthenium. Part 2. This report deals with the study of the thermal decomposition of ruthenium peroxide, RuO{sub 4}, and its deposition on steel tubing. After a brief bibliographic review of the various properties of this substance, a study is made, in the first part, of its deposition on a steel tube. In order to do this, we pass a gas current containing RuO{sub 4} marked with {sup 106}Ru through a stainless steel tube subjected to a temperature gradient which decreases in the direction of the gas flow. The temperature at which RuO{sub 4} is deposited or is fixed on the tube is determined and the influence of the flow rate on this deposit is studied. In the second part, an attempt has been made to study by a static method the kinetics of the decomposition reaction of ruthenium peroxide to give the dioxide: RuO{sub 4} {yields} RuO{sub 2} + O{sub 2}. To do this, we have tried to introduce gaseous RuO{sub 4} into a container placed in an electric oven, and to follow the reaction by {gamma} counting. (author) [French] Au cours de la vitrification des solutions de produits de

2-22 Study of Oxidation/reduction Volatilization Technology

Institute of Scientific and Technical Information of China (English)

Tan; Cunmin[1; Cao; Shiwei[1; Tian; Yuan[1; Qin; Zhi[1

2015-01-01

As an advanced dry head-end processing of spent fuel reprocessing, the oxidation-reduction volatilization technology will use for pulverizing uranium oxide ceramic pellets, decladding, and removal of most of volatile and semi-volatile fission elements, 3H, 14C, Kr, Xe, I, Cs, Ru and Tc, from fuel prior to main treatment process. The AIROX and ORIOX process, including circulation of oxidation in oxygen atmosphere and reduction in hydrogen atmosphere, researched on international at present, is considered to be the first choice for head-end processing.

Extracting volatility signal using maximum a posteriori estimation

Science.gov (United States)

Neto, David

2016-11-01

This paper outlines a methodology to estimate a denoised volatility signal for foreign exchange rates using a hidden Markov model (HMM). For this purpose a maximum a posteriori (MAP) estimation is performed. A double exponential prior is used for the state variable (the log-volatility) in order to allow sharp jumps in realizations and then log-returns marginal distributions with heavy tails. We consider two routes to choose the regularization and we compare our MAP estimate to realized volatility measure for three exchange rates.

Evaluation of γ-radiation on green tea odor volatiles

International Nuclear Information System (INIS)

Fanaro, G.B.; Duarte, R.C.; Araujo, M.M.; Purgatto, E.; Villavicencio, A.L.C.H.

2011-01-01

The aim of this study was to evaluate the gamma radiation effects on green tea odor volatiles in green tea at doses of 0, 5, 10, 15 and 20 kGy. The volatile organic compounds were extracted by hydrodistillation and analyzed by GC/MS. The green tea had a large influence on radiation effects, increasing the identified volatiles in relation to control samples. The dose of 10 kGy was responsible to form the majority of new odor compounds following by 5 and 20 kGy. However, the dose of 5 kGy was the dose that degraded the majority of volatiles in non-irradiated samples, following by 20 kGy. The dose of 15 kGy showed has no effect on odor volatiles. The gamma radiation, at dose up to 20 kGy, showed statistically no difference between irradiated and non irradiated green tea on odors compounds.

Volatile Composition of Smoked and Non-Smoked Iranian Rice

Directory of Open Access Journals (Sweden)

Leontina Lipan

2016-11-01

Full Text Available In this work, the volatile profiles of smoked and non-smoked Iranian rice were identified, and their relative abundance was calculated and compared. Headspace solid-phase microextraction together with gas chromatography-mass spectrometry (SPME-GC-MS were used to extract and identify the volatile compounds. The main groups of volatiles in Iranian rice were aldehydes, ketones, phenol derivatives, furans, linear hydrocarbons, esters and terpenes. The chemical family aldehydes was the most abundant one in the profile of non-smoked rice, while phenol derivatives and furans predominated in smoked samples. This study is the first one reporting comparative data of volatile compounds between smoked and non-smoked Iranian rice.

Idiosyncratic Volatility Puzzle

DEFF Research Database (Denmark)

Aslanidis, Nektarios; Christiansen, Charlotte; Lambertides, Neophytos

from a large pool of macroeconomic and Önancial variables. Cleaning for macro-Önance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the e§ects from macro-Önance factors are economically strong...

Isolation of volatile compounds of Aloe excelsa (Berger ...

African Journals Online (AJOL)

PROMOTING ACCESS TO AFRICAN RESEARCH ... Industrial and pharmacological applications of volatile and non-volatile compounds isolated ... Three commercially important compounds, namely: phenylacetonitrile, carvone and limonene were identified using gas ... EMAIL FREE FULL TEXT EMAIL FREE FULL TEXT

Forecasting volatility in the presence of Leverage Effect

OpenAIRE

Jean-Christophe Domenge; Rémi Rhodes; Vincent Vargas

2010-01-01

We define a simple and tractable method for adding the Leverage effect in general volatility predictions. As an application, we compare volatility predictions with and without Leverage on the SP500 Index during the period 2002-2010.

Electronic trading system and returns volatility in the oil futures market

International Nuclear Information System (INIS)

Liao, Huei-Chu; Lee, Yi-Huey; Suen, Yu-Bo

2008-01-01

This paper uses daily Brent crude prices to investigate the employment of electronic trading on the returns conditional volatility in the oil futures market. After a suitable GARCH model is established, the conditional volatility series are found. The Bai and Perron model is then used to find two significant structural breaks for these conditional volatility series around two implementation dates of electronic trading. This result indicates that the change in the trading system has significant impacts on the returns volatility since our estimated second break date is very close to the all-electronic trade implementation date. Moreover, the conditional volatility in the all-electronic trading period is found to be more dominated by the temporal persistence rather than the volatility clustering effect. All these evidence can shed some light for explaining the high relationship between more volatile world oil price and the more popular electronic trade. (author)

A multiscale extension of the Margrabe formula under stochastic volatility

International Nuclear Information System (INIS)

Kim, Jeong-Hoon; Park, Chang-Rae

2017-01-01

Highlights: • Fast-mean-reverting stochastic volatility model is chosen to extend the classical Margrabe formula. • The resultant formula is explicitly given by the greeks of Margrabe price itself. • We show how the stochastic volatility corrects the Margrabe price behavior. - Abstract: The pricing of financial derivatives based on stochastic volatility models has been a popular subject in computational finance. Although exact or approximate closed form formulas of the prices of many options under stochastic volatility have been obtained so that the option prices can be easily computed, such formulas for exchange options leave much to be desired. In this paper, we consider two different risky assets with two different scales of mean-reversion rate of volatility and use asymptotic analysis to extend the classical Margrabe formula, which corresponds to a geometric Brownian motion model, and obtain a pricing formula under a stochastic volatility. The resultant formula can be computed easily, simply by taking derivatives of the Margrabe price itself. Based on the formula, we show how the stochastic volatility corrects the Margrabe price behavior depending on the moneyness and the correlation coefficient between the two asset prices.

Volatile element loss during planetary magma ocean phases

Science.gov (United States)

Dhaliwal, Jasmeet K.; Day, James M. D.; Moynier, Frédéric

2018-01-01

Moderately volatile elements (MVE) are key tracers of volatile depletion in planetary bodies. Zinc is an especially useful MVE because of its generally elevated abundances in planetary basalts, relative to other MVE, and limited evidence for mass-dependent isotopic fractionation under high-temperature igneous processes. Compared with terrestrial basalts, which have δ66Zn values (per mille deviation of the 66Zn/64Zn ratio from the JMC-Lyon standard) similar to some chondrite meteorites (∼+0.3‰), lunar mare basalts yield a mean δ66Zn value of +1.4 ± 0.5‰ (2 st. dev.). Furthermore, mare basalts have average Zn concentrations ∼50 times lower than in typical terrestrial basaltic rocks. Late-stage lunar magmatic products, including ferroan anorthosite, Mg- and Alkali-suite rocks have even higher δ66Zn values (+3 to +6‰). Differences in Zn abundance and isotopic compositions between lunar and terrestrial rocks have previously been interpreted to reflect evaporative loss of Zn, either during the Earth-Moon forming Giant Impact, or in a lunar magma ocean (LMO) phase. To explore the mechanisms and processes under which volatile element loss may have occurred during a LMO phase, we developed models of Zn isotopic fractionation that are generally applicable to planetary magma oceans. Our objective was to identify conditions that would yield a δ66Zn signature of ∼+1.4‰ within the lunar mantle. For the sake of simplicity, we neglect possible Zn isotopic fractionation during the Giant Impact, and assumed a starting composition equal to the composition of the present-day terrestrial mantle, assuming both the Earth and Moon had zinc 'consanguinity' following their formation. We developed two models: the first simulates evaporative fractionation of Zn only prior to LMO mixing and crystallization; the second simulates continued evaporative fractionation of Zn that persists until ∼75% LMO crystallization. The first model yields a relatively homogenous bulk solid

Volatiles from solids

Energy Technology Data Exchange (ETDEWEB)

Loughrey, C T

1939-08-24

To remove volatiles from solids, such as oil shale, gases, and/or vapours are passed through a mass of the materials, the vapours and gases separated, and the vapours condensed. The volatile-containing solid materials are fed to a retort, and a shaft is driven to rotate an impeller so as to displace the liquid and create a vortex tube, which draws in gas from the atmosphere through an intake, twyer, interstices in the material in the retort, a conduit, chamber, tubes, another chamber and cylinder. This gas is carried outwardly and upwardly by the vortices in the liquid and is carried to discharge through three conduits. The vapours entrained by the gas are part condensed in the liquid and the remainder directed to a condenser. Steam may be delivered to the twyer through a nozzle of a pipe, with or without air, and combustible hydrocarbon fuel may be fed through the burner nozzle or solid fuel may be directed from feeder and combusted in the twyer.

Direct introduction of volatile carbon compounds into the spray chamber of an inductively coupled plasma mass spectrometer: Sensitivity enhancement for selenium

International Nuclear Information System (INIS)

Kovacevic, Miroslav; Goessler, Walter

2005-01-01

The effect of signal enhancement of elements with ionization potentials in the range from 9 to 11 eV by carbon-containing compounds is a well-known phenomenon in inductively coupled plasma mass spectrometry (ICPMS). It has traditionally been exploited through the addition of organic solvents to the sample matrix or to the mobile phase to improve sensitivity. In the present work, aqueous solutions of volatile carbon compounds (acetone, methanol and acetic acid) were directly introduced into the thermostatted spray chamber rather than being added to the sample matrix. It is presumed that no aerosol is produced from these solutions and only vapors of organic compounds are swept into the plasma together with the sample aerosol. When a 0.40 mol l -1 aqueous solution of acetone was introduced directly into the spray chamber, the signals for arsenic and selenium were enhanced by a factor of 4.2. The usefulness of this approach was demonstrated through the achievement of lower instrumental detection limits for selenium at m/z 82 (0.1 ng ml -1 ) compared to the system without direct introduction of volatile carbon compounds (0.5 ng ml -1 ). The method was successfully applied in the determination of traces of selenium in natural water, urine and bovine liver reference material

The impact of induced plant volatiles on lant-arthropod interactions

NARCIS (Netherlands)

Alba, J.M.; Bleeker, P.M.; Glas, J.J.; Schimmel, B.C.J.; van Wijk, M.; Sabelis, M.W.; Schuurink, R.C.; Kant, M.R.; Smagghe, G.; Diaz, I.

2012-01-01

Plants release volatile organic compounds from their vegetative tissues into their environment during most of their life cycle. The functions of these volatiles are diverse and not always known but some of these volatiles repel foraging herbivores while others, in turn, attract them and are feeding

A Proposed Solution for the Chicken-Egg Dilemma in Pricing Currency Options

Directory of Open Access Journals (Sweden)

Ariful Hoque

2013-06-01

Full Text Available The implied volatility (IV estimation process suffers from an obvious chicken-egg dilemma: obtaining an unbiased IV requires the options to be priced correctly and calculating an accurate option price (OP requires an unbiased IV. We address this critical issue in two steps. First, the Granger causality test is employed, whichconfirms the chicken-and-egg problem in the IV computing process. Secondly, the concept of “moneyness volatility (MV” is introduced as an alternative to IV. MV is modelled based on an option’s moneyness (OM during the life of the option’s contract. The F-test, Granger-Newbold test and Diebold-Mariano test results consistently show that MV outperforms IV in estimating the exchange rate volatility for pricing options. Further, these series of tests across six major currency options substantiate the validity as well as the reliability of the results. We posit that MV offers a unique solution for pricing currency options accurately.

Paired assessment of volatile anesthetic concentrations with synaptic actions recorded in vitro.

Directory of Open Access Journals (Sweden)

Stuart J McDougall

Full Text Available The volatile anesthetic isoflurane poses a number of experimental challenges in the laboratory. Due to its rapid evaporation, the open conditions of most in vitro electrophysiological recording systems make the determination of actual isoflurane concentrations a challenge. Since the absolute anesthetic concentration in solution is directly related to efficacy, concentration measurements are important to allow comparisons between laboratory and clinical studies. In this study we quantify the sources of isoflurane loss during experimentation and describe a method for the measurement of isoflurane concentrations using gas chromatography and mass spectrometry simultaneous to in vitro electrophysiological measurements. Serial samples of perfused bath solution allowed correlation of isoflurane concentrations with ongoing biological effects. Saturated physiological solutions contained 13.4 +/- 0.2 mM isoflurane and were diluted to desired "nominal" concentrations for experiments. The perfusion system established stable isoflurane concentrations within the bath by 2 minutes. However, bath isoflurane concentrations varied substantially and unpredictably between experiments. The magnitudes of such discrepancies in isoflurane concentrations spanned clinically important levels. Our studies suggest that, despite countermeasures, solution handling significantly impacted the isoflurane content in the tissue bath. The magnitude of these discrepancies appears to necessitate systematic direct measurement of bath isoflurane concentrations during most in vitro conditions.

Thermochromatography study of volatile polonium species in various gas atmospheres

CERN Document Server

Maugeri, Emilio Andrea; Eichler, Robert; Piguet,David; Mendonça, Tania Melo; Stora, Thierry; Schumann, Dorothea

2014-01-01

Phenomena related to the volatilization of polonium and its compounds are critical issues for the safety assessment of the innovative lead–bismuth cooled type of nuclear reactor or accelerator driven systems. The formation and volatilization of different species of polonium and their interaction with fused silica was studied by thermochromatography using carrier gases with varied redox potential. The obtained results show that under inert and reducing conditions in the absence of moisture, elemental polonium is formed. Polonium compounds more volatile than elemental polonium can be formed if traces of moisture are present in both inert and reducing carrier gas. The use of dried oxygen as carrier gas leads to the formation of polonium oxides, which are less volatile than elemental polonium. It was also found that the volatility of polonium oxides increases with increasing oxidation state. In the presence of moisture in an oxidizing carrier gas, species are formed that are more volatile than the oxides and le...

Option Valuation with Observable Volatility and Jump Dynamics

DEFF Research Database (Denmark)

Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae

Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...... for straightforward filtering and estimation of the model. Our model belongs to the affine class enabling us to derive the conditional characteristic function so that option values can be computed rapidly without simulation. When estimated on S&P500 index options and returns the new model performs well compared...

Volatilization of Po by microorganisms at laboratory culture experiments

International Nuclear Information System (INIS)

Momoshima, N.; Ishida, A.; Yoshinaga, C.; Fukuda, A.

2005-01-01

The previous experiments proved the volatility of polonium form culture medium in which microorganisms were propagated from seed of seawater, river water or pond water, therefore we did not know what kind of species are responsible to Po volatility. To search microorganisms, which concerned with Po emission we carried out culture experiments using known microorganisms. Three microorganisms were examined; Escherichia coli K-12, Bacillus subtilis and Chromobacterium violaceum. The microorganisms were pre-cultured in LB medium at 30 degree C and a small portion of the pre-cultured was transferred to a culture bottle in which LB medium and 208 Po tracer were contained. The culture was done at 30 degree C with shaking the culture bottle and air passed through a filter was introduced. The Po volatilized was transferred into the trap vials in which scintillator for liquid scintillation counting (LSC) was contained. The Po activity was measured by LSC. All of the microorganisms examined volatilized Po but their ability was quite different each other. Highest ability was observed on Chromobacterium violaceum and then Escherichia coli K-12 followed by Bacillus subtilis, the relative magnitude of the ability was 10 2 , 10, 1, respectively. Chromobacterium violaceum and Escherichia coli K-12 showed high volatility for the first 24 h but Escherichia coli K-12 showed a decrease thereafter. However high volatility was continued on Chromobacterium violaceum during the culture. The low culture temperature suppressed Po volatility, supporting biologically mediated Po emission from the culture.

Instabilities in large economies: aggregate volatility without idiosyncratic shocks

Science.gov (United States)

Bonart, Julius; Bouchaud, Jean-Philippe; Landier, Augustin; Thesmar, David

2014-10-01

We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is still formally a stationary solution of the dynamics, we show that this equilibrium becomes linearly unstable in a whole region of parameter space. When agents attempt to reach the optimal production target too quickly, coordination breaks down and the dynamics becomes chaotic. In the unstable, ‘turbulent’ phase, the aggregate volatility of the total output remains substantial even when the amplitude of idiosyncratic shocks goes to zero or when the size of the economy becomes large. In other words, crises become endogenous. This suggests an interesting resolution of the ‘small shocks, large business cycles’ puzzle.

Instabilities in large economies: aggregate volatility without idiosyncratic shocks

International Nuclear Information System (INIS)

Bonart, Julius; Bouchaud, Jean-Philippe; Landier, Augustin; Thesmar, David

2014-01-01

We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is still formally a stationary solution of the dynamics, we show that this equilibrium becomes linearly unstable in a whole region of parameter space. When agents attempt to reach the optimal production target too quickly, coordination breaks down and the dynamics becomes chaotic. In the unstable, ‘turbulent’ phase, the aggregate volatility of the total output remains substantial even when the amplitude of idiosyncratic shocks goes to zero or when the size of the economy becomes large. In other words, crises become endogenous. This suggests an interesting resolution of the ‘small shocks, large business cycles’ puzzle. (paper)

Release of volatile and semi-volatile toxicants during house fires.

Science.gov (United States)

Hewitt, Fiona; Christou, Antonis; Dickens, Kathryn; Walker, Richard; Stec, Anna A

2017-04-01

Qualitative results are presented from analysis of volatile and semi-volatile organic compounds (VOCs/SVOCs) obtained through sampling of gaseous effluent and condensed particulates during a series of experimental house fires conducted in a real house. Particular emphasis is given to the 16 polycyclic aromatic hydrocarbons (PAHs) listed by the Environmental Protection Agency due to their potentially carcinogenic effects. The initial fuel packages were either cooking oil or a single sofa; these were burned both alone, and in furnished surroundings. Experiments were performed at different ventilation conditions. Qualitative Gas Chromatography-Mass Spectrometry (GC-MS) analysis found VOC/SVOC releases in the developing stages of the fires, and benzo(a)pyrene - the most carcinogenic PAH - was found in at least one sampling interval in the majority of fires. A number of phosphorus fire retardants were detected, in both the gaseous effluent and particulates, from fires where the initial fuel source was a sofa. Their release during the fire is significant as they pose toxicological concerns separate from those presented by the PAHs. Copyright © 2016. Published by Elsevier Ltd.

Study on volatilization mechanism of ruthenium tetroxide from nitrosyl ruthenium nitrate by using mass spectrometer

Energy Technology Data Exchange (ETDEWEB)

Kato, Tetsuya, E-mail: tkato@criepi.denken.or.jp [Nuclear Technology Research Laboratory, Central Research Institute of Electric Power Industry, 2-11-1 Iwado-kita, Komae-shi, Tokyo 201-8511 (Japan); Usami, Tsuyoshi; Tsukada, Takeshi [Nuclear Technology Research Laboratory, Central Research Institute of Electric Power Industry, 2-11-1 Iwado-kita, Komae-shi, Tokyo 201-8511 (Japan); Shibata, Yuki; Kodama, Takashi [Safety Technology Division, Japan Nuclear Fuel Ltd., Obuchi, Rokkasho-mura, Aomori 039-3212 (Japan)

2016-10-15

In a cooling malfunction accident of a high-level liquid waste (HLLW) tank, behavior of ruthenium (Ru) attracts much attention, since Ru could be oxidized to a volatile chemical form in the boiling and drying of HLLW, and part of radioactive Ru can potentially be released to the environment. In this study, nitrosyl Ru nitrate (Ru(NO)(NO{sub 3}){sub 3}) dissolved in nitric acid (HNO{sub 3}), which is commonly contained in a simulated HLLW, was dried and heated up to 723 K, and the evolved gas was introduced into a mass spectrometer. The well-known volatile species, ruthenium tetroxide (RuO{sub 4}) was detected in a temperature range between 390 K and 500 K with the peak top around 440 K. Various gases such as HNO{sub 3}, nitrogen dioxide (NO{sub 2}), nitrogen monoxide (NO) also evolved due to evaporation of the nitric acid and decomposition of the nitrate ions. The ion current of RuO{sub 4} seems to increase with the increasing decomposition of nitrate, while the evaporation of HNO{sub 3} decreases. More volatilization of RuO{sub 4} was observed from the HNO{sub 3} solution containing not only Ru(NO)(NO{sub 3}){sub 3} but also cerium nitrate (Ce(NO{sub 3}){sub 3}·6H{sub 2}O) which was added for extra supply of nitrate ion, compared with that from the HNO{sub 3} solution containing only Ru(NO)(NO{sub 3}){sub 3}. These experimental results suggest that Ru could be oxidized to form RuO{sub 4} by the nitrate ion as well as HNO{sub 3}. - Graphical abstract: Ion current intensities of the mass numbers corresponding to O, NO, O{sub 2}, NO{sub 2}, HNO{sub 3}, and RuO{sub 4} obtained in mass spectrometry for dried nitric acid solution containing Ru(NO)(NO{sub 3}){sub 3}. Heating rate: 5 K min{sup −1}, sample solution weight: 6.61 mg, contained Ru weight: 0.56 mg. The ion current of RuO{sub 4} increases with the increasing decomposition of nitrate, while the evaporation of HNO{sub 3} decreases. - Highlights: • Nitrosyl Ru nitrate (Ru(NO)(NO{sub 3}){sub 3}) dissolved in

Volatilities, Traded Volumes, and Price Increments in Derivative Securities

Science.gov (United States)

Kim, Kyungsik; Lim, Gyuchang; Kim, Soo Yong; Scalas, Enrico

2007-03-01

We apply the detrended fluctuation analysis (DFA) to the statistics of the Korean treasury bond (KTB) futures from which the logarithmic increments, volatilities, and traded volumes are estimated over a specific time lag. For our case, the logarithmic increment of futures prices has no long-memory property, while the volatility and the traded volume exhibit the existence of long-memory property. To analyze and calculate whether the volatility clustering is due to the inherent higher-order correlation not detected by applying directly the DFA to logarithmic increments of the KTB futures, it is of importance to shuffle the original tick data of futures prices and to generate the geometric Brownian random walk with the same mean and standard deviation. It is really shown from comparing the three tick data that the higher-order correlation inherent in logarithmic increments makes the volatility clustering. Particularly, the result of the DFA on volatilities and traded volumes may be supported the hypothesis of price changes.

Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?

OpenAIRE

Lakshmi Balasubramanyan

2005-01-01

Financial markets and their respective assets are so intertwined; analyzing any single market in isolation ignores important information. We investigate whether time varying volatility comovement and spillover impact the true variance-covariance matrix under a time-varying correlation set up. Statistically significant volatility spillover and comovement between US, UK and Japan is found. To demonstrate the importance of modelling volatility comovement and spillover, we look at a simple portfo...

A Range-Based Multivariate Model for Exchange Rate Volatility

OpenAIRE

Tims, Ben; Mahieu, Ronald

2003-01-01

textabstractIn this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model divides the log range of each exchange rate into two independent latent factors, which are interpreted as the underlying currency specific components. Due to the normality of logarithmic volatilities the model can be estimated conveniently with standard Kalman filter techniques. Our resu...

Volatile elements - water, carbon, nitrogen, noble gases - on Earth

Science.gov (United States)

Marty, B.

2017-12-01

Understanding the origin and evolution of life-bearing volatile elements (water, carbon, nitrogen) on Earth is a fruitful and debated area of research. In his pioneering work, W.W. Rubey inferred that the terrestrial atmosphere and the oceans formed from degassing of the mantle through geological periods of time. Early works on noble gas isotopes were consistent with this view and proposed a catastrophic event of mantle degassing early in Earth's history. We now have evidence, mainly from noble gas isotopes, that several cosmochemical sources contributed water and other volatiles at different stages of Earth's accretion. Potential contributors include the protosolar nebula gas that equilibrated with magma oceans, inner solar system bodies now represented by chondrites, and comets. Stable isotope ratios suggest volatiles where primarily sourced by planetary bodies from the inner solar system. However, recent measurements by the European Space Agency Rosetta probe on the coma of Comet 67P/Churyumov-Gerasimenko permit to set quantitative constraints on the cometary contribution to the surface of our planet. The surface and mantle reservoirs volatile elements exchanged volatile elements through time, with rates that are still uncertain. Some mantle regions remained isolated from whole mantle convection within the first tens to hundreds million years after start of solar system formation. These regions, now sampled by some mantle plumes (e.g., Iceland, Eifel) preserved their volatile load, as indicated by extinct and extant radioactivity systems. The abundance of volatile elements in the mantle is still not well known. Different approaches, such as high pressure experimental petrology, noble gas geochemistry, modelling, resulted in somewhat contrasted estimates, varying over one order of magnitude for water. Comparative planetology, that is, the study of volatiles on the Moon, Venus, Mars, Vesta, will shed light on the sources and strengths of these elements in the

The Accessory Olfactory System Facilitates the Recovery of the Attraction to Familiar Volatile Female Odors in Male Mice.

Science.gov (United States)

Muroi, Yoshikage; Nishimura, Masakazu; Ishii, Toshiaki

2017-10-31

Odors in female mice induce sexual arousal in male mice. Repeated exposure to female odors attenuates male attraction, which recovers when the odors are removed. The neuronal mechanisms for the recovery of male attraction have not been clarified. In this study, we examined how olfactory systems are involved in the recovery of male attraction to female odors following habituation in mice. Presentation with volatile female odors for 5 min induced habituation in males. To evaluate male attraction to familiar volatile female odors, we measured the duration for investigating volatile female odors from the same female mouse, which was presented twice for 5 min with 1-, 3-, or 5-min interval. Intranasal irrigation with ZnSO4 solution almost completely suppressed investigating behavior, indicating that the main olfactory system is indispensable for inducing the attraction to volatile female odors. In contrast, removal of the vomeronasal organ, bilateral lesions of the accessory olfactory bulb (AOB), or pharmacological blockage of neurotransmission in the AOB did not affect the investigation time at the first odor presentation. However, each one of the treatments decreased the investigation time in the second presentation, compared to that in the first presentation, at longer intervals than control treatment, indicating that the disturbance of neurotransmission in the accessory olfactory system delayed the recovery of the attraction attenuated by the first presentation. These results suggest that the accessory olfactory system facilitates the recovery of the attraction to familiar volatile female odors in male mice. © The Author 2017. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

A method for the solvent extraction of low-boiling-point plant volatiles.

Science.gov (United States)

Xu, Ning; Gruber, Margaret; Westcott, Neil; Soroka, Julie; Parkin, Isobel; Hegedus, Dwayne

2005-01-01

A new method has been developed for the extraction of volatiles from plant materials and tested on seedling tissue and mature leaves of Arabidopsis thaliana, pine needles and commercial mixtures of plant volatiles. Volatiles were extracted with n-pentane and then subjected to quick distillation at a moderate temperature. Under these conditions, compounds such as pigments, waxes and non-volatile compounds remained undistilled, while short-chain volatile compounds were distilled into a receiving flask using a high-efficiency condenser. Removal of the n-pentane and concentration of the volatiles in the receiving flask was carried out using a Vigreux column condenser prior to GC-MS. The method is ideal for the rapid extraction of low-boiling-point volatiles from small amounts of plant material, such as is required when conducting metabolic profiling or defining biological properties of volatile components from large numbers of mutant lines.

Chemically-resolved aerosol volatility measurements from two megacity field studies

Directory of Open Access Journals (Sweden)

J. A. Huffman

2009-09-01

Full Text Available The volatilities of different chemical species in ambient aerosols are important but remain poorly characterized. The coupling of a recently developed rapid temperature-stepping thermodenuder (TD, operated in the range 54–230°C with a High-Resolution Time-of-Flight Aerosol Mass Spectrometer (HR-ToF-AMS during field studies in two polluted megacities has enabled the first direct characterization of chemically-resolved urban particle volatility. Measurements in Riverside, CA and Mexico City are generally consistent and show ambient nitrate as having the highest volatility of any AMS standard aerosol species while sulfate showed the lowest volatility. Total organic aerosol (OA showed volatility intermediate between nitrate and sulfate, with an evaporation rate of 0.6%·K⁻¹ near ambient temperature, although OA dominates the residual species at the highest temperatures. Different types of OA were characterized with marker ions, diurnal cycles, and positive matrix factorization (PMF and show significant differences in volatility. Reduced hydrocarbon-like OA (HOA, a surrogate for primary OA, POA, oxygenated OA (OOA, a surrogate for secondary OA, SOA, and biomass-burning OA (BBOA separated with PMF were all determined to be semi-volatile. The most aged OOA-1 and its dominant ion, CO₂⁺, consistently exhibited the lowest volatility, with HOA, BBOA, and associated ions for each among the highest. The similar or higher volatility of HOA/POA compared to OOA/SOA contradicts the current representations of OA volatility in most atmospheric models and has important implications for aerosol growth and lifetime. A new technique using the AMS background signal was demonstrated to quantify the fraction of species up to four orders-of-magnitude less volatile than those detectable in the MS mode, which for OA represent ~5% of the non-refractory (NR OA signal. Our results strongly imply that all OA types should be considered

Occurence and dietary exposure of volatile and non-volatile N-Nitrosamines in processed meat products

DEFF Research Database (Denmark)

Herrmann, Susan Strange; Duedahl-Olesen, Lene; Granby, Kit

Nitrite and nitrate have for many decades been used for preservation of meat. However, nitrite can react with secondary amines in meat to form N-Nitrosamines (NAs), many of which have been shown to be genotoxic1 . The use of nitrite therefore ought to be limited as much as possible. To maintain...... a high level of consumer protection Denmark obtains National low limits of the nitrite use in meat products. An estimation of the dietary exposure to volatile NAs (VNA) and non-volatile NAs (NVNA) is necessary when performing a risk assessment of the use of nitrite and nitrate for meat preservation....

Syngas. The flexible solution in a volatile feed-stock market

Energy Technology Data Exchange (ETDEWEB)

Wurzel, T. [Air Liquide Global E und C Solutions c/o Lurgi GmbH, Frankfurt a.M. (Germany)

2013-11-01

The paper presents the versatility of syngas allowing the extended application of new feedstock sources such as shale gas or coal to deliver fuels and chemicals traditionally derived from crude oil. In order to provide a holistic view on this topic of current interest, the syngas market, the pre-dominant production technologies and main economic consideration for selected applications are presented and analyzed. It can be concluded that a broad portfolio of well-mastered and referenced syngas production technologies which are continuously improved to meet actual market requirements (e.g. ability to valorize biomass) will remain key to enable economic solutions in a world characterized by growing dynamics with regards to the supply of (carbonaceous) feedstock. (orig.)

Ammonia volatilization from crop residues and frozen green manure crops

Science.gov (United States)

de Ruijter, F. J.; Huijsmans, J. F. M.; Rutgers, B.

2010-09-01

Agricultural systems can lose substantial amounts of nitrogen (N). To protect the environment, the European Union (EU) has adopted several directives that set goals to limit N losses. National Emission Ceilings (NEC) are prescribed in the NEC directive for nitrogen oxides and ammonia. Crop residues may contribute to ammonia volatilization, but sufficient information on their contribution to the national ammonia volatilization is lacking. Experiments were carried out with the aim to assess the ammonia volatilization of crop residues left on the soil surface or incorporated into the soil under the conditions met in practice in the Netherlands during late autumn and winter. Ammonia emission from residues of broccoli, leek, sugar beet, cut grass, fodder radish (fresh and frozen) and yellow mustard (frozen) was studied during two winter seasons using volatilization chambers. Residues were either placed on top of soil or mixed with soil. Mixing residues with soil gave insignificant ammonia volatilization, whereas volatilization was 5-16 percent of the N content of residues when placed on top of soil. Ammonia volatilization started after at least 4 days. Total ammonia volatilization was related to C/N-ratio and N concentration of the plant material. After 37 days, cumulative ammonia volatilization was negligible from plant material with N concentration below 2 percent, and was 10 percent of the N content of plant material with 4 percent N. These observations can be explained by decomposition of plant material by micro-organisms. After an initial built up of the microbial population, NH 4+ that is not needed for their own growth is released and can easily emit as NH 3 at the soil surface. The results of the experiments were used to estimate the contribution of crop residues to ammonia volatilization in the Netherlands. Crop residues of arable crops and residues of pasture topping may contribute more than 3 million kg NH 3-N to the national ammonia volatilization of the

Metabolic engineering of volatile isoprenoids in plants and microbes.

Science.gov (United States)

Vickers, Claudia E; Bongers, Mareike; Liu, Qing; Delatte, Thierry; Bouwmeester, Harro

2014-08-01

The chemical properties and diversity of volatile isoprenoids lends them to a broad variety of biological roles. It also lends them to a host of biotechnological applications, both by taking advantage of their natural functions and by using them as industrial chemicals/chemical feedstocks. Natural functions include roles as insect attractants and repellents, abiotic stress protectants in pathogen defense, etc. Industrial applications include use as pharmaceuticals, flavours, fragrances, fuels, fuel additives, etc. Here we will examine the ways in which researchers have so far found to exploit volatile isoprenoids using biotechnology. Production and/or modification of volatiles using metabolic engineering in both plants and microorganisms are reviewed, including engineering through both mevalonate and methylerythritol diphosphate pathways. Recent advances are illustrated using several case studies (herbivores and bodyguards, isoprene, and monoterpene production in microbes). Systems and synthetic biology tools with particular utility for metabolic engineering are also reviewed. Finally, we discuss the practical realities of various applications in modern biotechnology, explore possible future applications, and examine the challenges of moving these technologies forward so that they can deliver tangible benefits. While this review focuses on volatile isoprenoids, many of the engineering approaches described here are also applicable to non-isoprenoid volatiles and to non-volatile isoprenoids. © 2014 John Wiley & Sons Ltd.

A Consistent Pricing Model for Index Options and Volatility Derivatives

DEFF Research Database (Denmark)

Kokholm, Thomas

to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

A Consistent Pricing Model for Index Options and Volatility Derivatives

DEFF Research Database (Denmark)

Cont, Rama; Kokholm, Thomas

2013-01-01

to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants

Directory of Open Access Journals (Sweden)

Song Liu

2015-01-01

Full Text Available We extract low- and high-frequency volatility from China’s Shanghai gold futures market using an asymmetric Spline-GARCH (ASP-GARCH model. We then regress monthly low-frequency volatility on selected monthly macroeconomic indicators to study the impact of macroeconomy on gold futures market and to test for excess volatility. Our main result is volatility in China’s Shanghai gold futures market resulting from both macroeconomic fluctuations and investor behaviour. Chinese Consumer Price Index Volatility and US dollar volatility are the two main determinants of low-frequency gold volatility. We also find significant evidence of excess volatility, which can in part be explained in terms of loss-aversive investor behaviour.

Formation of volatile decomposition products by self-radiolysis of tritiated thymidine

International Nuclear Information System (INIS)

Shiba, Kazuhiro; Mori, Hirofumi

1997-01-01

In order to estimate the internal exposure dose in an experiment using tritiated thymidine, the rate of volatile 3 H-decomposition of several tritiated thymidine samples was measured. The decomposition rate of (methyl- 3 H)thymidine in water was over 80% in less than one year after initial analysis. (methyl- 3 H)thymidine was decomposed into volatile and non-volatile 3 H-decomposition products. The ratio of volatile 3 H-decomposition products increased with increasing the rate of the decomposition of (methyl- 3 H) thymidine. The volatile 3 H-decomposition products consisted of two components, of which the main component was tritiated water. Internal exposure dose caused by the inhalation of such volatile 3 H-decomposition products of (methyl- 3 H) thymidine was assumed to be several μSv. (author)

Modeling volatility using state space models.

Science.gov (United States)

Timmer, J; Weigend, A S

1997-08-01

In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).

Herbivore-induced plant volatiles and tritrophic interactions across spatial scales.

Science.gov (United States)

Aartsma, Yavanna; Bianchi, Felix J J A; van der Werf, Wopke; Poelman, Erik H; Dicke, Marcel

2017-12-01

Herbivore-induced plant volatiles (HIPVs) are an important cue used in herbivore location by carnivorous arthropods such as parasitoids. The effects of plant volatiles on parasitoids have been well characterised at small spatial scales, but little research has been done on their effects at larger spatial scales. The spatial matrix of volatiles ('volatile mosaic') within which parasitoids locate their hosts is dynamic and heterogeneous. It is shaped by the spatial pattern of HIPV-emitting plants, the concentration, chemical composition and breakdown of the emitted HIPV blends, and by environmental factors such as wind, turbulence and vegetation that affect transport and mixing of odour plumes. The volatile mosaic may be exploited differentially by different parasitoid species, in relation to species traits such as sensory ability to perceive volatiles and the physical ability to move towards the source. Understanding how HIPVs influence parasitoids at larger spatial scales is crucial for our understanding of tritrophic interactions and sustainable pest management in agriculture. However, there is a large gap in our knowledge on how volatiles influence the process of host location by parasitoids at the landscape scale. Future studies should bridge the gap between the chemical and behavioural ecology of tritrophic interactions and landscape ecology. © 2017 The Authors. New Phytologist © 2017 New Phytologist Trust.

Measurement of volatiles, semi-volatiles and heavy metals in an oil burn test

International Nuclear Information System (INIS)

Li, K.; Caron, T.; Landriault, M.; Pare, J.R.J.; Fingas, M.

1992-01-01

Tests involving meso-scale burning of Louisiana crude oil were conducted, and during each burn, extensive samples were taken from the oil, residue, and the smoke plume. The detailed analytical work employed to obtain and analyze the burn samples is outlined and discussed. The analytical parameters included volatiles and semi-volatiles of environmental interests as well as heavy metals typically contained in the starting crude oil. Because the smoke plume did not always impinge on the samplers, the ground samplers did not collect sufficient samples for a definitive analysis. Crude/residue analyses showed the burn resulted in a significant reduction of polycyclic aromatic hydrocarbons (PAH) in the original oil. Most of the reduction was thought to be simply evaporation or destruction from combustion. The residue did not have the degree of enrichment of the higher molecular weight PAHs as was the case in bench-scale burn experiments. Volatile organic compound and dioxin/furan measurements likewise did not show high levels of contamination from the burn itself. Most of the elevated levels of contaminants could probably be due to evaporation of the oil itself. Insufficient sampling was conducted to investigate the background levels from the weathering process. A novel means of sampling using a small remote controlled helicopter was attempted and sufficiently interesting results were obtained to indicate the potential of this passive sampling device for future work. 5 refs., 4 figs

Volatile metabolites from actinomycetes

DEFF Research Database (Denmark)

Scholler, C.E.G.; Gurtler, H.; Pedersen, R.

2002-01-01

Twenty-six Streptomyces spp. were screened for their volatile production capacity on yeast starch agar. The volatile organic compounds (VOCs) were concentrated on a porous polymer throughout an 8-day growth period. VOCs were analyzed by gas chromatography with flame ionization detection...... and identified or characterized by gas chromatography-mass spectrometry. A total of 120 VOCs were characterized by retention index and mass spectra. Fifty-three compounds were characterized as terpenoid compounds, among which 18 could be identified. Among the VOCs were alkanes, alkenes, alcohols, esters, ketones....... The relationship between the excretion of geosmin and the production of spores was examined for one isolate. A good correlation between headspace geosmin and the number of spores was observed, suggesting that VOCs could be used to indicate the activity of these microorganisms in heterogeneous substrates....

Volatile components and continental material of planets

International Nuclear Information System (INIS)

Florenskiy, K.P.; Nikolayeva, O.V.

1984-01-01

It is shown that the continental material of the terrestrial planets varies in composition from planet to planet according to the abundances and composition of true volatiles (H 2 0, CO 2 , etc.) in the outer shells of the planets. The formation of these shells occurs very early in a planet's evolution when the role of endogenous processes is indistinct and continental materials are subject to melting and vaporizing in the absence of an atmosphere. As a result, the chemical properties of continental materials are related not only to fractionation processes but also to meltability and volatility. For planets retaining a certain quantity of true volatile components, the chemical transformation of continental material is characterized by a close interaction between impact melting vaporization and endogeneous geological processes

Volume, Volatility and Public News Announcements

DEFF Research Database (Denmark)

Bollerslev, Tim; Li, Jia; Xue, Yuan

We provide new empirical evidence for the way in which financial markets process information. Our results are based on high-frequency intraday data along with new econometric techniques for making inference on the relationship between trading intensity and spot volatility around public news...... announcements. Consistent with the predictions derived from a theoretical model in which investors agree to disagree, our estimates for the intraday volume-volatility elasticity around the most important news announcements are systematically below unity. Our elasticity estimates also decrease significantly...

Volatility in financial markets: The impact of the global financial crisis

OpenAIRE

Valls Ruiz, Natàlia

2014-01-01

This dissertation focuses on volatility in financial markets, with a special concern for: (i) volatility transmission between different financial markets and asset categories and, (ii) the effect of macroeconomic announcements on the returns, volatility and correlation of stock markets. These issues are analysed taking into account the phenomenon of asymmetric volatility and incorporating the period of financial turmoil caused by the Global Financial Crisis. The study focuses the attention on...

Production of a transparent lavender flavour nanocapsule aqueous solution and pyrolysis characteristics of flavour nanocapsule.

Science.gov (United States)

Zhu, Guangyong; Xiao, Zuobing; Zhou, Rujun; Feng, Nienie

2015-07-01

Flavour plays an important role and has been widely used in many products. Usually, the components of flavour are volatile and the sensory perception can be changed as a result of volatilization, heating, oxidation and chemical interactions. Encapsulation can prevent the loss of volatile aromatic ingredients, provide protection and enhance the stability of the core materials. This work concentrated on production of a transparent lavender flavour nanocapsule aqueous solution. The results showed that a transparent lavender flavour microcapsule aqueous solution can be produced using hydroxypropyl-β-cyclodextrin (HP-β-CD) as wall material. The combination and interaction of flavour and wall materials were investigated by pyrolysis. Pyrolysis characteristics and kinetic parameters of the flavour nanocapsule were determined. During thermal degradation of blank HP-β-CD and flavour-HP-β-CD inclusion complex, three main stages can be distinguished. Due to the vaporization of lavender flavour encapsulated in HP-β-CD, the thermogravimetric (TG) curve of blank HP-β-CD shows a leveling-off from room temperature to 269 °C, while the TG curve of flavour-HP-β-CD inclusion complex is downward sloping in this temperature range. The kinetic parameters are helpful in understanding the mechanism of molecular recognition between hosts and guests.

Treasury bond volatility and uncertainty about monetary policy

NARCIS (Netherlands)

Arnold, I.J.M.; Vrugt, E.B.

2010-01-01

We show that dispersion-based uncertainty about the future course of monetary policy is the single most important determinant of Treasury bond volatility across all maturities. The link between Treasury bond volatility and uncertainty about macroeconomic variables is much stronger than for the more

Volatile-mediated interactions between phylogenetically different soil bacteria

NARCIS (Netherlands)

Garbeva, P.; Hordijk, C.; Gerards, S.; Boer, de W.

2014-01-01

There is increasing evidence that organic volatiles play an important role in interactions between micro-organisms in the porous soil matrix. Here we report that volatile compounds emitted by different soil bacteria can affect the growth, antibiotic production and gene expression of the soil

Indication of bioactive candidates among body volatiles of ...

African Journals Online (AJOL)

Gregarious adult locusts are believed to release many bioactive volatiles from their bodies for the mediation of their biological characteristics. The determination of these bioactive body volatiles can contribute to the development of new, environmentally benign methods of locust control. An important locust, Locusta ...

Volatiles produced by the mycophagous soil bacterium Collimonas

NARCIS (Netherlands)

Garbeva, P.; Hordijk, C.; Gerards, S.; Boer, de W.

2014-01-01

It is increasingly recognized that volatile organic compounds play an import role during interactions between soil microorganisms. Here, we examined the possible involvement of volatiles in the interaction of Collimonas bacteria with soil fungi. The genus Collimonas is known for its ability to grow

Predicting volatility and correlations with Financial Conditions Indexes

NARCIS (Netherlands)

Opschoor, A.; van Dijk, D.; van der Wel, M.

2014-01-01

We model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily stock returns

Predicting Volatility and Correlations with Financial Conditions Indexes

NARCIS (Netherlands)

A. Opschoor (Anne); D.J.C. van Dijk (Dick); M. van der Wel (Michel)

2014-01-01

textabstractWe model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily

Exchange Rate Volatility, Inflation Uncertainty and Foreign Direct ...

African Journals Online (AJOL)

2008-10-07

Oct 7, 2008 ... volatility on foreign direct investment (FDI) inflows is important for a developing ... and inflation uncertainty were computed using the GARCH model and the results showed that volatility .... of currency and capital accounts, coupled with stable macroeconomic environment ..... 14.67561 Akaike info criterion.

Quantitative estimates of the volatility of ambient organic aerosol

Science.gov (United States)

Cappa, C. D.; Jimenez, J. L.

2010-06-01

Measurements of the sensitivity of organic aerosol (OA, and its components) mass to changes in temperature were recently reported by Huffman et al.~(2009) using a tandem thermodenuder-aerosol mass spectrometer (TD-AMS) system in Mexico City and the Los Angeles area. Here, we use these measurements to derive quantitative estimates of aerosol volatility within the framework of absorptive partitioning theory using a kinetic model of aerosol evaporation in the TD. OA volatility distributions (or "basis-sets") are determined using several assumptions as to the enthalpy of vaporization (ΔHvap). We present two definitions of "non-volatile OA," one being a global and one a local definition. Based on these definitions, our analysis indicates that a substantial fraction of the organic aerosol is comprised of non-volatile components that will not evaporate under any atmospheric conditions; on the order of 50-80% when the most realistic ΔHvap assumptions are considered. The sensitivity of the total OA mass to dilution and ambient changes in temperature has been assessed for the various ΔHvap assumptions. The temperature sensitivity is relatively independent of the particular ΔHvap assumptions whereas dilution sensitivity is found to be greatest for the low (ΔHvap = 50 kJ/mol) and lowest for the high (ΔHvap = 150 kJ/mol) assumptions. This difference arises from the high ΔHvap assumptions yielding volatility distributions with a greater fraction of non-volatile material than the low ΔHvap assumptions. If the observations are fit using a 1 or 2-component model the sensitivity of the OA to dilution is unrealistically high. An empirical method introduced by Faulhaber et al. (2009) has also been used to independently estimate a volatility distribution for the ambient OA and is found to give results consistent with the high and variable ΔHvap assumptions. Our results also show that the amount of semivolatile gas-phase organics in equilibrium with the OA could range from ~20

Volatility of V15Cr5Ti fusion reactor alloy

International Nuclear Information System (INIS)

Neilson, R.M. Jr.

1986-01-01

One potential hazard from the presence of activation products in fusion facilities is accidental oxidation-driven volatility of those activation products. Scoping experiments were conducted to investigate the oxidation and elemental volatility of candidate fusion reactor alloy V15Cr5Ti as a function of time, temperature, and test atmosphere. Experiments in air and in argon carrier gases containing 10 4 to 10 1 Pa (10 -1 to 10 -4 atm) oxygen were conducted to investigate the lower oxygen partial pressure limit for the formation of a low melting point (approximately 650 0 C), high volatility, oxide layer and its formation rate. Experiments to determine the elemental volatility of alloy constituents in air at temperatures of 700 0 C to greater than 1600 0 C. Some of these volatility experiments used V15Cr5Ti that was arc-remelted to incorporate small quantities (<0.1 wt. %) of Sc and Ca. Incorporation of Sc and Ca in test specimens permitted volatility measurement of radioactive constituents present only after activation of V15Cr5Ti

Determination of volatiles produced during radiation processing in Laurus cinnamomum

Energy Technology Data Exchange (ETDEWEB)

Salum, D.C.; Araujo, M.M.; Fanaro, G.B. [Instituto de Pesquisas Energeticas e Nucleares (IPEN/CNEN-SP), Cidade Universitaria, Av. Professor Lineu Prestes 2242, Zip code: 05508-000 Butanta, Sao Paulo, SP (Brazil); Purgatto, E. [Faculdade de Ciencias Farmaceuticas, FCF/USP, Departamento de Alimentos e Nutricao Experimental. Av. Prof. Lineu Prestes, 580 Bloco 14. CEP: 05508-900 Sao Paulo, SP (Brazil)], E-mail: epurgatt@usp.br; Villavicencio, A.L.C.H. [Instituto de Pesquisas Energeticas e Nucleares (IPEN/CNEN-SP), Cidade Universitaria, Av. Professor Lineu Prestes 2242, Zip code: 05508-000 Butanta, Sao Paulo, SP (Brazil)], E-mail: villavic@ipen.br

2009-07-15

In order to protect food from pathogenic microorganisms as well as increase its shelf-life, while keeping sensorial properties (e.g., odor and taste), which are important properties required by spice buyers, it is necessary to analyze volatile formation from irradiation of medicinal and food herbs. Possible changes in the odor of these herbs are evaluated by characterizing different radiation doses and effects on sensorial properties, in order to allow better application of the irradiation technology. The aim of the present study was to analyze volatile formation on cinnamon (Laurus cinnamomum) samples after gamma irradiation. These samples were irradiated into plastic packages using a {sup 60}Co facility. Radiation doses applied were 0, 5, 10, 15, 20 and 25 kGy. For the analysis of the samples, solid-phase microextraction (SPME) was applied, while for the analysis of volatile compounds, CG/MS. Spice irradiation showed the highest decrease in volatile compounds. For L. cinnamomum, the irradiation decreased volatile compounds by nearly 56% and 89.5%, respectively, comparing to volatile from a sample which had not been previously irradiated.

Mathematical modeling of solute transport in the subsurface

International Nuclear Information System (INIS)

Naymik, T.G.

1987-01-01

A review of key works on solute transport models indicates that solute transport processes with the exception of advection are still poorly understood. Solute transport models generally do a good job when they are used to test scientific concepts and hypotheses, investigate natural processes, systematically store and manage data, and simulate mass balance of solutes under certain natural conditions. Solute transport models generally are not good for predicting future conditions with a high degree of certainty, or for determining concentrations precisely. The mathematical treatment of solute transport far surpasses their understanding of the process. Investigations of the extent of groundwater contamination and methods to remedy existing problems show the along-term nature of the hazard. Industrial organic compounds may be immiscible in water, highly volatile, or complexed with inorganic as well as other organic compounds; many remain stable in nature almost indefinitely. In the worst case, future disposal of hazardous waste may be restricted to deep burial, as is proposed for radioactive wastes. For investigations pertinent to transport of radionuclides from a geologic repository, the process cannot be fully understood without adequate thermodynamic and kinetic data bases

Natural sparkling guava wine: volatile and physicochemical characterization

Directory of Open Access Journals (Sweden)

Silvana Maria Michelin Bertagnolli

Full Text Available ABSTRACT: Although different tropical fruit species have been used in the development of fermented beverages, there are only few references in the literature to the production of natural sparkling wines from fruits other than grapes. In this sense, the objective of the present research was the development and physicochemical and volatile characterization of a natural sparkling guava wine produced by the champenoise method. Volatile compounds were identified by gas chromatography coupled to mass spectrometry using the headspace solid-phase microextraction (HS-SPME technique on samples. Eighty-nine volatile compounds were detected, of which 51 were identified. Esters were the predominant class of volatile compounds (a total of 26, followed by alcohols (10, terpenes (9, ketones (3, and acids (3. Volatile compounds with possible odoriferous activity were reported in the beverage, including ethyl octanoate, ethyl 5-hexenoate, phenethyl acetate, (E-β-damascenone, (E-ethyl cinnamate, 2-methyl butyl acetate, 3-methylbutanol, ethyl 3-(E-hexenoate, and methyl 5-hexenoate. Natural sparkling guava wine produced showed a complex composition of fruity and floral aromas. Furthermore, the use of the champenoise method, traditionally applied to grapes, enabled the manufacture of a natural sparkling guava wine with physicochemical characteristics equivalent to those of sparkling wines made from grapes.

Study of source term evaluation from fuel solution under simulated nuclear criticality accident in TRACY

International Nuclear Information System (INIS)

Abe, Hitoshi; Tashiro, Shinsuke; Nagai, Hitoshi; Koike, Tadao; Okagawa, Seigo; Murata, Mikio

1999-01-01

In a accident at the dissolver in a reprocessing plant, various fission products and radiolysis gases will be produced in the fuel solution and volatile radioactive nuclides and radiolysis gases and nitrogen oxide will be released into vent-gas spontaneously. Moreover other on-volatile nuclide will be releases as radioactive aerosol (mist) with bursting bubbles at surface of the solution. Therefore quantitative estimation of release and transport behavior of the radioactive material from solution as source term is very important. TRACY is a transient criticality experimental facility for studying the transient criticality characteristics of low enriched uranium. In this paper, experiment methods and results about the release behavior of the hydrogen, radioactive aerosol and iodine species from the fuel solutions are reported. As the results of the experiments, release patterns of H 2 , 140 Ba and 131 I could be grasped. Concentrations of H 2 in the vent-gas and 140 Ba in the gas phase in the core tank attained to the peak just after the transient criticality and decreased exponentially with time. On the other hand, concentrations of 131 I in the gas phase of the tank began to increase with a time lag of several minutes from the transient criticality and attained approximately constant values. (J.P.N.)

On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models

Science.gov (United States)

Bastani, Ali Foroush; Dastgerdi, Maryam Vahid; Mighani, Abolfazl

2018-06-01

The main aim of this paper is the analytical and numerical study of a time-dependent second-order nonlinear partial differential equation (PDE) arising from the endogenous stochastic volatility model, introduced in [Bensoussan, A., Crouhy, M. and Galai, D., Stochastic equity volatility related to the leverage effect (I): equity volatility behavior. Applied Mathematical Finance, 1, 63-85, 1994]. As the first step, we derive a consistent set of initial and boundary conditions to complement the PDE, when the firm is financed by equity and debt. In the sequel, we propose a Newton-based iteration scheme for nonlinear parabolic PDEs which is an extension of a method for solving elliptic partial differential equations introduced in [Fasshauer, G. E., Newton iteration with multiquadrics for the solution of nonlinear PDEs. Computers and Mathematics with Applications, 43, 423-438, 2002]. The scheme is based on multilevel collocation using radial basis functions (RBFs) to solve the resulting locally linearized elliptic PDEs obtained at each level of the Newton iteration. We show the effectiveness of the resulting framework by solving a prototypical example from the field and compare the results with those obtained from three different techniques: (1) a finite difference discretization; (2) a naive RBF collocation and (3) a benchmark approximation, introduced for the first time in this paper. The numerical results confirm the robustness, higher convergence rate and good stability properties of the proposed scheme compared to other alternatives. We also comment on some possible research directions in this field.

Production of volatiles in fresh-cut apple: effect of applying alginate coatings containing linoleic acid or isoleucine.

Science.gov (United States)

Maya-Meraz, Irma O; Espino-Díaz, Miguel; Molina-Corral, Francisco J; González-Aguilar, Gustavo A; Jacobo-Cuellar, Juan L; Sepulveda, David R; Olivas, Guadalupe I

2014-11-01

One of the main quality parameters in apples is aroma, its main precursors are fatty acids (FA) and amino acids (AA). In this study, alginate edible coatings were used as carriers of linoleic acid or isoleucine to serve as precursors for the production of aroma in cut apples. Apple wedges were immersed in a CaCl2 solution and coated with one of the following formulations: alginate solution (Alg-Ca), Alg-Ca-low-level linoleic acid (0.61 g/Lt), (LFA), Alg-Ca-high-level linoleic acid (2.44 g/L; HFA), Alg-Ca-low-level isoleucine (0.61 g/L; LAA), and Alg-Ca-high-level isoleucine (2.44 g/L; HAA). Apple wedges were stored at 3 °C and 85% relative humidity for 21 d and key volatiles were studied during storage. Addition of precursors, mainly isoleucine, showed to increase the production of some key volatiles on coated fresh-cut apples during storage. The concentration of 2-methyl-1-butanol was 4 times higher from day 12 to day 21 in HAA, while 2-methyl butyl acetate increased from day 12 to day 21 in HAA. After 21 d, HAA-apples presented a 40-fold value of 2-methyl-butyl acetate, compared to Alg-Ca cut apples. Values of hexanal increased during cut apple storage when the coating carried linoleic acid, mainly on HFA, from 3 to 12 d. The ability of apples to metabolize AA and FA depends on the concentration of precursors, but also depends on key enzymes, previous apple storage, among others. Further studies should be done to better clarify the behavior of fresh-cut apples as living tissue to metabolize precursors contained in edible coatings for the production of volatiles. © 2014 Institute of Food Technologists®

The effect of antibrowning agents on inhibition of potato browning, volatile organic compound profile, and microbial inhibition.

Science.gov (United States)

Mosneaguta, Ruslan; Alvarez, Valente; Barringer, Sheryl A

2012-11-01

Burbank and Norkotah potato slices were dipped into 3% sodium acid sulfate (SAS), citric acid (CA), sodium erythorbate (SE), malic acid (MA), sodium acid pyrophosphate (SAPP), or a combination of SAS-CA-SE. Browning by polyphenol oxidase (PPO) obtained from potato extract with 0.04 to 0.016 g/mL of antibrowning solutions at pH 2.0 to 6.9 were measured by UV-Vis spectroscopy. The color of slices dipped in antibrowning solutions at pHs 2 to 7 and stored at 4 °C for 15 d was measured every 5 d by colorimeter. Headspace analysis of volatiles in raw and cooked potato samples was performed by selected ion flow tube mass spectrometer (SIFT-MS) and soft independent modelling by class analogy (SIMCA) analysis of the calculated odor activity values (OAV) determined interclass distances. Microbial growth was measured at 15 d. At unadjusted pHs (1.1 to 7.1), the PPO browning of the control and samples with SAPP was not significantly different, SAS, CA, and MA produced some inhibition and SE and SAS-CA-SE prevented browning. At pH 5 to 7, only SE and SAS-CA-SE were effective browning inhibitors. Based on the color of potato slices, SE was the most effective at pH 2 to 7, but SAS was most effective at unadjusted pH. Cooking increased volatile levels in the treated potatoes and decreased differences between volatile profiles. Differences between cooked samples may not be noticeable by the consumer because volatiles with high discriminating powers have low OAVs. SAS, CA, and SAS-CA-SE treatments inhibited microbial growth but SAPP, control, and SE did not, most likely due to pH. Antibrowning agents inhibit polyphenol oxidase, increasing shelf life and consumer acceptability of processed raw potato products by preserving the color. Their effectiveness was shown to be mainly due to a pH effect, except SE, which was not pH dependent. MA, CA, and SAS-CA-SE are better acidulants for inhibition of color change as well as growth of spoilage bacteria, yeast, and mold than SAPP, the

Unexpected uncertainty, volatility and decision-making

Directory of Open Access Journals (Sweden)

Amy Rachel Bland

2012-06-01

Full Text Available The study of uncertainty in decision making is receiving greater attention in the fields of cognitive and computational neuroscience. Several lines of evidence are beginning to elucidate different variants of uncertainty. Particularly, risk, ambiguity and expected and unexpected forms of uncertainty are well articulated in the literature. In this article we review both empirical and theoretical evidence arguing for the potential distinction between three forms of uncertainty; expected uncertainty, unexpected uncertainty and volatility. Particular attention will be devoted to exploring the distinction between unexpected uncertainty and volatility which has been less appreciated in the literature. This includes evidence from computational modelling, neuromodulation, neuroimaging and electrophysiological studies. We further address the possible differentiation of cognitive control mechanisms used to deal with these forms of uncertainty. Particularly we explore a role for conflict monitoring and the temporal integration of information into working memory. Finally, we explore whether the Dual Modes of Control theory provides a theoretical framework for understanding the distinction between unexpected uncertainty and volatility.

Private Sector Credit and Inflation Volatility

Directory of Open Access Journals (Sweden)

Lorna Katusiime

2018-04-01

Full Text Available This paper investigates the effect of inflation volatility on private sector credit growth. The results indicate that private sector credit growth is positively linked to the one period lagged inflation volatility. Given that past monetary policy actions continue to affect the targeted variables due to the substantial lags in the transmission mechanism, the positive response of private sector credit growth to past inflation volatility suggests a credible monetary policy regime in Uganda, which has led to a reduction in the level of macroeconomic uncertainty and the restoration of favorable economic conditions and prospects, thus increasing the demand for credit. Further, the study finds that the lagged private sector credit growth, nominal exchange rate, and inflation have a statistically significant effect on private sector credit growth while financial innovation, interest rates, and GDP growth appear not to be important determinants of private sector credit growth. The robustness of our findings is confirmed by sensitivity checks.

Effect of volatile and acid accumulation in dung digestion

Energy Technology Data Exchange (ETDEWEB)

Rajagopal, G; Pathak, B N

1966-01-01

In continuation of laboratory experiments on the anaerobic digestion of cow dung experiments were carried out to determine the limiting concentrations of volatile acids and to investigate methods of regenerating digestion after failure. Volatile acids were increased by adding acetic acid to digesting dung slurry; digestion failed completely when volatile-acid concentration was 6194 mg per litre, at pH 4.4. Attempts were made to regenerate digestion by adding lime, after dilution with water, but although over a period the volatile-acid content was reduced from 5650 to 3730 mg per litre, and the pH value rose on average from 4.5 to 6.3, gas production remained at a low value until additional digested slurry was introduced, leading to resumption of normal digestion.

Metabolism of 210Po in rats: Volatile 210Po from faeces

International Nuclear Information System (INIS)

Sadi, B. B.; Li, C.; Wyatt, H.; Bugden, M.; Wilkinson, D.; Kramer, G.

2011-01-01

The metabolic formation of volatile 210 Po species in a rat that was intravenously administered with 210 Po-citrate was investigated in this study. A slurry of the faecal sample was prepared in water and was bubbled with nitrogen gas in a closed system. The discharged gas was passed through a trapping device filled with liquid scintillation cocktail in order to capture any volatile 210 Po species. The amount of 210 Po trapped in the scintillation cocktail was measured by a liquid scintillation analyser that provided evidence of the presence of volatile 210 Po species in the faeces. The presence of volatile 210 Po in the faeces indicates that the metabolic formation of volatile 210 Po is likely to occur in the gut due to bacterial activity. The amount of volatile 210 Po species was compared with the daily faecal excretion of 210 Po. After 2 h of bubbling, the volatile 210 Po collected from the faeces sample was found to be between 1.0 and 1.7 % of the daily faecal excretion for the 4 d following 210 Po-citrate administration. (authors)

The Information Content of Corridor Volatility Measures During Calm and Turmoil Periods

Directory of Open Access Journals (Sweden)

Elyas Elyasiani

2017-12-01

Full Text Available Measurement of volatility is of paramount importance in finance because of the effects on risk measurement and risk management. Corridor implied volatility measures allow us to disentangle the volatility of positive returns from that of negative returns, providing investors with additional information beyond standard market volatility. The aim of the paper is twofold. First, to propose different types of corridor implied volatility and some combinations of them as risk indicators, in order to provide useful information about investors’ sentiment and future market returns. Second, to investigate their usefulness in prediction of market returns under different market conditions (with a particular focus on the subprime crisis and the European debt crisis. The data set consists of daily index options traded on the Italian market and covers the 2005–2014 period. We find that upside corridor implied volatility measure embeds the highest information content about contemporaneous market returns, claiming the superiority of call options in measuring current sentiment in the market. Moreover, both upside and downside volatilities can be considered as barometers of investors’ fear. The volatility measures proposed have forecasting power on future returns only during high volatility periods and in particular during the European debt crisis. The explanatory power on future market returns improves when two of the proposed volatility measures are combined together in the same model.

The world price of jump and volatility risk

NARCIS (Netherlands)

Driessen, J.J.A.G.; Maenhout, P.

2013-01-01

We study international integration of markets for jump and volatility risk, using index option data for the main global markets. To explain the cross-section of expected option returns we focus on return-based multi-factor models. For each market separately, we provide evidence that volatility and

Exchange Rate Volatility, Inflation Uncertainty and Foreign Direct ...

African Journals Online (AJOL)

This article examines the effect of exchange rate volatility and inflation uncertainty on foreign direct investment in Nigeria. The investigation covers the period between 1970 and 2005. Exchange rate volatility and inflation uncertainty were estimated using the GARCH model. Estimation results indicated that exchange rate ...

Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

DEFF Research Database (Denmark)

Cavaliere, Guiseppe; Rahbæk, Anders; Taylor, A.M. Robert

Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as special...

Volatilization behavior of semivolatile elements in vitrification of high-level liquid waste

International Nuclear Information System (INIS)

Igarashi, Hiroshi; Kato, Koh; Takahashi, Takeshi

1991-11-01

The effect of temperature on the volatilization of ruthenium, technetium, and selenium was observed in calcination experiments with simulated high-level liquid waste. Technetium and selenium were more volatile as calcining temperature increased. Ruthenium was less volatile when temperature exceeded 300degC. More than 80% of ruthenium that volatilized from room temperature to 500degC occurred between 200 and 300degC. A small amount of ruthenium volatilized above 300degC as well as below 135degC. (author)

Uniform bounds for Black--Scholes implied volatility

OpenAIRE

Tehranchi, Michael R.

2015-01-01

In this note, Black--Scholes implied volatility is expressed in terms of various optimisation problems. From these representations, upper and lower bounds are derived which hold uniformly across moneyness and call price. Various symmetries of the Black--Scholes formula are exploited to derive new bounds from old. These bounds are used to reprove asymptotic formulae for implied volatility at extreme strikes and/or maturities.

The world price of jump and volatility risk

NARCIS (Netherlands)

Driessen, J.; Maenhout, P.

2006-01-01

Jump and volatility risk are important for understanding equity returns, option pricing and asset allocation. This paper is the first to study international integration of markets for jump and volatility risk, using data on index options for each of the three main global markets: US S&P 500 index

Factor Structure in Commodity Futures Return and Volatility

DEFF Research Database (Denmark)

Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther

-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity...

Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

DEFF Research Database (Denmark)

Cavaliere, Giuseppe; Rahbek, Anders Christian; Taylor, A. M. Robert

Many key macro-economic and …nancial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as special...

Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters

Directory of Open Access Journals (Sweden)

Wen Xu

2016-10-01

Full Text Available Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate likelihood obtained via Rao-Blackwellized particle filters. Monte Carlo studies reveal the good and stable performance of our particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic volatility exists, our approach can be better than the maximum likelihood estimator which neglects stochastic volatility and generalized method of moments (GMM estimators.

Recent Advances in the Emission and Functions of Plant Vegetative Volatiles

Directory of Open Access Journals (Sweden)

Fang Dong

2016-01-01

Full Text Available Plants synthesize and emit a large variety of volatile organic compounds, which possess extremely important ecological functions. In most case, most plant volatiles are liquids, rather than gases, at room temperature. Some volatiles are emitted “on demand” when plants, especially vegetative parts, are exposed to abiotic or biotic stress. In this review, we summarize some of the highlights of plant vegetative volatile emission and functions research published during the past few years.

The Effect of Exchange Rate Volatility on Iran’s Raisin Export

OpenAIRE

2014-01-01

Exchange rate volatility is one of the effective and ambiguous factors in agricultural product export. Considering the importance of agricultural trade to avoid single-product economy, the main aim of this study was to investigate the impact of exchange rate volatility on the Raisin export of Iran during the years1959-2011. For this purpose, exchange rate volatility index was estimated using Moving Average Standard Deviation (MASD). Then, the impact of exchange rate volatility on the value of...

Autoradiographic methods for studying marked volatile substances (1961)

International Nuclear Information System (INIS)

Cohen, Y.; Wepierre, J.

1961-01-01

The autoradiographic methods for animals used up to the present do not make it possible to localise exactly the distribution of marked volatile molecules. The Ullberg method (1954) which we have modified (Cohen, Delassue, 1959) involves cold desiccant. The method due to Pellerin (1957) avoids this desiccant but the histological comparison of the autoradiography with the biological document itself is difficult, if not impossible. Nevertheless, we have adopted certain points in the two methods and propose the following technique for the autoradiographic study of marked volatile molecules: 1- The surface of the frozen sample to be studied is prepared using a freezing microtome. 2- The last section, which is 20 μ thick and whose histological elements are parallel to those of the block, is dried by cooling and is used as the biological reference document for the autoradiography obtained, as is indicated in 3; 3- The radiography films are applied to the frozen block at -30 deg. C. The autoradiographs correspond to the radioactivity of the volatile molecule and of its non-volatile degradation products. 4- The radiographic film is also applied to the 20 μ section previously dried at -20 deg. C. This autoradiography corresponds to the radioactivity of the non-volatile degradation products of the molecule. 5- We confirmed the absence of diffusion of the volatile molecule and of pseudo-radiographic effects (photochemical and others). This method, which has enabled us to study the distribution of a carbide, para-cymene (C 14 ) 7, macroscopically in the case of a whole mouse and microscopically on the skin of a dog, can find general applications. (authors) [fr

System of extraction of volatiles from soil using microwave processes

Science.gov (United States)

Ethridge, Edwin C. (Inventor); Kaukler, William F. (Inventor)

2013-01-01

A device for the extraction and collection of volatiles from soil or planetary regolith. The device utilizes core drilled holes to gain access to underlying volatiles below the surface. Microwave energy beamed into the holes penetrates through the soil or regolith to heat it, and thereby produces vapor by sublimation. The device confines and transports volatiles to a cold trap for collection.

Sedation with volatile anesthetics in cardiothoracic intensive care unit patients

OpenAIRE

Hellström, Jan

2014-01-01

Volatile anaesthetics have been reported to provide protection against myocardial ischemia and reperfusion injury. This effect has been demonstrated in experimental studies when the volatile anaesthetics were provided either before (preconditioning) or after the ischemic period (postconditioning). Clinical trials of volatile anaesthetics versus intravenous anaesthesia for coronary artery bypass grafting (CABG) have reported reduced postoperative release of troponin, a biomarker...

Asymmetry Effects of shocks in Chinese Stock Markets Volatility

DEFF Research Database (Denmark)

Hou, Ai Jun

2013-01-01

The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies...... a generalized additive nonparametric smoothing technique to examine the volatility of the Chinese stock markets. The empirical results indicate that an asymmetric effect of negative news exists in the Chinese stock markets. Furthermore, compared with other parametric models, the generalized additive...

US Implied Volatility as A predictor of International Returns

Directory of Open Access Journals (Sweden)

Mehmet F. Dicle

2017-12-01

Full Text Available This study provides evidence of the US implied volatility’s e ect on international equitymarkets’ returns. This evidence has two main implications: i investors may find that foreign equityreturns adjusting to US implied volatility may not provide true diversification benefits, and ii foreignequity returns may be predicted using US implied volatility. Our sample includes US volatility index(VIX and major equity indexes in twenty countries for the period between January, 2000 throughJuly, 2017. VIX leads eighteen of the international markets and Granger causes seventeen of themarkets after controlling for the S&P-500 index returns and the 2007/2008 US financial crisis. USinvestors looking to diversify US risk may find that international equities may not provide intendeddiversification benefits. Our evidence provides support for predictability of international equity returnsbased on US volatility.

The origin of volatiles in the Earth's mantle

Science.gov (United States)

Hier-Majumder, Saswata; Hirschmann, Marc M.

2017-08-01

The Earth's deep interior contains significant reservoirs of volatiles such as H, C, and N. Due to the incompatible nature of these volatile species, it has been difficult to reconcile their storage in the residual mantle immediately following crystallization of the terrestrial magma ocean (MO). As the magma ocean freezes, it is commonly assumed that very small amounts of melt are retained in the residual mantle, limiting the trapped volatile concentration in the primordial mantle. In this article, we show that inefficient melt drainage out of the freezing front can retain large amounts of volatiles hosted in the trapped melt in the residual mantle while creating a thick early atmosphere. Using a two-phase flow model, we demonstrate that compaction within the moving freezing front is inefficient over time scales characteristic of magma ocean solidification. We employ a scaling relation between the trapped melt fraction, the rate of compaction, and the rate of freezing in our magma ocean evolution model. For cosmochemically plausible fractions of volatiles delivered during the later stages of accretion, our calculations suggest that up to 77% of total H2O and 12% of CO2 could have been trapped in the mantle during magma ocean crystallization. The assumption of a constant trapped melt fraction underestimates the mass of volatiles in the residual mantle by more than an order of magnitude.Plain Language SummaryThe Earth's deep interior contains substantial amounts of volatile elements like C, H, and N. How these elements got sequestered in the Earth's interior has long been a topic of debate. It is generally assumed that most of these elements escaped the interior of the Earth during the first few hundred thousand years to create a primitive atmosphere, leaving the mantle reservoir nearly empty. In this work, we show that the key to this paradox involves the very early stages of crystallization of the mantle from a global magma ocean. Using numerical models, we show

The Determinants of Real Exchange Rate Volatility in Nigeria

African Journals Online (AJOL)

Rahel

magnitude of exchange rate volatility while the federal government exercises control of ... objectives in the area of price stability and economic growth. Volatile real ..... Exchange rate shocks and instability is a common feature of emerging.

Evolution of Volatile Compounds during the Distillation of Cognac Spirit.

Science.gov (United States)

Awad, Pierre; Athès, Violaine; Decloux, Martine Esteban; Ferrari, Gérald; Snakkers, Guillaume; Raguenaud, Patrick; Giampaoli, Pierre

2017-09-06

Cognac wine spirit has a complex composition in volatile compounds which contributes to its organoleptic profile. This work focused on the batch distillation process and, in particular, on volatile compounds specifically produced by chemical reactions during the distillation of Cognac wine spirit, traditionally conducted in two steps with charentais pot stills. The aim of this study was to characterize these volatile compounds formed during distillation. Sampling has been performed on the distillates and inside the boiler during a typical Cognac distillation. The analysis of these samples allowed us to perform a mass balance and to point out several types of volatile compounds whose quantities strongly increased during the distillation process. These compounds were distinguished by their chemical family. It has been found that the first distillation step was decisive for the formation of volatile compounds. Moreover, 2 esters, 3 aldehydes, 12 norisoprenoids, and 3 terpenes were shown to be generated during the process. These results suggest that some volatile compounds found in Cognac spirit are formed during distillation due to chemical reactions induced by high temperature. These findings give important indications to professional distillers in order to enhance the product's quality.

Characterization of coal types by their content of volatile matter

Energy Technology Data Exchange (ETDEWEB)

Scholz, A. (Ruhrkohle A.G., Essen (Germany, F.R.). Qualitaetsstelle)

1979-08-01

First of all, the difference between mineral content and ash content, the effect of minerals on the content of volatile matter and the connection between the ash and volatile matter contents is examined. Then three processes are described, to determine the content of organic fuels in the volatile matter of hard coal. The results are compared and the applicability of the processes is assessed. The conversion formulae recommended for the ASTM and NCB classifications are examined regarding their applicability to German types of coal. Finally an equation is proposed, in order to calculate the estimated value for the content of water and mineral free fuel in volatile matter. Apart from the content of volatile matter in water free coal, one only needs the figures ash content and the mineral factor for this. The equation can also be used for mixtures the usability of the equation is tested for Ruhr coal.

Implied Volatility Surface: Construction Methodologies and Characteristics

OpenAIRE

Cristian Homescu

2011-01-01

The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful construction of IVS in practice: arbitrage-free conditions in both strike and time, how to perform extrapolation outside the core region, choice of calibrating functional and selection of numerical optimization algorithms, volatility surface dynamics and asymptotics.

Chirospecific analysis of plant volatiles

Energy Technology Data Exchange (ETDEWEB)

Tkachev, A V [N.N. Vorozhtsov Novosibirsk Institute of Organic Chemistry, Siberian Branch of the Russian Academy of Sciences, Novosibirsk (Russian Federation)

2007-10-31

Characteristic features of the analysis of plant volatiles by enantioselective gas (gas-liquid) chromatography and gas chromatography/mass spectrometry are discussed. The most recent advances in the design of enantioselective stationary phases are surveyed. Examples of the preparation of the most efficient phases based on modified cyclodextrins are given. Current knowledge on the successful analytical resolution of different types of plant volatiles (aliphatic and aromatic compounds and mono-, sesqui- and diterpene derivatives) into optical antipodes is systematically described. Chiral stationary phases used for these purposes, temperature conditions and enantiomer separation factors are summarised. Examples of the enantiomeric resolution of fragrance compounds and components of plant extracts, wines and essential oils are given.

Chirospecific analysis of plant volatiles

International Nuclear Information System (INIS)

Tkachev, A V

2007-01-01

Characteristic features of the analysis of plant volatiles by enantioselective gas (gas-liquid) chromatography and gas chromatography/mass spectrometry are discussed. The most recent advances in the design of enantioselective stationary phases are surveyed. Examples of the preparation of the most efficient phases based on modified cyclodextrins are given. Current knowledge on the successful analytical resolution of different types of plant volatiles (aliphatic and aromatic compounds and mono-, sesqui- and diterpene derivatives) into optical antipodes is systematically described. Chiral stationary phases used for these purposes, temperature conditions and enantiomer separation factors are summarised. Examples of the enantiomeric resolution of fragrance compounds and components of plant extracts, wines and essential oils are given.

Nuclear fuel technology - Determination of uranium in uranyl nitrate solutions of nuclear grade quality - Gravimetric method

International Nuclear Information System (INIS)

2003-01-01

This International Standard specifies a precise and accurate gravimetric method for determining the mass fraction of uranium in uranyl nitrate solutions of nuclear grade quality containing more than 100 g/kg of uranium. Non-volatile impurities influence the accuracy of the method

GC-MS analysis of off-odor volatiles from irradiated pork

International Nuclear Information System (INIS)

Lin Ruotai; Geng Shengrong; Zhang Jinmu; Chen Yuxia; Liu Yangmin; Wang Liping; Wang Hong; Xu Ying; Yao Side

2007-01-01

The main compounds of off-odor volatiles from irradiated refrigerated vacuum-packaged pork were analyzed by gas chromatograph/mass spectrometer (GC-MS). The analytical results showed that the main compounds of off-odor volatiles were dimethyl disulfide, dimethyl sulfide, dimethyl trisulfide, S-methyl thioacetate, and methanethiol. It was proved that the off-odor volatile came from irradiated S-containing amino acid and thiamin. (authors)

Solution-processed flexible NiO resistive random access memory device

Science.gov (United States)

Kim, Soo-Jung; Lee, Heon; Hong, Sung-Hoon

2018-04-01

Non-volatile memories (NVMs) using nanocrystals (NCs) as active materials can be applied to soft electronic devices requiring a low-temperature process because NCs do not require a heat treatment process for crystallization. In addition, memory devices can be implemented simply by using a patterning technique using a solution process. In this study, a flexible NiO ReRAM device was fabricated using a simple NC patterning method that controls the capillary force and dewetting of a NiO NC solution at low temperature. The switching behavior of a NiO NC based memory was clearly observed by conductive atomic force microscopy (c-AFM).

A realised volatility measurement using quadratic variation and dealing with microstructure effects

Directory of Open Access Journals (Sweden)

C du Toit

2006-12-01

Full Text Available A volatility measurement that overcomes the respective problems encountered when implementing the realised and Discrete Sine Transform volatility measurements is defined and discussed in this paper. First the shortcomings of these measurements are briefly discussed. Then a modified realised volatility measurement is defined and relevant theoretical results are derived. Finally simulation results are used to evaluate these three volatility measurements.

Effect of oil price on Nigeria’s food price volatility

Directory of Open Access Journals (Sweden)

Ijeoma C. Nwoko

2016-12-01

Full Text Available This study examines the effect of oil price on the volatility of food price in Nigeria. It specifically considers the long-run, short-run, and causal relationship between these variables. Annual data on oil price and individual prices of maize, rice, sorghum, soya beans, and wheat spanning from 2000 to 2013 were used. The price volatility for each crop was obtained using Generalized Autoregressive Conditional Heteroskedascity (GARCH (1, 1 model. Our measure of oil price is the Refiner acquisition cost of imported crude oil. The Augmented Dickey–Fuller and Phillip–Perron unit root tests show that all the variables are integrated of order one, I (1. Therefore, we use the Johansen co-integration test to examine the long-run relationship. Our results show that there is no long-run relationship between oil price and any of the individual food price volatility. Thus, we implement a VAR instead of a VECM to investigate the short-run relationship. The VAR model result revealed a positive and significant short-run relationship between oil price and each of the selected food price volatility with exception of that of rice and wheat price volatility. These results were further confirmed by the impulse response functions. The Granger causality test result indicates a unidirectional causality from oil price to maize, soya bean, and sorghum price volatilities but does not show such relationship for rice and wheat price volatilities. We draw some policy implications of these findings.

Xe isotopic constraints on cycling of deep Earth volatiles

Science.gov (United States)

Parai, R.; Mukhopadhyay, S.

2017-12-01

The modern deep Earth volatile budget reflects primordial volatiles delivered during accretion, radiogenic ingrowth of volatile species (e.g., 40Ar produced by 40K decay), outgassing in association with mantle processing, and regassing via subduction. The noble gases are unique volatile tracers in that they are chemically inert, but are thought to be trapped within hydrous alteration phases in downwelling lithologies. Noble gases thus provide a tracer of volatile transport between the deep Earth and surface reservoirs. Constraints on the fluxes of noble gases between deep Earth and surface reservoirs over time can accordingly be used to provide insight into temperature conditions at subduction zones, limits on volatile cycling, and the evolving distribution of major volatile species in terrestrial reservoirs over time. Xe isotope systematics in mantle-derived rocks show that 80-90% of the mantle Xe budget is derived from recycling of atmospheric Xe, indicating that atmospheric Xe is retained in subducting slabs beyond depths of magma generation in subduction zones over Earth history. We present an integrated model of Xe cycling between the mantle and atmosphere in association with mantle processing over Earth history. We test a wide variety of outgassing and regassing rates and take the evolution of the atmospheric Xe isotopic composition [e.g., 1] into account. Models in which the deep Earth transitions from a net outgassing to net regassing regime best satisfy Xe isotopic constraints from mantle-derived rocks [2-6]. [1] Avice et al., 2017; Nature Communications, 8; [2] Mukhopadhyay, 2012, Nature 486, 101-104; [3] Parai et al., 2012, EPSL 359-360, 227-239; [4] Parai and Mukhopadhay, 2015, G-cubed 16, 719-735; [5] Peto et al., 2013, EPSL 369-370, 13-23; [6] Tucker et al., 2012, EPSL 355-356, 244-254.

Slow Release of Plant Volatiles Using Sol-Gel Dispensers.

Science.gov (United States)

Bian, L; Sun, X L; Cai, X M; Chen, Z M

2014-12-01

The black citrus aphid, also known as the tea aphid, (Toxoptera aurantii Boyer) attacks economically important crops, including tea (Camellia sinensis (L.) O. Kuntze). In the current study, silica sol-gel formulations were screened to find one that could carry and release C. sinensis plant volatiles to lure black citrus aphids in a greenhouse. The common plant volatile trans-2-hexen-1-al was used as a model molecule to screen for suitable sol-gel formulations. A zNose (Electronic Sensor Technology, Newbury Park, CA) transportable gas chromatograph was used to continuously monitor the volatile emissions. A sol-gel formulation containing tetramethyl orthosilicate and methyltrimethoxysilane in an 8:2 (vol:vol) ratio was selected to develop a slow-release dispenser. The half-life of trans-2-hexen-1-al in the sol-gel dispenser increased slightly with the volume of this compound in the dispenser. Ten different volatiles were tested in the sol-gel dispenser. Alcohols of 6-10 carbons had the longest half-lives (3.01-3.77 d), while esters of 6-12 carbons had the shortest (1.53-2.28 d). Release of these volatiles from the dispensers could not be detected by the zNose after 16 d (cis-3-hexenyl acetate) to 26 d (3,7-dimethylocta-1,6-dien-3-ol). In greenhouse experiments, trans-2-hexen-1-al and cis-3-hexen-1-ol released from the sol-gel dispensers attracted aphids for ≍17 d, and release of these volatiles could not be detected by the zNose after ≍24 d. The sol-gel dispensers performed adequately for the slow release of plant volatiles to trap aphids in the greenhouse. © 2014 Entomological Society of America.

Price volatility, trading volume, and market depth in Asian commodity futures exchanges

Directory of Open Access Journals (Sweden)

Tanachote Boonvorachote

2016-01-01

Full Text Available This paper empirically investigates the impact of trading activity including trading volume and open interest on price volatility in Asian futures exchanges. Trading volume and open interest represent market information for investors. This study uses three different definitions of volatility: (1 daily volatility measured by close-to-close returns, (2 non-trading volatility measured by close-to-open returns, and (3 trading volatility measured by open-to-close returns. The impact of trading volume and open interest on price volatility is investigated. Following Bessembinder and Seguin (1993, volume and open interest are divided into expected and unexpected components. The GARCH (1,1 model is employed using expected and unexpected components of trading activity (volume and open interest as explanatory variables. The results show a positive contemporaneous relationship between expected and unexpected trading volume and volatility, while open interest mitigates volatility. Policy makers can use these findings to suggest to investors that trading activity (volume and open interest is a proxy of market information flowing to exchanges, especially unexpected trading activity. New information flowing to exchanges can mostly be noticed in unexpected trading volumes and open interests.

The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps

DEFF Research Database (Denmark)

Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard

We study the relation between realized and implied volatility in the bond market. Realizedvolatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.Implied volatility is backed out from prices of associated bond options. Recent nonparametric statisticaltech......We study the relation between realized and implied volatility in the bond market. Realizedvolatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.Implied volatility is backed out from prices of associated bond options. Recent nonparametric...... components. We also introduce a new vector HAR (VecHAR) modelfor the resulting simultaneous system, controlling for possible endogeneity of implied volatility inthe forecasting equations. We show that implied volatility is a biased and inefficient forecast in thebond market. However, implied volatility does...

New evidence on the asymmetry in gasoline price: volatility versus margin?

International Nuclear Information System (INIS)

Abosedra, S.; Radchenko, S.

2006-01-01

This paper examines recent evidence on the role that gasoline margins and volatility play in the asymmetric response of gasoline prices to changes in oil prices at different stages of distribution process. In a regression model with margins, we find that margins are statistically significant in explaining asymmetry between crude oil and spot gasoline prices, spot gasoline prices and wholesale gasoline prices, and wholesale gasoline prices and retail prices. In a regression model with input volatility, we find evidence that volatility is responsible for asymmetry between wholesale gasoline prices and retail gasoline prices. When both, gasoline margins and gasoline volatility are included in the regression, we find evidence supporting margins, the search theory, volatility, the oligopolistic coordination theory and an explanation of asymmetry. (author)

Evidence for volatile male-produced pheromone in banana weevilCosmopolites sordidus.

Science.gov (United States)

Budenberg, W J; Ndiege, I O; Karago, F W

1993-09-01

Females of the banana weevil,Cosmopolites sordidus, were attracted to and made longer visits to live conspecific males, trapped volatiles from males, and dissected male hindguts in a still-air olfactometer. Male weevils were attracted to volatiles trapped from males and made longer visits to live males and volatiles from males. Live females, collected volatiles from females and female hindguts, elicited small or no behavioral responses from either sex. Electroantennogram (EAG) responses from both male and female antennae were elicited by collected volatiles from males and by dichloromethane extracts of male hindguts and bodies but not by surface washes of males. No significant EAG responses were given to equivalent material from females. It is therefore suggested that male banana weevils release an aggregation pheromone via their hindgut.

Evaluation of γ-radiation on oolong tea odor volatiles

International Nuclear Information System (INIS)

Fanaro, G.B.; Duarte, R.C.; Santillo, A.G.; Pinto e Silva, M.E.M.; Purgatto, E.

2012-01-01

The aim of this study was to evaluate the gamma radiation effects on odor volatiles in oolong tea at doses of 0, 5, 10, 15 and 20 kGy. The volatile organic compounds were extracted by hydrodistillation and analyzed by GC/MS. The irradiation has a large influence on oolong tea odor profile, once it was identified 40% of new compounds after this process, the 5 kGy and 20 kGy were the doses that degraded more volatiles found naturally in this kind of tea and the dose of 10 kGy was the dose that formed more new compounds. Statistical difference was found between the 5 kGy and 15 kGy volatile profiles, however the sensorial analysis showed that the irradiation at dose up 20 kGy did not interfere on consumer perception. - Highlights: ► Forty percent of compounds identified with odor were formed after irradiation. ► Dose of 5 kGy and 20 kGy were the radiation dose that degraded more odors compounds. ► Gamma radiation showed has a direct influence on volatile compounds in oolong tea.

Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?

Directory of Open Access Journals (Sweden)

Claudio Henrique Barbedo

2009-07-01

Full Text Available The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented, it is the most important variable. This work investigates whether information embedded in this implied volatility market are explained by other traded variables in the Brazilian market. The results show that there are sources of non-negotiable risk that influence this implied volatility. Therefore, exchange rate implied volatility can assist to understand the behavior of the derivatives indexed to dollar.

Potential Signatures of Semi-volatile Compounds Associated With Nuclear Processing

Energy Technology Data Exchange (ETDEWEB)

Probasco, Kathleen M.; Birnbaum, Jerome C.; Maughan, A. D.

2002-06-01

Semi-volatile chemicals associated with nuclear processes (e.g., the reprocessing of uranium to produce plutonium for nuclear weapons, or the separation of actinides from processing waste streams), can provide sticky residues or signatures that will attach to piping, ducting, soil, water, or other surface media. Volatile compounds, that are more suitable for electro-optical sensing, have been well studied. However, the semi-volatile compounds have not been well documented or studied. A majority of these semi-volatile chemicals are more robust than typical gaseous or liquid chemicals and can have lifetimes of several weeks, months, or years in the environment. However, large data gaps exist concerning these potential signature compounds and more research is needed to fill these data gaps so that important signature information is not overlooked or discarded. This report investigates key semi-volatile compounds associated with nuclear separations, identifies available chemical and physical properties, and discusses the degradation products that would result from hydrolysis, radiolysis and oxidation reactions on these compounds.

Volatility and dividend risk in perpetual American options

Science.gov (United States)

Montero, Miquel

2007-04-01

American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties—volatility and dividend policy—of the underlaying stock can change at a random instant of time, but in such a way that we can forecast their final values. Under this assumption we can model actual market conditions because some of the most relevant facts that may potentially affect a firm will entail sharp predictable effects. We will analyse the consequences of this potential risk on perpetual American derivatives, a topic connected with a wide class of recurrent problems in physics: holders of American options must look for the fair price and the optimal exercise strategy at once, a typical question of free absorbing boundaries. We present explicit solutions to the most common contract specifications and derive analytical expressions concerning the mean and higher moments of the exercise time.

Unstable volatility functions: the break preserving local linear estimator

DEFF Research Database (Denmark)

Casas, Isabel; Gijbels, Irene

The objective of this paper is to introduce the break preserving local linear (BPLL) estimator for the estimation of unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in Finance. Markov switching models (Hamilton, 1989......) and threshold models (Lin and Terasvirta, 1994) are amongst the most popular models to describe the behaviour of data with structural breaks. The local linear (LL) estimator is not consistent at points where the volatility function has a break and it may even report negative values for finite samples...

Nitrogen Trifluoride-Based Fluoride- Volatility Separations Process: Initial Studies

Energy Technology Data Exchange (ETDEWEB)

McNamara, Bruce K.; Scheele, Randall D.; Casella, Andrew M.; Kozelisky, Anne E.

2011-09-28

This document describes the results of our investigations on the potential use of nitrogen trifluoride as the fluorinating and oxidizing agent in fluoride volatility-based used nuclear fuel reprocessing. The conceptual process uses differences in reaction temperatures between nitrogen trifluoride and fuel constituents that produce volatile fluorides to achieve separations and recover valuable constituents. We provide results from our thermodynamic evaluations, thermo-analytical experiments, kinetic models, and provide a preliminary process flowsheet. The evaluations found that nitrogen trifluoride can effectively produce volatile fluorides at different temperatures dependent on the fuel constituent.

SITE TECHNOLOGY CAPSULE: SUBSURFACE VOLATILIZATION AND VENTILATION SYSTEM (SVVS)

Science.gov (United States)

The Subsurface Volatilization and Ventilation System is an integrated technology used for attacking all phases of volatile organic compound (VOC) contamination in soil and groundwater. The SVVS technology promotes insitu remediation of soil and groundwater contaminated with or-ga...

Volatility Spillovers in Capesize Forward Freight Agreement Markets

Directory of Open Access Journals (Sweden)

Xiaoxing Gong

2016-01-01

Full Text Available This paper is to investigate spillovers in the Capesize forward freight agreements (FFAs markets before and after the global financial crisis. The paper chooses four Capesize voyage routes FFAs (C3, C4, C5, and C7, two time-charter routes FFAs (BCIT/C average, BPI T/C average, and spot rates as research subjects, covering the periods 3 January 2006 to 24 December 2015. This paper applies Volatility Spillover Multivariate Stochastic Volatility (VS-MSV model to analyze volatility spillover effects and estimates the parameters via software of Bayesian inference using Gibbs Sampling (BUGS, the deviance information criterion (DIC used for goodness-of-fit model. The results suggest that there are volatility spillover effects in certain Capesize FFAs routes, and the effects from spot rates to FFAs take place before crisis, yet they are bilateral after crisis. With the development of shipping markets, the correlations between FFAs and spot rate are enhanced, and it seems that the effects depend on market information and traders’ behavior. So practitioners could make decisions according to the spillovers.