Volatile organic compounds in the nation's ground water and drinking-water supply wells

Science.gov (United States)

Zogorski, John S.; Carter, Janet M.; Ivahnenko, Tamara; Lapham, Wayne W.; Moran, Michael J.; Rowe, Barbara L.; Squillace, Paul J.; Toccalino, Patricia L.

2006-01-01

This national assessment of 55 volatile organic compounds (VOCs) in ground water gives emphasis to the occurrence of VOCs in aquifers that are used as an important supply of drinking water. In contrast to the monitoring of VOC contamination of ground water at point-source release sites, such as landfills and leaking underground storage tanks (LUSTs), our investigations of aquifers are designed as large-scale resource assessments that provide a general characterization of water-quality conditions. Nearly all of the aquifers included in this assessment have been identified as regionally extensive aquifers or aquifer systems. The assessment of ground water (Chapter 3) included analyses of about 3,500 water samples collected during 1985-2001 from various types of wells, representing almost 100 different aquifer studies. This is the first national assessment of the occurrence of a large number of VOCs with different uses, and the assessment addresses key questions about VOCs in aquifers. The assessment also provides a foundation for subsequent decadal assessments of the U.S. Geological Survey (USGS) National Water-Quality Assessment (NAWQA) Program to ascertain long-term trends of VOC occurrence in these aquifers.

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...

Public opinion change after the Fukushima nuclear accident: The role of national context revisited

International Nuclear Information System (INIS)

Latré, Edwin; Perko, Tanja; Thijssen, Peter

2017-01-01

This study explores how national context moderated change in support for nuclear energy after the Fukushima accident. The following national contextual variables are tested: geographical distance, nuclear energy production status, freedom of the press, and the building of new nuclear reactors. The results illustrate that previous research has misunderstood the moderating role of national context on opinion change after the Fukushima accident. A survey conducted shortly after the accident with more than 23,000 respondents from 41 countries has shown that geographical distance from the accident mattered: Contradicting a previous study, the decrease in support for nuclear energy was stronger in countries closer to Fukushima. In addition, support for nuclear energy decreased more in countries where new nuclear reactors were under construction. The country's nuclear energy production status and press freedom did not determine opinion change after the Fukushima accident. The non-effect of freedom of the press on opinion change contradicts the role of media after a focusing event as described in the literature. Overall results demonstrate a limited effect of national context on opinion change following a focusing event. Hence, national context provides only limited information to policy makers on how to respond to a nuclear accident. - Highlights: • National context had limited effect on opinion change after Fukushima. • Support for nuclear energy decreased more in counties closer to the accident. • Support for nuclear energy decreased more where the nuclear energy debate was salient. • Freedom of the press did not determine opinion change after Fukushima. • Not all contextual factors are relevant when designing appropriate policy response.

Global Face with a National Body? Facebook Appropriation and Use in a National Context

DEFF Research Database (Denmark)

Klastrup, Lisbeth

2013-01-01

This paper presents a study of Facebook in a national context, examining language use, friend networks, and content interaction and sharing. Based on a survey (n=739), six interviews with people living in Denmark, and ethnographic observation on site, the paper present findings which indicate tha...

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...

VOLATILITY OF EXCHANGE RATE IN THE CONTEXT OF FOREIGN TRADE

Directory of Open Access Journals (Sweden)

Oleg STRATULAT

2016-09-01

Full Text Available Moderate fluctuation of the exchange rate, basically in its floating regime is considered normality. Meanwhile,excessive volatility of the exchange rate is an issue for many countries. Its elimination is directed to foreign trade, which, through essential exports, followed by significant currency inflows, contribute to the stability of exchange rates. Unfortunately, Moldova’s foreign trade has become a key factor in maintaining the stability of foreign exchange.

The importance of national political context to the impacts of international conservation aid: evidence from the W National Parks of Benin and Niger

Science.gov (United States)

Miller, Daniel C.; Minn, Michael; Sinsin, Brice

2015-11-01

National political context is widely understood to be an important factor shaping the ecological and socio-economic impacts of protected areas (PAs) and other conservation interventions. Despite broad recognition that national political context matters, however, there is little systematic understanding about how and why it matters, particularly in the context of PAs. This article seeks to advance empirical and theoretical understanding of the influence of national political context on the impacts of conservation interventions through study of an international aid project in a large transboundary PA in West Africa. It uses multilevel regression analysis to analyze the variable effects of changes in enforcement—a central mechanism through which the Protected Ecosystems in Sudano-Sahelian Africa project sought to achieve its objectives—in the W National Parks (WNP) of Benin and Niger. We find that differences in national political context relating to governance quality and extent of democratic decentralization moderated the social-ecological effects of enforcement. Increasing enforcement levels in Benin’s WNP were associated with significant increases in mammal species abundance while having little average effect on the incomes of households around the Park. By contrast, greater levels of enforcement in Niger’s WNP were associated with sharply decreasing income levels among Park neighbors but did not have a statistically significant effect on wildlife populations. These results highlight the importance of national political context to the outcomes of aid-funded conservation efforts. They suggest that state-led PA enforcement will have more positive social-ecological impacts in better-governed, more decentralized countries and that conservation policy centered on PAs should therefore devote greater attention to engagement with higher levels of governance.

A study of the training experience of Chinese trainees in a different national context

OpenAIRE

Liu, Jie

2017-01-01

While the demand for training that is conducted in cross-cultural settings has increased substantially (Sun & Ross, 2009), most training concepts have been developed with little consideration of national context. Those studies that have considered the impact of national context (Branine, 2005; Sofo, 2007; Sun & Ross, 2009; Yang, Wang, & Drewry, 2009) have not done so in a systematic or comprehensive manner. Accordingly, this research involved an exploratory study focusing on the influence of ...

CONTEXT MATTERS: THE IMPORTANCE OF MARKET CHARACTERISTICS IN THE VOLATILITY OF FEEDSTOCK COSTS FOR BIOGAS PLANTS.

Science.gov (United States)

Mertens, A; Van Meensel, J; Mondelaers, K; Buysse, J

2015-01-01

Recently, biogas plant managers in Flanders face increased financial uncertainty. Between 2011 and 2012, 20% of the Flemish biogas plants went bankrupt. Difficulties in obtaining feedstock at stable and affordable prices is one reason why the biogas sector struggles. In literature, contracting is often proposed as a way to decrease the volatility of the feedstock costs. However, these studies generally do not consider the context in which the biogas plant manager needs to buy the feedstock. Yet, this context could be of specific importance when biogas plant managers are in competition with other users of the same biomass type. Silage maize is an example of such a feedstock, as it is both used by dairy farmers and biogas plant managers. Using a combination of qualitative research and agent-based modelling, we investigated the effect of specific characteristics of the silage maize market on the acquisition of local silage maize by biogas plant managers. This paper details the institutional arrangements of the silage maize market in Flanders and the results of a scenario analysis, simulating three different scenarios. As shown by the results, the time of entry into the market, as well as the different institutional arrangements used by the biogas plant managers as opposed to dairy farmers could explain the difficulties in obtaining a stable supply of local silage maize by biogas plants. Our findings can help to develop mitigation strategies addressing these difficulties.

Nationalism and social welfare in the post-Soviet context.

Science.gov (United States)

Chandler, Andrea

2011-01-01

This paper offers hypotheses on the role that state social welfare measures can play in reflecting nationalism and in aggravating interethnic tensions. Social welfare is often overlooked in theoretical literature on nationalism, because of the widespread assumption that the welfare state promotes social cohesion. However, social welfare systems may face contradictions between the goal of promoting universal access to all citizens on the one hand, and social pressures to recognize particular groups in distinct ways on the other. Examples from the post-Soviet context (particularly Russia) are offered to illustrate the ways in which social welfare issues may be perceived as having ethnic connotations.

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....

NATIONAL AND INTERNATIONAL CONTEXT OF TRAINING FOR ROMANIAN MAGISTRATES

Directory of Open Access Journals (Sweden)

VIORICA POPESCU

2012-05-01

Full Text Available In the context in which human resources management has an international dimension, the paper briefly analyzes the process of training for magistrates, both from the perspective of general international principles, as well as from the perspective of national legislation. The importance of permanent development of training programs for magistrates is reflected in the professionalism of magistrates and assumes a certain adequacy to the specific needs of the judicial system. From this perspective, the training for magistrates has a compulsory feature not only in relation with the national or European legislation, but also is a practical need for adjustment to continuous changes that occur in the judicial relations, by legislative reforms, some radical, as a consequence of the dynamic social life.

Lunar In-Situ Volatile Extraction, Phase I

Data.gov (United States)

National Aeronautics and Space Administration — A method of extracting volatile resources from the Lunar regolith is proposed to reduce the launch mass and cost of bringing such resources from the Earth to enable...

Characterisation of selected volatile organic compounds in ...

African Journals Online (AJOL)

kshale

2013-05-15

May 15, 2013 ... have entered the commercial market, both in rural areas ... nation of volatile compounds include: gas chromate- graphy (GC) ... prior to the actual analysis, various extraction methods ..... traditional and industrial 'orujo' spirits.

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

On the economic benefit of utility based estimation of a volatility model

OpenAIRE

Adam Clements; Annastiina Silvennoinen

2009-01-01

Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and subsequently used in an economic setting such as portfolio allocation. Differences in the criteria under which the model is estimated and applied may inhibit reduce the overall economic benefit of a model in the context of portfolio allocation. Thi...

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...

Family migration in a cross-national perspective: The importance of institutional and cultural context

Directory of Open Access Journals (Sweden)

Sergi Vidal

2017-01-01

Full Text Available Objective: Migration rates of dual-earner couples are lower than those of male-breadwinner couples. We revisit this issue using a cross-national comparative perspective and examine heterogeneity in the role of female employment in couple relocations. We propose a theoretical framework in which national levels of support for female employment and normative expectations about gender roles act as moderators of the relationship between couple type (i.e., dual-earner and male-breadwinner and family migration. Methods: We deploy discrete-time event history analyses of harmonised longitudinal data from four large-scale datasets from Australia, Britain, Germany, and Sweden, covering the 1992-2011 period. Results: Consistent with prior research, we find that male-breadwinner couples migrate more often than dual-earner couples in all countries, suggesting that traditional gender structures affecting family migration operate across very different contexts. We also find cross-country differences in the estimated effects of different sorts of absolute and relative partner resources on family migration. Conclusions: We take our results as preliminary evidence that national contexts can serve as moderators of the relationship between within-couple employment arrangements and family migration decisions. Contribution: Our study contributes to family migration literature by illustrating how cross-national comparisons are a valuable methodological approach to put prevailing micro-level explanations of the relationship between female employment and family migration in context.

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.

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...

Convoys of Social Relations in Cross-National Context.

Science.gov (United States)

Ajrouch, Kristine J; Fuller, Heather R; Akiyama, Hiroko; Antonucci, Toni C

2018-05-08

This study examines national variations in social networks among older adults across 4 countries in diverse regions of the world: Japan, Lebanon, Mexico, and the United States. The aim is to provide insights into universal as well as unique attributes of social networks in later life. The analyses examine convoy characteristics among adults aged 50+ in metropolitan areas of Japan (N = 557), Lebanon (N = 284), Mexico (N = 556), and the United States (N = 583). Data were collected using the hierarchical mapping technique on representative samples in each locale. Multilevel models were conducted by nation to examine whether convoy characteristics vary by age and closeness. Network size and geographic proximity were dimensions of social networks sensitive to national context. By contrast, how age and feelings of closeness varied with contact frequency and the presence of children in networks revealed universal patterns. Furthermore, feelings of closeness varied by age with regard to size and contact frequency in Lebanon, proximity in Japan, and composition in Mexico. Identifying universal and unique characteristics of social networks in later life provide a preliminary empirical basis upon which to advance a global perspective on convoys of social relations and how they inform policies that can facilitate health and well-being among middle-aged and older people around the world.

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

Context-dependent effect of mood: the regulatory role of personality

Directory of Open Access Journals (Sweden)

Zajusz-Gawędzka Dominika

2015-03-01

Full Text Available This study explored the influence of the context-dependent effect of mood as well as individual differences in neuroticism and action vs. state/volatility orientation on predecisional processing in a multiattribute choice task. One hundred and twenty participants acquired information about choice options after filling out personality questionnaires. Results showed that participants in a positive mood processed the information longer in enjoy than in done-enough context. In turn, participants in a negative mood processed the information more selectively in enjoy than in done-enough context. It also appeared that this effect is reinforced for participants with low neuroticism and volatility orientation, while it is weakened for those with low neuroticism and action orientation. Results were interpreted in accordance with the differential-processual approach.

How to obtain high returns with lower volatility in emerging markets?

Directory of Open Access Journals (Sweden)

Nipun Agarwal

2014-12-01

Full Text Available Emerging markets equity indexes are usually seen as high return with a high degree of volatility associated with them. However, this should not be the case, if you choose high-quality firms that have increasing returns and lower volatility. The intent of this paper is to introduce the risk weighted alpha (RWA indexation method that helps identify stocks that have stable increasing returns with lower volatility. In order to review this method in the context of emerging markets scenario, this paper takes the example of the Sensex index listed on the Bombay Stock Exchange (BSE that comprises India’s top 30 stocks by market capitalisation. Results show that some stocks like Hindustan Lever do show increasing returns and lower volatility. The RWA Sensex index outperforms the BSE Sensex index, while still maintaining a beta that is the same as that in the BSE Sensex index.

Implied adjusted volatility functions: Empirical evidence from Australian index option market

Science.gov (United States)

Harun, Hanani Farhah; Hafizah, Mimi

2015-02-01

This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is investigated in the context of Standard and Poor/Australian Stock Exchange (S&P/ASX) 200 index options over the course of 2001-2010, which covers the global financial crisis in the mid-2007 until the end of 2008. Both in- and out-of-sample resulted in approximately similar pricing error along the different Leland models. Results indicate that symmetric and asymmetric models of both moneyness ratio and logarithmic transformation of moneyness provide the overall best result in both during and post-crisis periods. We find that in the different period of interval (pre-, during and post-crisis) is subject to a different implied adjusted volatility function which best explains the index options. Hence, it is tremendously important to identify the intervals beforehand in investigating the implied adjusted volatility function.

Constraining the volatile fraction of planets from transit observations

Science.gov (United States)

Alibert, Y.

2016-06-01

Context. The determination of the abundance of volatiles in extrasolar planets is very important as it can provide constraints on transport in protoplanetary disks and on the formation location of planets. However, constraining the internal structure of low-mass planets from transit measurements is known to be a degenerate problem. Aims: Using planetary structure and evolution models, we show how observations of transiting planets can be used to constrain their internal composition, in particular the amount of volatiles in the planetary interior, and consequently the amount of gas (defined in this paper to be only H and He) that the planet harbors. We first explore planets that are located close enough to their star to have lost their gas envelope. We then concentrate on planets at larger distances and show that the observation of transiting planets at different evolutionary ages can provide statistical information on their internal composition, in particular on their volatile fraction. Methods: We computed the evolution of low-mass planets (super-Earths to Neptune-like) for different fractions of volatiles and gas. We used a four-layer model (core, silicate mantle, icy mantle, and gas envelope) and computed the internal structure of planets for different luminosities. With this internal structure model, we computed the internal and gravitational energy of planets, which was then used to derive the time evolution of the planet. Since the total energy of a planet depends on its heat capacity and density distribution and therefore on its composition, planets with different ice fractions have different evolution tracks. Results: We show for low-mass gas-poor planets that are located close to their central star that assuming evaporation has efficiently removed the entire gas envelope, it is possible to constrain the volatile fraction of close-in transiting planets. We illustrate this method on the example of 55 Cnc e and show that under the assumption of the absence of

Carbonaceous Asteroid Volatile Recovery (CAVoR) system, Phase II

Data.gov (United States)

National Aeronautics and Space Administration — The Carbonaceous Asteroid Volatile Recovery (CAVoR) system produces water and hydrogen-rich syngas for propellant production, life support consumables, and...

A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns

OpenAIRE

Köksal, Bülent

2009-01-01

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag moving average term” specification achieves the best overall performance for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed returns bett...

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

Carbon nanomaterials for non-volatile memories

Science.gov (United States)

Ahn, Ethan C.; Wong, H.-S. Philip; Pop, Eric

2018-03-01

Carbon can create various low-dimensional nanostructures with remarkable electronic, optical, mechanical and thermal properties. These features make carbon nanomaterials especially interesting for next-generation memory and storage devices, such as resistive random access memory, phase-change memory, spin-transfer-torque magnetic random access memory and ferroelectric random access memory. Non-volatile memories greatly benefit from the use of carbon nanomaterials in terms of bit density and energy efficiency. In this Review, we discuss sp2-hybridized carbon-based low-dimensional nanostructures, such as fullerene, carbon nanotubes and graphene, in the context of non-volatile memory devices and architectures. Applications of carbon nanomaterials as memory electrodes, interfacial engineering layers, resistive-switching media, and scalable, high-performance memory selectors are investigated. Finally, we compare the different memory technologies in terms of writing energy and time, and highlight major challenges in the manufacturing, integration and understanding of the physical mechanisms and material properties.

The study of the national context in support of planning geological disposal in Romania - 15232

International Nuclear Information System (INIS)

Andrei, V.; Prisecary, I.

2015-01-01

In this paper a risk management process was studied to assess the Romanian national context concerning the setting of a geological disposal of radioactive waste. A PESTEL analysis involving political, economical, social, technical, environmental and legal issues, has been performed to identify factors that could endanger the project. The analysis of a pessimistic scenario indicates the national context could delay the schedule of the siting and site licensing process by 17.5 years. The estimation of a maximum time of 38 years for this process was considered realistic since this value was met in the countries which were confronted with suspensions/reconsiderations of the siting process of a geological disposal facility

Constraining is enabling? Exploring the influence of national context on civil society strength

NARCIS (Netherlands)

Kamstra, J.; Pelzer, B.J.; Elbers, W.J.; Ruben, R.

2016-01-01

This article analyses the influence of national context on civil society strength based on four key dimensions: level of democracy, political stability, rule of law and economic development. Whereas existing studies mainly focus on Western and post-communist countries, we explicitly include

Constraining Is Enabling? Exploring the Influence of National Context on Civil Society Strength

NARCIS (Netherlands)

Kamstra, Jelmer; Pelzer, Ben; Elbers, Willem; Ruben, Ruerd

2016-01-01

This article analyses the influence of national context on civil society strength based on four key dimensions: level of democracy, political stability, rule of law and economic development. Whereas existing studies mainly focus on Western and post-communist countries, we explicitly include

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.

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

Bootstrapping realized volatility and realized beta under a local Gaussianity assumption

DEFF Research Database (Denmark)

Hounyo, Ulrich

The main contribution of this paper is to propose a new bootstrap method for statistics based on high frequency returns. The new method exploits the local Gaussianity and the local constancy of volatility of high frequency returns, two assumptions that can simplify inference in the high frequency...... context, as recently explained by Mykland and Zhang (2009). Our main contributions are as follows. First, we show that the local Gaussian bootstrap is firstorder consistent when used to estimate the distributions of realized volatility and ealized betas. Second, we show that the local Gaussian bootstrap...... matches accurately the first four cumulants of realized volatility, implying that this method provides third-order refinements. This is in contrast with the wild bootstrap of Gonçalves and Meddahi (2009), which is only second-order correct. Third, we show that the local Gaussian bootstrap is able...

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 ($/£ )....

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.

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.

National and Regional Competitiveness in the Crisis Context. Successful Examples

Directory of Open Access Journals (Sweden)

Gina Cristina DIMIAN

2011-11-01

Full Text Available The paper addresses the issue of national and regional competitiveness in the context of socio-economic and financial crisis. Competitiveness is a complex concept which can be studied at both the firm and the local and national level.Thus, in economic terms the competitiveness is most often associated with the productivity or efficiency with which inputs are transformed into goods and services. As for the regional competitiveness it should be analyzed in terms of results (revenue, employment and in relation to its determinants: ranging from the classical production factors (capital, labour, technological progress to the “soft” factors (human capital, research and development, dissemination of knowledge.The current economic environment has revealed that countries such as China, India, Brazil and also the Czech Republic and Poland, following prudent economic policies, have managed to make from macroeconomic stability, investment in education and research some of their major drivers of economic growth.

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.

Volatility from copper and tungsten alloys for fusion reactor applications

International Nuclear Information System (INIS)

Smolik, G.R.; Neilson, R.M. Jr.; Piet, S.J.

1989-01-01

Accident scenarios for fusion power plants present the potential for release and transport of activated constituents volatilized from first wall and structural materials. The extent of possible mobilization and transport of these activated species, many of which are ''oxidation driven'', is being addressed by the Fusion Safety Program at the Idaho National Engineering Laboratory (INEL). This report presents experimental measurements of volatilization from a copper alloy in air and steam and from a tungsten alloy in air. The major elements released included zinc from the copper alloy and rhenium and tungsten from the tungsten alloy. Volatilization rates of several constituents of these alloys over temperatures ranging from 400 to 1200 degree C are presented. These values represent release rates recommended for use in accident assessment calculations. 8 refs., 3 figs., 5 tabs

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...

The local context of mobile phone use in Russia

DEFF Research Database (Denmark)

Shklovski, Irina

in capital cities of Moscow and St. Petersburg and in three regional population centers in different parts of the country, focusing on users’ social networks in their cultural and local context. Results suggest that while mobile phones do allow respondents to maintain broader shallow networks useful...... Union, resurgence of nationalism in many of the former Soviet Union republics and volatile economic conditions motivated large swaths of the population to relocate, taking advantage of greater mobility afforded by the post-soviet states. What used to be stable local personal networks, developed over...... the course of a lifetime, became unstable connections to mobile and often long distant contacts (Rose, 2000). This erosion of personal networks had a substantial negative effect on the ability of individual and households to deal with problems and crises, in some cases even leading to social exclusion...

Global issues in volatile substance misuse.

Science.gov (United States)

Dell, Colleen Anne; Gust, Steven W; MacLean, Sarah

2011-01-01

This special issue of Substance Use & Misuse addresses the public health issue of volatile substance misuse (VSM), the inhalation of gases or vapors for psychoactive effects, assessing the similarities and differences in the products misused, patterns, prevalence, etiologies, and impacts of VSM by examining it through sociocultural epidemiology, neuroscience, and interventions research. The Canadian, US, and Australian guest editors contend that, when compared with other drugs used at a similar prevalence, VSM has attracted relatively little research effort. The authors and editors call for further research to develop evidence-based policies and comprehensive interventions that respect culture and context-specific knowledge.

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.

Educational Reform and Modernisation in Europe: The Role of National Contexts in Mediating the New Public Management

Science.gov (United States)

Hall, David; Grimaldi, Emiliano; Gunter, Helen M; Møller, Jorunn; Serpieri, Roberto; Skedsmo, Guri

2015-01-01

This article examines the spread of new public management (NPM) across European education systems as it has traversed national boundaries. While recognising the transnational dimensions of the spread of NPM, the authors offer new insights into the importance of national contexts in mediating this development in educational settings by focusing…

Implementation of a web-based national child health-care programme in a local context: A complex facilitator role.

Science.gov (United States)

Tell, Johanna; Olander, Ewy; Anderberg, Peter; Berglund, Johan Sanmartin

2018-02-01

The aim of this study was to investigate child health-care coordinators' experiences of being a facilitator for the implementation of a new national child health-care programme in the form of a web-based national guide. The study was based on eight remote, online focus groups, using Skype for Business. A qualitative content analysis was performed. The analysis generated three categories: adapt to a local context, transition challenges and led by strong incentives. There were eight subcategories. In the latent analysis, the theme 'Being a facilitator: a complex role' was formed to express the child health-care coordinators' experiences. Facilitating a national guideline or decision support in a local context is a complex task that requires an advocating and mediating role. For successful implementation, guidelines and decision support, such as a web-based guide and the new child health-care programme, must match professional consensus and needs and be seen as relevant by all. Participation in the development and a strong bottom-up approach was important, making the web-based guide and the programme relevant to whom it is intended to serve, and for successful implementation. The study contributes valuable knowledge when planning to implement a national web-based decision support and policy programme in a local health-care context.

Alternative Monetary Systems in the Context of Managing the National Economy

Directory of Open Access Journals (Sweden)

Vartsaba Vira I.

2017-12-01

Full Text Available The aim of the article is to investigate alternative monetary systems, each of which can be an algorithm for managing the national economy. By analyzing, systematizing and summarizing the scientific works of both foreign and domestic scientists, it is established that money is a phenomenon capable of managing the socio-economic relations in the time and space development coordinates following the institutionalized functioning algorithms. There justified the informational nature of money, i.e., that money is artificial information, a peculiar way of understanding social and economic relations, since the monetary subsystem is algorithmizing social and economic relations and is a derivative of the functioning and development of the national economy. The effectiveness of the national currency depends on the built-in algorithms of its functioning, which are realized in the model of the national economy. The study reflects the basic variations of potential alternative monetary systems. In particular, world money, the issuers of which are highly developed countries; S. Gesell’s “free money”; S. Sharapov’s “absolute money”; money secured by commodity values; private money; virtual money — electronic money and crypto currency, etc. Given that the socio-economic system of Ukraine as a synergetic system have been in a state of bifurcation for a long time, the article considers and proposes the most effective way of the development and functioning of the monetary system in the context of a harmonious interrelations with the national economy in time and space coordinates by direct emission of money for innovative projects of development of the national economy. Prospects for further research are the trans-scientific paradigm of managing the national economy.

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...

Rad Hard Non Volatile Memory for FPGA BootLoading, Phase II

Data.gov (United States)

National Aeronautics and Space Administration — Radiation-hardened non volatile memory (NVM) is needed to store the golden copy of the image(s) has not kept pace with the advances in FPGAs. Consider that a single...

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....

Pesticide volatilization from small surface waters : rationale of a new parameterization for TOXSWA

NARCIS (Netherlands)

Jacobs, C.M.J.; Adriaanse, P.I.

2012-01-01

In the TOXSWA (TOXic substances in Surface WAters) model volatilization of pesticides from surface water is computed because it may be an important component of the mass balance of pesticides in water bodies. Here, we briefly review the physics of air-water gas exchange relevant in this context. A

INCUBATORS WITHIN UNIVERSITY AND CLUSTERED CONTEXTS: CASES OF NATIONAL CHIAO TUNG UNIVERSITY (NCTU AND NATIONAL TSING HUA UNIVERSITY (NTHU INCUBATORS IN HSINCHU, TAIWAN

Directory of Open Access Journals (Sweden)

Khairul Akmaliah Adham

2008-01-01

Full Text Available Research literature on business incubators has highlighted the significance of clustered locational contexts and networking as key to an incubator's success. Using the case study approach, this study aimed to test the validity of this framework for explaining the level of success of the National Chiao Tung University (NCTU and National Tsing Hua University (NTHU Incubators in Hsinchu, Taiwan – both of which are highly-networked, cluster-centric and university-based. In-depth interviews were conducted with the managers of both incubators, and these were followed by information gathering on university patents and knowledge transfers from the research and development (R&D office at each university. Analysis found that the incubators' locational contexts determined the degree and manner of their networking, but their profitability and growth potential were influenced by many other factors working in combination. Satisfying their sponsors' requirements and serving their core functions through sound management and strategic planning appeared to be the key to achieving profitability and sustainability, with benefits for all stakeholders. These constructs provide directions for more research on the performance of incubators and other business entities that are located within university and clustered contexts.

Mobility and volatility: What is behind the rising income inequality in the United States

Science.gov (United States)

Wu, Huixuan; Li, Yao

2018-02-01

Inequality of family incomes in the United States has increased significantly in the past four decades. This is largely interpreted as a result of unequal mobility, e.g., the rich can get richer at a faster pace than the rest of the population. However, using nationally representative data and the Fokker-Planck equation, our study shows that income mobility in the United States has remained stable. Instead, we find another factor - income volatility, which measures the instability of incomes - has increased considerably and caused the surge of income inequality. In addition, the rising volatility is associated with the plummeting of income-growth opportunity, creating the feeling that the American Dream is in decline. Volatility has often been overlooked in previous studies on inequality, partially because mobility and volatility are usually studied separately. By contrast, the Fokker-Planck equation takes both mobility and volatility into consideration, making it a more comprehensive model.

Volatilization of Parathion and Chlorothalonil from a Potato Crop Simulated by the PEARL Model

NARCIS (Netherlands)

Leistra, M.; Berg, van den F.

2007-01-01

The volatilization of pesticides from crop canopies in the field should be modeled within the context of evaluating environmental exposure. A model concept based on diffusion through a laminar air-boundary layer was incorporated into the PEARL model (pesticide emission assessment at regional and

ECONOMIC VALENCES OF THE NATIONAL INTEREST IN THE CONTEXT OF FOREIGN DIRECT INVESTMENTS’ INFLOWS

Directory of Open Access Journals (Sweden)

CAMELIA MILEA

2015-03-01

Full Text Available In the context of globalization and the tightening of relationships among countries, we consider to be important an analysis of the national interest of an economy. The national interest is a complex concept consisting of many interests that occur at several levels, converging towards assuring security, freedom, justice and welfare. The state is the main defender of the national interest. The national interest has as objective the definition of the national development priorities in order to ensure the survival and the prosperity of the country concerned, by following a trend of sustainable development and it is based on several factors, including foreign direct investments. These are a necessity for the development of an economy, especially when national savings do not meet the needs of capital for investments. But in order to serve the national interest, foreign direct investments have to be channeled towards the areas of national interest. After the national interest is defined, there are presented the characteristics of the economic national interest and the ways through which foreign direct investments can support the achievement of the economic interest of an economy. Then, the article highlights a few of the areas toward which foreign direct investments should be directed in Romania in order to sustain the sustainable development of our country.

Volatile substance misuse : clinical considerations, neuropsychopharmacology and potential role of pharmacotherapy in management.

Science.gov (United States)

Garland, Eric L; Howard, Matthew O

2012-11-01

Volatile substance misuse is among the most prevalent and toxic forms of psychoactive drug use, and often results in highly deleterious social, psychological and medical consequences. The prevalence of this pernicious form of substance misuse owes in part to the fact that volatile substances of misuse are ubiquitous in the natural environment. Commonly misused commercial products include glue, shoe polish, nail polish remover, butane lighter fluid, gasoline and computer duster spray. National samples of volatile substance misusers tend to exhibit high rates of psychiatric problems and antisocial behaviour. In addition, cognitive impairments and affective dysregulation are often observed among these individuals. Volatile substances exert their complex neuropharmacological effects on dopaminergic, glutamatergic, GABAergic and serotoninergic receptor systems, as well as on cell membranes and ion channels. Concomitantly, pharmacotherapies for volatile substance abuse might profitably target a number of mechanisms, including reward circuitry in the brain, symptoms of craving and withdrawal, neuropsychiatric and emotional impairments that promote volatile substance abuse, and cognitive enhancement to rectify deficits in executive function. This review details the modes of use, subjective effects, epidemiology, adverse consequences, neuropsychopharmacology and drug treatment of volatile substance misuse, and discusses the potential role of novel forms of pharmacological intervention for this oft-overlooked public health threat of epidemic proportions.

More lessons from linalool: insights gained from a ubiquitous floral volatile.

Science.gov (United States)

Raguso, Robert A

2016-08-01

Linalool (3,7-dimethyl-1,6-octadien-3-ol) is a common floral volatile with two distinct enantiomers and related metabolites involved in the full spectrum of plant-pollinator interactions. Recent studies reveal a complex interplay between pollinator attraction and plant defense mediated by linalool and its derivatives, from the smallest (Arabidopsis, Mitella) to the largest (Datura) flowers studied. Accordingly, fig wasps, fungus gnats and moths of all sizes show remarkable electrophysiological, neural and behavioral sensitivity to different enantiomers and quantitative ratios of linalool in floral bouquets. The diverse functions of linalool, ranging from toxin to long distance pollinator attractant are discussed in the broader context of floral volatile ecology and evolution. Copyright © 2016 Elsevier Ltd. All rights reserved.

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

Juxtaposition of micro and macro dynamics of dividend policy on stock price volatility in financial sector of Pakistan : (comparative analysis through common, fixed, random and GMM effect)

OpenAIRE

Hamid, Kashif; Khurram, Muhammad Usman; Ghaffar, Wasim

2017-01-01

The purpose of this study is to analyze the dividend policy dynamics in context to firm specific and macroeconomic variables with stock price volatility in the financial sector of Pakistan. Panel data is used for the period 2006-2014 to identify the common, fixed, random and GMM effect. It is concluded that dividend payout ratio, market value, interest volatility and inflation volatility have positive significant correlation with price volatility. Common effect model shows that dividend payou...

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.

Testing of currency substitution effect on exchange rate volatility in Serbia

Directory of Open Access Journals (Sweden)

Petrović Predrag

2016-01-01

Full Text Available Despite numerous different definitions existing in the literature, currency substitution is generally understood as a phenomenon when domestic residents prefer to use foreign currency rather than domestic currency. The main reasons for such phenomenon include high and volatile inflation, strong depreciation of national currency and high interest rate differential in favour of foreign currency. Currency substitution, as a monetary phenomenon, is widely spread in Latin American, Eastern European and some Asian countries. This paper is dedicated to the influence of currency substitution on exchange rate volatility in Serbia. The research included testing of three hypotheses: (i currency substitution positively affects depreciation rate volatility, (ii depreciation rate volatility has stronger responses to the past negative than to the past positive depreciation shocks, and (iii currency substitution positively affects expected depreciation rate. The analysis was implemented for the period 2002:m1-2015:m12 (2004:m1- 2015:m12, applying modified EGARCH-M model. Based on the obtained results, all three hypotheses have been supremely rejected regardless of the manner of quantification of currency substitution.

Food price volatility and hunger alleviation – can Cannes work?

Directory of Open Access Journals (Sweden)

Hajkowicz Stefan

2012-06-01

Full Text Available Abstract Recent years have seen global food prices rise and become more volatile. Price surges in 2008 and 2011 held devastating consequences for hundreds of millions of people and negatively impacted many more. Today one billion people are hungry. The issue is a high priority for many international agencies and national governments. At the Cannes Summit in November 2011, the G20 leaders agreed to implement five objectives aiming to mitigate food price volatility and protect vulnerable persons. To succeed, the global community must now translate these high level policy objectives into practical actions. In this paper, we describe challenges and unresolved dilemmas before the global community in implementing these five objectives. The paper describes recent food price volatility trends and an evaluation of possible causes. Special attention is given to climate change and water scarcity, which have the potential to impact food prices to a much greater extent in coming decades. We conclude the world needs an improved knowledge base and new analytical capabilities, developed in parallel with the implementation of practical policy actions, to manage food price volatility and reduce hunger and malnutrition. This requires major innovations and paradigm shifts by the global community.

Climate volatility deepens poverty vulnerability in developing countries

Science.gov (United States)

Ahmed, Syud A.; Diffenbaugh, Noah S.; Hertel, Thomas W.

2009-07-01

Extreme climate events could influence poverty by affecting agricultural productivity and raising prices of staple foods that are important to poor households in developing countries. With the frequency and intensity of extreme climate events predicted to change in the future, informed policy design and analysis requires an understanding of which countries and groups are going to be most vulnerable to increasing poverty. Using a novel economic-climate analysis framework, we assess the poverty impacts of climate volatility for seven socio-economic groups in 16 developing countries. We find that extremes under present climate volatility increase poverty across our developing country sample—particularly in Bangladesh, Mexico, Indonesia, and Africa—with urban wage earners the most vulnerable group. We also find that global warming exacerbates poverty vulnerability in many nations.

Climate volatility deepens poverty vulnerability in developing countries

International Nuclear Information System (INIS)

Ahmed, Syud A; Diffenbaugh, Noah S; Hertel, Thomas W

2009-01-01

Extreme climate events could influence poverty by affecting agricultural productivity and raising prices of staple foods that are important to poor households in developing countries. With the frequency and intensity of extreme climate events predicted to change in the future, informed policy design and analysis requires an understanding of which countries and groups are going to be most vulnerable to increasing poverty. Using a novel economic-climate analysis framework, we assess the poverty impacts of climate volatility for seven socio-economic groups in 16 developing countries. We find that extremes under present climate volatility increase poverty across our developing country sample-particularly in Bangladesh, Mexico, Indonesia, and Africa-with urban wage earners the most vulnerable group. We also find that global warming exacerbates poverty vulnerability in many nations.

Anything but engaged: user involvement in the context of a national electronic health record implementation.

Science.gov (United States)

Cresswell, Kathrin; Morrison, Zoe; Crowe, Sarah; Robertson, Ann; Sheikh, Aziz

2011-01-01

The absence of meaningful end user engagement has repeatedly been highlighted as a key factor contributing to 'failed' implementations of electronic health records (EHRs), but achieving this is particularly challenging in the context of national scale initiatives. In 2002, the National Health Service (NHS) embarked on a so-called 'top-down' national implementation strategy aimed at introducing commercial, centrally procured, EHRs into hospitals throughout England. We aimed to examine approaches to, and experiences of, user engagement in the context of a large-scale EHR implementation across purposefully selected hospital care providers implementing early versions of nationally procured software. We conducted a qualitative, case-study based, socio-technically informed, longitudinal investigation, purposefully sampling and collecting data from four hospitals. Our data comprised a total of 123 semi-structured interviews with users and managers, 15 interviews with additional stakeholders, 43 hours of non-participant observations of meetings and system use, and relevant organisation-specific documents from each case study site. Analysis was thematic, building on an existing model of user engagement that was originally developed in the context of studying the implementation of relatively simple technologies in commercial settings. NVivo8 software was used to facilitate coding. Despite an enduring commitment to the vision of shared EHRs and an appreciation of their potential benefits, meaningful end user engagement was never achieved. Hospital staff were not consulted in systems choice, leading to frustration; they were then further alienated by the implementation of systems that they perceived as inadequately customised. Various efforts to achieve local engagement were attempted, but these were in effect risk mitigation strategies. We found the role of clinical champions to be important in these engagement efforts, but progress was hampered by the hierarchical structures

Cross-National Variations in Student Employment and Academic Performance: The Roles of National Context and International Law.

Science.gov (United States)

Byun, Soo-Yong; Henck, Adrienne; Post, David

Most existing research indicates that working students perform more poorly than do full-time students on standardized achievement tests. However, we know there are wide international variations in this gap. This article shows that national and international contexts help to explain the gap in the academic performance between working and non-working middle-school students. We combined data from the 2003 Trends in International Mathematics and Science Study (TIMSS) eighth-grade assessment with the country specific information on socioeconomic and educational conditions, as well as the timing of each country's ratification of an international treaty regulating child labor. Our multilevel analyses show that, while student employment was generally negatively associated with academic performance, this negative association is smaller in countries that by 1995 had ratified the International Labour Organization's Convention No. 138 on child labor. These findings highlight the role of national and international policy in structuring the consequences of student employment for academic performance.

Cross-National Variations in Student Employment and Academic Performance: The Roles of National Context and International Law*

Science.gov (United States)

Byun, Soo-yong; Henck, Adrienne; Post, David

2014-01-01

Most existing research indicates that working students perform more poorly than do full-time students on standardized achievement tests. However, we know there are wide international variations in this gap. This article shows that national and international contexts help to explain the gap in the academic performance between working and non-working middle-school students. We combined data from the 2003 Trends in International Mathematics and Science Study (TIMSS) eighth-grade assessment with the country specific information on socioeconomic and educational conditions, as well as the timing of each country's ratification of an international treaty regulating child labor. Our multilevel analyses show that, while student employment was generally negatively associated with academic performance, this negative association is smaller in countries that by 1995 had ratified the International Labour Organization's Convention No. 138 on child labor. These findings highlight the role of national and international policy in structuring the consequences of student employment for academic performance. PMID:25632163

National Contexts Influencing Principals' Time Use and Allocation: Economic Development, Societal Culture, and Educational System

Science.gov (United States)

Lee, Moosung; Hallinger, Philip

2012-01-01

This study examines the impact of macro-context factors on the behavior of school principals. More specifically, the article illuminates how a nation's level of economic development, societal culture, and educational system influence the amount of time principals devote to their job role and shape their allocation of time to instructional…

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.

Volatility Exposure for Strategic Asset Allocation

OpenAIRE

Briere, Marie; Burgues, Alexandre; Signori, Ombretta

2008-01-01

This paper examines the advantages of incorporating strategic exposure to equity volatility into the investment-opportunity set of a long-term equity investor. We consider two standard volatility investments: implied volatility and volatility risk premium strategies. To calibrate and assess the risk/return profile of the portfolio, we present an analytical framework offering pragmatic solutions for long-term investors seeking exposure to volatility. The benefit of volatility exposure for a co...

The Volatility of Oil Prices on Stock Exchanges in the Context of Recent Events

Directory of Open Access Journals (Sweden)

Popescu Maria-Floriana

2016-04-01

Full Text Available Oil along with currencies and gold are the main indicators of the most important processes which take place in the world economy, quotations’ volatility being always followed by economic and social events. Quiet periods of oil prices, when quotations have a constant evolution or only suffer minor fluctuations, are very rare. Most of the time, very sharp price increases or decreases are happening over night or week. This is mostly due to the fact that the oil market is extremely speculative, being influenced by political, military, social, or meteorological events. Since the major oil price shocks of the 70s, the impact of oil price changes on the economic reality of a country or region has been widely studied by academic researchers. Moreover, the stock market plays an important role in the economic welfare and development of a country. Therefore, a vast number of studies have investigated the relationship between oil prices and stock market returns, being discovered significant effects of oil price shocks on the macroeconomic activity for both developed and emerging countries. The purpose of this study is to investigate the volatility of oil prices on stock exchanges taking into consideration the recent events that have affected the oil markets around the globe. Furthermore, based on the findings of this research, some possible scenarios will be developed, taking into account various events that might take place and their potential outcome for oil prices’ future.

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.

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)

Management of psychosocial risks in European workplaces: drivers and barriers in a national and cultural context

NARCIS (Netherlands)

Heuvel, S. van den; Bakhuys Roozeboom, M.M.C.; Eekhout, I.; Houtman, I.L.D.

2017-01-01

Management of psychosocial risks in European workplaces; drivers and barriers in a national and cultural context. General objective of the project commissioned by the European Agency for Safety and Health at Work (EU-OSHA) is to support policy makers in stimulating successful psychosocial risk (PSR)

The volatility of HOL

International Nuclear Information System (INIS)

Wren, D.J.; Sanipelli, G.

1985-01-01

The volatility of HOI has been measured using a mass spectrometer to analyze the gas phase above an aqueous solution. The HOI in solution was generated continuously in a flow reactor that combined I/sup -/ and OCl/sup -/ solutions. The analysis has resulted in a lower limit of 6X10/sup 3/ mol . dm/sup -3/ . atm/sup -1/ for the equilibrium constant for the reaction HOI(g)/equilibrium/HOI(aq). This value is a factor 30 greater than the best previous estimate. This new limit for HOI volatility results in higher total iodine partition coefficients, particularly for solutions with pH>8. The upper limit for the equilibrium constant is consistent with essentially zero volatility for HOI. The effect of HOI volatility on total iodine volatility is briefly discussed as a function of solution chemistry and kinetics

The National Bank of Ukraine Communication Strategy Optimization within the Framework of Impact on Exchange Rate Expectations of Economic Agents

Directory of Open Access Journals (Sweden)

Roksolana Holub

2017-09-01

Full Text Available An important challenge in terms of smoothing excessive exchange rate volatility under the conditions of flexible exchange rate arrangement is optimization of the communication strategy of the country’s monetary regulator. Over the past two decades, communication (information support has become an increasingly important aspect of monetary policy. Communication enables influence of the volatility of financial markets, improvement of the predictability of monetary policy, and helps to achieve macroeconomic objectives. Nevertheless, as of today, consensus on the issue into what the optimal strategy of the central bank communication is has not been reached, either in Ukraine, nor in developed countries yet. Considering the abovementioned, the methodical approaches to improve the central bank’s communication strategies, based on the use of its verbal interventions in the context of smoothing out excessive cyclical volatility of exchange rates of the national currency, are determined in this article. It is suggested to consider the growth of the factor “information signal/information noise” as a criterion of the central bank’s optimal communication strategy. It is proved that the monetary regulator’s main task should be the continual provision of information concerning a fundamentally justified level of the exchange rate and the level of deviation of the actual rate of the national currency from its fundamental-equilibrium level, as of a given time, to the national foreign exchange market participants. The methodological approach to the improvement of information support of forecasting fundamentally specified value of the national currency is outlined.

Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context

OpenAIRE

Flint, Emlyn; Maré, Eben

2017-01-01

Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed. However, many researchers have shown that this assumption is violated in practice. Such violations include the statistical properties of heavy tails, volatility clustering, leptokurtosis and long memory. This paper considers the pricing of contingent claims when the underlying is assumed to display long memor...

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

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...

Measuring the costs of exchange rate volatility

OpenAIRE

Paul R. Bergin

2004-01-01

Many countries go to great lengths to manage their exchange rates. Probably the most prominent recent example is the European Monetary Union, where all the members abandoned their national currencies and adopted the euro. A number of developing countries maintain other kinds of regimes of managed exchange rates, even though they face potent market pressures to let their exchange rates float. One of the main motives for these arrangements stems from the extreme volatility of exchange rates. Th...

Findings of the International Subarachnoid Aneurysm Trial and the National Study of Subarachnoid Haemorrhage in context.

Science.gov (United States)

Reeves, B C; Langham, J; Lindsay, K W; Molyneux, A J; Browne, J P; Copley, L; Shaw, D; Gholkar, A; Kirkpatrick, P J

2007-08-01

Concern has been expressed about the applicability of the findings of the International Subarachnoid Aneurysm Trial (ISAT) with respect to the relative effects on outcome of coiling and clipping. It has been suggested that the findings of the National Study of Subarachnoid Haemorrhage may have greater relevance for neurosurgical practice. The objective of this paper was to interpret the findings of these two studies in the context of differences in their study populations, design, execution and analysis. Because of differences in design and analysis, the findings of the two studies are not directly comparable. The ISAT analysed all randomized patients by intention-to-treat, including some who did not undergo a repair, and obtained the primary outcome for 99% of participants. The National Study only analysed participants who underwent clipping or coiling, according to the method of repair, and obtained the primary outcome for 91% of participants. Time to repair was also considered differently in the two studies. The comparison between coiling and clipping was susceptible to confounding in the National Study, but not in the ISAT. The two study populations differed to some extent, but inspection of these differences does not support the view that coiling was applied inappropriately in the National Study. Therefore, there are many reasons why the two studies estimated different sizes of effect. The possibility that there were real, systematic differences in practice between the ISAT and the National Study cannot be ruled out, but such explanations must be seen in the context of other explanations relating to chance, differences in design or analysis, or confounding.

Strategies for using international domain standards within a national context: The case of the Dutch temporary staffing industry

NARCIS (Netherlands)

Folmer, Erwin Johan Albert; van Bekkum, Michael; Verhoosel, Jack

2009-01-01

This paper will discuss strategies for using international domain standards within a national context. The various strategies are illustrated by means of a case study of the temporary staffing industry.

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.

An innovative technique to improve safety of volatile anesthetics suction from the cardiopulmonary bypass circuit

Directory of Open Access Journals (Sweden)

Francesco De Simone

2017-01-01

Full Text Available Context: Myocardial injury during cardiac surgery on cardiopulmonary bypass (CPB is a major determinant of morbidity and mortality. Preclinical and clinical evidence of dose- and time-related cardioprotective effects of volatile anesthetic drugs exist and their use during the whole surgery duration could improve perioperative cardiac protection. Even if administering volatile agents during CPB are relatively easy, technical problems, such as waste gas scavenging, may prevent safe and manageable administration of halogenated vapors during CPB. Aims: The aim of this study is to improve the safe administration of volatile anesthesia during CPB. Settings and Design: Tertiary teaching hospital. Subjects and Methods: We describe an original device that collects and disposes of any volatile anesthetic vapors present in the exit stream of the oxygenator, hence preventing its dispersal into the operating theatre environment and adaptively regulates pressure of oxygenator chamber in the CPB circuit. Results: We have so far applied a prototype of this device in more than 1300 adult cardiac surgery patients who received volatile anesthetics during the CPB phase. Conclusions: Widespread implementation of scavenging system like the one we designed may facilitate the perfusionist and the anesthesiologist in delivering these cardioprotective drugs with beneficial impact on patients' outcome without compromising on safety.

The brazilian alcohol program in the national energy context

International Nuclear Information System (INIS)

Oliveira, A. de; Araujo, J.L.R.H. de

1987-01-01

The new national as well as international energy context demands revision of the Brazilian Alcohol Program. This revision should aim at the preservation of alcohol as an energy source while reducing subsidies. To this end a moratorium on new distilleries should be enforced till the middle of the next decade, accompanied by a policy focusing on cost reductions and improvements in productivity aimed at making alcohol competitive in the middle term, as well as a motor fuel policy which acts on demand and makes this moratorium viable while preserving the existing production structure. Concrete mechanisms to implement such a policy are proposed which segment the market for new vehicles and preserve the stability of alcohol and gasoline markets for existing vehicles. The effects of this policy were analyzed through simulation of 7 scenarios through the year 2005, which showed its feasibility; the continuation of the present policy, on the other hand, implies heavy additional subsidies. (author)

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

Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns

DEFF Research Database (Denmark)

Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour

The main contribution of this paper is to propose bootstrap methods for realized volatility-like estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009). This statistic can be written (up to a bias......-overlapping nature of the pre-averaged returns implies that these are asymptotically independent, but possibly heteroskedastic. This motivates the application of the wild bootstrap in this context. We provide a proof of the first order asymptotic validity of this method for percentile and percentile-t intervals. Our...... Monte Carlo simulations show that the wild bootstrap can improve the finite sample properties of the existing first order asymptotic theory provided we choose the external random variable appropriately. We use empirical work to illustrate its use in practice....

Impact of Dividend Policy on Share Price Volatility: UK Evidence

OpenAIRE

ZHANG, YIDING

2012-01-01

This research attempts to shed light on the linkage between dividend policy and share price volatility in the context of UK. As a rework and extension of pervious research, the study is expected to reveal the potential impact of dividend change on the fluctuation of stock price, taking existing theoretical and empirical framework as basis. A snapshot of UK economy is provided after the preceding introductory section. The third chapter consists of a review of theories and empirical studies. Wi...

Going against the flow: A critical analysis of virtual water trade in the context of India's National River Linking Programme

NARCIS (Netherlands)

Verma, Shilp; Kampman, Doeke A.; van der Zaag, Pieter; Hoekstra, Arjen Ysbert

2008-01-01

Virtual water trade has been promoted as a tool to address national and regional water scarcity. In the context of international (food) trade, this concept has been applied with a view to optimize the flow of commodities considering the water endowments of nations. The concept states that water-rich

Volatility Informed Trading in the Options Market: Evidence from India

Directory of Open Access Journals (Sweden)

Rajesh Pathak

2015-12-01

Full Text Available The purpose of this paper is to investigate the trading activity in options market based on information about expected future volatility in spot market. We employ Common Implied Volatility as a measure of expected volatility and options volume and changes in Open Interests as measures of options trading activity. We first test for simultaneous information flow in the two markets using multiple regression technique. Next, we test for information based or hedge based use of options using Trivariate Vector-auto Regression framework. We further consider the classes of options moneyness and the market trends in our analysis to examine if the trader’s preference of options changes with change in description of options intrinsic value and market environment. We use daily closing data of S&P CNX Nifty Index options traded on National Stock Exchange, India. We, for the most part, find negative and significant relationship in contemporaneous regression suggesting active trading by arbitrageurs. A feedback relationship is observed in vector auto regression analysis suggesting that options are traded in India for both information based trading and hedging purposes. We also observe the relationship to be varying when market trends and classes of options moneyness are considered. This indicates that traders are not indifferent in their choice of trading venue when market conditions and factors change. The results of this study are helpful for traders in managing the risk and return of their portfolio based on volatility forecast. This study is distinctive as it examines the scarcely researched area of volatility informed trading in an emerging market set up.

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)

Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis

International Nuclear Information System (INIS)

Worthington, A.; Kay-Spratley, A.; Higgs, H.

2005-01-01

This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market: namely, New South Wales, Queensland, South Australia, the Snowy Mountains Hydroelectric Scheme and Victoria. A multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary. (author)

Race, Urban Context, and Russian Roulette: Findings from the National Violent Death Reporting System, 2003-2006

Science.gov (United States)

Wasserman, Ira; Stack, Steven

2011-01-01

Previous work on Russian roulette has focused on data from large cities. It is unclear if the epidemiological patterns based on large cities will replicate for the nation as a whole, and if the influence of minority status will be moderated by urban context. The present investigation fills these gaps by providing descriptive epidemiological data…

Testing the Relationship between Interest Rates Volatility and Market Capitalization: the case of Mauritius

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Edesiri Godsday Okoro

2014-12-01

Full Text Available This paper tests the relationship between interest rates volatility and market capitalization in Mauritius. Using annual time series data sourced from the Financial Services Commission Annual Statistical Bulletin of Mauritius during the period 2006 through 2010, data of interest rates volatility and market capitalization were estimated in a non-linear model using the Vector Auto-regression technique. The study found that interest rates volatility has significant effect on the level of market capitalization although a negative effect. This implies a negative relationship between interest rates volatility and market capitalization. Thus, if market capitalization is affected by interest rates, then the economy becomes highly susceptible to volatile external distress. This indicates some dangers for the economic survival of Mauritius. It was on this note that we recommended an effective policy aimed at stabilizing macroeconomic variable like interest rates, focusing at the same time on alternative measures of promoting market capitalization if aggregate economic growth must be harnessed. Policymakers should design the optimal policy mix that would help the nation cope efficiently with the economic and social costs of the external distress accompanying higher and dwindling interest rates in Mauritius.

Impact of Intellectual Property in National and Business Development under the Context of the Current Globalization

Directory of Open Access Journals (Sweden)

Stalin Ballesteros García

2016-12-01

Full Text Available The objective of the document is to show the impact of the intellectual property on the national and enterprise development in the globalization context since the early twenty-first century. First, it is a historical telling of the intellectual property and its role in the international society; then outlining the arguments to infer the incidence degree of the intellectual property in the economic development of countries and then discussing the inclusion impact of concepts directly related to the intellectual property in business growth activities. It concludes with a reflection on the Colombian situation, in public and private context, in terms of intellectual property.

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

Alberta’s Changing Industrial Structure: Implications for Output and Income Volatility

Directory of Open Access Journals (Sweden)

Bev Dahlby

2018-02-01

: 16 other sectors in Alberta are linked to the same boom-bust cycle as the oil and gas sector. The more important diversification issue in the province is not output volatility, but the volatility of labour income. In the last 20 years, labour income has become increasingly concentrated in Alberta’s two most volatile sectors, oil and gas extraction and construction. As a result, volatility of aggregate labour income in Alberta increased by 40 per cent during that period. Rather than trying to change Alberta’s industrial mix by subsidizing industries that may only contribute to more volatility of economic output, a more sensible government approach would be to adopt policies that address the problem of labourincome volatility. That would include finding ways to expand unemployment insurance for Alberta workers, as the current federal government policy actually provides fewer supports to unemployed Albertans than it does to residents of other regions. Average weekly earnings of Albertans were 20 per cent higher than national average weekly earnings over the 2012 to 2016 period. However, maximum annual insurable earnings under EI are determined based on national average weekly earnings. Higherwage earners should have the opportunity to enrol in a voluntary supplemental EI program, and if the federal government does not want to provide it, the provincial government could. Additionally, the government can promote self-insurance among workers by expanding tax-sheltered savings products, like tax-free savings accounts, so workers can accumulate back-up funds when labour incomes are high, to help sustain them during downturns. Finally, the provincial government needs to abandon its procyclical spending patterns. That means spending less money when oil revenues are high, to avoid exacerbating labour and material shortages, and maintaining spending, rather than forced cutbacks, during downturns in the economy. That, of course, would require a great deal more political

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...

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.

Which Societies Provide a Strong Religious Socialization Context? Explanations Beyond the Effects of National Religiosity

OpenAIRE

Müller, Tim; De Graaf, Nan Dirk; Schmidt, Peter

2014-01-01

Religious socialization occurs within the immediate family as well as in the broader social context. Previous research has shown that parents religiosity matters less for the transmission of religious beliefs in devout than in secular nations, implying smaller costs of religious socialization. In this article we test which other societal factors affect the transmission of religious beliefs: anti-religious policies in formerly socialist countries, economic development, and income inequality. O...

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.

National Treatment under GATT Article III: 2 and its Applicability in the Context of Korea's FTAs

Directory of Open Access Journals (Sweden)

Sherzod Shadikhodjaev

2008-06-01

Full Text Available GATT Article III: 2 on national treatment on internal taxation is an integral part of Korea's FTAs. Therefore, GATT/WTO case law provides useful guidance on proper application of this provision in the FTA context. Article III:2 involves a multi-tiered test of several issues including likeness, discriminatory threshold, and protective application of a tax measure. When the FTA parties enter into a dispute over national treatment, the problem of applicable law may arise. First, FTA panels are not obliged to rely on GATT/WTO jurisprudence. Nevertheless, given the incorporation of GATT Article III into the FTA, it is suggested that FTA panels follow WTO case law to secure consistent and predictable applGATT Article III: 2 on national treatment on internal taxation is an integral part of Korea's FTAs. Therefore, GATT/WTO case law provides useful guidance on proper application of this provision in the FTA context. Article III:2 involves a multi-tiered test of several issues including likeness, discriminatory threshold, and protective application of a tax measure. When the FTA parties enter into a dispute over national treatment, the problem of applicable law may arise. First, FTA panels are not obliged to rely on GATT/WTO jurisprudence. Nevertheless, given the incorporation of GATT Article III into the FTA, it is suggested that FTA panels follow WTO case law to secure consistent and predictable application of the national treatment rule. Second, it is questionable whether WTO panels can examine claims under the GATT-plus provisions on national treatment contained in the FTA. In order to avoid possible jurisprudential difficulties, disputing parties may choose to refer the matter to an FTA panel, instead of launching a WTO dispute settlement procedure. Alternatively, the parties may agree, pursuant to DSU Article 7.3, on non-standard terms of reference of the panel where a GATT-plus provision is explicitly listed. In both scenarios, the GATT

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...

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

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

Social Contexts of Substance Use among U.S. High School Seniors: A Multi-Cohort National Study

Science.gov (United States)

McCabe, Sean Esteban; West, Brady T.; Veliz, Philip; Frank, Kenneth A.; Boyd, Carol J.

2015-01-01

Purpose To determine the social contexts associated with past-year substance use (multiple substances, alcohol, marijuana, and nonmedical use of prescription opioids, stimulants and tranquilizers) among U.S. high school seniors. Methods A secondary analysis of nationally representative survey data from ten cohorts (2002-2011) of the Monitoring the Future study, including 24,809 high school seniors. Results The social contexts associated with past-year substance use varied considerably based on which substance was used. The most prevalent location for alcohol, marijuana, and polydrug use was at a party while nonmedical use of prescription stimulants, tranquilizers and opioids was most likely to occur at home. Most types of substance use occurred in the presence of other people with the exception of nonmedical use of prescription stimulants that was a more solitary behavior. Conclusions These exploratory findings indicate that prevention efforts may need to account for differences in social contexts between types of substances used. PMID:25156895

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.

Volatility smile as relativistic effect

Science.gov (United States)

Kakushadze, Zura

2017-06-01

We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution (1) is properly normalized and (2) obeys the tower law (semigroup property), so we can construct martingales and self-financing hedging strategies and price claims (options). This model is a 1-constant-parameter extension of the Black-Scholes-Merton model. The new parameter is the analog of the speed of light in Special Relativity. However, in the financial context there is no ;speed limit; and the new parameter has the meaning of a characteristic diffusion speed at which relativistic effects become important and lead to a much softer asymptotic behavior, i.e., fat tails, giving rise to volatility smiles. We argue that a nonlocal stochastic description of such (Lévy) processes is inadequate and discuss a local description from physics. The presentation is intended to be pedagogical.

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

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

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

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.

Jakartans, Institutionally Volatile

Directory of Open Access Journals (Sweden)

Masaaki OKAMOTO

2014-01-01

Full Text Available Jakarta recently has gained even more central political attention in Indonesia since Joko Widodo (Jokowi and Basuki Purnama (Ahok became, respectively, the province’s governor and vice-governor in 2012. They started a series of eye-catching and populist programmes, drawing popular support from not only the people of Jakarta, but also among Indonesians in general. Jokowi is now even the most popular candidate for the presidential election in 2014. Their rise is phenomenal in this sense, but it is understandable if we look at Jakartan voters’ behaviour and the institutional arrangement that leads to it. Jakarta, as the national capital, has a unique arrangement in that the province has no autonomous regency or city. This paper argues that this arrangement causes Jakartans to be more politically volatile and describes how this institutional arrangement was created by analysing the minutes of the meeting to discuss the laws concerning Jakarta Province.

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

National context, parental socialization, and religious belief: Results from 15 nations

NARCIS (Netherlands)

Kelley, J.; Graaf, N.D. de

1997-01-01

How much does a nation's religious environment affect the religious beliefs of its citizens? Do religious nations differfrom secular nations in how beliefs are passed on from generation to generation? To find out, we use data from the 1991 International Social Survey Programme collected in 15

Predictive policing in an endangered species context: Combating rhino poaching in the Kruger National Park

CSIR Research Space (South Africa)

Mouton, H

2012-10-10

Full Text Available in an endangered species context: Combating rhino poaching in the Kruger National Park Emerging Researcher Symposium Presented by Hildegarde Mouton 10 October 2012 A new approach ? CSIR 2012 Slide 2 * Images courtesy of web.up.ac.za and Google Earth... certain values correspond to certain colours ? Obtained by fusing different sources of information ? Makes use of static and dynamic, historic and new data ? CSIR 2012 Slide 12 Research approach ? CSIR 2012 Slide 13 Theory building Solution...

Modelling electricity futures prices using seasonal path-dependent volatility

International Nuclear Information System (INIS)

Fanelli, Viviana; Maddalena, Lucia; Musti, Silvana

2016-01-01

Highlights: • A no-arbitrage term structure model is applied to the electricity market. • Volatility parameters of the HJM model are estimated by using German data. • The model captures the seasonal price behaviour. • Electricity futures prices are forecasted. • Call options are evaluated according to different strike prices. - Abstract: The liberalization of electricity markets gave rise to new patterns of futures prices and the need of models that could efficiently describe price dynamics grew exponentially, in order to improve decision making for all of the agents involved in energy issues. Although there are papers focused on modelling electricity as a flow commodity by using Heath et al. (1992) approach in order to price futures contracts, the literature is scarce on attempts to consider a seasonal volatility as input to models. In this paper, we propose a futures price model that allows looking into observed stylized facts in the electricity market, in particular stochastic price variability, and periodic behavior. We consider a seasonal path-dependent volatility for futures returns that are modelled in Heath et al. (1992) framework and we obtain the dynamics of futures prices. We use these series to price the underlying asset of a call option in a risk management perspective. We test the model on the German electricity market, and we find that it is accurate in futures and option value estimates. In addition, the obtained results and the proposed methodology can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.

[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.

Going against the flow: a critical analysis of inter-state virtual water trade in the context of India's national river linking programme

NARCIS (Netherlands)

Verma, Shilp; Kampman, Doeke A.; van der Zaag, Pieter; Hoekstra, Arjen Ysbert

2009-01-01

Virtual water trade has been promoted as a tool to address national and regional water scarcity. In the context of international (food) trade, this concept has been applied with a view to optimize the flow of commodities considering the water endowments of nations. The concept states that water rich

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)

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....

ANALYTICAL APPROACH OF THE VOLATILE FRACTION OF Solanum quitoense BY HS-SPME/GC-MS

Directory of Open Access Journals (Sweden)

EDUARDO CORPAS IGUARÁN

2017-07-01

Full Text Available The species of lulo fruit (Solanum quitoense, predominant in Colombia, is a promising fruit for both national and international market due to its flavor and nutritional characteristics, which generated the interest to know the volatile composition of its pulp. After adjusting, the chromatographic conditions necessary to analyze volatile fraction of this fruit, the effect of the temperature and time of adsorption was measured through the headspace - solid phase microextraction (HS-SPME and gas chromatography - mass spectrometry (GC-MS, on the area of volatile compounds of S. quitoense, by applying the experimental design of a factor. The descriptive analysis suggested that the adsorption at 60°C and 30 minutes promoted optimal recovery of volatiles as well as internal standard (1-Octanol, with recovery of 99,66% at 60ºC, while the non-parametric test Kruskal-Wallis showed statistical differences in the effect of time (P= 0,018, but not of the temperature adsorption (P= 0,058 upon the volatiles compounds area. A predominance of esters (48,98%, aldehydes (18,37%, and alcohols (14,29% was observed and also were found compounds of greatest area such as 3-hexen-1-ol acetate, acetic acid methyl ester, and acetic acid hexyl ester. These metabolites determine the characteristic aroma from lulo pulp and influence the consumer preference.

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

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

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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.

American option pricing with stochastic volatility processes

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Ping LI

2017-12-01

Full Text Available In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are analyzed and discussed. In view of the fact that there is no analytical American option pricing formula, through the space discretization parameters, the stochastic partial differential equation satisfied by American options with Heston stochastic volatility is transformed into the corresponding differential equations, and then using high order compact finite difference method, numerical solutions are obtained for the option price. The numerical experiments are carried out to verify the theoretical results and simulation. The two kinds of optimal exercise boundaries under the conditions of the constant volatility and the stochastic volatility are compared, and the results show that the optimal exercise boundary also has stochastic volatility. Under the setting of parameters, the behavior and the nature of volatility are analyzed, the volatility curve is simulated, the calculation results of high order compact difference method are compared, and the numerical option solution is obtained, so that the method is verified. The research result provides reference for solving the problems of option pricing under stochastic volatility such as multiple underlying asset option pricing and barrier option pricing.

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.

National public health policy in a local context--implementation in two Swedish municipalities.

Science.gov (United States)

Jansson, Elisabeth; Fosse, Elisabeth; Tillgren, Per

2011-12-01

In 2003 the wide-ranging Swedish National Public Health Policy (SNPHP), with a focus on health determinants, was adopted by the Swedish parliament. In the context of multilevel governance, SNPHP implementation is dependent on self-governed municipalities and counties. The aim of the study is, from a municipal perspective, to investigate public-health policies in two municipalities. Content analysis of documents and interviews provided a foundation for an explorative case study. The SNPHP at national level is overriding but politically controversial. At local level, a health-determinants perspective was detectable in the policies implemented, but none regarding to health equality. At local level, the SNPHP is not regarded as implementable; rather, limited parts have, to varying degrees, been reconciled with local public-health goals, according to municipal needs and conditions. A success-promoting factor in the two municipalities was the presence of committed and knowledgeable actors/implementers. Also, the municipality with a more centrally controlled and stable party-political leadership succeeded better in implementing structural and intersectoral community-wide policies for coordinated local health promotion. The contents of national and local public-health policies differ, and municipalities that have implemented their own local health policies do not seem to regard the SNPHP as justifiable or adoptable. If the SNPHP overall aim regarding equal health is to be achieved homogeneously in Swedish municipalities, its contents and purpose need clearer management and negotiation, so that implementation of the national policy locally is understandable and motivated. Copyright © 2011 Elsevier Ireland Ltd. All rights reserved.

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.

Measuring School Contexts

Directory of Open Access Journals (Sweden)

Chandra L. Muller PhD

2015-11-01

Full Text Available This article describes issues in measuring school contexts with an eye toward understanding students’ experiences and outcomes. I begin with an overview of the conceptual underpinnings related to measuring contexts, briefly describe the initiatives at the National Center for Education Statistics to measure school contexts, and identify possible gaps in those initiatives that if filled could provide valuable new data for researchers. Next, I discuss new approaches and opportunities for measurement, and special considerations related to diverse populations and youth development. I conclude with recommendations for future priorities.

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.

Predictable dynamics in implied volatility smirk slope : evidence from the S&P 500 options

OpenAIRE

Onan, Mustafa

2012-01-01

Ankara : The Department of Management, İhsan Doğramacı Bilkent University, 2012. Thesis (Master's) -- Bilkent University, 2012. Includes bibliographical references. This study aims to investigate whether there are predictable patterns in the dynamics of implied volatility smirk slopes extracted from the intraday market prices of S&P 500 index options. I compare forecasts obtained from a short memory ARMA model and a long memory ARFIMA model within an out-of-sample context ov...

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

Alcohol marketing on YouTube: exploratory analysis of content adaptation to enhance user engagement in different national contexts.

Science.gov (United States)

Gupta, Himanshu; Lam, Tina; Pettigrew, Simone; Tait, Robert J

2018-01-16

We know little about how social media alcohol marketing is utilized for alcohol promotion in different national contexts. There does not appear to be any academic work on online exposure to alcohol marketing via social media in India, and most of the limited research in Australia has focused on Facebook. Hence, the present study extends previous research by investigating alcohol promotion conducted on an under-researched form of social media (YouTube) in two contrasting geographic contexts. This study examines and compares the types of strategies used by marketers on Indian and Australian alcohol brands with the greatest YouTube presence, and the extent to which users engage with these strategies. The 10 alcohol brands per country with the greatest YouTube presence were identified based on the number of 'subscriptions'. The number of videos, views per video, and the type of content within the videos were collected for each brand. The data were analyzed using an inductive coding approach, using NVivo 10. The targeted brands had gathered 98,881 subscriptions (Indian brands: n = 13,868; Australian brands: n = 85,013). The type of marketing strategies utilized by brands were a mix of those that differed by country (e.g. sexually suggestive content in India and posts related to the brand's tradition or heritage in Australia) and generic approaches (e.g. encouraging time- and event-specific drinking; demonstrations of food/cocktail recipes; camaraderie; competitions and prize draws; and brand sponsorship at music, sports, and fashion events). This cross-national comparison demonstrates that YouTube provides alcohol marketers with an advertising platform where they utilize tailored marketing approaches to cater to specific national contexts and develop content on the cultural meanings users invoke in their interactions with these strategies. Those exposed to alcohol marketing on YouTube are likely to include those under the legal drinking age.

Siderophile Volatile Element Partitioning during Core Formation.

Science.gov (United States)

Loroch, D. C.; Hackler, S.; Rohrbach, A.; Klemme, S.

2017-12-01

Since the nineteen sixties it is known, that the Earth's mantle is depleted relative to CI chondrite in numerous elements as a result of accretion and core-mantle differentiation. Additionally, if we take the chondritic composition as the initial solar nebular element abundances, the Earth lacks 85 % of K and up to 98 % of other volatiles. However one potentially very important group of elements has received considerably less attention in this context and these elements are the siderophile but volatile elements (SVEs). SVEs perhaps provide important information regarding the timing of volatile delivery to Earth. Especially for the SVEs the partitioning between metal melt and silicate melt (Dmetal/silicate) at core formation conditions is poorly constrained, never the less they are very important for most of the core formation models. This study is producing new metal-silicate partitioning data for a wide range of SVEs (S, Se, Te, Tl, Ag, As, Au, Cd, Bi, Pb, Sn, Cu, Ge, Zn, In and Ga) with a focus on the P, T and fO2dependencies. The initial hypothesis that we are aiming to test uses the accretion of major portions of volatile elements while the core formation was still active. The key points of this study are: - What are the effects of P, T and fO2 on SVE metal-silicate partioning? - What is the effect of compositional complexity on SVE metal-silicate partioning? - How can SVE's D-values fit into current models of core formation? The partitioning experiments will be performed using a Walker type multi anvil apparatus in a pressure range between 10 and 20 GPa and temperatures of 1700 up to 2100 °C. To determine the Dmetal/silicate values we are using a field emission high-resolution JEOL JXA-8530F EPMA for major elements and a Photon Machines Analyte G2 Excimer laser (193 nm) ablation system coupled to a Thermo Fisher Element 2 single-collector ICP-MS (LA-ICP-MS) for the trace elements. We recently finished the first sets of experiments and can provide the

DWAF water services IAM strategy positioned within the context of other major national IAM initiatives

CSIR Research Space (South Africa)

Wall, K

2008-05-01

Full Text Available STRATEGY POSITIONED WITHIN THE CONTEXT OF OTHER MAJOR NATIONAL IAM INITIATIVES Nino Manus, Kribbs Moodley, Kevin Wall, Louis Boshoff and Arno Ottermann Department of Water Affairs and Forestry, Private Bag X313, Pretoria 0001. ManusA@dwaf.gov.za P D... into one or other of 9 “solution types”, viz: • Awareness • Finance • Guidelines • HR (i.e. including ski l ls and appointments) • Legal and procurement • Monitoring and evaluation • Management and leadership • Operation and maintenance...

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.

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...

Entropy: A new measure of stock market volatility?

Science.gov (United States)

Bentes, Sonia R.; Menezes, Rui

2012-11-01

When uncertainty dominates understanding stock market volatility is vital. There are a number of reasons for that. On one hand, substantial changes in volatility of financial market returns are capable of having significant negative effects on risk averse investors. In addition, such changes can also impact on consumption patterns, corporate capital investment decisions and macroeconomic variables. Arguably, volatility is one of the most important concepts in the whole finance theory. In the traditional approach this phenomenon has been addressed based on the concept of standard-deviation (or variance) from which all the famous ARCH type models - Autoregressive Conditional Heteroskedasticity Models- depart. In this context, volatility is often used to describe dispersion from an expected value, price or model. The variability of traded prices from their sample mean is only an example. Although as a measure of uncertainty and risk standard-deviation is very popular since it is simple and easy to calculate it has long been recognized that it is not fully satisfactory. The main reason for that lies in the fact that it is severely affected by extreme values. This may suggest that this is not a closed issue. Bearing on the above we might conclude that many other questions might arise while addressing this subject. One of outstanding importance, from which more sophisticated analysis can be carried out, is how to evaluate volatility, after all? If the standard-deviation has some drawbacks shall we still rely on it? Shall we look for an alternative measure? In searching for this shall we consider the insight of other domains of knowledge? In this paper we specifically address if the concept of entropy, originally developed in physics by Clausius in the XIX century, which can constitute an effective alternative. Basically, what we try to understand is, which are the potentialities of entropy compared to the standard deviation. But why entropy? The answer lies on the fact

Civilizing History: Reinterpretation of the Past in the Context of a New Understanding of Chinese Nation

Directory of Open Access Journals (Sweden)

Helena Motoh

2014-12-01

Full Text Available Through an analysis of the TV documentary series »Chinese Civilization«, screened in autumn 2008 on the Chinese national television (CCTV9, the paper attempts to identify and analyze the key themes of the turn towards traditionalism in the contemporary Chinese thought. Special emphasis is placed on the reinterpretation of classical and traditional Chinese thought in these processes. These elements are analyzed by topics: construction and mutual constitution of the concepts of Chinese civilisation, culture and nation; reinterpretation of classical Chinese philosophy in the new ideology of harmonisation, and finally, the alleged peaceful multiculturality, continuity and non-conflictuality of Chinese civilisation, which serve as the central elements of the newly construed national ideology. These topics of analysis of the TV series – which could be understood as contemporary China's political and ideological manifesto for the foreign audience – are juxtaposed to the actual phenomena in contemporary Chinese political and economic context.

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...

Toxicological and safety evaluation of Nigella sativa lipid and volatile fractions in streptozotocin induced diabetes mellitus

Directory of Open Access Journals (Sweden)

Muhammad Tauseef Sultan

2014-09-01

Full Text Available Objective: To evaluate the toxicological aspects of Nigella sativa (N. sativa lipid and volatile fractions in streptozotocin induced diabetes mellitus. Methods: National Institute of Health (NIH, Islamabad provided us thirty Sprague Dawley rats that were further divided into three groups, i.e. control, N. sativa lipid fraction (4% and N. sativa volatile fraction (0.3%, respectively. The serological and haematological indices were evaluated at 4-week intervals during 56 d study. Results: The results indicated that the diabetes mellitus imparted negative effects on various serological and haematological attributes. However, supplementation of the N. sativa lipid fraction and N. sativa volatile fraction ameliorated the adverse consequences of diabetes mellitus. The diabetes induced renal toxicity and imbalanced serum chemistry were slightly modulated by experimental diets. However, the impact of essential oil was more significant as compared to the fixed oil. Conclusions: In a nutshell, experimental diets containing N. sativa lipid fraction and N. sativa volatile fraction are effective without having any toxicological effects, and experimental diets reduced toxicological and adverse consequences of diabetes mellitus.

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

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....

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.

Subjective Security in a Volatile Geopolitical Situation: Does Lithuanian Society Feel Safe?

Directory of Open Access Journals (Sweden)

Vileikienė Eglė

2016-12-01

Full Text Available The geopolitical situation of Lithuania has deteriorated since the annexation of Crimea and the military conflict in Eastern Ukraine. It has affected the objective security of the state as well as subjective security of the Lithuanian population. This article analyses subjective security and deals with the subjective perception of geopolitical and military threats, mainly social attitudes towards national security and the willingness to defend the country. Article is based on theories of securitisation and human security and holds that individuals are the primary referents of security. Empirically, the article relies on the original data of the research project “Subjective Security in a Volatile Geopolitical Context: Traits, Factors and Individual Strategies”, funded by the Research Council of Lithuania. Article shows the dynamics of social attitudes towards security. Over the last 15 years, a clear shift towards the understanding of potential military threats has occurred. Nevertheless, the predominant concern about individual security, overshadowing security of the state and security of the global order, found in previous studies, has persisted. An individual, as a rule, feels most secure in his/her “closest” environment, e.g. family and friends, and least secure in the “farthest” environment, e.g. other continents.

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)

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

Biogenic volatile organic compounds from the urban forest of the Metropolitan Region, Chile

International Nuclear Information System (INIS)

Préndez, Margarita; Carvajal, Virginia; Corada, Karina; Morales, Johanna; Alarcón, Francis; Peralta, Hugo

2013-01-01

Tropospheric ozone is a secondary pollutant whose primary sources are volatile organic compounds and nitrogen oxides. The national standard is exceeded on a third of summer days in some areas of the Chilean Metropolitan Region (MR). This study reports normalized springtime experimental emissions factors (EF) for biogenic volatile organic compounds from tree species corresponding to approximately 31% of urban trees in the MR. A Photochemical Ozone Creation Index (POCI) was calculated using Photochemical Ozone Creation Potential of quantified terpenes. Ten species, natives and exotics, were analysed using static enclosure technique. Terpene quantification was performed using GC-FID, thermal desorption, cryogenic concentration and automatic injection. Observed EF and POCI values for terpenes from exotic species were 78 times greater than native values; within the same family, exotic EF and POCI values were 28 and 26 times greater than natives. These results support reforestation with native species for improved urban pollution management. -- First experimental determination of the emission factors of biogenic volatile organic compounds in the urban forest of the Metropolitan Region, Chile

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.

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...

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...

A hybrid magnetic/complementary metal oxide semiconductor three-context memory bit cell for non-volatile circuit design

International Nuclear Information System (INIS)

Jovanović, B.; Brum, R. M.; Torres, L.

2014-01-01

After decades of continued scaling to the beat of Moore's law, it now appears that conventional silicon based devices are approaching their physical limits. In today's deep-submicron nodes, a number of short-channel and quantum effects are emerging that affect the manufacturing process, as well as, the functionality of the microelectronic systems-on-chip. Spintronics devices that exploit both the intrinsic spin of the electron and its associated magnetic moment, in addition to its fundamental electronic charge, are promising solutions to circumvent these scaling threats. Being compatible with the CMOS technology, such devices offer a promising synergy of radiation immunity, infinite endurance, non-volatility, increased density, etc. In this paper, we present a hybrid (magnetic/CMOS) cell that is able to store and process data both electrically and magnetically. The cell is based on perpendicular spin-transfer torque magnetic tunnel junctions (STT-MTJs) and is suitable for use in magnetic random access memories and reprogrammable computing (non-volatile registers, processor cache memories, magnetic field-programmable gate arrays, etc). To demonstrate the potential our hybrid cell, we physically implemented a small hybrid memory block using 45 nm × 45 nm round MTJs for the magnetic part and 28 nm fully depleted silicon on insulator (FD-SOI) technology for the CMOS part. We also report the cells measured performances in terms of area, robustness, read/write speed and energy consumption

A hybrid magnetic/complementary metal oxide semiconductor three-context memory bit cell for non-volatile circuit design

Energy Technology Data Exchange (ETDEWEB)

Jovanović, B., E-mail: bojan.jovanovic@lirmm.fr, E-mail: lionel.torres@lirmm.fr; Brum, R. M.; Torres, L. [LIRMM—University of Montpellier 2/UMR CNRS 5506, 161 Rue Ada, 34095 Montpellier (France)

2014-04-07

After decades of continued scaling to the beat of Moore's law, it now appears that conventional silicon based devices are approaching their physical limits. In today's deep-submicron nodes, a number of short-channel and quantum effects are emerging that affect the manufacturing process, as well as, the functionality of the microelectronic systems-on-chip. Spintronics devices that exploit both the intrinsic spin of the electron and its associated magnetic moment, in addition to its fundamental electronic charge, are promising solutions to circumvent these scaling threats. Being compatible with the CMOS technology, such devices offer a promising synergy of radiation immunity, infinite endurance, non-volatility, increased density, etc. In this paper, we present a hybrid (magnetic/CMOS) cell that is able to store and process data both electrically and magnetically. The cell is based on perpendicular spin-transfer torque magnetic tunnel junctions (STT-MTJs) and is suitable for use in magnetic random access memories and reprogrammable computing (non-volatile registers, processor cache memories, magnetic field-programmable gate arrays, etc). To demonstrate the potential our hybrid cell, we physically implemented a small hybrid memory block using 45 nm × 45 nm round MTJs for the magnetic part and 28 nm fully depleted silicon on insulator (FD-SOI) technology for the CMOS part. We also report the cells measured performances in terms of area, robustness, read/write speed and energy consumption.

Changes in Alpha Frequency and Power of the Electroencephalogram during Volatile-Based General Anesthesia

Directory of Open Access Journals (Sweden)

Darren Hight

2017-05-01

Full Text Available Oscillations in the electroencephalogram (EEG at the alpha frequency (8–12 Hz are thought to be ubiquitous during surgical anesthesia, but the details of how this oscillation responds to ongoing changes in volatile anesthetic concentration have not been well characterized. It is not known how often alpha oscillations are absent in the clinical context, how sensitively alpha frequency and power respond to changes in anesthetic concentration, and what effect increased age has on alpha frequency. Bipolar EEG was recorded frontally from 305 patients undergoing surgery with sevoflurane or desflurane providing general anesthesia. A new method of detecting the presence of alpha oscillations based on the stability of the rate of change of the peak frequency in the alpha range was developed. Linear concentration-response curves were fitted to assess the sensitivity of alpha power and frequency measures to changing levels of anesthesia. Alpha oscillations were seen to be inexplicably absent in around 4% of patients. Maximal alpha power increased with increasing volatile anesthetic concentrations in half of the patients, and decreased in the remaining patients. Alpha frequency decreased with increasing anesthetic concentrations in near to 90% of patients. Increasing age was associated with decreased sensitivity to volatile anesthesia concentrations, and with decreased alpha frequency, which sometimes transitioned into the theta range (5–7 Hz. While peak alpha frequency shows a consistent slowing to increasing volatile concentrations, the peak power of the oscillation does not, suggesting that frequency might be more informative of depth of anesthesia than traditional power based measures during volatile-based anesthesia. The alpha oscillation becomes slower with increasing age, even when the decreased anesthetic needs of older patients were taken into account.

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.

Some peculiarities of accounting of government grants in context IFRS and National Standarts Republic Moldova

Directory of Open Access Journals (Sweden)

V.Tsurcanu

2016-06-01

Full Text Available The process of preparation of fair presentation of Financial Statements establishments on the basis of economic approach was possible due to the evolution of methodology of accounting. Implementation of legal technique allows to account the conditions of receiving of contract as special and so exceptional according to the economic content of events. In the context of fair presentation the necessary issue is the concept of substance over form. One of such specifically contracts which determines the particular character of accounting is the contract of government grants obtaining. The authors examine some problems of discussion of government grants accounting: effectiveness of the concept of substance over form; mechanism of presentation of government grants in the context of international and national aspects; accounting of government grants related to assets over prism of tax legislation. The basis for the formulation of the notion of government grants is the economic essence, a legal form is the proof that the transaction is legitimate. However, the economic essence is in contradiction with the form in the financial reporting when presenting information about government grants. In the context of fair presentation, it must be neutralized. For this purpose, the authors have conducted the research of effectiveness of the concept of substance over form related to the government grants. 146 The article has conducted the comparison of key issues of International Standards with National Standards of Republic Moldova. In result of the comparison the appropriate mechanism of accounting is correct according to the methodology of their application. The article also arguments that government grants is deferred income in accordance with their economic characteristics; and the elements of Financial Statements should be recognized as a liability; in accordance with the conception fair value should be measured. In relationship with the effectiveness of the

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

France: National INIS Centre: New Directions and Main Achievements in an Evolving Context

International Nuclear Information System (INIS)

Surmont, Jérôme; Mouffron, Odile

2015-01-01

In a letter dated October 8, 1969 and addressed to the Director General of the IAEA, the French Governor of the IAEA Board of Governors gave his official consent for France to participate in the newborn INIS. At the same time, it was decided to establish the France National INIS Centre at the premises of the Central Documentation Department, located at the Saclay Nuclear Research Centre (French Atomic Energy Commission - CEA), near Paris. Forty-five years later, the Central Documentation has become the “Information Valorization Service” (SVI in French) which incorporates INIS, the CEA-Saclay Scientific Library and several other scientific and technical information-related activities (archives, scientific watch, collaborative work, bibliometric surveys, etc.). This brief look back over the last 20 years of the France National INIS Centre allows us to measure how far we have come and what choices we have had to make in a constantly evolving context. We have particularly stressed what, in our view, represents the most important mission of INIS, which is the preservation and dissemination of nuclear knowledge, in particular through the coverage and full text archiving of conferences and grey literature documents, with special attention paid to PhD Theses

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

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...

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.

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)

Characterization of the volatile profile of Antarctic bacteria by using solid-phase microextraction-gas chromatography-mass spectrometry.

Science.gov (United States)

Romoli, Riccardo; Papaleo, Maria Cristiana; de Pascale, Donatella; Tutino, Maria Luisa; Michaud, Luigi; LoGiudice, Angelina; Fani, Renato; Bartolucci, Gianluca

2011-10-01

Bacteria belonging to the Burkholderia cepacia complex (Bcc) are significant pathogens in Cystic Fibrosis (CF) patients and are resistant to a plethora of antibiotics. In this context, microorganisms from Antarctica are interesting because they produce antimicrobial compounds inhibiting the growth of other bacteria. This is particularly true for bacteria isolated from Antarctic sponges. The aim of this work was to characterize a set of Antarctic bacteria for their ability to produce new natural drugs that could be exploited in the control of infections in CF patients by Bcc bacteria. Hence, 11 bacterial strains allocated to different genera (e.g., Pseudoalteromonas, Arthrobacter and Psychrobacter) were tested for their ability to inhibit the growth of 21 Bcc strains and some other human pathogens. All these bacteria completely inhibited the growth of most, if not all, Bcc strains, suggesting a highly specific activity toward Bcc strains. Experimental evidences showed that the antimicrobial compounds are small volatile organic compounds, and are constitutively produced via an unknown pathway. The microbial volatile profile was obtained by SPME-GC-MS within the m/z interval of 40-450. Solid phase micro extraction technique affords the possibility to extract the volatile compounds in head space with a minimal sample perturbation. Principal component analysis and successive cluster discriminant analysis was applied to evaluate the relationships among the volatile organic compounds with the aim of classifying the microorganisms by their volatile profile. These data highlight the potentiality of Antarctic bacteria as novel sources of antibacterial substances to face Bcc infections in CF patients. Copyright © 2011 John Wiley & Sons, Ltd.

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

Politics in the context of the “Opera question” in the national theatre before the first world war

Directory of Open Access Journals (Sweden)

Milanović Biljana

2012-01-01

Full Text Available Part of the history of the National Theatre in Belgrade in the decade before the First World War relates to processes of discontinuity in the professionalization and modernization of the musical section in this institution and its repertoire. It had to do with abrupt changes reflected in three short-lived phases: improvements in musical ensemble and opera performances (1906-1909, the annulment of these efforts and results with a return to the old repertoire, and then again a new beginning once more with a fresh attempt to establish the Opera (1913-14. These dynamics were affected by the social and political context. It was dependent on frequent changes of the Theatre’s management staff whose main representatives had mutually conflicting views on important questions concerning the functioning of their institution. Relations between them were strongly marked by contested political motives. Theatre managers were appointed by ministers of education who could also be relieved of their posts, and members of the management staff were always active in political parties. These facts acted as a decisive factor in their communication which was similar to the behaviour and customs of public political life where an opponent is seen as an enemy, not as a partner in solving common problems. Critical and polemical discourses on important aspects of organization and programme strategy of the Theatre were burdened by political rivalry which also found its place in discussions on the cultivation of music. Questions relating to music were considered in a declarative way, so that music was instrumentalized as a means of political empowerment. The facts about music in the National Theatre raise many issues related to aspects of modernization, national identification, transfers of „high“ and popular musical cultures as well as to other problems of social, historical and cultural contexts that were intertwined in the operation of the Theatre. The context of

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

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.

Eloquence is The Key – the Impact of Monetary Policy Speeches on Exchange Rate Volatility

Directory of Open Access Journals (Sweden)

Adrian Cantemir Călin

2015-06-01

Full Text Available During the last years the monetary policy initiatives of the main central banks have been profoundly influenced by quantitative easing (QE. Blessing, curse, effective instruments or a simple fad, these unconventional measures have occupied the center stage of academic and public attention. In this context, this paper focuses on a wide set of public speeches delivered by officials belonging to the most relevant central banks. These statements cover a large pallet of topics including areas such as QE, tapering, financial stability, unemployment or interest rates. The aim of this study is to investigate the impact that these speeches have on the volatility of exchange rates. For this purpose, the methodology relies on an econometric event study that incorporates three volatility models and intraday five-minute frequencies. The results indicate the fact that public statements have a clear, evident, significant and robust impact on the observed assets.

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

Oil price volatility, financial regulation and energy policy

International Nuclear Information System (INIS)

Chevalier, J.M.

2010-01-01

In October of 2009, the French Ministry of Economy asked the author to chair a work group on oil price volatility. The report resulting from that work was submitted to the minister on February 9, 2010. Based on the report, this article focuses on three major elements: (i) the operation of the oil market, with interacting physical basics and financial basics (ii) financial market regulation, more specifically commodities-derived product markets and current work in that area and (iii) the lessons one can draw from that exercise in terms of energy policy. Significant projects have been initiated on global, European and national levels. (author)

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

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.

TMVOC, simulator for multiple volatile organic chemicals

International Nuclear Information System (INIS)

Pruess, Karsten; Battistelli, Alfredo

2003-01-01

TMVOC is a numerical simulator for three-phase non-isothermal flow of water, soil gas, and a multicomponent mixture of volatile organic chemicals (VOCs) in multidimensional heterogeneous porous media. It is an extension of the TOUGH2 general-purpose simulation program developed at the Lawrence Berkeley National Laboratory. TMVOC is designed for applications to contamination problems that involve hydrocarbon fuel or organic solvent spills in saturated and unsaturated zones. It can model contaminant behavior under ''natural'' environmental conditions, as well as for engineered systems, such as soil vapor extraction, groundwater pumping, or steam-assisted source remediation. TMVOC is upwards compatible with T2VOC (Falta et al., 1995) and can be initialized from T2VOC-style initial conditions. The main enhancements in TMVOC relative to T2VOC are as follows: a multicomponent mixture of volatile organic chemicals can be modeled; any and all combinations of the three phases water-oil-gas are treated; several non-condensible gases may be present; diffusion is treated in all phases in a manner that is fully coupled with phase partitioning. This paper gives a brief summary of the methodology used in TMVOC as well as highlighting some implementation issues. Simulation of a NAPL spill and subsequent remediation is discussed for a 2-D vertical section of a saturated-unsaturated flow problem

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....

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.

Policy stakeholders and deployment of wind power in the sub-national context: A comparison of four U.S. states

International Nuclear Information System (INIS)

Fischlein, Miriam; Larson, Joel; Hall, Damon M.; Chaudhry, Rumika; Rai Peterson, Tarla; Stephens, Jennie C.; Wilson, Elizabeth J.

2010-01-01

As climate change mitigation gains attention in the United States, low-carbon energy technologies such as wind power encounter both opportunities and barriers en route to deployment. This paper provides a state-level context for examining wind power deployment and presents research on how policy stakeholders perceive wind energy in four states: Massachusetts, Minnesota, Montana, and Texas. Through semi-structured interviews, state-level energy policy stakeholders were asked to explain their perceptions of wind energy technology within their state. Interview texts were coded to assess how various drivers promote or hinder the deployment of wind power in sub-national contexts. Responses were dominated by technical, political, and economic frames in all four states, but were often driven by a very different rationale. Environmental, aesthetic, and health/safety frames appeared less often in the discourse. This analysis demonstrates that each state arrived at its current level of deployment via very different political, economic, and technical paths. In addition to helping explain why and how wind technology was - or was not - deployed in each of these states, these findings provide insight into the diversity of sub-national dialogues on deployment of low-carbon energy technologies.

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...

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 Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets

Directory of Open Access Journals (Sweden)

Seong¡-Min Yoon

2007-06-01

Full Text Available This paper investigates the relevance of skewed Student-t distributions in capturing long memory volatility properties in the daily return series of Japanese financial data (Nikkei 225 Index and JPY-USD exchange rate. For this purpose, we assess the performance of two long memory Value-at-Risk (VaR models (FIGARCH and FIAPARCH VaR model with three different distribution innovations: the normal, Student-t, and skewed Student-t distributions. From our results, we find that the skewed Student-t distribution model produces more accurate VaR estimations than normal and Student-t distribution models. Thus, accounting for skewness and excess kurtosis in the asset return distribution can provide suitable criteria for VaR model selection in the context of long memory volatility and enhance the performance of risk management in Japanese financial markets.

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

Synthesis and characterization of volatile technetium compound

International Nuclear Information System (INIS)

Childs, Bradley C.; Poineau, Frederic; Czerwinski, Ken R.

2013-01-01

Technetium-99 is an important fission (T 1/2 = 2.13.105 y) product of the nuclear industry. Technetium in its highest oxidation state (VII) is highly mobile and can represent a threat to the environment. There are over 55 million gallons of high level mixed waste located at the Hanford site. Waste tanks at the Hanford site contain Tc that could potentially leak, and in the context of management of technetium, a glass waste form was proposed to counteract the issue. In the process of synthesizing melt glass between the temperatures of 600°C and 1100°C, volatile technetium compounds were observed in the reaction tube. These compounds displayed characteristic colors based upon the reaction environments of either breathing air or nitrogen gas. A breathing air atmosphere produces a red compound that adheres to the walls of the reaction tube. An atmosphere of nitrogen gas produces a white compound that was observed on the walls of the reaction tube. (author)

Volatile Transport on Pluto: First Results from the 2013 Observing Season

Science.gov (United States)

Buratti, B. J.; Dalba, P. A.; Hicks, M.; Chu, D.; O'Neill, A.; Chesley, J. P.

2013-12-01

With the New Horizons spacecraft due to encounter Pluto in slightly less than two years, close scrutiny of this dwarf ice planet has begun in earnest. Ground-based observations are especially critical for context and for a larger temporal excursion. Seasonal transport of volatiles should occur on Pluto, and this transport should be detectable through changes in its rotational light curve, once all variations due to viewing geometry have been modeled. Giving the steady increase observed in Pluto's atmospheric pressure over the past two decades, associated sublimation of frost from the surface has likely occurred, as predicted by volatile transport models. Rotational light curves of Pluto through time have been created for static frost models based on images from the Hubble Space Telescope. These models, which account for changes in viewing geometry, have been compared with observed light curves obtained between 1950 and 2013. No evidence for transport was evident prior to 2000. Observations from 2002 (Buie et al., 2010, Astron. J. 139, 1128) and 2007-2008 (Hicks et al. 2008, B.A.A.S. 40, 460) suggest changes in the frost pattern on Pluto's surface. New observations of Pluto's light curve from the 2013 season from Table Mountain Observatory show no evidence for the large transport of volatiles on Pluto's surface. Our data are the first measurement of a large opposition surge on Pluto similar to that seen on other icy bodies. Both Buie et al. (2010) and our observations from the 2012-2013 seasons show that Pluto is becoming more red in color. This observation makes sense if nitrogen is being removed from the surface to uncover a red, photolyzed substrate of methane. Funded by NASA.

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...

Youth motivations to watch sports in Indian context: exploring cross-nationality and cross-gender differences

Directory of Open Access Journals (Sweden)

Yousaf Anish

2015-12-01

Full Text Available The current study revolves around research in sport consumption motivations exploring Nationality and Gender difference across fan motivations to watch sports in a way similar to Kwon and Trail (2001 in Indian context, a subject neglected until now. Data was collected from 260 respondents from India’s largest Private University. Findings reveal Group Affiliation as the most important motivation followed by Eustress (entertainment, Aesthetics, and Self-Esteem. Betting on sports was found as the least preferred motivation. Findings revealed Nationality having a significant impact on Group Affiliation and Aesthetics while Gender has a significant impact on Group Affiliation, Eustress as well as on level of identification with sport. These findings have implications for sports marketers of different sporting events involved in marketing of sports related activities to enhance their marketing practices. The results of the current study are of interest for physical education departments of large private Universities which can use them to promote their sports events at a large scale. The last section of the study discusses the results in detail followed by directions for future research.

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.

Improving our chemistry: challenges and opportunities in the interdisciplinary study of floral volatiles.

Science.gov (United States)

Raguso, R A; Thompson, J N; Campbell, D R

2015-07-01

The field of chemical ecology was established, in large part, through collaborative studies between biologists and chemists with common interests in the mechanisms that mediate chemical communication in ecological and evolutionary contexts. Pollination is one highly diverse and important category of such interactions, and there is growing evidence that floral volatiles play important roles in mediating pollinator behaviour and its consequences for plant reproductive ecology and evolution. Here we outline next-generation questions emerging in the study of plants and pollinators, and discuss the potential for strengthening collaboration between biologists and chemists in answering such questions.

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

Alcohol marketing on YouTube: exploratory analysis of content adaptation to enhance user engagement in different national contexts

OpenAIRE

Gupta, Himanshu; Lam, Tina; Pettigrew, Simone; Tait, Robert J.

2018-01-01

Background We know little about how social media alcohol marketing is utilized for alcohol promotion in different national contexts. There does not appear to be any academic work on online exposure to alcohol marketing via social media in India, and most of the limited research in Australia has focused on Facebook. Hence, the present study extends previous research by investigating alcohol promotion conducted on an under-researched form of social media (YouTube) in two contrasting geographic ...

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.

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

The effect of composition on volatility from a copper alloy

International Nuclear Information System (INIS)

McCarthy, K.A.; Smolik, G.R.; Wallace, R.S.

1994-01-01

During a Loss of Coolant Accident (LOCA) activated structural material can be mobilized through oxidation. Information on how much material is mobilized in an accident is necessary for performing safety assessments of fusion reactor designs. The Fusion Safety Program at the Idaho National Engineering Laboratory has an experimental program to measure mobilized mass as a function of temperature for various oxidizing environments. Materials studied have included beryllium (important because of its toxicity), copper alloys, a niobium alloy, PCA and HT-9 steel, tungsten (pure and an alloy), and a vanadium alloy. Some materials undergo a significant change in composition during irradiation. An example of this is copper (a candidate for the ITER first wall, divertor substrate, and various instrumentation probes and antennas), which can have as much as 1 wt% zinc due to transmutation. Additionally, as the design for ITER evolves, a slightly different copper alloy may be selected. Compositional changes may affect the extent that various elements are volatilized due to such mechanisms as diffusion through the alloy, and penetration and release from oxide layers formed on the material. To accurately calculate offsite doses for various irradiation scenarios, one must understand the effect of composition on volatility

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.

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.

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

[Indoor volatile organic compounds: concentrations, sources, variation factors].

Science.gov (United States)

Palot, A; Charpin-Kadouch, C; Ercoli, J; Charpin, D

2008-06-01

Volatile organic compounds (V.O.C.) are part of urban air pollution and are also generated indoors from cleaning and maintenance products. VOC measurements are, on average, 10 times higher within homes than outside. Results of the national survey led by the Observatoire National de la Qualité de l'Air Intérieur demonstrated that up to 25% of French homes have very high or high concentrations of VOC. Indoor levels depend mainly on indoor sources. Aldehydes are included in many everyday life products. VOC originate from various household decorating and cleaning products. Some products are less detrimental to the environment and health and have special labelling. Indoor VOC levels also depend on the rate of air exchange and on household characteristics such as indoor temperature and humidity, age of the building, presence of smokers, and communication with a garage. The public may participate in maintaining good indoor air quality and the authorities should also improve regulations. VOC are part of everyday air pollution. Their sources and concentrations should be better monitored.

Differential metabolism of L-phenylalanine in the formation of aromatic volatiles in melon (Cucumis melo L.) fruit.

Science.gov (United States)

Gonda, Itay; Davidovich-Rikanati, Rachel; Bar, Einat; Lev, Shery; Jhirad, Pliaa; Meshulam, Yuval; Wissotsky, Guy; Portnoy, Vitaly; Burger, Joseph; Schaffer, Arthur A; Tadmor, Yaakov; Giovannoni, James J; Fei, Zhangjun; Fait, Aaron; Katzir, Nurit; Lewinsohn, Efraim

2018-04-01

Studies on the active pathways and the genes involved in the biosynthesis of L-phenylalanine-derived volatiles in fleshy fruits are sparse. Melon fruit rinds converted stable-isotope labeled L-phe into more than 20 volatiles. Phenylpropanes, phenylpropenes and benzenoids are apparently produced via the well-known phenylpropanoid pathway involving phenylalanine ammonia lyase (PAL) and being (E)-cinnamic acid a key intermediate. Phenethyl derivatives seemed to be derived from L-phe via a separate biosynthetic route not involving (E)-cinnamic acid and PAL. To explore for a biosynthetic route to (E)-cinnamaldehyde in melon rinds, soluble protein cell-free extracts were assayed with (E)-cinnamic acid, CoA, ATP, NADPH and MgSO 4 , producing (E)-cinnamaldehyde in vitro. In this context, we characterized CmCNL, a gene encoding for (E)-cinnamic acid:coenzyme A ligase, inferred to be involved in the biosynthesis of (E)-cinnamaldehyde. Additionally we describe CmBAMT, a SABATH gene family member encoding a benzoic acid:S-adenosyl-L-methionine carboxyl methyltransferase having a role in the accumulation of methyl benzoate. Our approach leads to a more comprehensive understanding of L-phe metabolism into aromatic volatiles in melon fruit. Copyright © 2018 Elsevier Ltd. All rights reserved.

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.

When did the Danish nation emerge

DEFF Research Database (Denmark)

Brincker, Benedikte

2009-01-01

This article provides a review of the debate among Danish historians on the emergence of the Danish nation. It places this debate in the context of the distinction between patriotism and nationalism, much discussed by many scholars of nationalism.......This article provides a review of the debate among Danish historians on the emergence of the Danish nation. It places this debate in the context of the distinction between patriotism and nationalism, much discussed by many scholars of nationalism....

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.

The Forecast Scenarios of Development of the National Economy in the Context of the Need to Improve the «Cost of Living»

Directory of Open Access Journals (Sweden)

Kulakov Gennady T.

2017-04-01

Full Text Available The article is aimed at elaborating and materialization of the forecast scenarios of development of the national economy in the context of substantiating the feasibility of improving the «cost of living» being the equivalent of the liability of public authorities for the value of human life. The article researches the phenomenon of the «cost of living» in the context of sustainable innovative development of a socially oriented development of economy as an axis for developing its forecast scenarios. Focus has been set on complementarity of the terms of «cost of living» and «sustainable development» in the context of satisfying vital interests of the population of Ukraine. It has been suggested that wages accounting as an equivalent to the «cost of living» should not be included with costs but with the value added, however, the growth rate of wages must not outpace the growth rate of labor productivity. For the first time on the basis of the interdisciplinary and intersectoral approach, as well as the index method, have been elaborated baseline scenarios of development of the national economy on the basis of the upgraded human development index: pessimistic, realistic, and optimistic forecasts.

Socio-political context and accounts of national identity in adolescence.

Science.gov (United States)

Stevenson, Clifford; Muldoon, Orla T

2010-09-01

Psychological research into national identity has considered both the banal quality of nationalism alongside the active, strategic construction of national categories and boundaries. Less attention has been paid to the conflict between these processes for those whose claims to national identity may be problematic. In the present study, focus groups were conducted with 36 Roman Catholic adolescents living in border regions of Ireland, in which participants were asked to talk about their own and others' Irish national identity. Discursive analysis of the data revealed that those in the Republic of Ireland strategically displayed their national identity as obvious and 'banal', while those in Northern Ireland proactively claimed their Irishness. Moreover, those in Northern Ireland displayed an assumption that their fellow Irish in the Republic shared their imperative to assert national identity, while those in the Republic actively distanced themselves from this version of Irishness. These results suggest that for dominant ethnic groups, 'banality' may itself provide a marker of national identity while paradoxically the proactive display of national identity undermines minority groups claims to national identity.

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...

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.

Volatile organic compounds and pulmonary function in the Third National Health and Nutrition Examination Survey, 1988-1994.

Science.gov (United States)

Elliott, Leslie; Longnecker, Matthew P; Kissling, Grace E; London, Stephanie J

2006-08-01

Volatile organic compounds (VOCs) are present in much higher concentrations indoors, where people spend most of their time, than outdoors and may have adverse health effects. VOCs have been associated with respiratory symptoms, but few studies address objective respiratory end points such as pulmonary function. Blood levels of VOCs may be more indicative of personal exposures than are air concentrations; no studies have addressed their relationship with respiratory outcomes. We examined whether concentrations of 11 VOCs that were commonly identified in blood from a sample of the U.S. population were associated with pulmonary function. We used data from 953 adult participants (20-59 years of age) in the Third National Health and Nutrition Examination Survey (1988-1994) who had VOC blood measures as well as pulmonary function measures. Linear regression models were used to evaluate the relationship between 11 VOCs and measures of pulmonary function. After adjustment for smoking, only 1,4-dichlorobenzene (1,4-DCB) was associated with reduced pulmonary function. Participants in the highest decile of 1,4-DCB concentration had decrements of -153 mL [95% confidence interval (CI) , -297 to -8] in forced expiratory volume in 1 sec and -346 mL/sec (95% CI, -667 to -24) in maximum mid-expiratory flow rate, compared with participants in the lowest decile. Exposure to 1,4-DCB, a VOC related to the use of air fresheners, toilet bowl deodorants, and mothballs, at levels found in the U.S. general population, may result in reduced pulmonary function. This common exposure may have long-term adverse effects on respiratory health.

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

Volatility and change in chronic pain severity predict outcomes of treatment for prescription opioid addiction.

Science.gov (United States)

Worley, Matthew J; Heinzerling, Keith G; Shoptaw, Steven; Ling, Walter

2017-07-01

Buprenorphine-naloxone (BUP-NLX) can be used to manage prescription opioid addiction among persons with chronic pain, but post-treatment relapse is common and difficult to predict. This study estimated whether changes in pain over time and pain volatility during BUP-NLX maintenance would predict opioid use during the taper BUP-NLX taper. Secondary analysis of a multi-site clinical trial for prescription opioid addiction, using data obtained during a 12-week BUP-NLX stabilization and 4-week BUP-NLX taper. Community clinics affiliated with a national clinical trials network in 10 US cities. Subjects with chronic pain who entered the BUP-NLX taper phase (n = 125) with enrollment occurring from June 2006 to July 2009 (52% male, 88% Caucasian, 31% married). Outcomes were weekly biologically verified and self-reported opioid use from the 4-week taper phase. Predictors were estimates of baseline severity, rate of change and volatility in pain from weekly self-reports during the 12-week maintenance phase. Controlling for baseline pain and treatment condition, increased pain [odds ratio (OR) = 2.38, P = 0.02] and greater pain volatility (OR = 2.43, P = 0.04) predicted greater odds of positive opioid urine screen during BUP-NLX taper. Increased pain (IRR = 1.40, P = 0.04) and greater pain volatility [incidence-rate ratio (IRR) = 1.66, P = 0.009] also predicted greater frequency of self-reported opioid use. Adults with chronic pain receiving out-patient treatment with buprenorphine-naloxone (BUP-NLX) for prescription opioid addiction have an elevated risk for opioid use when tapering off maintenance treatment. Those with relative persistence in pain over time and greater volatility in pain during treatment are less likely to sustain abstinence during BUP-NLX taper. © 2017 Society for the Study of Addiction.

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....

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.

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

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.

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.

From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes

Science.gov (United States)

Henkel, Christof

2017-03-01

We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Itô-diffusion price processes in the large market limit.

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.

Analysis of volatile flavor compounds influencing Chinese-type soy sauces using GC-MS combined with HS-SPME and discrimination with electronic nose.

Science.gov (United States)

Gao, Lihua; Liu, Ting; An, Xinjing; Zhang, Jinlan; Ma, Xiaoran; Cui, Jinmei

2017-01-01

Soy sauce contains a variety of volatiles that are highly valuable to its quality with regard to sensory characteristics. This paper describes the analysis of volatile compounds influencing the flavor quality of Chinese-type soy sauces. Gas chromatography-mass spectrometry (GC-MS) combined with headspace-solid phase microextraction and electronic nose (E-nose) were applied for identifying the volatile flavor compounds as well as determining their volatile profiles of 12 soy sauces manufactured by different fermentation process. Forty one key volatile components of these 12 soy sauce products, a pure soy sauce and an acid-hydrolyzed vegetable protein sample, were compared in semi-quantitative form, and their volatile flavor profiles were analyzed by E-nose. The substantially similar results between hierarchical cluster analysis based on GC-MS data and E-nose analysis suggested that both techniques may be useful in evaluating the flavor quality of soy sauces and differentiating soy sauce products. The study also showed that there were less volatile flavor compounds in soy sauces produced through low-salt solid-state fermentation process, a traditional manufacturing technology and a widely adopted technology in Chinese soy sauce industries. In addition, the investigation suggested that the flavor quality of soy sauce varied widely in Chinese domestic market, and that the present Chinese national standards of soy sauce should be further perfected by the addition of flavor grades of soy sauce in the physical and chemical index. Meanwhile, this research provided valuable information to manufacturers and government regulators, which have practical significance to improve quality of soy sauces.

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

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

Imaging subsurface geology and volatile organic compound plumes

International Nuclear Information System (INIS)

Qualheim, B.J.; Daley, P.F.; Johnson, V.; McPherrin, R.V.; Laguna, G.

1992-03-01

Lawrence Livermore National Laboratory (LLNL) (Fig. 1) is in the final stages of the Superfund decisionmaking process for site remediation and restoration. In the process of characterizing the subsurface of the LLNL site, we have developed unique methods of collecting, storing, retrieving, and imaging geologic and chemical data from more than 350 drill holes. The lateral and vertical continuity of subsurface paleostream channels were mapped for the entire LLNL site using geologic descriptions from core samples, cuttings, and interpretations from geophysical logs. A computer-aided design and drafting program, SLICE, written at LLNL, was used to create two-dimensional maps of subsurface sediments, and state-of-the-art software produced three-dimensional images of the volatile organic compound (VOC) plumes using data from water and core fluid analyses

Molecular characterization and volatility evolution of α-pinene ozonolysis SOA during isothermal evaporations

Science.gov (United States)

D'Ambro, E.; Schobesberger, S.; Lopez-Hilfiker, F.; Shilling, J. E.; Lee, B. H.; Thornton, J. A.

2017-12-01

α-Pinene (C10H16), the most abundantly emitted monoterpene, is a large contributor to global biogenic secondary organic aerosol (SOA) budgets due to its high SOA yields upon oxidation. We probe the volatility and evaporation behavior upon dilution of α-pinene SOA to further our understanding of the nascent volatility distribution, viscosity, and how these evolve in time absent photochemical oxidation. We present molecular composition measurements of the gas and particle phases of α-pinene ozonolysis SOA formed at 0% and 50% relative humidity (RH), followed by room-temperature evaporation in ultra-high purity N2 humidified to 20-90% RH. Experiments were performed in the Pacific Northwest National Laboratory 10.6 m3 and the University of Washington 0.7 m3 environmental chambers utilizing a Filter Inlet for Gases and AEROsols (FIGAERO) coupled to a high-resolution time of flight chemical ionization mass spectrometer utilizing iodide adduct ionization. We present novel insights into the total mass that evaporates as a function of time from 10 min to 24 hours without heating, the molecular speciation of the evaporate, as well as the effective volatility and composition of the SOA mass remaining. Consistent with previous studies, we find two stages of evaporation: a rapid loss of a large portion of the total signal over the course of ≤3 hours, followed by a stage of much slower evaporation over the proceeding 21 hours. Varying the RH of formation effects evaporation rate on timescales ≤3 hours, however the mass fraction remaining after 24 hours converges to 30-50% under all formation and evaporation RHs. We simulate the evaporation behavior and remaining fractions desorbed via temperature programmed thermal desorption to derive effective saturation vapor concentrations, mass accommodation coefficients, and rates of chemical evolution producing both higher and lower volatility components during the evaporation time period.

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....

Information and communication technology (ICT) and eHealth policy in Latin America and the Caribbean: a review of national policies and assessment of socioeconomic context.

Science.gov (United States)

Jimenez-Marroquin, Maria Carolina; Deber, Raisa; Jadad, Alejandro R

2014-01-01

To examine the availability of national information and communication technology (ICT) or eHealth policies produced by countries in Latin America and the Caribbean (LAC), and to determine the influence of a country's socioeconomic context on the existence of these policies. Documents describing a national ICT or eHealth policy in any of the 33 countries belonging to the LAC region as listed by the United Nations were identified from three data sources: academic databases; the Google search engine; and government agencies and representatives. The relationship between the existence of a policy and national socioeconomic indicators was also investigated. There has been some progress in the establishment of ICT and eHealth policies in the LAC region. The most useful methods for identifying the policies were 1) use of the Google search engine and 2) contact with Pan American Health Organization (PAHO) country representatives. The countries that have developed a national ICT policy seem to be more likely to have a national eHealth policy in place. There was no statistical significant association between the existence of a policy and a country's socioeconomic context. Governments need to make stronger efforts to raise awareness about existing and planned ICT and eHealth policies, not only to facilitate ease of use and communication with their stakeholders, but also to promote collaborative international efforts. In addition, a better understanding of the effect of economic variables on the role that ICTs play in health sector reform efforts will help shape the vision of what can be achieved.

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...

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...

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.

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.

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.

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.

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.

Quartz Crystal Microbalance: A tool for analyzing loss of volatile compounds, gas sorption, and curing kinetics

Energy Technology Data Exchange (ETDEWEB)

Bajric, Sendin [Los Alamos National Lab. (LANL), Los Alamos, NM (United States)

2017-03-16

Los Alamos National Laboratory (LANL) has recently procured a quartz crystal microbalance (QCM). Current popular uses are biological sensors, surface chemistry, and vapor detection. LANL has projects related to analyzing curing kinetics, measuring gas sorption on polymers, and analyzing the loss of volatile compounds in polymer materials. The QCM has yet to be employed; however, this review will cover the use of the QCM in these applications and its potential.

Detecting The Expected Rate of Return Volatility of Financing Instruments of Indonesian Islamic Banking through GARCH Modeling (Generalized Autoregressive Conditional Heteroscedasticity

Directory of Open Access Journals (Sweden)

Nurul Huda

2015-04-01

Full Text Available Objective - Islamic banks are banks which its activities, both fund raising and funds distribution are on the basis of Islamic principles, namely buying and selling and profit sharing. Islamic banking is aimed at supporting the implementation of national development in order to improve justice, togetherness, and equitable distribution of welfare. In pursuit of supporting the implementation of national development, Islamic banking often faced stability problems of financing instruments being operated. In this case, it is measured by the gap between the actual rate of return and the expected rate of return. The individual actual RoR of this instrument will generate an expected rate of return. This raises the gap or difference between the actual rate of return and the expected rate of return of individual instruments, which in this case is called the abnormal rate of return. The stability of abnormal rate of return of individual instruments is certainly influenced by the stability of the expected rate of return. Expected rate of return has a volatility or fluctuation levels for each financing instrument. It is also a key element or material basis for the establishment of a variance of individual instruments. Variance in this case indicates the level of uncertainty of the rate of return. Individual variance is the origin of the instrument base for variance in the portfolio finance that further a portfolio analysis. So, this paper is going to analyze the level of expected RoR volatility as an initial step to see and predict the stability of the fluctuations in the rate of return of Indonesian Islamic financing instruments.Methods – Probability of Occurence, Expected Rate of Return (RoR and GARCH (Generalized Autoregressive Conditional Heteroscedasticity.Results - The expected RoR volatility of the murabaha and istishna financing instruments tend to be more volatile than expected RoR volatility of musharaka and qardh financing instruments

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

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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...

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 ...

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...

The Composition of Comet C/2012 K1 (PanSTARRS) and the Distribution of Primary Volatile Abundances Among Comets

Energy Technology Data Exchange (ETDEWEB)

Roth, Nathan X.; Gibb, Erika L. [Department of Physics and Astronomy, University of Missouri-St. Louis, 503 Benton Hall, One University Blvd., St. Louis, MO 63121 (United States); Bonev, Boncho P.; DiSanti, Michael A.; Mumma, Michael J.; Villanueva, Geronimo L.; Paganini, Lucas, E-mail: nxrq67@mail.umsl.edu [Goddard Center for Astrobiology, NASA Goddard Space Flight Center, Mail Stop 690, Greenbelt, MD 20771 (United States)

2017-04-01

On 2014 May 22 and 24 we characterized the volatile composition of the dynamically new Oort cloud comet C/2012 K1 (PanSTARRS) using the long-slit, high resolution ( λ /Δ λ  ≈ 25,000) near-infrared echelle spectrograph (NIRSPEC) at the 10 m Keck II telescope on Maunakea, Hawaii. We detected fluorescent emission from six primary volatiles (H{sub 2}O, HCN, CH{sub 4}, C{sub 2}H{sub 6}, CH{sub 3}OH, and CO). Upper limits were derived for C{sub 2}H{sub 2}, NH{sub 3}, and H{sub 2}CO. We report rotational temperatures, production rates, and mixing ratios (relative to water). Compared with median abundance ratios for primary volatiles in other sampled Oort cloud comets, trace gas abundance ratios in C/2012 K1 (PanSTARRS) for CO and HCN are consistent, but CH{sub 3}OH and C{sub 2}H{sub 6} are enriched while H{sub 2}CO, CH{sub 4}, and possibly C{sub 2}H{sub 2} are depleted. When placed in context with comets observed in the near-infrared to date, the data suggest a continuous distribution of abundances of some organic volatiles (HCN, C{sub 2}H{sub 6}, CH{sub 3}OH, CH{sub 4}) among the comet population. The level of “enrichment” or “depletion” in a given comet does not necessarily correlate across all molecules sampled, suggesting that chemical diversity among comets may be more complex than the simple organics-enriched, organics-normal, and organics-depleted framework.

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

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.

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)

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.

Low-concentration tailing and subsequent quicklime-enhanced remediation of volatile chlorinated hydrocarbon-contaminated soils by mechanical soil aeration.

Science.gov (United States)

Ma, Yan; Du, Xiaoming; Shi, Yi; Xu, Zhu; Fang, Jidun; Li, Zheng; Li, Fasheng

2015-02-01

Mechanical soil aeration has long been regarded as an effective ex-situ remediation technique and as suitable for remediation of large-scale sites contaminated by volatile organic compounds (VOCs) at low cost. However, it has been reported that the removal efficiency of VOCs from soil is relatively low in the late stages of remediation, in association with tailing. Tailing may extend the remediation time required; moreover, it typically results in the presence of contaminants residues at levels far exceeding regulations. In this context, the present study aimed to discuss the tailing that occurs during the process of remediation of soils contaminated artificially with volatile chlorinated hydrocarbons (VCHs) and to assess possible quicklime-enhanced removal mechanisms. The results revealed the following conclusions. First, temperature and aeration rate can be important controls on both the timing of appearance of tailing and the levels of residual contaminants. Furthermore, the addition of quicklime to soil during tailing can reduce the residual concentrations rapidly to below the remedial target values required for site remediation. Finally, mechanical soil aeration can be enhanced using quicklime, which can improve the volatilization of VCHs via increasing soil temperature, reducing soil moisture, and enhancing soil permeability. Our findings give a basic understanding to the elimination of the tailing in the application of mechanical soil aeration, particularly for VOCs-contaminated soils. Copyright © 2014 Elsevier Ltd. All rights reserved.

Effect of oil price on Nigeria’s food price volatility

Directory of Open Access Journals (Sweden)