WorldWideScience

Sample records for volatility instrument hevi

  1. Financial instruments help producers hedge gas deals in volatile market

    International Nuclear Information System (INIS)

    Lawnin, J.N.; Kupiec, S.L.

    1993-01-01

    The Natural Gas Policy Act (NGPA) of 1978 and more recently the U.S. Federal Energy Regulatory Commission's Order 636 have changed gas marketing from a totally regulated industry to one that responds to free-market forces. The stable but controlled market in which producers once sold gas has become highly competitive and more efficient. Consequently, prices have become more volatile; they respond more quickly than they did before to changes in supply of and demand for natural gas. Prior to deregulation of the natural gas industry, producers had fewer marketing options than they do today. Under a typical gas sales contract, producers sold gas to the nearest pipeline at regulated prices, which remained relatively stable along the interstate distribution chain. The system, however, failed to generate adequate supply of gas. In an effort to realign supply and demand, Congress initiated the deregulation of natural gas with NGPA, which phased out most wellhead price controls. A series of FERC actions culminating in Order 636 extended the process. Now, independent producers can sell gas directly to end users. Under Order 636, interstate pipelines no longer offer merchant services to gas customers. The paper discusses the change in risk profiles, price protection, futures and options, hedged exposure, setting price floors, off-exchange contracts, risk considerations, types of risks, business controls, back office controls, and credit monitoring

  2. 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.

  3. A compact PTR-ToF-MS instrument for airborne measurements of volatile organic compounds at high spatiotemporal resolution

    Directory of Open Access Journals (Sweden)

    M. Müller

    2014-11-01

    Full Text Available Herein, we report on the development of a compact proton-transfer-reaction time-of-flight mass spectrometer (PTR-ToF-MS for airborne measurements of volatile organic compounds (VOCs. The new instrument resolves isobaric ions with a mass resolving power (m/Δm of ~1000, provides accurate m/z measurements (Δm < 3 mDa, records full mass spectra at 1 Hz and thus overcomes some of the major analytical deficiencies of quadrupole-MS-based airborne instruments. 1 Hz detection limits for biogenic VOCs (isoprene, α total monoterpenes, aromatic VOCs (benzene, toluene, xylenes and ketones (acetone, methyl ethyl ketone range from 0.05 to 0.12 ppbV, making the instrument well-suited for fast measurements of abundant VOCs in the continental boundary layer. The instrument detects and quantifies VOCs in locally confined plumes (< 1 km, which improves our capability of characterizing emission sources and atmospheric processing within plumes. A deployment during the NASA 2013 DISCOVER-AQ mission generated high vertical- and horizontal-resolution in situ data of VOCs and ammonia for the validation of satellite retrievals and chemistry transport models.

  4. 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.

  5. 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

  6. Instrumentation

    International Nuclear Information System (INIS)

    Prieur, G.; Nadi, M.; Hedjiedj, A.; Weber, S.

    1995-01-01

    This second chapter on instrumentation gives little general consideration on history and classification of instrumentation, and two specific states of the art. The first one concerns NMR (block diagram of instrumentation chain with details on the magnets, gradients, probes, reception unit). The first one concerns precision instrumentation (optical fiber gyro-meter and scanning electron microscope), and its data processing tools (programmability, VXI standard and its history). The chapter ends with future trends on smart sensors and Field Emission Displays. (D.L.). Refs., figs

  7. Instrumentation

    International Nuclear Information System (INIS)

    Decreton, M.

    2000-01-01

    SCK-CEN's research and development programme on instrumentation aims at evaluating the potentials of new instrumentation technologies under the severe constraints of a nuclear application. It focuses on the tolerance of sensors to high radiation doses, including optical fibre sensors, and on the related intelligent data processing needed to cope with the nuclear constraints. Main achievements in these domains in 1999 are summarised

  8. Instrumentation

    Energy Technology Data Exchange (ETDEWEB)

    Decreton, M

    2001-04-01

    SCK-CEN's research and development programme on instrumentation involves the assessment and the development of sensitive measurement systems used within a radiation environment. Particular emphasis is on the assessment of optical fibre components and their adaptability to radiation environments. The evaluation of ageing processes of instrumentation in fission plants, the development of specific data evaluation strategies to compensate for ageing induced degradation of sensors and cable performance form part of these activities. In 2000, particular emphasis was on in-core reactor instrumentation applied to fusion, accelerator driven and water-cooled fission reactors. This involved the development of high performance instrumentation for irradiation experiments in the BR2 reactor in support of new instrumentation needs for MYRRHA, and for diagnostic systems for the ITER reactor.

  9. Instrumentation

    International Nuclear Information System (INIS)

    Decreton, M.

    2001-01-01

    SCK-CEN's research and development programme on instrumentation involves the assessment and the development of sensitive measurement systems used within a radiation environment. Particular emphasis is on the assessment of optical fibre components and their adaptability to radiation environments. The evaluation of ageing processes of instrumentation in fission plants, the development of specific data evaluation strategies to compensate for ageing induced degradation of sensors and cable performance form part of these activities. In 2000, particular emphasis was on in-core reactor instrumentation applied to fusion, accelerator driven and water-cooled fission reactors. This involved the development of high performance instrumentation for irradiation experiments in the BR2 reactor in support of new instrumentation needs for MYRRHA, and for diagnostic systems for the ITER reactor

  10. Instrumentation

    International Nuclear Information System (INIS)

    Decreton, M.

    2002-01-01

    SCK-CEN's R and D programme on instrumentation involves the development of advanced instrumentation systems for nuclear applications as well as the assessment of the performance of these instruments in a radiation environment. Particular emphasis is on the use of optical fibres as umbilincal links of a remote handling unit for use during maintanance of a fusion reacor, studies on the radiation hardening of plasma diagnostic systems; investigations on new instrumentation for the future MYRRHA accelerator driven system; space applications related to radiation-hardened lenses; the development of new approaches for dose, temperature and strain measurements; the assessment of radiation-hardened sensors and motors for remote handling tasks and studies of dose measurement systems including the use of optical fibres. Progress and achievements in these areas for 2001 are described

  11. Instrumentation

    Energy Technology Data Exchange (ETDEWEB)

    Decreton, M

    2002-04-01

    SCK-CEN's R and D programme on instrumentation involves the development of advanced instrumentation systems for nuclear applications as well as the assessment of the performance of these instruments in a radiation environment. Particular emphasis is on the use of optical fibres as umbilincal links of a remote handling unit for use during maintanance of a fusion reacor, studies on the radiation hardening of plasma diagnostic systems; investigations on new instrumentation for the future MYRRHA accelerator driven system; space applications related to radiation-hardened lenses; the development of new approaches for dose, temperature and strain measurements; the assessment of radiation-hardened sensors and motors for remote handling tasks and studies of dose measurement systems including the use of optical fibres. Progress and achievements in these areas for 2001 are described.

  12. Instrumentation

    Energy Technology Data Exchange (ETDEWEB)

    Decreton, M

    2000-07-01

    SCK-CEN's research and development programme on instrumentation aims at evaluating the potentials of new instrumentation technologies under the severe constraints of a nuclear application. It focuses on the tolerance of sensors to high radiation doses, including optical fibre sensors, and on the related intelligent data processing needed to cope with the nuclear constraints. Main achievements in these domains in 1999 are summarised.

  13. Instrumentation

    International Nuclear Information System (INIS)

    Umminger, K.

    2008-01-01

    A proper measurement of the relevant single and two-phase flow parameters is the basis for the understanding of many complex thermal-hydraulic processes. Reliable instrumentation is therefore necessary for the interaction between analysis and experiment especially in the field of nuclear safety research where postulated accident scenarios have to be simulated in experimental facilities and predicted by complex computer code systems. The so-called conventional instrumentation for the measurement of e. g. pressures, temperatures, pressure differences and single phase flow velocities is still a solid basis for the investigation and interpretation of many phenomena and especially for the understanding of the overall system behavior. Measurement data from such instrumentation still serves in many cases as a database for thermal-hydraulic system codes. However some special instrumentation such as online concentration measurement for boric acid in the water phase or for non-condensibles in steam atmosphere as well as flow visualization techniques were further developed and successfully applied during the recent years. Concerning the modeling needs for advanced thermal-hydraulic codes, significant advances have been accomplished in the last few years in the local instrumentation technology for two-phase flow by the application of new sensor techniques, optical or beam methods and electronic technology. This paper will give insight into the current state of instrumentation technology for safety-related thermohydraulic experiments. Advantages and limitations of some measurement processes and systems will be indicated as well as trends and possibilities for further development. Aspects of instrumentation in operating reactors will also be mentioned.

  14. Instruments

    International Nuclear Information System (INIS)

    Buehrer, W.

    1996-01-01

    The present paper mediates a basic knowledge of the most commonly used experimental techniques. We discuss the principles and concepts necessary to understand what one is doing if one performs an experiment on a certain instrument. (author) 29 figs., 1 tab., refs

  15. Instrumentation

    International Nuclear Information System (INIS)

    Muehllehner, G.; Colsher, J.G.

    1982-01-01

    This chapter reviews the parameters which are important to positron-imaging instruments. It summarizes the options which various groups have explored in designing tomographs and the methods which have been developed to overcome some of the limitations inherent in the technique as well as in present instruments. The chapter is not presented as a defense of positron imaging versus single-photon or other imaging modality, neither does it contain a description of various existing instruments, but rather stresses their common properties and problems. Design parameters which are considered are resolution, sampling requirements, sensitivity, methods of eliminating scattered radiation, random coincidences and attenuation. The implementation of these parameters is considered, with special reference to sampling, choice of detector material, detector ring diameter and shielding and variations in point spread function. Quantitation problems discussed are normalization, and attenuation and random corrections. Present developments mentioned are noise reduction through time-of-flight-assisted tomography and signal to noise improvements through high intrinsic resolution. Extensive bibliography. (U.K.)

  16. 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....

  17. 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.

  18. 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

  19. 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...

  20. 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....

  1. 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

  2. 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...

  3. Volatility as a downside of fairness

    OpenAIRE

    Leibfried, Peter; Zimmermann, Marc-Daniel

    2008-01-01

    Accounting Standards increasingly require financial instruments such as stocks, derivatives and structured products to be measured at fair value. As fair values represent a financial instrument's market value, price fluctuations find their way into financial statements. Even though fair value measurement provides useful information about the current value of a corporation's assets, it also increases the volatility of earnings.

  4. 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.; hide

    2017-01-01

    The chapter will begin with an introduction that defines magmatic volatiles (e.g., H, F, Cl, S) versus geochemical volatiles (e.g., K, Rb, Zn). We will discuss our approach of understanding both types of volatiles in lunar samples and lay the ground work for how we will determine the overall volatile budget of the Moon. We will then discuss the importance of endogenous volatiles in shaping the "Newer Views of the Moon", specifically how endogenous volatiles feed forward into processes such as the origin of the Moon, magmatic differentiation, volcanism, and secondary processes during surface and crustal interactions. After the introduction, we will include a re-view/synthesis on the current state of 1) apatite compositions (volatile abundances and isotopic compositions); 2) nominally anhydrous mineral phases (moderately to highly volatile); 3) volatile (moderately to highly volatile) abundances in and isotopic compositions of lunar pyroclastic glass beads; 4) volatile (moderately to highly volatile) abundances in and isotopic compositions of lunar basalts; 5) volatile (moderately to highly volatile) abundances in and isotopic compositions of melt inclusions; and finally 6) experimental constraints on mineral-melt partitioning of moderately to highly volatile elements under lunar conditions. We anticipate that each section will summarize results since 2007 and focus on new results published since the 2015 Am Min review paper on lunar volatiles [9]. The next section will discuss how to use sample abundances of volatiles to understand the source region and potential caveats in estimating source abundances of volatiles. The following section will include our best estimates of volatile abundances and isotopic compositions (where permitted by available data) for each volatile element of interest in a number of important lunar reservoirs, including the crust, mantle, KREEP, and bulk Moon. The final section of the chapter will focus upon future work, outstanding questions

  5. 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.

  6. 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.

  7. 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

  8. 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.

  9. 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.

  10. Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models

    Directory of Open Access Journals (Sweden)

    Shu Wing Ho

    2011-12-01

    Full Text Available The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices compared to historical volatility estimates sourced from IVolatility.com (“IVolatility”. Our evidence suggests use of the Bayesian approach to estimate volatility can provide a more accurate measure of ex-ante stock price volatility and will be useful in the pricing of derivative securities where the implied stock price volatility cannot be observed.

  11. 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

  12. 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....

  13. 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.

  14. 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

  15. 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

  16. 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

  17. 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

  18. 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.

  19. 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.

  20. A new Loan-Stock Financial Instrument

    OpenAIRE

    Morozovsky, Alexander; Narasimhan, Rajan; Kholodenko, Yuri

    2000-01-01

    A new financial instrument (a new kind of a loan) is introduced. The loan-stock instrument (LSI) combines fixed rate instruments (loans, etc.) with other financial instruments that have higher volatilities and returns (stocks, mutual funds, currencies, derivatives, options, etc.). This new loan depends on the value of underlying security (for example, stock) in such a way that when underlying security increases, the value of loan decreases and backwards. The procedure to create a risk free po...

  1. 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.

  2. Volatile and Isotopic Imprints of Ancient Mars

    Science.gov (United States)

    Mahaffy, Paul R.; Conrad, Pamela G.

    2015-01-01

    The science investigations enabled by Curiosity rover's instruments focus on identifying and exploring the habitability of the Martian environment. Measurements of noble gases, organic and inorganic compounds, and the isotopes of light elements permit the study of the physical and chemical processes that have transformed Mars throughout its history. Samples of the atmosphere, volatiles released from soils, and rocks from the floor of Gale Crater have provided a wealth of new data and a window into conditions on ancient Mars.

  3. 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

  4. 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.

  5. 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.

  6. 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.

  7. 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

  8. 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...

  9. 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...

  10. 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...

  11. Radioisotope instruments

    CERN Document Server

    Cameron, J F; Silverleaf, D J

    1971-01-01

    International Series of Monographs in Nuclear Energy, Volume 107: Radioisotope Instruments, Part 1 focuses on the design and applications of instruments based on the radiation released by radioactive substances. The book first offers information on the physical basis of radioisotope instruments; technical and economic advantages of radioisotope instruments; and radiation hazard. The manuscript then discusses commercial radioisotope instruments, including radiation sources and detectors, computing and control units, and measuring heads. The text describes the applications of radioisotop

  12. Quantifying requirements volatility effects

    NARCIS (Netherlands)

    Kulk, G.P.; Verhoef, C.

    2008-01-01

    In an organization operating in the bancassurance sector we identified a low-risk IT subportfolio of 84 IT projects comprising together 16,500 function points, each project varying in size and duration, for which we were able to quantify its requirements volatility. This representative portfolio

  13. 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...

  14. 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

  15. 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.

  16. 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

  17. Volatile sulfur compounds in tropical fruits

    Directory of Open Access Journals (Sweden)

    Robert J. Cannon

    2018-04-01

    Full Text Available Global production and demand for tropical fruits continues to grow each year as consumers are enticed by the exotic flavors and potential health benefits that these fruits possess. Volatile sulfur compounds (VSCs are often responsible for the juicy, fresh aroma of tropical fruits. This poses a challenge for analytical chemists to identify these compounds as most often VSCs are found at low concentrations in most tropical fruits. The aim of this review is to discuss the extraction methods, enrichment techniques, and instrumentation utilized to identify and quantify VSCs in natural products. This will be followed by a discussion of the VSCs reported in tropical and subtropical fruits, with particular attention to the odor and taste attributes of each compound. Finally, the biogenesis and enzymatic formation of specific VSCs in tropical fruits will be highlighted along with the contribution each possesses to the aroma of their respective fruit. Keywords: Tropical fruits, Volatile sulfur compounds, Extraction methods

  18. 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.

  19. Instrumental interaction

    OpenAIRE

    Luciani , Annie

    2007-01-01

    International audience; The expression instrumental interaction as been introduced by Claude Cadoz to identify a human-object interaction during which a human manipulates a physical object - an instrument - in order to perform a manual task. Classical examples of instrumental interaction are all the professional manual tasks: playing violin, cutting fabrics by hand, moulding a paste, etc.... Instrumental interaction differs from other types of interaction (called symbolic or iconic interactio...

  20. Characterization of Volatiles Loss from Soil Samples at Lunar Environments

    Science.gov (United States)

    Kleinhenz, Julie; Smith, Jim; Roush, Ted; Colaprete, Anthony; Zacny, Kris; Paulsen, Gale; Wang, Alex; Paz, Aaron

    2017-01-01

    Resource Prospector Integrated Thermal Vacuum Test Program A series of ground based dirty thermal vacuum tests are being conducted to better understand the subsurface sampling operations for RP Volatiles loss during sampling operations Hardware performance Sample removal and transfer Concept of operationsInstrumentation5 test campaigns over 5 years have been conducted with RP hardware with advancing hardware designs and additional RP subsystems Volatiles sampling 4 years Using flight-forward regolith sampling hardware, empirically determine volatile retention at lunar-relevant conditions Use data to improve theoretical predictions Determine driving variables for retention Bound water loss potential to define measurement uncertainties. The main goal of this talk is to introduce you to our approach to characterizing volatiles loss for RP. Introduce the facility and its capabilities Overview of the RP hardware used in integrated testing (most recent iteration) Summarize the test variables used thus farReview a sample of the results.

  1. 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....

  2. Options introduction and volatility in the EU ETS

    International Nuclear Information System (INIS)

    Chevallier, Julien; Le Pen, Yannick; Sevi, Benoit

    2009-01-01

    To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EU ETS futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely influences linked to energy and commodity markets. (authors)

  3. Minimum Tracking Error Volatility

    OpenAIRE

    Luca RICCETTI

    2010-01-01

    Investors assign part of their funds to asset managers that are given the task of beating a benchmark. The risk management department usually imposes a maximum value of the tracking error volatility (TEV) in order to keep the risk of the portfolio near to that of the selected benchmark. However, risk management does not establish a rule on TEV which enables us to understand whether the asset manager is really active or not and, in practice, asset managers sometimes follow passively the corres...

  4. Recovering volatile liquids

    Energy Technology Data Exchange (ETDEWEB)

    Bregeat, J H

    1925-07-30

    The products of hydrogenation of alicyclic compounds, such as terpenes, for example, pinene or oil of turpentine, are used as washing liquids for absorbing vapours of volatile liquids from gases, such as natural gases from petroliferous regions, gases from the distillation of coal, lignite, schist, peat, etc. or from the cracking of heavy oils. Other liquids such as tar oils vaseline oils, cresols, etc. may be added.

  5. Understanding Interest Rate Volatility

    OpenAIRE

    Volker, Desi

    2016-01-01

    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 Stochast...

  6. 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.

  7. 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.

  8. Instrumentation Facility

    Data.gov (United States)

    Federal Laboratory Consortium — Provides instrumentation support for flight tests of prototype weapons systems using a vast array of airborne sensors, transducers, signal conditioning and encoding...

  9. Monitoring volatile anaesthetic agents

    International Nuclear Information System (INIS)

    Russell, W.J.

    2000-01-01

    Full text: The methods that have been used for monitoring volatile anaesthetic agents depend on some physical property such as Density, Refractometry, Mass, Solubility, Raman scattering, or Infra-red absorption. Today, refractometry and infra-red techniques are the most common. Refractometry is used for the calibration of vaporizers. All anaesthetic agents increase the refractive index of the carrier gas. Provided the mixture is known then the refractive change measures the concentration of the volatile anaesthetic agent. Raman Scattering is when energy hits a molecule a very small fraction of the energy is absorbed and re-emitted at one or more lower frequencies. The shift in frequency is a function of the chemical bonds and is a fingerprint of the substance irradiated. Electromagnetic (Infra-red) has been the commonest method of detection of volatile agents. Most systems use a subtractive system, i.e. the agent in the sampling cell absorbed some of the infrared energy and the photo-detector therefore received less energy. A different approach is where the absorbed energy is converted into a pressure change and detected as sound (Acoustic monitor). This gives a more stable zero reference. More recently, the detector systems have used multiple narrow-band wavelengths in the infrared bands and by shape matching or matrix computing specific agent identification is achieved and the concentration calculated. In the early Datex AS3 monitors, a spectral sweep across the 3 micron infrared band was used to create spectral fingerprints. The recently released AS3 monitors use a different system with five very narrow band filters in the 8-10 micron region. The transmission through each of these filters is a value in a matrix which is solved by a micro computer to identify the agent and its concentration. These monitors can assist in improving the safety and efficiency of our anaesthetics but do not ensure that the patient is completely anaesthetized. Copyright (2000

  10. Monitoring volatile anaesthetic agents

    Energy Technology Data Exchange (ETDEWEB)

    Russell, W J [Royal Adelaide Hospital, SA (Australia). Department of Anaesthesia and Intensive Care

    2000-12-01

    Full text: The methods that have been used for monitoring volatile anaesthetic agents depend on some physical property such as Density, Refractometry, Mass, Solubility, Raman scattering, or Infra-red absorption. Today, refractometry and infra-red techniques are the most common. Refractometry is used for the calibration of vaporizers. All anaesthetic agents increase the refractive index of the carrier gas. Provided the mixture is known then the refractive change measures the concentration of the volatile anaesthetic agent. Raman Scattering is when energy hits a molecule a very small fraction of the energy is absorbed and re-emitted at one or more lower frequencies. The shift in frequency is a function of the chemical bonds and is a fingerprint of the substance irradiated. Electromagnetic (Infra-red) has been the commonest method of detection of volatile agents. Most systems use a subtractive system, i.e. the agent in the sampling cell absorbed some of the infrared energy and the photo-detector therefore received less energy. A different approach is where the absorbed energy is converted into a pressure change and detected as sound (Acoustic monitor). This gives a more stable zero reference. More recently, the detector systems have used multiple narrow-band wavelengths in the infrared bands and by shape matching or matrix computing specific agent identification is achieved and the concentration calculated. In the early Datex AS3 monitors, a spectral sweep across the 3 micron infrared band was used to create spectral fingerprints. The recently released AS3 monitors use a different system with five very narrow band filters in the 8-10 micron region. The transmission through each of these filters is a value in a matrix which is solved by a micro computer to identify the agent and its concentration. These monitors can assist in improving the safety and efficiency of our anaesthetics but do not ensure that the patient is completely anaesthetized. Copyright (2000

  11. Volatile organic monitor for industrial effluents

    International Nuclear Information System (INIS)

    Laguna, G.R.; Peter, F.J.; Stuart, A.D.; Loyola, V.M.

    1993-07-01

    1990 amendments to the Clean Air Act have created the need for instruments capable of monitoring volatile organic compounds (VOCS) in public air space in an unattended and low cost manner. The purpose of the study was to develop and demonstrate the capability to do long term automatic and unattended ambient air monitoring using an inexpensive portable analytic system at a commercial manufacturing plant site. A gas chromatograph system personal computer hardware, meteorology tower ampersand instruments, and custom designed hardware and software were developed. Comparison with an EPA approved method was performed. The system was sited at an aircraft engines manufacturing site and operated in a completely unattended mode for 60 days. Two VOCs were monitored every 30 minutes during the 24hr day. Large variation in the concentration from 800ppb to the limits of detection of about 10ppb were observed. Work to increase the capabilities of the system is ongoing

  12. 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

  13. 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.

  14. Molecular plant volatile communication.

    Science.gov (United States)

    Holopainen, Jarmo K; Blande, James D

    2012-01-01

    Plants produce a wide array of volatile organic compounds (VOCs) which have multiple functions as internal plant hormones (e.g., ethylene, methyl jasmonate and methyl salicylate), in communication with conspecific and heterospecific plants and in communication with organisms of second (herbivores and pollinators) and third (enemies of herbivores) trophic levels. Species specific VOCs normally repel polyphagous herbivores and those specialised on other plant species, but may attract specialist herbivores and their natural enemies, which use VOCs as host location cues. Attraction of predators and parasitoids by VOCs is considered an evolved indirect defence, whereby plants are able to indirectly reduce biotic stress caused by damaging herbivores. In this chapter we review these interactions where VOCs are known to play a crucial role. We then discuss the importance of volatile communication in self and nonself detection. VOCs are suggested to appear in soil ecosystems where distinction of own roots from neighbours roots is essential to optimise root growth, but limited evidence of above-ground plant self-recognition is available.

  15. 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

  16. 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...

  17. A study of transformation water - soluble forms of hevy metals at waste incenerator for detoxicationof ash.

    Directory of Open Access Journals (Sweden)

    Bilets'ka V. А.

    2011-11-01

    Full Text Available The complex research processes of transformation of soluble forms of heavy metals in sediment interaction with ash. Proved that the adsorption processes of immobilization lead to a significant decrease of soluble forms of heavy metals in the waste.

  18. Instrumentation development

    International Nuclear Information System (INIS)

    Ubbes, W.F.; Yow, J.L. Jr.

    1988-01-01

    Instrumentation is developed for the Civilian Radioactive Waste Management Program to meet several different (and sometimes conflicting) objectives. This paper addresses instrumentation development for data needs that are related either directly or indirectly to a repository site, but does not touch on instrumentation for work with waste forms or other materials. Consequently, this implies a relatively large scale for the measurements, and an in situ setting for instrument performance. In this context, instruments are needed for site characterization to define phenomena, develop models, and obtain parameter values, and for later design and performance confirmation testing in the constructed repository. The former set of applications is more immediate, and is driven by the needs of program design and performance assessment activities. A host of general technical and nontechnical issues have arisen to challenge instrumentation development. Instruments can be classed into geomechanical, geohydrologic, or other specialty categories, but these issues cut across artificial classifications. These issues are outlined. Despite this imposing list of issues, several case histories are cited to evaluate progress in the area

  19. 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

  20. 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

  1. Volatile organic compounds

    International Nuclear Information System (INIS)

    Silseth, May Liss

    1998-01-01

    The goal is: Not more emission of volatile organic compounds (VOCs) than necessary. The items discussed in this presentation are the VOCs, how to calculate emission of VOCs, how to reduce or avoid them, and different recovery processes. The largest source of Norwegian emissions of non methane VOCs (NMVOCs) is offshore loading of raw petroleum. Emissions of VOCs should be reduced mainly for two reasons: (1) on sunny days NMVOCs may react with NOx to form ozon and smog close to the surface, (2) ozone and smog close to the surface may be harmful to plants and animals, and they are hazardous to human health. As for the calculation of VOC emissions, the VOCON project will release the calculation program HCGASS in 1999. This project is a cooperative project headed by SINTEF/Marintek

  2. Governmentally amplified output volatility

    Science.gov (United States)

    Funashima, Yoshito

    2016-11-01

    Predominant government behavior is decomposed by frequency into several periodic components: updating cycles of infrastructure, Kuznets cycles, fiscal policy over business cycles, and election cycles. Little is known, however, about the theoretical impact of such cyclical behavior in public finance on output fluctuations. Based on a standard neoclassical growth model, this study intends to examine the frequency at which public investment cycles are relevant to output fluctuations. We find an inverted U-shaped relationship between output volatility and length of cycle in public investment. This implies that periodic behavior in public investment at a certain frequency range can cause aggravated output resonance. Moreover, we present an empirical analysis to test the theoretical implication, using the U.S. data in the period from 1968 to 2015. The empirical results suggest that such resonance phenomena change from low to high frequency.

  3. 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.

  4. 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.

  5. Instrumental analysis

    Energy Technology Data Exchange (ETDEWEB)

    Kim, Seung Jae; Seo, Seong Gyu

    1995-03-15

    This textbook deals with instrumental analysis, which consists of nine chapters. It has Introduction of analysis chemistry, the process of analysis and types and form of the analysis, Electrochemistry on basic theory, potentiometry and conductometry, electromagnetic radiant rays and optical components on introduction and application, Ultraviolet rays and Visible spectrophotometry, Atomic absorption spectrophotometry on introduction, flame emission spectrometry and plasma emission spectrometry. The others like infrared spectrophotometry, X-rays spectrophotometry and mass spectrometry, chromatography and the other instrumental analysis like radiochemistry.

  6. Instrumental analysis

    International Nuclear Information System (INIS)

    Kim, Seung Jae; Seo, Seong Gyu

    1995-03-01

    This textbook deals with instrumental analysis, which consists of nine chapters. It has Introduction of analysis chemistry, the process of analysis and types and form of the analysis, Electrochemistry on basic theory, potentiometry and conductometry, electromagnetic radiant rays and optical components on introduction and application, Ultraviolet rays and Visible spectrophotometry, Atomic absorption spectrophotometry on introduction, flame emission spectrometry and plasma emission spectrometry. The others like infrared spectrophotometry, X-rays spectrophotometry and mass spectrometry, chromatography and the other instrumental analysis like radiochemistry.

  7. LOFT instrumentation

    International Nuclear Information System (INIS)

    Bixby, W.W.

    1979-01-01

    A description of instrumentation used in the Loss-of-Fluid Test (LOFT) large break Loss-of-Coolant Experiments is presented. Emphasis is placed on hydraulic and thermal measurements in the primary system piping and components, reactor vessel, and pressure suppression system. In addition, instrumentation which is being considered for measurement of phenomena during future small break testing is discussed. (orig.) 891 HP/orig. 892 BRE [de

  8. 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

  9. 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...

  10. 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 ($/£ )....

  11. 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.

  12. 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

  13. 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....

  14. Instrumental Capital

    Directory of Open Access Journals (Sweden)

    Gabriel Valerio

    2007-07-01

    Full Text Available During the history of human kind, since our first ancestors, tools have represented a mean to reach objectives which might otherwise seemed impossibles. In the called New Economy, where tangibles assets appear to be losing the role as the core element to produce value versus knowledge, tools have kept aside man in his dairy work. In this article, the author's objective is to describe, in a simple manner, the importance of managing the organization's group of tools or instruments (Instrumental Capital. The characteristic conditions of this New Economy, the way Knowledge Management deals with these new conditions and the sub-processes that provide support to the management of Instrumental Capital are described.

  15. Innovative instrumentation

    International Nuclear Information System (INIS)

    Anon.

    1983-01-01

    At this year's particle physics conference at Brighton, a parallel session was given over to instrumentation and detector development. While this work is vital to the health of research and its continued progress, its share of prime international conference time is limited. Instrumentation can be innovative three times — first when a new idea is outlined, secondly when it is shown to be feasible, and finally when it becomes productive in a real experiment, amassing useful data rather than operational experience. Hyams' examples showed that it can take a long time for a new idea to filter through these successive stages, if it ever makes it at all

  16. Innovative instrumentation

    Energy Technology Data Exchange (ETDEWEB)

    Anon.

    1983-11-15

    At this year's particle physics conference at Brighton, a parallel session was given over to instrumentation and detector development. While this work is vital to the health of research and its continued progress, its share of prime international conference time is limited. Instrumentation can be innovative three times — first when a new idea is outlined, secondly when it is shown to be feasible, and finally when it becomes productive in a real experiment, amassing useful data rather than operational experience. Hyams' examples showed that it can take a long time for a new idea to filter through these successive stages, if it ever makes it at all.

  17. Instrumental aspects

    Directory of Open Access Journals (Sweden)

    Qureshi Navid

    2017-01-01

    Full Text Available Every neutron scattering experiment requires the choice of a suited neutron diffractometer (or spectrometer in the case of inelastic scattering with its optimal configuration in order to accomplish the experimental tasks in the most successful way. Most generally, the compromise between the incident neutron flux and the instrumental resolution has to be considered, which is depending on a number of optical devices which are positioned in the neutron beam path. In this chapter the basic instrumental principles of neutron diffraction will be explained. Examples of different types of experiments and their respective expectable results will be shown. Furthermore, the production and use of polarized neutrons will be stressed.

  18. 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

  19. 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

  20. 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...

  1. Surgical Instrument

    NARCIS (Netherlands)

    Dankelman, J.; Horeman, T.

    2009-01-01

    The present invention relates to a surgical instrument for minimall-invasive surgery, comprising a handle, a shaft and an actuating part, characterised by a gastight cover surrounding the shaft, wherein the cover is provided with a coupler that has a feed- through opening with a loskable seal,

  2. Weather Instruments.

    Science.gov (United States)

    Brantley, L. Reed, Sr.; Demanche, Edna L.; Klemm, E. Barbara; Kyselka, Will; Phillips, Edwin A.; Pottenger, Francis M.; Yamamoto, Karen N.; Young, Donald B.

    This booklet presents some activities to measure various weather phenomena. Directions for constructing a weather station are included. Instruments including rain gauges, thermometers, wind vanes, wind speed devices, humidity devices, barometers, atmospheric observations, a dustfall jar, sticky-tape can, detection of gases in the air, and pH of…

  3. Fourier-Malliavin volatility estimation theory and practice

    CERN Document Server

    Mancino, Maria Elvira; Sanfelici, Simona

    2017-01-01

    This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study. .

  4. Nuclear instrumentation

    International Nuclear Information System (INIS)

    Weill, Jacky; Fabre, Rene.

    1981-01-01

    This article sums up the Research and Development effort at present being carried out in the five following fields of applications: Health physics and Radioprospection, Control of nuclear reactors, Plant control (preparation and reprocessing of the fuel, testing of nuclear substances, etc.), Research laboratory instrumentation, Detectors. It also sets the place of French industrial activities by means of an estimate of the French market, production and flow of trading with other countries [fr

  5. Divided Instruments

    Science.gov (United States)

    Chapman, A.; Murdin, P.

    2000-11-01

    Although the division of the zodiac into 360° probably derives from Egypt or Assyria around 2000 BC, there is no surviving evidence of Mesopotamian cultures embodying this division into a mathematical instrument. Almost certainly, however, it was from Babylonia that the Greek geometers learned of the 360° circle, and by c. 80 BC they had incorporated it into that remarkably elaborate device gener...

  6. Instrumentation development

    International Nuclear Information System (INIS)

    Anon.

    1976-01-01

    Areas being investigated for instrumentation improvement during low-level pollution monitoring include laser opto-acoustic spectroscopy, x-ray fluorescence spectroscopy, optical fluorescence spectroscopy, liquid crystal gas detectors, advanced forms of atomic absorption spectroscopy, electro-analytical chemistry, and mass spectroscopy. Emphasis is also directed toward development of physical methods, as opposed to conventional chemical analysis techniques for monitoring these trace amounts of pollution related to energy development and utilization

  7. Instrumentation maintenance

    International Nuclear Information System (INIS)

    Mack, D.A.

    1976-09-01

    It is essential to any research activity that accurate and efficient measurements be made for the experimental parameters under consideration for each individual experiment or test. Satisfactory measurements in turn depend upon having the necessary instruments and the capability of ensuring that they are performing within their intended specifications. This latter requirement can only be achieved by providing an adequate maintenance facility, staffed with personnel competent to understand the problems associated with instrument adjustment and repair. The Instrument Repair Shop at the Lawrence Berkeley Laboratory is designed to achieve this end. The organization, staffing and operation of this system is discussed. Maintenance policy should be based on studies of (1) preventive vs. catastrophic maintenance, (2) records indicating when equipment should be replaced rather than repaired and (3) priorities established to indicate the order in which equipment should be repaired. Upon establishing a workable maintenance policy, the staff should be instructed so that they may provide appropriate scheduled preventive maintenance, calibration and corrective procedures, and emergency repairs. The education, training and experience of the maintenance staff is discussed along with the organization for an efficient operation. The layout of the various repair shops is described in the light of laboratory space and financial constraints

  8. The implied volatility of U.S. interest rates: evidence from callable U. S. Treasuries

    OpenAIRE

    Robert R. Bliss; Ehud I. Ronn

    1995-01-01

    The prices for callable U.S. Treasury securities provide the sole source of evidence concerning the implied volatility of interest rates over the extended 1926-1994 period. This paper uses the prices of callable as well as non-callable Treasury instruments to estimate implied interest rate volatilities for the past sixty years, and, for the more recent 1989-1994 period, the cross-sectional term structures of implied interest rate volatility. We utilize these estimates to perform cross-section...

  9. Comet coma sample return instrument

    Science.gov (United States)

    Albee, A. L.; Brownlee, Don E.; Burnett, Donald S.; Tsou, Peter; Uesugi, K. T.

    1994-01-01

    The sample collection technology and instrument concept for the Sample of Comet Coma Earth Return Mission (SOCCER) are described. The scientific goals of this Flyby Sample Return are to return to coma dust and volatile samples from a known comet source, which will permit accurate elemental and isotopic measurements for thousands of individual solid particles and volatiles, detailed analysis of the dust structure, morphology, and mineralogy of the intact samples, and identification of the biogenic elements or compounds in the solid and volatile samples. Having these intact samples, morphologic, petrographic, and phase structural features can be determined. Information on dust particle size, shape, and density can be ascertained by analyzing penetration holes and tracks in the capture medium. Time and spatial data of dust capture will provide understanding of the flux dynamics of the coma and the jets. Additional information will include the identification of cosmic ray tracks in the cometary grains, which can provide a particle's process history and perhaps even the age of the comet. The measurements will be made with the same equipment used for studying micrometeorites for decades past; hence, the results can be directly compared without extrapolation or modification. The data will provide a powerful and direct technique for comparing the cometary samples with all known types of meteorites and interplanetary dust. This sample collection system will provide the first sample return from a specifically identified primitive body and will allow, for the first time, a direct method of matching meteoritic materials captured on Earth with known parent bodies.

  10. Volatility Properties of Polonium

    International Nuclear Information System (INIS)

    Eichler, B.

    2002-06-01

    Thermodynamical constants to describe evaporation processes of polonium are summarized and critically discussed. Additionally, systematic changes of the properties of the chalcogenes are analyzed, empirical correlations are proofed and cyclic processes are balanced. Accordingly, the existing values of entropies for polonium are acceptable. Questionable, however, are those values of enthalpies, which have been deduced from results of the experimental investigations of the vapor pressure temperature dependency, of the melting point, and of the boiling temperatures. Technical difficulties and possible error sources of the measurements resulting from the radioactive decay properties of 210 Po are discussed. Using extrapolative standard enthalpies and entropies as well as their temperature dependency, the equilibrium partial pressure of the monomeric and dimeric polonium above the pure condensed phase and the equilibrium constant of the dimerization reaction in the gas phase are calculated: log p/pa Po (g) = (11.797 ± 0.024) -(9883.4 ± 9.5)/T (for T = 298-600 K); = (10.661 ± 0.057) - (9328.4 ± 4.9)/T (for T = 500-1300 K); log p/pa Po 2 (g) = (13.698 ± 0.049) - (8592.3 ± 19.6)/T (for T = 298-600 K); = (11.424 ± 0.124) - (7584.1 ± 98.1)/T (for T = 500-1300 K); log K (dim) = (-4.895 ± 0.012) + (11071 ± 6)/T. According to these calculations and in contrast to other works, polonium evaporates in the entire temperature range between 298 and 1300 K in the dimeric state. Hence, 'latent heats' of the volatilization processes are clearly larger compared to literature data. Especially in the temperature range of the solid polonium the calculated vapor pressure curve shifts significantly to lower values, whereas the boiling point was almost reproduced by the calculation. The results of the extrapolation for the standard enthalpy of the gaseous monomeric polonium and the dimerization enthalpy ΔH 0 298 Po (g) = 188.9 kJ/mol and ΔH 0 298 (form) Po 2 (g) = 211.5 kJ/mol are

  11. 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...

  12. 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...

  13. 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.

  14. 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.

  15. 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...

  16. 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.

  17. RESOLVE (Regolith & Environmental Science Oxygen & Lunar Volatile Extraction) Project

    Science.gov (United States)

    Parker, Ray; Coan, Mary; Captain, Janine; Cryderman, Kate; Quinn, Jacqueline

    2015-01-01

    The RESOLVE Project is a lunar prospecting mission whose primary goal is to characterize water and other volatiles in lunar regolith. The Lunar Advanced Volatiles Analysis (LAVA) subsystem is comprised of a fluid subsystem that transports flow to the gas chromatograph - mass spectrometer (GC-MS) instruments that characterize volatiles and the Water Droplet Demonstration (WDD) that will capture and display water condensation in the gas stream. The LAVA Engineering Test Unit (ETU) is undergoing risk reduction testing this summer and fall within a vacuum chamber to understand and characterize component and integrated system performance. Testing of line heaters, printed circuit heaters, pressure transducers, temperature sensors, regulators, and valves in atmospheric and vacuum environments was done. Test procedures were developed to guide experimental tests and test reports to analyze and draw conclusions from the data. In addition, knowledge and experience was gained with preparing a vacuum chamber with fluid and electrical connections. Further testing will include integrated testing of the fluid subsystem with the gas supply system, near-infrared spectrometer for the Surge Tank (NIRST), WDD, Sample Delivery System, and GC-MS in the vacuum chamber. Since LAVA is a scientific subsystem, the near infrared spectrometer and GC-MS instruments will be tested during the ETU testing phase.

  18. Development and Characterization of a Thermodenuder for Aerosol Volatility Measurements

    Energy Technology Data Exchange (ETDEWEB)

    Dr. Timothy Onasch

    2009-09-09

    This SBIR Phase I project addressed the critical need for improved characterization of carbonaceous aerosol species in the atmosphere. The proposed work focused on the development of a thermodenuder (TD) system capable of systematically measuring volatility profiles of primary and secondary organic aerosol species and providing insight into the effects of absorbing and nonabsorbing organic coatings on particle absorption properties. This work provided the fundamental framework for the generation of essential information needed for improved predictions of ambient aerosol loadings and radiative properties by atmospheric chemistry models. As part of this work, Aerodyne Research, Inc. (ARI) continued to develop and test, with the final objective of commercialization, an improved thermodenuder system that can be used in series with any aerosol instrument or suite of instruments (e.g., aerosol mass spectrometers-AMS, scanning mobility particle sizers-SMPS, photoacoustic absorption spectrometers-PAS, etc.) to obtain aerosol chemical, physical, and optical properties as a function of particle volatility. In particular, we provided the proof of concept for the direct coupling of our improved TD design with a full microphysical model to obtain volatility profiles for different organic aerosol components and to allow for meaningful comparisons between different TD-derived aerosol measurements. In a TD, particles are passed through a heated zone and a denuding (activated charcoal) zone to remove semi-volatile material. Changes in particle size, number concentration, optical absorption, and chemical composition are subsequently detected with aerosol instrumentation. The aerosol volatility profiles provided by the TD will strengthen organic aerosol emission inventories, provide further insight into secondary aerosol formation mechanisms, and provide an important measure of particle absorption (including brown carbon contributions and identification, and absorption enhancements

  19. Volatility Spillovers Across Petroleum Markets

    Czech Academy of Sciences Publication Activity Database

    Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš

    2015-01-01

    Roč. 36, č. 3 (2015), s. 309-329 ISSN 0195-6574 R&D Projects: GA ČR GA14-24129S Keywords : Volatility spillovers * Asymmetry * Petroleum markets Subject RIV: AH - Economics Impact factor: 1.662, year: 2015 http://library.utia.cas.cz/separaty/2014/E/barunik-0438407.pdf

  20. Stochastic Volatility and DSGE Models

    DEFF Research Database (Denmark)

    Andreasen, Martin Møller

    This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...

  1. 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 ...

  2. 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...

  3. 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

  4. 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...

  5. 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.

  6. 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

  7. 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...

  8. 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

  9. 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...

  10. 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...

  11. Seismic instrumentation

    International Nuclear Information System (INIS)

    1984-06-01

    RFS or Regles Fondamentales de Surete (Basic Safety Rules) applicable to certain types of nuclear facilities lay down requirements with which compliance, for the type of facilities and within the scope of application covered by the RFS, is considered to be equivalent to compliance with technical French regulatory practice. The object of the RFS is to take advantage of standardization in the field of safety, while allowing for technical progress in that field. They are designed to enable the operating utility and contractors to know the rules pertaining to various subjects which are considered to be acceptable by the Service Central de Surete des Installations Nucleaires, or the SCSIN (Central Department for the Safety of Nuclear Facilities). These RFS should make safety analysis easier and lead to better understanding between experts and individuals concerned with the problems of nuclear safety. The SCSIN reserves the right to modify, when considered necessary, any RFS and specify, if need be, the terms under which a modification is deemed retroactive. The aim of this RFS is to define the type, location and operating conditions for seismic instrumentation needed to determine promptly the seismic response of nuclear power plants features important to safety to permit comparison of such response with that used as the design basis

  12. Meteorological instrumentation

    International Nuclear Information System (INIS)

    1982-06-01

    RFS or ''Regles Fondamentales de Surete'' (Basic Safety Rules) applicable to certain types of nuclear facilities lay down requirements with which compliance, for the type of facilities and within the scope of application covered by the RFS, is considered to be equivalent to compliance with technical French regulatory practice. The object of the RFS is to take advantage of standardization in the field of safety , while allowing for technical progress in that field. They are designed to enable the operating utility and contractors to know the rules pertaining to various subjects which are considered to be acceptable by the ''Service Central de Surete des Installations Nucleaires'' or the SCSIN (Central Department for the Safety of Nuclear Facilities). These RFS should make safety analysis easier and lead to better understanding between experts and individuals concerned with the problems of nuclear safety. The SCSIN reserves the right to modify, when considered necessary any RFS and specify, if need be, the terms under which a modification is deemed retroactive. The purpose of this RFS is to specify the meteorological instrumentation required at the site of each nuclear power plant equipped with at least one pressurized water reactor

  13. Radiological instrument

    International Nuclear Information System (INIS)

    Kronenberg, S.; McLaughlin, W.L.; Seibentritt, C.R. Jr.

    1986-01-01

    An instrument is described for measuring radiation, particularly nuclear radiation, comprising: a radiation sensitive structure pivoted toward one end and including a pair of elongated solid members contiguously joined together along their length dimensions and having a common planar interface therebetween. One of the pairs of members is comprised of radiochromic material whose index of refraction changes due to anomolous dispersion as a result of being exposed to nuclear radiation. The pair of members further has mutually different indices of refraction with the member having the larger index of refraction further being transparent for the passage of light and of energy therethrough; means located toward the other end of the structure for varying the angle of longitudinal elevation of the pair of members; means for generating and projecting a beam of light into one end of the member having the larger index of refraction. The beam of light is projected toward the planar interface where it is reflected out of the other end of the same member as a first output beam; means projecting a portion of the beam of light into one end of the member having the larger index of refraction where it traverses therethrough without reflection and out of the other end of the same member as a second output beam; and means adjacent the structure for receiving the first and second output beams, whereby a calibrated change in the angle of elevation of the structure between positions of equal intensity of the first and second output beams prior to and following exposure provides a measure of the radiation sensed due to a change of refraction of the radiochromic material

  14. 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...

  15. Associations of Volatile Compounds with Sensory Aroma and Flavor: The Complex Nature of Flavor

    Directory of Open Access Journals (Sweden)

    Edgar Chambers IV

    2013-04-01

    Full Text Available Attempts to relate sensory analysis data to specific chemicals such as volatile compounds have been frequent. Often these associations are difficult to interpret or are weak in nature. Although some difficulties may relate to the methods used, the difficulties also result from the complex nature of flavor. For example, there are multiple volatiles responsible for a flavor sensation, combinations of volatiles yield different flavors than those expected from individual compounds, and the differences in perception of volatiles in different matrices. This review identifies some of the reasons sensory analysis and instrumental measurements result in poor associations and suggests issues that need to be addressed in future research for better understanding of the relationships of flavor/aroma phenomena and chemical composition.

  16. Effectiveness of monetary and macroprudential shocks on consumer credit growth and volatility in Turkey

    Directory of Open Access Journals (Sweden)

    Meltem Gulenay Chadwick

    2018-06-01

    Full Text Available This paper proposes a panel VAR model to uncover the effect of monetary policy and macroprudential tightening probability on general purpose loans, housing loans, vehicle loans, credit cards and their respective volatilities in Turkey. To conduct our analysis, first, we compare a number of stochastic volatility models using our loan and credit card series in a formal Bayesian model comparison exercise, in order to determine the best volatility model for our series. Second we disclose the latent probability of macroprudential tightening from the binary information of policy episodes, using an instrumental variable probit model estimated by conditional maximum likelihood with heteroscedasticity robust standard errors. Lastly we estimate the dynamic impact of monetary policy and macroprudential measures using a panel VAR, incorporating the latent probability of tightening episodes, credit growth, industrial production growth, loan rates, inflation and credit growth volatilities into the endogenous system of equations. We conclude that macroprudential tightening is effective in dampening credit growth, credit growth volatility and reducing consumer price inflation. Besides, this effect is more prominent when macroprudential tools are administered in coordination with monetary policy. Keywords: Consumer loans, Monetary policy, Macroprudential policy, Stochastic volatility models, Credit growth volatility, IV probit model, Panel VAR model, JEL classification: C54, E44, E52

  17. 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)

  18. Volatile constituents of Trichothecium roseum.

    Science.gov (United States)

    Vanhaelen, M; Vanhaelen-Fastre, R; Geeraerts, J

    1978-06-01

    In the course of investigation of Trichothecium roseum (Fungi Imperfecti) for its attractancy against Tyrophagus putrescentiae (cheese mite), the twenty following volatile compounds produced at a very low concentration by the microfungus were identified by gc, gc/ms, gc/c.i.ms and tlc: 3-methyl-1-butanol, 3-octanone, 1-octen-3-one, 3-octanol, octa-1,5-dien-3 one, 1-octen-3-ol, 6-methyl-5-hepten-2-ol, octa-1,5-dien-3 ol, furfural, linalool, linalyl acetate, terpineol (alpha and beta) citronellyl acetate, nerol, citronellol, phenylacetaldehyde, benzyl alcohol geranyl acetate, 1-phenyl ethanol and nerolidol. Octa-1,5-dien-3-ol and octa-1,5-dien-3-one have not been previously isolated from fungi; octa-1,5-dien-3-ol is the most potent attractant amount the volatile compounds detected by gc.

  19. 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.

  20. 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.

  1. Forecasting volatility of crude oil markets

    International Nuclear Information System (INIS)

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

    2009-01-01

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

  2. Forecasting volatility of crude oil markets

    Energy Technology Data Exchange (ETDEWEB)

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

    2009-01-15

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

  3. Money, banks and endogenous volatility

    OpenAIRE

    Pere Gomis-Porqueras

    2000-01-01

    In this paper I consider a monetary growth model in which banks provide liquidity, and the government fixes a constant rate of money creation. There are two underlying assets in the economy, money and capital. Money is dominated in rate of return. In contrast to other papers with a larger set of government liabilities, I find a unique equilibrium when agents' risk aversion is moderate. However, indeterminacies and endogenous volatility can be observed when agents are relatively risk averse.

  4. Forecasting volatility for options valuation

    International Nuclear Information System (INIS)

    Belaifa, M.; Morimune, K.

    2006-01-01

    The petroleum sector plays a neuralgic role in the basement of world economies, and market actors (producers, intermediates, as well as consumers) are continuously subjected to the dynamics of unstable oil market. Huge amounts are being invested along the production chain to make one barrel of crude oil available to the end user. Adding to that are the effect of geopolitical dynamics as well as geological risks as expressed in terms of low chances of successful discoveries. In addition, fiscal regimes and regulations, technology and environmental concerns are also among some of the major factors that contribute to the substantial risk in the oil industry and render the market structure vulnerable to crises. The management of these vulnerabilities require modern tools to reduce risk to a certain level, which unfortunately is a non-zero value. The aim of this paper is, therefore, to provide a modern technique to capture the oil price stochastic volatility that can be implemented to value the exposure of an investor, a company, a corporate or a Government. The paper first analyses the regional dependence on oil prices, through a historical perspective and then looks at the evolution of pricing environment since the large price jumps of the 1970s. The main causes of oil prices volatility are treated in the third part of the paper. The rest of the article deals with volatility models and forecasts used in risk management, with an implication for pricing derivatives. (author)

  5. 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.

  6. 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

  7. A low-bias simulation scheme for the SABR stochastic volatility model

    NARCIS (Netherlands)

    B. Chen (Bin); C.W. Oosterlee (Cornelis); J.A.M. van der Weide

    2012-01-01

    htmlabstractThe Stochastic Alpha Beta Rho Stochastic Volatility (SABR-SV) model is widely used in the financial industry for the pricing of fixed income instruments. In this paper we develop an lowbias simulation scheme for the SABR-SV model, which deals efficiently with (undesired)

  8. 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.

  9. 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.

  10. 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.

  11. 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

  12. 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.

  13. 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.

  14. Lunar Advanced Volatile Analysis Subsystem: Pressure Transducer Trade Study

    Science.gov (United States)

    Kang, Edward Shinuk

    2017-01-01

    In Situ Resource Utilization (ISRU) is a key factor in paving the way for the future of human space exploration. The ability to harvest resources on foreign astronomical objects to produce consumables and propellant offers potential reduction in mission cost and risk. Through previous missions, the existence of water ice at the poles of the moon has been identified, however the feasibility of water extraction for resources remains unanswered. The Resource Prospector (RP) mission is currently in development to provide ground truth, and will enable us to characterize the distribution of water at one of the lunar poles. Regolith & Environment Science and Oxygen & Lunar Volatile Extraction (RESOLVE) is the primary payload on RP that will be used in conjunction with a rover. RESOLVE contains multiple instruments for systematically identifying the presence of water. The main process involves the use of two systems within RESOLVE: the Oxygen Volatile Extraction Node (OVEN) and Lunar Advanced Volatile Analysis (LAVA). Within the LAVA subsystem, there are multiple calculations that depend on accurate pressure readings. One of the most important instances where pressure transducers (PT) are used is for calculating the number of moles in a gas transfer from the OVEN subsystem. As a critical component of the main process, a mixture of custom and commercial off the shelf (COTS) PTs are currently being tested in the expected operating environment to eventually down select an option for integrated testing in the LAVA engineering test unit (ETU).

  15. Agricultural management, season and trace elements effects on volatile oil production from Melissa officinalis L. (Lemon balm)

    International Nuclear Information System (INIS)

    Sussa, Fabio Vitorio; Duarte, Celina Lopes; Silva, Paulo Sergio Cardoso da; Furlan, Marcos Roberto

    2016-01-01

    The objective of this study was to provide information about organic and mineral fertilization, season and trace elements effects on volatile oil production by the species Melissa officinalis. Elemental concentration was determined by instrumental neutron activation analysis and atomic absorption spectrometry. The volatile oil was extracted by hydrodistillation and analyzed by gas chromatography coupled to a mass spectrometer. The elemental content and the main compounds vary according to agricultural management and season. The results indicate that the production of volatile oil main compounds from M. officinalis is correlated with the concentrations of Na, Co, Rb, Cd, Cs, La, Sm and Hf. (author)

  16. 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...

  17. 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.

  18. 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.

  19. 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...

  20. 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...

  1. 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...

  2. 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.

  3. 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.

  4. [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.

  5. [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.

  6. 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.

  7. The effect of volatility on percutaneous absorption.

    Science.gov (United States)

    Rouse, Nicole C; Maibach, Howard I

    2016-01-01

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

  8. Evaluating musical instruments

    International Nuclear Information System (INIS)

    Campbell, D. Murray

    2014-01-01

    Scientific measurements of sound generation and radiation by musical instruments are surprisingly hard to correlate with the subtle and complex judgments of instrumental quality made by expert musicians

  9. 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.

  10. Effects of Idiosyncratic Volatility in Asset Pricing

    Directory of Open Access Journals (Sweden)

    André Luís Leite

    2016-04-01

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

  11. Decomposing European bond and equity volatility

    DEFF Research Database (Denmark)

    Christiansen, Charlotte

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

  12. 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.

  13. 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

  14. 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

  15. 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.

  16. 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 ...

  17. 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

  18. American option pricing with stochastic volatility processes

    Directory of Open Access Journals (Sweden)

    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.

  19. 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;

  20. Some recent developments in stochastic volatility modelling

    DEFF Research Database (Denmark)

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

    2002-01-01

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

  1. 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. 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

  3. Volatile organometallic and semiconductor materials

    International Nuclear Information System (INIS)

    Dickson, R.S.

    1991-01-01

    This article reports on a project concerned with the metal organic chemical vapour deposition (MOCVD) of mercury-cadmium telluride (MCT) undertaken by a research consortium based in the Clayton area involving Monash University Chemistry Department, Telecom Research Laboratories, and CSIRO Division of Material Sciences and Technology. An M.R. Semicon 226 MOCVD reactor, operating near atmospheric presure with hydrogen carrier gas has been used. Most applications of MCT are direct consequence of its responsiveness to radiation in infrared region spectrum. The main aims of the project were to prepare and assess a range of volatile organometallics that might find use as a dopant sources for MCT, to prepare and study the properties of a range of different lanthanide complexes for MOCVD applications and to fully characterize the semiconductor wafers after growth. 19 refs., 3 figs

  4. 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.

  5. IOT Overview: IR Instruments

    Science.gov (United States)

    Mason, E.

    In this instrument review chapter the calibration plans of ESO IR instruments are presented and briefly reviewed focusing, in particular, on the case of ISAAC, which has been the first IR instrument at VLT and whose calibration plan served as prototype for the coming instruments.

  6. Health physics instrument manual

    International Nuclear Information System (INIS)

    Gupton, E.D.

    1978-08-01

    The purpose of this manual is to provide apprentice health physics surveyors and other operating groups not directly concerned with radiation detection instruments a working knowledge of the radiation detection and measuring instruments in use at the Laboratory. The characteristics and applications of the instruments are given. Portable instruments, stationary instruments, personnel monitoring instruments, sample counters, and miscellaneous instruments are described. Also, information sheets on calibration sources, procedures, and devices are included. Gamma sources, beta sources, alpha sources, neutron sources, special sources, a gamma calibration device for badge dosimeters, and a calibration device for ionization chambers are described

  7. Astronomical Instruments in India

    Science.gov (United States)

    Sarma, Sreeramula Rajeswara

    The earliest astronomical instruments used in India were the gnomon and the water clock. In the early seventh century, Brahmagupta described ten types of instruments, which were adopted by all subsequent writers with minor modifications. Contact with Islamic astronomy in the second millennium AD led to a radical change. Sanskrit texts began to lay emphasis on the importance of observational instruments. Exclusive texts on instruments were composed. Islamic instruments like the astrolabe were adopted and some new types of instruments were developed. Production and use of these traditional instruments continued, along with the cultivation of traditional astronomy, up to the end of the nineteenth century.

  8. Troubleshooting in nuclear instruments

    International Nuclear Information System (INIS)

    1987-06-01

    This report on troubleshooting of nuclear instruments is the product of several scientists and engineers, who are closely associated with nuclear instrumentation and with the IAEA activities in the field. The text covers the following topics: Preamplifiers, amplifiers, scalers, timers, ratemeters, multichannel analyzers, dedicated instruments, tools, instruments, accessories, components, skills, interfaces, power supplies, preventive maintenance, troubleshooting in systems, radiation detectors. The troubleshooting and repair of instruments is illustrated by some real examples

  9. Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Stisen, Martin

    2015-01-01

    to existing literature, we derive numerically simpler VIX option and futures pricing formulas in the case of the SVJ model. Moreover, the paper is the first to study the pricing performance of three widely used models to SPX options and VIX derivatives.......With the existence of active markets for volatility derivatives and options on the underlying instrument, the need for models that are able to price these markets consistently has increased. Although pricing formulas for VIX and vanilla options are now available for commonly employed models...... and variance (SVJJ) are jointly calibrated to market quotes on SPX and VIX options together with VIX futures. The full flexibility of having jumps in both returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the Feller condition imposed...

  10. Performing the Super Instrument

    DEFF Research Database (Denmark)

    Kallionpaa, Maria

    2016-01-01

    can empower performers by producing super instrument works that allow the concert instrument to become an ensemble controlled by a single player. The existing instrumental skills of the performer can be multiplied and the qualities of regular acoustic instruments extended or modified. Such a situation......The genre of contemporary classical music has seen significant innovation and research related to new super, hyper, and hybrid instruments, which opens up a vast palette of expressive potential. An increasing number of composers, performers, instrument designers, engineers, and computer programmers...... have become interested in different ways of “supersizing” acoustic instruments in order to open up previously-unheard instrumental sounds. Super instruments vary a great deal but each has a transformative effect on the identity and performance practice of the performing musician. Furthermore, composers...

  11. 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.

  12. 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

  13. Use of a free-jet expansion, molecular beam mass spectrometer to understand processes involving volatile corrosion products

    International Nuclear Information System (INIS)

    Jacobson, N.S.

    1997-01-01

    Many high-temperature corrosion processes generate volatile products in addition to condensed phase products. Examples of these volatile products are chlorides, oxychlorides, and certain oxides and hydroxyl species. One of the best techniques to identify high temperature vapor molecules is mass spectrometry. Most mass spectrometers operate in high vacuum and are generally used to examine processes ocurring at greatly reduced pressures. However, a free-jet expansion, molecular beam mass spectrometer system allows direct sampling of volatile corrosion products. This instrument is described. Several examples from our studies on chlorination/oxidation of metals and ceramics are discussed. In addition, reactions of Cr 2 O 3 , SiO 2 , and Al 2 O 3 with water vapor, which produce volatile hydroxyl species are discussed. (orig.)

  14. 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.

  15. 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

  16. 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.

  17. Altruism in a volatile world.

    Science.gov (United States)

    Kennedy, Patrick; Higginson, Andrew D; Radford, Andrew N; Sumner, Seirian

    2018-03-15

    The evolution of altruism-costly self-sacrifice in the service of others-has puzzled biologists since The Origin of Species. For half a century, attempts to understand altruism have developed around the concept that altruists may help relatives to have extra offspring in order to spread shared genes. This theory-known as inclusive fitness-is founded on a simple inequality termed Hamilton's rule. However, explanations of altruism have typically not considered the stochasticity of natural environments, which will not necessarily favour genotypes that produce the greatest average reproductive success. Moreover, empirical data across many taxa reveal associations between altruism and environmental stochasticity, a pattern not predicted by standard interpretations of Hamilton's rule. Here we derive Hamilton's rule with explicit stochasticity, leading to new predictions about the evolution of altruism. We show that altruists can increase the long-term success of their genotype by reducing the temporal variability in the number of offspring produced by their relatives. Consequently, costly altruism can evolve even if it has a net negative effect on the average reproductive success of related recipients. The selective pressure on volatility-suppressing altruism is proportional to the coefficient of variation in population fitness, and is therefore diminished by its own success. Our results formalize the hitherto elusive link between bet-hedging and altruism, and reveal missing fitness effects in the evolution of animal societies.

  18. 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.

  19. Instrument Modeling and Synthesis

    Science.gov (United States)

    Horner, Andrew B.; Beauchamp, James W.

    During the 1970s and 1980s, before synthesizers based on direct sampling of musical sounds became popular, replicating musical instruments using frequency modulation (FM) or wavetable synthesis was one of the “holy grails” of music synthesis. Synthesizers such as the Yamaha DX7 allowed users great flexibility in mixing and matching sounds, but were notoriously difficult to coerce into producing sounds like those of a given instrument. Instrument design wizards practiced the mysteries of FM instrument design.

  20. Nuclear reactor instrumentation

    International Nuclear Information System (INIS)

    Duncombe, E.; McGonigal, G.

    1975-01-01

    A liquid metal cooled nuclear reactor is described which has an equal number of fuel sub-assemblies and sensing instruments. Each instrument senses temperature and rate of coolant flow of a coolant derived from a group of three sub-assemblies so that an abnormal value for one sub-assembly will be indicated on three instruments thereby providing for redundancy of up to two of the three instruments. The abnormal value may be a precurser to unstable boiling of coolant

  1. International Coordination of Lunar Polar Volatiles Exploration

    Science.gov (United States)

    Gruener, J. E.; Suzuki, N. H.; Carpenter, J. D.

    2015-10-01

    The International Space Exploration Coordination Group (ISECG) has established a study team to coordinate the worldwide interest in lunar polar volatiles, and in particular water ice, in an effort to stimulate cooperation and collaboration.

  2. 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.

  3. International trade and exchange rate volatility

    NARCIS (Netherlands)

    J.M.A. Viaene (Jean-Marie); C.G. de Vries (Casper)

    1992-01-01

    textabstractFor currencies with well developed forward markets several papers have investigated the conjectured negative relationship between trade and short term exchange rate volatility, without being very successful. A theoretical explanation for the empirical anomalies is provided by solving

  4. 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.

  5. 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.

  6. Reducing ammonia volatilization from compound fertilizers ...

    African Journals Online (AJOL)

    Paul

    2012-09-13

    Sep 13, 2012 ... Ammonia volatilization is a direct loss of available nitrogen in agriculture. The objective of this ... precautions in handling and storage. Zeolites can be ..... Humic and Fulvic Acids isolated from Palm Oil Mill Effluent Sludge.

  7. Volatile Organic Compunds (Environmental Health Student Portal)

    Science.gov (United States)

    ... Weather Health Effects Take Action Water Pollution Water Pollution Home Chemicals and Pollutants Natural Disasters Drinking Water Waterborne Diseases & Illnesses Water Cycle Water Treatment Videos Games Experiments For Teachers Home Chemicals Volatile ...

  8. Reactive flash volatilization of fluid fuels

    Science.gov (United States)

    Schmidt, Lanny D.; Dauenhauer, Paul J.; Dreyer, Bradon J.; Salge, James R.

    2013-01-08

    The invention provides methods for the production of synthesis gas. More particularly, various embodiments of the invention relate to systems and methods for volatilizing fluid fuel to produce synthesis gas by using a metal catalyst on a solid support matrix.

  9. 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.

  10. 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.

  11. Gas Phase Chromatography of some Group 4, 5, and 6 Halides

    Energy Technology Data Exchange (ETDEWEB)

    Sylwester, Eric Robert [Univ. of California, Berkeley, CA (United States)

    1998-10-01

    Gas phase chromatography using The Heavy Element Volatility Instrument (HEVI) and the On Line Gas Apparatus (OLGA III) was used to determine volatilities of ZrBr4, HfBr4, RfBr4, NbBr5, TaOBr3, HaCl5, WBr6, FrBr, and BiBr3. Short-lived isotopes of Zr, Hf, Rf, Nb, Ta, Ha, W, and Bi were produced via compound nucleus reactions at the 88-Inch Cyclotron at Lawrence Berkeley National Laboratory and transported to the experimental apparatus using a He gas transport system. The isotopes were halogenated, separated from the other reaction products, and their volatilities determined by isothermal gas phase chromatography. Adsorption Enthalpy (ΔHa) values for these compounds were calculated using a Monte Carlo simulation program modeling the gas phase chromatography column. All bromides showed lower volatility than molecules of similar molecular structures formed as chlorides, but followed similar trends by central element. Tantalum was observed to form the oxybromide, analogous to the formation of the oxychloride under the same conditions. For the group 4 elements, the following order in volatility and ΔHa was observed: RfBr4 > ZrBr4 > HfBr4. The ΔHa values determined for the group 4, 5, and 6 halides are in general agreement with other experimental data and theoretical predictions. Preliminary experiments were performed on Me-bromides. A new measurement of the half-life of 261Rf was performed. 261Rf was produced via the 248Cm(18O, 5n) reaction and observed with a half-life of 74-6+7 seconds, in excellent agreement with the previous measurement of 78-6+11 seconds. We recommend a new half-life of 75±7 seconds for 261Rf based on these two measurements. Preliminary studies in transforming HEVI from an isothermal (constant

  12. Aeroacoustics of Musical Instruments

    NARCIS (Netherlands)

    Fabre, B.; Gilbert, J.; Hirschberg, Abraham; Pelorson, X.

    2012-01-01

    We are interested in the quality of sound produced by musical instruments and their playability. In wind instruments, a hydrodynamic source of sound is coupled to an acoustic resonator. Linear acoustics can predict the pitch of an instrument. This can significantly reduce the trial-and-error process

  13. 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...

  14. 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.

  15. Essays on Economic Volatility and Financial Frictions

    OpenAIRE

    Zhao, Hongyan

    2012-01-01

    This dissertation consists of three essays in macroeconomics. The first one essay discusses the reasons of Chinese huge foreign reserves holdings. It contributes to the literature of sudden stops, precautionary saving and foreign assets holdings. In the second essay, I study the price volatility of commodities and manufactured goods. I measure the price volatility of each individual goods but not on the aggregated level and therefore the results complete the related study. The third essay exp...

  16. News Impact Curve for Stochastic Volatility Models

    OpenAIRE

    Makoto Takahashi; Yasuhiro Omori; Toshiaki Watanabe

    2012-01-01

    This paper proposes a new method to compute the news impact curve for stochastic volatility (SV) models. The new method incorporates the joint movement of return and volatility, which has been ignored by the extant literature, by simply adding a couple of steps to the Bayesian MCMC estimation procedures for SV models. This simple procedure is versatile and applicable to various SV type models. Contrary to the monotonic news impact functions in the extant literature, the new method gives a U-s...

  17. 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.

  18. 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...

  19. 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

  20. 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....

  1. 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.

  2. 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.

  3. 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.

  4. Electricity markets volatility: estimates, regularities and risk management applications

    Energy Technology Data Exchange (ETDEWEB)

    Nakamura, Masao [Sauder School of Business, University of British Columbia, 2053 Main Mall, Vancouver, BC, V6 T 1Z2 (Canada)]. E-mail: masao.nakamura@sauder.ubc.ca; Nakashima, Tomoaki [Powerex Corp., Vancouver, BC, V6C 2X8 (Canada); Niimura, Takahide [TNC Systems Technologies, Burnaby, BC, V5 H 2W4 (Canada)

    2006-09-15

    The recent deregulation of the market for electric power in many parts of the US and Canada has expanded the set of potential tools for managing the types of risks faced by both generators and consumers of electric power. In particular manufacturing and other firms whose operations are powered by electricity now face, on a continuing basis, the engineering management decisions concerning whether they should buy or produce electricity, and if they are to buy or sell electricity, what types of contracts are optimum. These types of risk management decisions typically involve futures, forwards, options and other financial derivatives. The price and volatility of electric power are known to play an essential role in determining which of these instruments should be used. However, electricity as a commodity possesses certain special features not shared by other commodities and hence its risk properties are not yet well understood. In this paper we consider and test certain hypotheses about the properties of electricity price using recent market data. We find that electricity prices possess certain volatility and other systematic properties that can be characterized by the type and method of delivery of electricity. These properties can be used by firms in formulating their optimal demand and supply schedules of electric power.

  5. Emerging site characterization technologies for volatile organic compounds

    International Nuclear Information System (INIS)

    Rohay, V.J.; Last, G.V.

    1992-05-01

    A Comprehensive Environmental Response, Compensation, and Liability Act of 1980 (CERCLA) expedited response action (ERA) has been initiated at Hanford Site's 200 West Area for the removal of carbon tetrachloride from the unsaturated soils. In coordination with the ERA, innovative technology demonstrations are being conducted as part of DOE's Volatile Organic Compounds -- Arid Integrated Demonstration in an effort to improve upon baseline technologies. Improved methods for accessing, sampling, and analyzing soil and soil-vapor contaminants is a high priority. Sonic drilling is being evaluated as an alternative to cable-tool drilling, while still providing the advantages of reliability, containment, and waste minimization. Applied Research Associates, Inc. used their cone penetrometer in the 200 West Area to install a permanent soil-gas monitoring probe and to collect soil-gas profile data. However, successful application of this technology will require the development of an improved ability to penetrate coarse gravel units. A Science and Engineering Associates Membrane Instrumentation and Sampling Technique (SEAMIST) system designed for collecting in situ soil samples and air permeability data in between drilling runs at variable depths is being tested in 200 West Area boreholes. Analytical technologies scheduled for testing include supercritical fluid extraction and analysis for non- and semi-volatile organic co-contaminants and an unsaturated flow apparatus developed by Washington State University for the measurement of transport parameters

  6. 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

  7. Electricity markets volatility: estimates, regularities and risk management applications

    International Nuclear Information System (INIS)

    Nakamura, Masao; Nakashima, Tomoaki; Niimura, Takahide

    2006-01-01

    The recent deregulation of the market for electric power in many parts of the US and Canada has expanded the set of potential tools for managing the types of risks faced by both generators and consumers of electric power. In particular manufacturing and other firms whose operations are powered by electricity now face, on a continuing basis, the engineering management decisions concerning whether they should buy or produce electricity, and if they are to buy or sell electricity, what types of contracts are optimum. These types of risk management decisions typically involve futures, forwards, options and other financial derivatives. The price and volatility of electric power are known to play an essential role in determining which of these instruments should be used. However, electricity as a commodity possesses certain special features not shared by other commodities and hence its risk properties are not yet well understood. In this paper we consider and test certain hypotheses about the properties of electricity price using recent market data. We find that electricity prices possess certain volatility and other systematic properties that can be characterized by the type and method of delivery of electricity. These properties can be used by firms in formulating their optimal demand and supply schedules of electric power

  8. 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)

  9. 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

  10. 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.

  11. 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...

  12. Status of safeguards instrumentation

    International Nuclear Information System (INIS)

    Higinbotham, W.A.

    The International Atomic Energy Agency is performing safeguards at some nuclear power reactors, 50 bulk processing facilities, and 170 research facilities. Its verification activities require the use of instruments to measure nuclear materials and of surveillance instruments to maintain continuity of knowledge of the locations of nuclear materials. Instruments that are in use and under development to measure weight, volume, concentration, and isotopic composition of nuclear materials, and the major surveillance instruments, are described in connection with their uses at representative nuclear facilities. The current status of safeguards instrumentation and the needs for future development are discussed

  13. Early modern mathematical instruments.

    Science.gov (United States)

    Bennett, Jim

    2011-12-01

    In considering the appropriate use of the terms "science" and "scientific instrument," tracing the history of "mathematical instruments" in the early modern period is offered as an illuminating alternative to the historian's natural instinct to follow the guiding lights of originality and innovation, even if the trail transgresses contemporary boundaries. The mathematical instrument was a well-defined category, shared across the academic, artisanal, and commercial aspects of instrumentation, and its narrative from the sixteenth to the eighteenth century was largely independent from other classes of device, in a period when a "scientific" instrument was unheard of.

  14. 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...

  15. 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...

  16. 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

  17. 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 ...

  18. 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

  19. First results from the Mojave Volatiles Prospector (MVP) Field Campaign, a Lunar Polar Rover Mission Analog

    Science.gov (United States)

    Heldmann, J. L.; Colaprete, A.; Cook, A.; Deans, M. C.; Elphic, R. C.; Lim, D. S. S.; Skok, J. R.

    2014-12-01

    The Mojave Volatiles Prospector (MVP) project is a science-driven field program with the goal to produce critical knowledge for conducting robotic exploration of the Moon. MVP will feed science, payload, and operational lessons learned to the development of a real-time, short-duration lunar polar volatiles prospecting mission. MVP achieves these goals through a simulated lunar rover mission to investigate the composition and distribution of surface and subsurface volatiles in a natural and a priori unknown environment within the Mojave Desert, improving our understanding of how to find, characterize, and access volatiles on the Moon. The MVP field site is the Mojave Desert, selected for its low, naturally occurring water abundance. The Mojave typically has on the order of 2-6% water, making it a suitable lunar analog for this field test. MVP uses the Near Infrared and Visible Spectrometer Subsystem (NIRVSS), Neutron Spectrometer Subsystem (NSS), and a downward facing GroundCam camera on the KREX-2 rover to investigate the relationship between the distribution of volatiles and soil crust variation. Through this investigation, we mature robotic in situ instruments and concepts of instrument operations, improve ground software tools for real time science, and carry out publishable research on the water cycle and its connection to geomorphology and mineralogy in desert environments. A lunar polar rover mission is unlike prior space missions and requires a new concept of operations. The rover must navigate 3-5 km of terrain and examine multiple sites in in just ~6 days. Operational decisions must be made in real time, requiring constant situational awareness, data analysis and rapid turnaround decision support tools. This presentation will focus on the first science results and operational architecture findings from the MVP field deployment relevant to a lunar polar rover mission.

  20. 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)

  1. Instrumentation a reader

    CERN Document Server

    Pope, P

    1990-01-01

    This book contains a selection of papers and articles in instrumentation previously pub­ lished in technical periodicals and journals of learned societies. Our selection has been made to illustrate aspects of current practice and applications of instrumentation. The book does not attempt to be encyclopaedic in its coverage of the subject, but to provide some examples of general transduction techniques, of the sensing of particular measurands, of components of instrumentation systems and of instrumentation practice in two very different environments, the food industry and the nuclear power industry. We have made the selection particularly to provide papers appropriate to the study of the Open University course T292 Instrumentation. The papers have been chosen so that the book covers a wide spectrum of instrumentation techniques. Because of this, the book should be of value not only to students of instrumen­ tation, but also to practising engineers and scientists wishing to glean ideas from areas of instrumen...

  2. Instrumentation for Nuclear Applications

    International Nuclear Information System (INIS)

    1998-01-01

    The objective of this project was to develop and coordinate nuclear instrumentation standards with resulting economies for the nuclear and radiation fields. There was particular emphasis on coordination and management of the Nuclear Instrument Module (NIM) System, U.S. activity involving the CAMAC international standard dataway system, the FASTBUS modular high-speed data acquisition and control system and processing and management of national nuclear instrumentation and detector standards, as well as a modest amount of assistance and consultation services to the Pollutant Characterization and Safety Research Division of the Office of Health and Environmental Research. The principal accomplishments were the development and maintenance of the NIM instrumentation system that is the predominant instrumentation system in the nuclear and radiation fields worldwide, the CAMAC digital interface system in coordination with the ESONE Committee of European Laboratories, the FASTBUS high-speed system and numerous national and international nuclear instrumentation standards

  3. VIRUS instrument enclosures

    Science.gov (United States)

    Prochaska, T.; Allen, R.; Mondrik, N.; Rheault, J. P.; Sauseda, M.; Boster, E.; James, M.; Rodriguez-Patino, M.; Torres, G.; Ham, J.; Cook, E.; Baker, D.; DePoy, Darren L.; Marshall, Jennifer L.; Hill, G. J.; Perry, D.; Savage, R. D.; Good, J. M.; Vattiat, Brian L.

    2014-08-01

    The Visible Integral-Field Replicable Unit Spectrograph (VIRUS) instrument will be installed at the Hobby-Eberly Telescope† in the near future. The instrument will be housed in two enclosures that are mounted adjacent to the telescope, via the VIRUS Support Structure (VSS). We have designed the enclosures to support and protect the instrument, to enable servicing of the instrument, and to cool the instrument appropriately while not adversely affecting the dome environment. The system uses simple HVAC air handling techniques in conjunction with thermoelectric and standard glycol heat exchangers to provide efficient heat removal. The enclosures also provide power and data transfer to and from each VIRUS unit, liquid nitrogen cooling to the detectors, and environmental monitoring of the instrument and dome environments. In this paper, we describe the design and fabrication of the VIRUS enclosures and their subsystems.

  4. 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.

  5. 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)

  6. 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.

  7. 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.

  8. Radiation protection instrument 1993

    International Nuclear Information System (INIS)

    1993-04-01

    The Radiation Protection Instrument, 1993 (Legislative Instrument 1559) prescribes the powers and functions of the Radiation Protection Board established under the Ghana Atomic Energy Commission by the Atomic Energy Commission (Amendment) Law, 1993 (P.N.D.C. Law 308). Also included in the Legislative Instrument are schedules on control and use of ionising radiation and radiation sources as well as procedures for notification, licensing and inspection of ionising radiation facilities. (EAA)

  9. Estimating the Volatility of Cocoa Price Return with ARCH and GARCH Models

    Directory of Open Access Journals (Sweden)

    Lya Aklimawati

    2013-08-01

    Full Text Available Dynamics of market changing as a result of market liberalization have an impact on agricultural commodities price fluctuation. High volatility on cocoa price movement reflect its price and market risk. Because of price and market uncertainty, the market players face some difficulties to make a decision in determining business development. This research was conducted to 1 understand the characteristics of cocoa price movement in cocoa futures trading, and 2analyze cocoa price volatility using ARCH and GARCH type model. Research was carried out by direct observation on the pattern of cocoa price movement in the futures trading and volatility analysis based on secondary data. The data was derived from Intercontinental Exchange ( ICE Futures U.S. Reports. The analysis result showed that GARCH is the best model to predict the value of average cocoa price return volatility, because it meets criteria of three diagnostic checking, which are ARCH-LM test, residual autocorrelation test and residual normality test. Based on the ARCH-LM test, GARCH (1,1did not have heteroscedasticity, because p-value  2 (0.640139and F-statistic (0.640449 were greater than 0.05. Results of residual autocorrelation test indicated that residual value of GARCH (1,1 was random, because the statistic value of Ljung-Box (LBon the 36 th lag is smaller than the statistic value of  2. Whereas, residual normality test concluded the residual of GARCH (1,1 were normally distributed, because AR (29, MA (29, RESID (-1^2, and GARCH (-1 were significant at 5% significance level. Increasing volatility value indicate high potential risk. Price risk can be reduced by managing financial instrument in futures trading such as forward and futures contract, and hedging. The research result also give an insight to the market player for decision making and determining time of hedging. Key words: Volatility, price, cocoa, GARCH, risk, futures trading

  10. Networked Instrumentation Element

    Data.gov (United States)

    National Aeronautics and Space Administration — Armstrong researchers have developed a networked instrumentation system that connects modern experimental payloads to existing analog and digital communications...

  11. Instrument validation project

    International Nuclear Information System (INIS)

    Reynolds, B.A.; Daymo, E.A.; Geeting, J.G.H.; Zhang, J.

    1996-06-01

    Westinghouse Hanford Company Project W-211 is responsible for providing the system capabilities to remove radioactive waste from ten double-shell tanks used to store radioactive wastes on the Hanford Site in Richland, Washington. The project is also responsible for measuring tank waste slurry properties prior to injection into pipeline systems, including the Replacement of Cross-Site Transfer System. This report summarizes studies of the appropriateness of the instrumentation specified for use in Project W-211. The instruments were evaluated in a test loop with simulated slurries that covered the range of properties specified in the functional design criteria. The results of the study indicate that the compact nature of the baseline Project W-211 loop does not result in reduced instrumental accuracy resulting from poor flow profile development. Of the baseline instrumentation, the Micromotion densimeter, the Moore Industries thermocouple, the Fischer and Porter magnetic flow meter, and the Red Valve Pressure transducer meet the desired instrumental accuracy. An alternate magnetic flow meter (Yokagawa) gave nearly identical results as the baseline fischer and Porter. The Micromotion flow meter did not meet the desired instrument accuracy but could potentially be calibrated so that it would meet the criteria. The Nametre on-line viscometer did not meet the desired instrumental accuracy and is not recommended as a quantitative instrument although it does provide qualitative information. The recommended minimum set of instrumentation necessary to ensure the slurry meets the Project W-058 acceptance criteria is the Micromotion mass flow meter and delta pressure cells

  12. Instrument performance evaluation

    International Nuclear Information System (INIS)

    Swinth, K.L.

    1993-03-01

    Deficiencies exist in both the performance and the quality of health physics instruments. Recognizing the implications of such deficiencies for the protection of workers and the public, in the early 1980s the DOE and the NRC encouraged the development of a performance standard and established a program to test a series of instruments against criteria in the standard. The purpose of the testing was to establish the practicality of the criteria in the standard, to determine the performance of a cross section of available instruments, and to establish a testing capability. Over 100 instruments were tested, resulting in a practical standard and an understanding of the deficiencies in available instruments. In parallel with the instrument testing, a value-impact study clearly established the benefits of implementing a formal testing program. An ad hoc committee also met several times to establish recommendations for the voluntary implementation of a testing program based on the studies and the performance standard. For several reasons, a formal program did not materialize. Ongoing tests and studies have supported the development of specific instruments and have helped specific clients understand the performance of their instruments. The purpose of this presentation is to trace the history of instrument testing to date and suggest the benefits of a centralized formal program

  13. [Controlling instruments in radiology].

    Science.gov (United States)

    Maurer, M

    2013-10-01

    Due to the rising costs and competitive pressures radiological clinics and practices are now facing, controlling instruments are gaining importance in the optimization of structures and processes of the various diagnostic examinations and interventional procedures. It will be shown how the use of selected controlling instruments can secure and improve the performance of radiological facilities. A definition of the concept of controlling will be provided. It will be shown which controlling instruments can be applied in radiological departments and practices. As an example, two of the controlling instruments, material cost analysis and benchmarking, will be illustrated.

  14. Ocean Optics Instrumentation Systems

    Data.gov (United States)

    Federal Laboratory Consortium — FUNCTION: Provides instrumentation suites for a wide variety of measurements to characterize the ocean’s optical environment. These packages have been developed to...

  15. A combined model of heat and mass transfer for the in situ extraction of volatile water from lunar regolith

    Science.gov (United States)

    Reiss, P.

    2018-05-01

    Chemical analysis of lunar soil samples often involves thermal processing to extract their volatile constituents, such as loosely adsorbed water. For the characterization of volatiles and their bonding mechanisms it is important to determine their desorption temperature. However, due to the low thermal diffusivity of lunar regolith, it might be difficult to reach a uniform heat distribution in a sample that is larger than only a few particles. Furthermore, the mass transport through such a sample is restricted, which might lead to a significant delay between actual desorption and measurable outgassing of volatiles from the sample. The entire volatiles extraction process depends on the dynamically changing heat and mass transfer within the sample, and is influenced by physical parameters such as porosity, tortuosity, gas density, temperature and pressure. To correctly interpret measurements of the extracted volatiles, it is important to understand the interaction between heat transfer, sorption, and gas transfer through the sample. The present paper discusses the molecular kinetics and mechanisms that are involved in the thermal extraction process and presents a combined parametrical computation model to simulate this process. The influence of water content on the gas diffusivity and thermal diffusivity is discussed and the issue of possible resorption of desorbed molecules within the sample is addressed. Based on the multi-physical computation model, a case study for the ProSPA instrument for in situ analysis of lunar volatiles is presented, which predicts relevant dynamic process parameters, such as gas pressure and process duration.

  16. 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.

  17. 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

  18. 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.

  19. 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

  20. Volatility of Capital Flows to Emerging Economies

    Directory of Open Access Journals (Sweden)

    Katia Rocha

    2013-09-01

    Full Text Available The paper proposes a panel model to the determinants of capital flow volatility to a group of 18 emerging market economies (EME in the period of 2000 to 2011. It studies the robustness of the model regarding different volatility measures; analyses several types of gross capital inflow; focusing the role of government institutional quality and the development of domestic financial system (banks, insurance companies, and capital markets – stocks, bonds and derivatives. The EME analyzed represented roughly 95% of the Emerging Markets Bond Index Global – EMBIG in January 2013, being the biggest destination to international capital flow to EME according to the report of the Bank for International Settlements - BIS (2009. The main conclusion suggests that a reduction of capital flow volatility can be achieved by the adoption of policies that improve government institutional quality and promote development, stability and efficiency of the domestic financial system.

  1. 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....

  2. 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...

  3. 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.

  4. 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.

  5. 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

  6. 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...

  7. 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...

  8. Explaining output volatility: The case of taxation

    DEFF Research Database (Denmark)

    Posch, Olaf

    the second moment of output growth rates without (long-run) effects on the first moment. Taking the model to the data, we exploit observed heterogeneity patterns to estimate effects of tax rates on macro volatility using panel estimation, explicitly modeling the unobserved variance process. We find a strong......This paper studies the effects of taxation on output volatility in OECD countries to shed light on the sources of observed heterogeneity over time and across countries. To this end, we derive tax effects on macro aggregates in a stochastic neoclassical model. As a result, taxes are shown to affect...... positive effects....

  9. 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

  10. Assessment of waste management of volatile radionuclides

    International Nuclear Information System (INIS)

    Altomare, P.M.; Barbier, M.; Lord, N.; Nainan, D.

    1979-05-01

    This document presents a review of the Technologies for Waste Management of the Volatile Radionuclides of iodine-129, krypton-85, tritium, and carbon-14. The report presents an estimate of the quantities of these volatile radionuclides as are produced in the nuclear power industry. The various technologies as may be used, or which are under investigation, to immobilize these nuclides and to contain them during storage and in disposal are discussed. Also, the alternative disposal options as may be applied to isolate these radioactive wastes from the human environment are presented. The report contains information which was available through approximately January 1978

  11. Overview of LOFT instrumentation

    International Nuclear Information System (INIS)

    Bixby, W.W.

    1979-01-01

    A description of instrumentation used in the Loss-of-Fluid Test (LOFT) large break Loss-of-Coolant Experiments is presented. Emphasis is placed on hydraulic and thermal measurements in the primary system piping and components, reactor vessel, and pressure suppression system. In addition, instrumentation which is being considered for measurement of phenomena during future small break testing is discussed

  12. Regolith and Environment Science and Oxygen and Lunar Volatile Extraction (RESOLVE): Lunar Advanced Volatile Analysis (LAVA) Capillary Fluid Dynamic Restriction Effects on Gas Chromatography

    Science.gov (United States)

    Gonzalez, Marianne; Quinn, Jacqueline; Captain, Janine; Santiago-Bond, Josephine; Starr, Stanley

    2015-01-01

    The Resource Prospector (RP) mission with the Regolith and Environment Science and Oxygen Lunar Volatile Extraction (RESOLVE) payload aims to show the presence of water in lunar regolith, and establish a proving ground for NASAs mission to Mars. One of the analysis is performed by the Lunar Advanced Volatiles Analysis (LAVA) subsystem, which consists of a fluid network that facilitates the transport of volatile samples to a gas chromatograph and mass spectrometer (GC-MS) instrument. The understanding of fluid dynamics directed from the GC to the MS is important due to the influence of flow rates and pressures that affect the accuracy of and prevent the damage to the overall GC-MS instrument. The micro-scale capillary fluid network within the GC alone has various lengths and inner-diameters; therefore, determination of pressure differentials and flow rates are difficult to model computationally, with additional complexity from the vacuum conditions in space and lack of a lunar atmosphere. A series of tests were performed on an experimental set-up of the system where the inner diameters of the GC transfer line connecting to the MS were varied. The effect on chromatography readings were also studied by applying these lines onto a GC instrument. It was found that a smaller inner diameter transfer line resulted in a lower flow rate, as well as a lower pressure differential across the thermal conductivity detector (TCD) unit of the GC and a negligible pressure drop across the mock-up capillary column. The chromatography was affected with longer retention times and broader peak integrations. It was concluded that a 0.050 mm inner diameter line still proved most suitable for the systems flow rate preferences. In addition, it was evident that this small transfer line portrayed some expense to GC signal characteristics and the wait time for steady-state operation.

  13. Measurements of volatile compound contents in resins using a moisture analyzer.

    Science.gov (United States)

    Hashimoto, Masanori; Nagano, Futami; Endo, Kazuhiko; Ohno, Hiroki

    2010-02-01

    The contents of volatile adhesive compounds, such as water, solvents, and residual unpolymerized monomers, affect the integrity and durability of adhesive bonding. However, there is no method available that can be used to rapidly assess the residual solvent or water contents of adhesive resins. This study examined the effectiveness of a digital moisture analyzer to measure the volatile compound contents of resins. Five self-etching adhesives and seven experimental light-cured resins prepared with different contents (0, 10, and 20% by weight) of water or solvents (acetone and ethanol) were examined in this study. The resins were prepared using different methods (with and without air blast or light-curing) to simulate the clinical conditions of adhesive application. Resin weight changes (% of weight loss) were determined as the residual volatile compound contents, using the moisture analyzer. After the measurements, the resin films were examined using a scanning electron microscope. The weight changes of the resins were found to depend on the amount of water or solvents evaporating from the resin. Water and solvents were evaporated by air blast or light-curing, but some of the water and solvents remained in the cured resin. The moisture analyzer is easy to operate and is a useful instrument for using to measure the residual volatile compound contents of adhesive resin.

  14. Volatile Compounds in Dry Dog Foods and Their Influence on Sensory Aromatic Profile

    Directory of Open Access Journals (Sweden)

    Koushik Adhikari

    2013-02-01

    Full Text Available The aim of this study was to determine volatile compounds in dry dog foods and their possible influence on sensory aromatic profile. Grain-free dry dog foods were compared to dry dog foods manufactured with grain, but also with different protein sources for their aromatic volatiles. Solid-phase microextraction/gas chromatography/mass spectrometry was used to determine the aromatic compounds present in the headspace of these samples. Partial Least Squares regression was performed to correlate the instrumental aromatic data with the descriptive aroma analysis data. A total of 54 aromatic compounds were tentatively identified in the dry dog food samples, with aldehydes and ketones being the most represented organic volatiles group. Grain-added products were on the average higher in total volatiles than grain-free products. Partial Least Squares regression analysis indicated possible connections with sensory aromatic profile and grain-added samples, such as rancid aroma and aldehydes, especially hexanal. The results of this study showed that dry dog foods are products with complex odor characteristics and that grain-free products are less aromatic.

  15. 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

  16. 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.

  17. Fault-tolerant NAND-flash memory module for next-generation scientific instruments

    Science.gov (United States)

    Lange, Tobias; Michel, Holger; Fiethe, Björn; Michalik, Harald; Walter, Dietmar

    2015-10-01

    Remote sensing instruments on today's space missions deliver a high amount of data which is typically evaluated on ground. Especially for deep space missions the telemetry downlink is very limited which creates the need for the scientific evaluation and thereby a reduction of data volume already on-board the spacecraft. A demanding example is the Polarimetric and Helioseismic Imager (PHI) instrument on Solar Orbiter. To enable on-board offline processing for data reduction, the instrument has to be equipped with a high capacity memory module. The module is based on non-volatile NAND-Flash technology, which requires more advanced operation than volatile DRAM. Unlike classical mass memories, the module is integrated into the instrument and allows readback of data for processing. The architecture and safe operation of such kind of memory module is described in the following paper.

  18. 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).

  19. Volatile components from Anthriscus sylvestris (L.) Hoffm

    NARCIS (Netherlands)

    Bos, R.; Koulman, A; Woerdenbag, H.J.; Quax, Wim; Pras, N.

    2002-01-01

    The volatile components of fresh leaves and roots from Anthriscus sylvestris (L.) Hoffm., obtained through hydrodistillation, were analysed by GC and GC-MS. This was compared to dichloromethane extracts of both fresh and dried leaf and root material. The monoterpene fraction (69-70%) dominated,

  20. 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.

  1. Principal volatil components of Txakoli of Bizkaia

    Directory of Open Access Journals (Sweden)

    Ana Escobal

    1995-12-01

    Full Text Available The aim of this work was to characterize the Txakoli of Bizkaia, a wine produced in the Basque Country. This note gives account of the volatile content of the wine which has been awarded by the Denominacíon de Origen Bizkaiko Txakolina quality label (BOPV, 1994.

  2. Volatile-mediated interactions in the rhizosphere

    NARCIS (Netherlands)

    Cordovez da Cunha, Viviane

    2016-01-01

    Plants and microorganisms are constantly engaged in highly dynamic interactions both above- and belowground. Several of these interactions are mediated by volatile organic compounds (VOCs), small carbon-based compounds with high vapor pressure at ambient temperature. In the rhizosphere, VOCs have

  3. Compositional Analysis and Antioxidant Activity of Volatile ...

    African Journals Online (AJOL)

    Compositional Analysis and Antioxidant Activity of Volatile. Components of Two Salvia spp. F Forouzin*, R Jamei and R Heidari. Department of Biology, Faculty of Science, Urmia University, West Azerbaijan, Iran. *For correspondence: Email: f_forouzin@yahoo.com, rjamei274@gmail.com, r.heidari@mail.urmia.ac.ir; Tel: ...

  4. Managing and Harnessing Volatile Oil Windfalls

    NARCIS (Netherlands)

    van den Bremer, T.S.; van der Ploeg, F.

    2013-01-01

    Three funds are necessary to manage an oil windfall: intergenerational, liquidity, and investment funds. The optimal liquidity fund is bigger if the windfall lasts longer and oil price volatility, prudence, and the GDP share of oil rents are high and productivity growth is low. The paper applies the

  5. Mechanism of monoterpene volatilization in Salvia mellifera

    Energy Technology Data Exchange (ETDEWEB)

    Dement, W A; Tyson, B J; Mooney, H A

    1975-01-01

    Monoterpene volatilization in Salvia mellifera is primarily dependent on the vapor pressures of the terpenes as they are influenced by temperature, the humidity of the air surrounding the leaf and the surface area of oil present on the leaf. 12 references, 1 figure, 2 tables.

  6. Volatility Spillover Effects in European Equity Markets

    NARCIS (Netherlands)

    Baele, L.

    2003-01-01

    This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a country speciffic shock, a regional European

  7. 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.

  8. Volatiles Of Lysimachia Paridiformis Var. Stenophylla, Lysimachia ...

    African Journals Online (AJOL)

    Twenty-one compounds were identified in the leaves of L. fortumei, accounting for 94.72% of the total volatile fraction. ... Conclusion: The results showed that the main composition types were similar in the three plants, but the content was different, which indicated that the similar composition types provided the same medical ...

  9. Linux Incident Response Volatile Data Analysis Framework

    Science.gov (United States)

    McFadden, Matthew

    2013-01-01

    Cyber incident response is an emphasized subject area in cybersecurity in information technology with increased need for the protection of data. Due to ongoing threats, cybersecurity imposes many challenges and requires new investigative response techniques. In this study a Linux Incident Response Framework is designed for collecting volatile data…

  10. Acid volatile sulfide (AVS)- a comment

    NARCIS (Netherlands)

    Meysman, F.J.R.; Middelburg, J.J.

    2005-01-01

    The review by Rickard and Morse (this volume) adequately summarizes our current understanding with respect to acid-volatile sulfides (AVS). At the same time, this review addresses some of the misunderstandings with regard to measurements and dynamics of this important sedimentary sulfur pool. In

  11. Scaling properties of foreign exchange volatility

    NARCIS (Netherlands)

    Gençay, R.; Selçuk, F.; Whitcher, B.

    2001-01-01

    In this paper, we investigate the scaling properties of foreign exchange volatility. Our methodology is based on a wavelet multi-scaling approach which decomposes the variance of a time series and the covariance between two time series on a scale by scale basis through the application of a discrete

  12. Volatile fatty acids production in ruminants and the role of ...

    African Journals Online (AJOL)

    Yomi

    organic volatile fatty acids (VFAs) and microbial protein then become available to the host. .... BE, Drewes LR (2003). Molecular features, regulation and ... Dynamics of ruminal volatile fatty acids in black and white bulls before and after feeding ...

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

    Science.gov (United States)

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

  14. 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

  15. 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.

  16. 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.

  17. 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....

  18. Instrumentation reference book

    CERN Document Server

    Boyes, Walt

    2002-01-01

    Instrumentation is not a clearly defined subject, having a 'fuzzy' boundary with a number of other disciplines. Often categorized as either 'techniques' or 'applications' this book addresses the various applications that may be needed with reference to the practical techniques that are available for the instrumentation or measurement of a specific physical quantity or quality. This makes it of direct interest to anyone working in the process, control and instrumentation fields where these measurements are essential.* Comprehensive and authoritative collection of technical information* Writte

  19. The latest radiation instrument

    International Nuclear Information System (INIS)

    Kang, Se Sik; Gwon, Dal Gwan; Kim, Gyeong Geum

    2008-08-01

    This book deals with the latest radiation instrument, which is comprised of eight chapters. It explains X rays instrument for medial treatment, X-ray tube instrument and permissible burden with its history, structure and characteristic high voltage apparatus with high voltage rectifier circuit, X-ray control apparatus for medical treatment, X-ray image equipment X-ray television apparatus and CCD 205, X-ray apparatus of install and types, Digital X-ray apparatus with CR 261 and DR 269, performance management on X-ray for medical treatment with its history, necessity and management in the radiation field.

  20. Soil monitoring instrumentation

    International Nuclear Information System (INIS)

    Umbarger, C.J.

    1980-01-01

    The Los Alamos Scientific Laboratory (LASL) has an extensive program for the development of nondestructive assay instrumentation for the quantitative analysis of transuranic (TRU) materials found in bulk solid wastes generated by Department of Energy facilities and by the commercial nuclear power industry. Included are wastes generated in decontamination and decommissioning of outdated nuclear facilities as well as wastes from old waste burial ground exhumation programs. The assay instrumentation is designed to have detection limits below 10 nCi/g wherever practicable. Because of the topic of this workshop, only the assay instrumentation applied specifically to soil monitoring will be discussed here. Four types of soil monitors are described

  1. Soil monitoring instrumentation

    International Nuclear Information System (INIS)

    Umbarger, C.J.

    1981-01-01

    The Los Alamos Scientific Laboratory (LASL) has an extensive program for the development of nondestructive assay instrumentation for the quantitative analysis of transuranic (TRU) materials found in bulk solid wastes generated by Department of Energy facilities and by the commercial nuclear power industry. Included are wastes generated in decontamination and decommissioning of outdated nuclear facilities, as well as from old waste-burial-ground exhumation programs. The assay instrumentation is designed to have detection limits below 10 nCi/g wherever practicable. The assay instrumentation that is applied specifically to soil monitoring is discussed

  2. Jones' instrument technology

    CERN Document Server

    Jones, Ernest Beachcroft; Kingham, Edward G; Radnai, Rudolf

    1985-01-01

    Jones' Instrument Technology, Volume 5: Automatic Instruments and Measuring Systems deals with general trends in automatic instruments and measuring systems. Specific examples are provided to illustrate the principles of such devices. A brief review of a considerable number of standards is undertaken, with emphasis on the IEC625 Interface System. Other relevant standards are reviewed, including the interface and backplane bus standards. This volume is comprised of seven chapters and begins with a short introduction to the principles of automatic measurements, classification of measuring system

  3. Medical instruments in museums

    DEFF Research Database (Denmark)

    Söderqvist, Thomas; Arnold, Ken

    2011-01-01

    This essay proposes that our understanding of medical instruments might benefit from adding a more forthright concern with their immediate presence to the current historical focus on simply decoding their meanings and context. This approach is applied to the intriguingly tricky question of what...... actually is meant by a "medical instrument." It is suggested that a pragmatic part of the answer might lie simply in reconsidering the holdings of medical museums, where the significance of the physical actuality of instruments comes readily to hand....

  4. 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.

  5. 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. ...

  6. 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...

  7. 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...

  8. 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...

  9. 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....

  10. 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...

  11. 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.

  12. 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...

  13. 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.

  14. 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...

  15. 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.

  16. 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....

  17. 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

  18. 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

  19. 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...

  20. 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...

  1. 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.

  2. Environment for the instruments

    International Nuclear Information System (INIS)

    Ambro, P.

    1992-01-01

    A properly conditioned AC power supply is necessary for reliable functioning of instruments. Electric mains power is produced primarily for industry, workshops, lighting and household uses. Its quality is adjusted to these uses. In areas sand countries with a fast growing demand for electric power, these requirements are far from being met. Electronic instruments and computers, especially in these countries, need protection against disturbances of the mains supply. A clean and dry environment is needed for reliable functioning and long life of instruments. High humidity, specially at higher temperatures, changes the characteristics of electronic components. Moreover, under these conditions fungal growth causes leakage of currents and corrosion causes poor contacts. The presence of dust enhances these effects. They give rise to malfunction of instruments, particularly of high voltage equipment

  3. CCAT Heterodyne Instrument Development

    Data.gov (United States)

    National Aeronautics and Space Administration — This work will extend and proof-out the design concept for a high pixel count (128 pixels in 2 bands) submillimeter-wave heterodyne receiver array instrument for the...

  4. Environment for the instruments

    Energy Technology Data Exchange (ETDEWEB)

    Ambro, P

    1993-12-31

    A properly conditioned AC power supply is necessary for reliable functioning of instruments. Electric mains power is produced primarily for industry, workshops, lighting and household uses. Its quality is adjusted to these uses. In areas sand countries with a fast growing demand for electric power, these requirements are far from being met. Electronic instruments and computers, especially in these countries, need protection against disturbances of the mains supply. A clean and dry environment is needed for reliable functioning and long life of instruments. High humidity, specially at higher temperatures, changes the characteristics of electronic components. Moreover, under these conditions fungal growth causes leakage of currents and corrosion causes poor contacts. The presence of dust enhances these effects. They give rise to malfunction of instruments, particularly of high voltage equipment

  5. Fiber Optics Instrumentation Development

    Science.gov (United States)

    Chan, Patrick Hon Man; Parker, Allen R., Jr.; Richards, W. Lance

    2010-01-01

    This is a general presentation of fiber optics instrumentation development work being conducted at NASA Dryden for the past 10 years and recent achievements in the field of fiber optics strain sensors.

  6. Nuclear instrument technician training

    International Nuclear Information System (INIS)

    Wollesen, E.S.

    1991-01-01

    This paper reports on Nuclear Instrument Technician (NIT) training that has developed at an accelerated rate over the past three decades. During the 1960's commercial nuclear power plants were in their infancy. For that reason, there is little wonder that NIT training had little structure and little creditability. NIT training, in many early plants, was little more than On-The Job Training (OJT). The seventies brought changes in Instrumentation and Controls as well as emphasis on the requirements for more in depth training and documentation. As in the seventies, the eighties saw not only changes in technologies but tighter requirements, standardized training and the development of accredited Nuclear Instrument Training; thus the conclusion: Nuclear Instrument Training Isn't What It Used To Be

  7. Carbon Footprint Reduction Instruments

    Science.gov (United States)

    This page outlines the major differences between Renewable Energy Certificates (REC) and Project Offsets and what types of claims each instrument allows the organization to make in regards to environmental emissions claims.

  8. Instrument care: everyone's responsibility

    Directory of Open Access Journals (Sweden)

    Renée du Toit

    2011-12-01

    Full Text Available Everyone working in an ophthalmic operating theatre must be competent in the care, handling, storage, and maintenance of instruments. This will help to improve surgical outcomes, maintain an economic and affordable service for patients, and provide a safe environment for the wellbeing of patients and staff.Including instrument care in theatre courses and in-service training is one way of ensuring staff competence.

  9. Instrument uncertainty predictions

    International Nuclear Information System (INIS)

    Coutts, D.A.

    1991-07-01

    The accuracy of measurements and correlations should normally be provided for most experimental activities. The uncertainty is a measure of the accuracy of a stated value or equation. The uncertainty term reflects a combination of instrument errors, modeling limitations, and phenomena understanding deficiencies. This report provides several methodologies to estimate an instrument's uncertainty when used in experimental work. Methods are shown to predict both the pretest and post-test uncertainty

  10. Experimenting with woodwind instruments

    Science.gov (United States)

    Lo Presto, Michael C.

    2007-05-01

    Simple experiments involving musical instruments of the woodwind family can be used to demonstrate the basic physics of vibrating air columns in resonance tubes using nothing more than straightforward measurements and data collection hardware and software. More involved experimentation with the same equipment can provide insight into the effects of holes in the tubing and other factors that make simple tubes useful as musical instruments.

  11. Maintenance of scientific instruments

    International Nuclear Information System (INIS)

    Lucero, E.

    1986-01-01

    During the last years Colombia has increased the use of nuclear techniques, instruments and equipment in ambitious health programs, as well as in research centers, industry and education; this has resulted in numerous maintenance problems. As an alternative solution IAN has established a Central Maintenance Laboratory for nuclear instruments within an International Atomic Energy Agency program for eight Latin American and nine Asian Countries. Established strategies and some results are detailed in this writing

  12. Advanced optical instruments technology

    Science.gov (United States)

    Shao, Mike; Chrisp, Michael; Cheng, Li-Jen; Eng, Sverre; Glavich, Thomas; Goad, Larry; Jones, Bill; Kaarat, Philip; Nein, Max; Robinson, William

    1992-08-01

    The science objectives for proposed NASA missions for the next decades push the state of the art in sensitivity and spatial resolution over a wide range of wavelengths, including the x-ray to the submillimeter. While some of the proposed missions are larger and more sensitive versions of familiar concepts, such as the next generation space telescope, others use concepts, common on the Earth, but new to space, such as optical interferometry, in order to provide spatial resolutions impossible with other concepts. However, despite their architecture, the performance of all of the proposed missions depends critically on the back-end instruments that process the collected energy to produce scientifically interesting outputs. The Advanced Optical Instruments Technology panel was chartered with defining technology development plans that would best improve optical instrument performance for future astrophysics missions. At this workshop the optical instrument was defined as the set of optical components that reimage the light from the telescope onto the detectors to provide information about the spatial, spectral, and polarization properties of the light. This definition was used to distinguish the optical instrument technology issues from those associated with the telescope, which were covered by a separate panel. The panel identified several areas for optical component technology development: diffraction gratings; tunable filters; interferometric beam combiners; optical materials; and fiber optics. The panel also determined that stray light suppression instruments, such as coronagraphs and nulling interferometers, were in need of general development to support future astrophysics needs.

  13. Problems with radiological surveillance instrumentation

    International Nuclear Information System (INIS)

    Swinth, K.L.; Tanner, J.E.; Fleming, D.M.

    1984-09-01

    Many radiological surveillance instruments are in use at DOE facilities throughout the country. These instruments are an essential part of all health physics programs, and poor instrument performance can increase program costs or compromise program effectiveness. Generic data from simple tests on newly purchased instruments shows that many instruments will not meet requirements due to manufacturing defects. In other cases, lack of consideration of instrument use has resulted in poor acceptance of instruments and poor reliability. The performance of instruments is highly variable for electronic and mechanical performance, radiation response, susceptibility to interferences and response to environmental factors. Poor instrument performance in these areas can lead to errors or poor accuracy in measurements

  14. Problems with radiological surveillance instrumentation

    International Nuclear Information System (INIS)

    Swinth, K.L.; Tanner, J.E.; Fleming, D.M.

    1985-01-01

    Many radiological surveillance instruments are in use at DOE facilities throughout the country. These instruments are an essential part of all health physics programs, and poor instrument performance can increase program costs or compromise program effectiveness. Generic data from simple tests on newly purchased instruments shows that many instruments will not meet requirements due to manufacturing defects. In other cases, lack of consideration of instrument use has resulted in poor acceptance of instruments and poor reliability. The performance of instruments is highly variable for electronic and mechanical performance, radiation response, susceptibility to interferences and response to environmental factors. Poor instrument performance in these areas can lead to errors or poor accuracy in measurements

  15. 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...

  16. 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...

  17. 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.

  18. Some emergency instrumentation

    Energy Technology Data Exchange (ETDEWEB)

    Burgess, P H

    1986-10-01

    The widespread release of activity and the resultant spread of contamination after the Chernobyl accident resulted in requests to NRPB to provide instruments for, and expertise in, the measurement of radiation. The most common request was for advice on the usefulness of existing instruments, but Board staff were also involved in their adaptation or in the development of new instruments specially to meet the circumstances of the accident. The accident occurred on 26 April. On 1 May, NRPB was involved at Heathrow Airport in the monitoring of the British students who had returned from Kiev and Minsk. The main purpose was to reassure the students by checking that their persons and belongings did not have significant surface contamination. Additional measurements were also made of iodine activity in thyroid using hand-held detectors or a mobile body monitor. This operation was arranged with the Foreign and Commonwealth Office, which had also received numerous requests for instruments from embassies and consulates in countries close to the scene of the accident. There was concern for the well-being of staff and other United Kingdom nationals who resided in or intended to visit the most affected countries. The board supplied suitable instruments, and the FCO distributed them to embassies. The frequency of environmental monitoring was increased from 29 April in anticipation of contamination and appropriate Board instrumentation was deployed. After the Chernobyl cloud arrived in the UK on 2 May, there were numerous requests from local government, public authorities, private companies and members of the public for information and advice on monitoring equipment and procedures. Some of these requirements could be met with existing equipment but members of the public were usually advised not to proceed. At a later stage, the contamination of foodstuffs and livestock required the development of an instrument capable of detecting low levels of {sup 137}Cs and {sup 134}Cs in food

  19. Chemical Composition of the Semi-Volatile Grains of Comet 67P/Churyumov-Gerasimenko

    Science.gov (United States)

    Wurz, P.; Altwegg, K.; Balsiger, H. R.; Berthelier, J. J.; De Keyser, J.; Fiethe, B.; Fuselier, S. A.; Gasc, S.; Gombosi, T. I.; Korth, A.; Mall, U.; Reme, H.; Rubin, M.; Tzou, C. Y.

    2017-12-01

    Rosetta was in orbit of comet 67P/Churyumov-Gerasimenko from August 2014 to September 2016. On board is the Rosetta Orbiter Spectrometer for Ion and Neutral Analysis (ROSINA) experiment that has been continuously collecting data on the chemical composition and activity of the coma from 3.5 AU to pericentre at 1.24 AU and out again to 3.5 AU. ROSINA consists of two mass spectrometers, the Double Focusing Mass Spectrometer (DFMS) and the Reflectron-type Time-Of-Flight (RTOF), as well as the COmet Pressure Sensor (COPS). ROSINA recorded the neutral gas and thermal plasma in the comet's coma. The two mass spectrometers have high dynamic ranges and complement each other with high mass resolution, and high time resolution and large mass range. COPS measures total gas densities, bulk velocities, and gas temperatures. Occasionally, a dust grain of cometary origin enters the ion source of a ROSINA instrument where the volatile part evaporates since these ion sources are hot. The release of volatiles from cometary dust grains was observed with all three ROSINA instruments on several occasions. Because the volatile content of such a dust grain is completely evaporated after a few seconds, the RTOF instrument is best suited for the investigation of its chemical composition since complete mass spectra are recorded during this time. During the mission 9 dust grains were observed with RTOF during the October 2014 to July 2016 time period. It is estimated that these grains contain about 10-15 g of volatiles. The mass spectra were interpreted with a set of 75 molecules, with the major groups of chemical species being hydrocarbons, oxygenated hydrocarbons, nitrogen-bearing molecules, sulphur-bearing molecules, halogenated molecules and others. About 70% of these grains are depleted in water compared to the comet coma, thus, can be considered as semi-volatile dust grains, and the other about 30% are water grains. The chemical composition varies considerably from grain to grain

  20. 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.

  1. 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.

  2. Recent developments in volatility modeling and applications

    Directory of Open Access Journals (Sweden)

    A. Thavaneswaran

    2006-01-01

    Full Text Available In financial modeling, it has been constantly pointed out that volatility clustering and conditional nonnormality induced leptokurtosis observed in high frequency data. Financial time series data are not adequately modeled by normal distribution, and empirical evidence on the non-normality assumption is well documented in the financial literature (details are illustrated by Engle (1982 and Bollerslev (1986. An ARMA representation has been used by Thavaneswaran et al., in 2005, to derive the kurtosis of the various class of GARCH models such as power GARCH, non-Gaussian GARCH, nonstationary and random coefficient GARCH. Several empirical studies have shown that mixture distributions are more likely to capture heteroskedasticity observed in high frequency data than normal distribution. In this paper, some results on moment properties are generalized to stationary ARMA process with GARCH errors. Application to volatility forecasts and option pricing are also discussed in some detail.

  3. Option volatility and the acceleration Lagrangian

    Science.gov (United States)

    Baaquie, Belal E.; Cao, Yang

    2014-01-01

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

  4. Exploring heterogeneous market hypothesis using realized volatility

    Science.gov (United States)

    Chin, Wen Cheong; Isa, Zaidi; Mohd Nor, Abu Hassan Shaari

    2013-04-01

    This study investigates the heterogeneous market hypothesis using high frequency data. The cascaded heterogeneous trading activities with different time durations are modelled by the heterogeneous autoregressive framework. The empirical study indicated the presence of long memory behaviour and predictability elements in the financial time series which supported heterogeneous market hypothesis. Besides the common sum-of-square intraday realized volatility, we also advocated two power variation realized volatilities in forecast evaluation and risk measurement in order to overcome the possible abrupt jumps during the credit crisis. Finally, the empirical results are used in determining the market risk using the value-at-risk approach. The findings of this study have implications for informationally market efficiency analysis, portfolio strategies and risk managements.

  5. Acid Volatile Sulfide (AVS) als instrument bij de risicobeoordeling van waterbodems

    NARCIS (Netherlands)

    Hoop MAGT van den; Peijnenburg WJGM; Sijm DTHM; Berg GA van den; Heijdt LM van der; Zwolsman JJG; Rijksinstituut voor Integraal; LAC; ECO; CSR

    2000-01-01

    Risk assessment of sediments is primarily based on the determination of total content of polluted components. Analysis of sediment composition in the Netherlands, both at present and expected in the future, shows that heavy metals, especially Zn, Cu and Ni, appear to be the main compounds

  6. Acid Volatile Sulfide (AVS) als instrument bij de risicobeoordeling van waterbodems

    NARCIS (Netherlands)

    van den Hoop MAGT; Peijnenburg WJGM; Sijm DTHM; van den Berg GA; van der Heijdt LM; Zwolsman JJG; LAC; ECO; CSR

    2000-01-01

    Een analyse van de huidige en de in de toekomst te verwachten kwaliteit van Nederlandse sedimenten laat zien dat vooral Zn, Cu and Ni de stoffen zullen zijn die in belangrijke mate de verontreinigingsgraad zullen gaan bepalen. De mobiliteit van deze elementen wordt sterk gereduceerd door de

  7. 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

  8. 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.

  9. Reactor instrumentation and control

    International Nuclear Information System (INIS)

    Wach, D.; Beraha, D.

    1980-01-01

    The methods for measuring radiation are shortly reviewed. The instrumentation for neutron flux measurement is classified into out-of-core and in-core instrumentation. The out-of-core instrumentation monitors the operational range from the subcritical reactor to full power. This large range is covered by several measurement channels which derive their signals from counter tubes and ionization chambers. The in-core instrumentation provides more detailed information on the power distribution in the core. The self-powered neutron detectors and the aeroball system in PWR reactors are discussed. Temperature and pressure measurement devices are briefly discussed. The different methods for leak detection are described. In concluding the plant instrumentation part some new monitoring systems and analysis methods are presented: early failure detection methods by noise analysis, acoustic monitoring and vibration monitoring. The presentation of the control starts from an qualitative assessment of the reactor dynamics. The chosen control strategy leads to the definition of the part-load diagram, which provides the set-points for the different control systems. The tasks and the functions of these control systems are described. In additiion to the control, a number of limiting systems is employed to keep the reactor in a safe operating region. Finally, an outlook is given on future developments in control, concerning mainly the increased application of process computers. (orig./RW)

  10. Instrumental analysis, second edition

    International Nuclear Information System (INIS)

    Christian, G.D.; O'Reilly, J.E.

    1988-01-01

    The second edition of Instrumental Analysis is a survey of the major instrument-based methods of chemical analysis. It appears to be aimed at undergraduates but would be equally useful in a graduate course. The volume explores all of the classical quantitative methods and contains sections on techniques that usually are not included in a semester course in instrumentation (such as electron spectroscopy and the kinetic methods). Adequate coverage of all of the methods contained in this book would require several semesters of focused study. The 25 chapters were written by different authors, yet the style throughout the book is more uniform than in the earlier edition. With the exception of a two-chapter course in analog and digital circuits, the book purports to de-emphasize instrumentation, focusing more on the theory behind the methods and the application of the methods to analytical problems. However, a detailed analysis of the instruments used in each method is by no means absent. The book has the favor of a user's guide to analysis

  11. VOLATILE LEAF OIL CONSTITUENTS OF OCIMUM AMERICANUM ...

    African Journals Online (AJOL)

    Steam distilled volatile oils from the leaves of Ocimum americanum L. growing in Western Kenya were analysed by GC and GC-MS. A total of 36 compounds, representing a total of 88.51% of the total oil, were identified. The oil was classified as terpinen-4-ol-type according to the terpinen-4-ol content (43.21%). To the best ...

  12. Asymmetric volatility connectedness on the forex market

    Czech Academy of Sciences Publication Activity Database

    Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš

    2017-01-01

    Roč. 77, č. 1 (2017), s. 39-56 ISSN 0261-5606 R&D Projects: GA ČR(CZ) GA16-14179S Institutional support: RVO:67985556 Keywords : volatility * connectedness * asymmetric effects Subject RIV: AH - Economics OBOR OECD: Finance Impact factor: 1.853, year: 2016 http://library.utia.cas.cz/separaty/2017/E/barunik-0478477.pdf

  13. Networks of volatility spillovers among stock markets

    Czech Academy of Sciences Publication Activity Database

    Baumöhl, E.; Kočenda, Evžen; Lyócsa, S.; Výrost, T.

    2018-01-01

    Roč. 490, č. 1 (2018), s. 1555-1574 ISSN 0378-4371 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: RVO:67985556 Keywords : Volatility spillovers * Shock transmission * Stock markets * Granger causality network * Financial crisis * Spatial regression Subject RIV: AH - Economic s OBOR OECD: Applied Economic s, Econometrics Impact factor: 2.243, year: 2016 http://library.utia.cas.cz/separaty/2018/E/kocenda-0487923.pdf

  14. Selenium Uptake and Volatilization by Marine Algae

    Science.gov (United States)

    Luxem, Katja E.; Vriens, Bas; Wagner, Bettina; Behra, Renata; Winkel, Lenny H. E.

    2015-04-01

    Selenium (Se) is an essential trace nutrient for humans. An estimated one half to one billion people worldwide suffer from Se deficiency, which is due to low concentrations and bioavailability of Se in soils where crops are grown. It has been hypothesized that more than half of the atmospheric Se deposition to soils is derived from the marine system, where microorganisms methylate and volatilize Se. Based on model results from the late 1980s, the atmospheric flux of these biogenic volatile Se compounds is around 9 Gt/year, with two thirds coming from the marine biosphere. Algae, fungi, and bacteria are known to methylate Se. Although algal Se uptake, metabolism, and methylation influence the speciation and bioavailability of Se in the oceans, these processes have not been quantified under environmentally relevant conditions and are likely to differ among organisms. Therefore, we are investigating the uptake and methylation of the two main inorganic Se species (selenate and selenite) by three globally relevant microalgae: Phaeocystis globosa, the coccolithophorid Emiliania huxleyi, and the diatom Thalassiosira oceanica. Selenium uptake and methylation were quantified in a batch experiment, where parallel gas-tight microcosms in a climate chamber were coupled to a gas-trapping system. For E. huxleyi, selenite uptake was strongly dependent on aqueous phosphate concentrations, which agrees with prior evidence that selenite uptake by phosphate transporters is a significant Se source for marine algae. Selenate uptake was much lower than selenite uptake. The most important volatile Se compounds produced were dimethyl selenide, dimethyl diselenide, and dimethyl selenyl sulfide. Production rates of volatile Se species were larger with increasing intracellular Se concentration and in the decline phase of the alga. Similar experiments are being carried out with P. globosa and T. oceanica. Our results indicate that marine algae are important for the global cycling of Se

  15. 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...

  16. Business Cycle Volatility and Globalization: A Survey

    OpenAIRE

    Claudia M. Buch

    2002-01-01

    The globalization of capital and product markets has many implications for economic welfare. Countries can specialize in the production of goods for which they have comparative advantages, and capital is allocated more efficiently. However, one potentially adverse effect of globalization is the possibility that business cycle volatility might increase. Rapid and badly co-ordinated capital account liberalization has been blamed for enhancing the vulnerability of emerging markets to unstable in...

  17. Stock Market Volatility around National Elections

    OpenAIRE

    Bialkowski, Jedrzej; Gottschalk, Katrin; Wisniewski, Tomasz Piotr

    2006-01-01

    This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the countryspecific component of index return variance can easily double during the week around an Election Day, which shows that investors are surprised by the election outcome. Several factors, such as a narrow margin of victory, lack of compulsory voting laws, change in the political orientation of the government, or the failure to form a coalitio...

  18. Volatility of fragrance chemicals: patch testing implications.

    Science.gov (United States)

    Gilpin, Sarah J; Hui, Xiaoying; Maibach, Howard I

    2009-01-01

    Diagnostic and predictive patch testing to determine contact allergy due to fragrance materials requires applying a fixed dose of material to the skin. This dose can be affected by the volatile nature of fragrances; little data exist on how the loss of fragrance dose due to volatility affects patch testing. (1) To evaluate pH dependence and evaporation rates of two fragrance chemicals, geraniol, citronellol, and a common fragrance solvent, diethyl phthalate (DEP) and (2) Assess implications for predictive patch-testing methods for fragrances. pH analysis of each material at 1% for three values (4.0, 5.0, 7.0) was done over 40 hours. Volatility experiments for each material, nonradiolabeled and radiolabeled, were conducted over a 24-hour period, taking readings at six time points (5 minutes, 15 minutes, 40 minutes, 1 hour, 3 hours, and 24 hours). Evaporation rates were not sensitive to pH shifts from 4.0 to 7.0. Evaporation rates for nonradiolabeled materials were low: after 24 hours, geraniol lost 8.9%, citronellol 27.0% and DEP 14.5%. The volatility data for radiolabeled materials demonstrated that geraniol loses up to 39% of its dose, citronellol loses up to 26%, and DEP up to 14% within 40 minutes. The tendency of fragrance materials to evaporate can impact the dose being applied to the patch and therefore the result of the patch and ultimately the decision-making process regarding that fragrance material's safety. These data, developed with DEP, utilized in a predictive sensitization assay cannot be generalized.

  19. Efficient Frontier - Comparing Different Volatility Estimators

    OpenAIRE

    Tea Poklepović; Zdravka Aljinović; Mario Matković

    2015-01-01

    Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and compares three efficient frontiers on the Croatian Stock Market. The results show that ra...

  20. Volatile chemical interaction between undamaged plants

    OpenAIRE

    Glinwood, Robert

    2010-01-01

    This chapter discusses whether plant chemical communication is a mechanism by which plant genetic diversity can affect the natural enemies of herbivores. Plant genetic diversity influences natural enemies, and these insects use volatile chemical cues to locate suitable habitats. However, the importance of chemical communication for these interactions has not been considered. In this chapter, the latest research on chemical communication between undamaged plants is reviewed. ...

  1. Risk-free assets: Are they truly risk-free? A comparative study of South African rates and instruments

    Directory of Open Access Journals (Sweden)

    Oosthuizen, A.V.

    2013-10-01

    Full Text Available Determining the price of a financial instrument is something that happens every day in the financial markets. Every price starts off with a spot price adjusted for interest until maturity of the particular instrument. The interest is usually described as risk-free interest. The price so determined is the most basic price that an investor is willing to pay if not risk is involved. Risk-free assets, then, are securities of which the future rates of return are known with certainty. An exceptional degree of confidence in the issuer of the security brings about this certainty. Risk-free assets are normally in the fixed income securities (capital markets investment category or in the liquid money market instruments such as treasury bills, category. This study attempts to determine whether the risk-free rates used by treasury managers and traders in South Africa to formulate their bond yield curves and which are used in valuation models, may be deemed risk-free. The study specifies certain criteria that an asset must satisfy in order to be used as a risk-free asset. Short term and long term South African instruments are compared to the US counterpart instruments, to gain an understanding of the South African instruments relative to the US ones. The behaviour of the risk-free instruments used in South Africa is also compared to the FTSE/JSE All Share Index and gold spot prices, which are perceived to be a risky asset classes. To gain some understanding of the behaviour of these instruments, analyses were done from different angles. The standard deviations of the daily percentage changes of the R157 were significantly lower than that of the ALSI and the gold spot price change. Compared to the ALSI and gold spot price, therefore, the R157 may be deemed a “low risk” instrument. The JIBAR was even less volatile that the R157. Interestingly, the US instruments were substantially more risky than the SA instruments over the analysis period. Also the JIBAR

  2. 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.

  3. Volatilization: a soil degassing coefficient for iodine

    International Nuclear Information System (INIS)

    Sheppard, M.I.; Thibault, D.H.; Smith, P.A.; Hawkins, J.L.

    1994-01-01

    Iodine, an element essential to some animals, is ubiquitous in the biosphere. Unlike other metallic elements, molecular I is volatile, and other inorganic species present in aerated soils, such as I - and IO 3 - , may also volatilize as hydrides, hydrogen iodide (HI), or hydrogen iodates (HIO 3 , HIO 4 ). Methyl iodide has been measured in soils, and it is likely evolved from soils and plants. The long-lived radioisotope 129 I is abundant in nuclear wastes, and its high solubility in groundwater makes it an important element in the performance assessment of underground disposal facilities. Overestimates of soil I residence half-times by traditional foodchain models may be due to underestimation of volatilization. Field and lysimeter experiments over a 3-year period, and direct trapping experiments in the laboratory are reported. The results, combined with values from the literature, indicate the soil I degassing coefficient for a wide range of soil types, vegetated and bare, wet and dry, is lognormally distributed with a geometric mean of 2.1 x 10 -2 year -1 , a range of 1.8 x 10 -4 to 3.1 year -1 and a geometric standard deviation of 3.0. The results of a biosphere model simulation including degassing reduces soil I concentrations fivefold and increases air concentrations 25-fold at steady state, compared to simulations without degassing. (author)

  4. VOLATILIZATION RATES FROM WATER TO INDOOR AIR ...

    Science.gov (United States)

    Contaminated water can lead to volatilization of chemicals to residential indoor air. Previous research has focused on only one source (shower stalls) and has been limited to chemicals in which gas-phase resistance to mass transfer is of marginal significance. As a result, attempts to extrapolate chemical emissions from high-volatility chemicals to lower volatility chemicals, or to sources other than showers, have been difficult or impossible. This study involved the development of two-phase, dynamic mass balance models for estimating chemical emissions from washing machines, dishwashers, and bathtubs. An existing model was adopted for showers only. Each model required the use of source- and chemical-specific mass transfer coefficients. Air exchange (ventilation) rates were required for dishwashers and washing machines as well. These parameters were estimated based on a series of 113 experiments involving 5 tracer chemicals (acetone, ethyl acetate, toluene, ethylbenzene, and cyclohexane) and 4 sources (showers, bathtubs, washing machines, and dishwashers). Each set of experiments led to the determination of chemical stripping efficiencies and mass transfer coefficients (overall, liquid-phase, gas-phase), and to an assessment of the importance of gas- phase resistance to mass transfer. Stripping efficiencies ranged from 6.3% to 80% for showers, 2.6% to 69% for bathtubs, 18% to 100% for dishwashers, and 3.8% to 100% for washing machines. Acetone and cyclohexane al

  5. Biochemistry Instrumentation Core Technology Center

    Data.gov (United States)

    Federal Laboratory Consortium — The UCLA-DOE Biochemistry Instrumentation Core Facility provides the UCLA biochemistry community with easy access to sophisticated instrumentation for a wide variety...

  6. Heat Flux Instrumentation Laboratory (HFIL)

    Data.gov (United States)

    Federal Laboratory Consortium — Description: The Heat Flux Instrumentation Laboratory is used to develop advanced, flexible, thin film gauge instrumentation for the Air Force Research Laboratory....

  7. Characteristics of protective instrumentation

    International Nuclear Information System (INIS)

    Reichart, G.

    1982-01-01

    Protective Instrumentation (PI) for Nuclear Power Plants (NPP) is a general term for an highly reliable instrumentation, which provides information for keeping the system within safe limits, for initation of countermeasures in the case of an incident or for mitigation of consequences of an accident. In German NPPs one can find a hierarchical structure of protective instrumentation, wherein the Reactor Protection System (RPS) has the highest priority. To meet the reliability requirements different design principles are used, like - redundancy - diversity - fail safe - decoupling. The presentation gives an overview about the different design principles and characterizes their reliability aspects. As an example for the technical realization the RPS of a German NPP is discussed in some detail. Furthermore some information about other type of PI is given and reliability aspects of the interaction of operating personell with these systems are mentioned. (orig.)

  8. Aethalometer™ Instrument Handbook

    Energy Technology Data Exchange (ETDEWEB)

    Sedlacek, Arthur J. [Brookhaven National Lab. (BNL), Upton, NY (United States)

    2016-04-01

    The Aethalometer is an instrument that provides a real-time readout of the concentration of “Black” or “Elemental” carbon aerosol particles (BC or E) in an air stream (see Figure 1 and Figure 2). It is a self-contained instrument that measures the rate of change of optical transmission through a spot on a filter where aerosol is being continuously collected and uses the information to calculate the concentration of optically absorbing material in the sampled air stream. The instrument measures the transmitted light intensities through the “sensing” portion of the filter, on which the aerosol spot is being collected, and a “reference” portion of the filter as a check on the stability of the optical source. A mass flowmeter monitors the sample air flow rate. The data from these three measurements is used to determine the mean BC content of the air stream.

  9. The IKARUS instrument

    International Nuclear Information System (INIS)

    Gerster, H.J.; Stein, G.

    1994-01-01

    When the Federal Government decided on a 25% reduction of CO 2 emissions till 2005 in 1990 the necessity resulted that an instrument has to be developed for the analysis and assessment of the ecological, economic and energetic impact of different reduction strategies. The development task was awarded by the BMFT to the Research Centre Juelich in cooperation with well-known institutions of energy system research. The total instrument is scheduled to be finished by the end of 1994. For the decentral use of the instrument by a wide specialist public the developed models and data banks which are equipped with a user-friendly surface are suited for larger PCs (486, 16 MB RAM/500-1000 MB ROM). (orig.) [de

  10. ISSUERS OF FINANCIAL INSTRUMENTS

    Directory of Open Access Journals (Sweden)

    Cristian GHEORGHE

    2016-05-01

    Full Text Available The rules laid down by Romanian Capital Market Law and the regulations put in force for its implementation apply to issuers of financial instruments admitted to trading on the regulated market established in Romania. But the issuers remain companies incorporated under Company Law of 1990. Such dual regulations need increased attention in order to observe the legal status of the issuers/companies and financial instruments/shares. Romanian legislator has chosen to implement in Capital Market Law special rules regarding the administration of the issuers of financial instruments, not only rules regarding admitting and maintaining to a regulated market. Thus issuers are, in Romanian Law perspective, special company that should comply special rule regarding board of administration and general shareholders meeting.

  11. 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

  12. 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.

  13. 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.

  14. Virtual Sensor Test Instrumentation

    Science.gov (United States)

    Wang, Roy

    2011-01-01

    Virtual Sensor Test Instrumentation is based on the concept of smart sensor technology for testing with intelligence needed to perform sell-diagnosis of health, and to participate in a hierarchy of health determination at sensor, process, and system levels. A virtual sensor test instrumentation consists of five elements: (1) a common sensor interface, (2) microprocessor, (3) wireless interface, (4) signal conditioning and ADC/DAC (analog-to-digital conversion/ digital-to-analog conversion), and (5) onboard EEPROM (electrically erasable programmable read-only memory) for metadata storage and executable software to create powerful, scalable, reconfigurable, and reliable embedded and distributed test instruments. In order to maximize the efficient data conversion through the smart sensor node, plug-and-play functionality is required to interface with traditional sensors to enhance their identity and capabilities for data processing and communications. Virtual sensor test instrumentation can be accessible wirelessly via a Network Capable Application Processor (NCAP) or a Smart Transducer Interlace Module (STIM) that may be managed under real-time rule engines for mission-critical applications. The transducer senses the physical quantity being measured and converts it into an electrical signal. The signal is fed to an A/D converter, and is ready for use by the processor to execute functional transformation based on the sensor characteristics stored in a Transducer Electronic Data Sheet (TEDS). Virtual sensor test instrumentation is built upon an open-system architecture with standardized protocol modules/stacks to interface with industry standards and commonly used software. One major benefit for deploying the virtual sensor test instrumentation is the ability, through a plug-and-play common interface, to convert raw sensor data in either analog or digital form, to an IEEE 1451 standard-based smart sensor, which has instructions to program sensors for a wide variety of

  15. OH reactivity and potential SOA yields from volatile organic compounds and other trace gases measured in controlled laboratory biomass burns

    Science.gov (United States)

    J. B. Gilman; C. Warneke; W. C. Kuster; P. D. Goldan; P. R. Veres; J. M. Roberts; J. A. de Gouw; I. R. Burling; R. J. Yokelson

    2010-01-01

    A comprehensive suite of instruments were used to characterize volatile organic compounds (VOCs) and other trace gases (e.g., CO, CH4, NO2, etc.) emitted from controlled burns of various fuel types common to the Southeastern and Southwestern United States. These laboratory-based measurements were conducted in February 2009 at the U.S. Department of Agriculture’s Fire...

  16. ICFA: Instrumentation school

    Energy Technology Data Exchange (ETDEWEB)

    Anon.

    1987-10-15

    74 students, including 45 from developing countries, ten lecturers and nine laboratory instructors participated in the novel instrumentation school held in June at the International Centre for Theoretical Physics (ICTP), Trieste, Italy, sponsored by ICTP and arranged through the Instrumentation Panel of the International Committee for Future Accelerators (ICF). During the two weeks of the course, students had the chance to construct and test a proportional chamber, measure the lifetime of cosmic ray muons, operate and analyse the performance of an 8-wire imaging drift chamber, or study noise and signal processing using a silicon photodiode.

  17. Interfacing to accelerator instrumentation

    International Nuclear Information System (INIS)

    Shea, T.J.

    1995-01-01

    As the sensory system for an accelerator, the beam instrumentation provides a tremendous amount of diagnostic information. Access to this information can vary from periodic spot checks by operators to high bandwidth data acquisition during studies. In this paper, example applications will illustrate the requirements on interfaces between the control system and the instrumentation hardware. A survey of the major accelerator facilities will identify the most popular interface standards. The impact of developments such as isochronous protocols and embedded digital signal processing will also be discussed

  18. Spectroelectrochemical Instrument Measures TOC

    Science.gov (United States)

    Kounaves, Sam

    2011-01-01

    A spectroelectrochemical instrument has been developed for measuring the total organic carbon (TOC) content of an aqueous solution. Measurements of TOC are frequently performed in environmental, clinical, and industrial settings. Until now, techniques for performing such measurements have included, various ly, the use of hazardous reagents, ultraviolet light, or ovens, to promote reactions in which the carbon contents are oxidized. The instrument now being developed is intended to be a safer, more economical means of oxidizing organic carbon and determining the TOC levels of aqueous solutions and for providing a low power/mass unit for use in planetary missions.

  19. Neutron multiplication measurement instrument

    International Nuclear Information System (INIS)

    Nixon, K.V.; Dowdy, E.J.; France, S.W.; Millegan, D.R.; Robba, A.A.

    1983-01-01

    The Advanced Nuclear Technology Group of the Los Alamos National Laboratory is now using intelligent data-acquisition and analysis instrumentation for determining the multiplication of nuclear material. Earlier instrumentation, such as the large NIM-crate systems, depended on house power and required additional computation to determine multiplication or to estimate error. The portable, battery-powered multiplication measurement unit, with advanced computational power, acquires data, calculates multiplication, and completes error analysis automatically. Thus, the multiplication is determined easily and an available error estimate enables the user to judge the significance of results

  20. Standard NIM instrumentation system

    International Nuclear Information System (INIS)

    1990-05-01

    NIM is a standard modular instrumentation system that is in wide use throughout the world. As the NIM system developed and accommodations were made to a dynamic instrumentation field and a rapidly advancing technology, additions, revisions and clarifications were made. These were incorporated into the standard in the form of addenda and errata. This standard is a revision of the NIM document, AEC Report TID-20893 (Rev. 4) dated July 1974. It includes all the addenda and errata items that were previously issued as well as numerous additional items to make the standard current with modern technology and manufacturing practice

  1. Virtual Reality Musical Instruments

    DEFF Research Database (Denmark)

    Serafin, Stefania; Erkut, Cumhur; Kojs, Juraj

    2016-01-01

    The rapid development and availability of low-cost technologies have created a wide interest in virtual reality. In the field of computer music, the term “virtual musical instruments” has been used for a long time to describe software simulations, extensions of existing musical instruments......, and ways to control them with new interfaces for musical expression. Virtual reality musical instruments (VRMIs) that include a simulated visual component delivered via a head-mounted display or other forms of immersive visualization have not yet received much attention. In this article, we present a field...

  2. ICFA: Instrumentation school

    International Nuclear Information System (INIS)

    Anon.

    1987-01-01

    74 students, including 45 from developing countries, ten lecturers and nine laboratory instructors participated in the novel instrumentation school held in June at the International Centre for Theoretical Physics (ICTP), Trieste, Italy, sponsored by ICTP and arranged through the Instrumentation Panel of the International Committee for Future Accelerators (ICF). During the two weeks of the course, students had the chance to construct and test a proportional chamber, measure the lifetime of cosmic ray muons, operate and analyse the performance of an 8-wire imaging drift chamber, or study noise and signal processing using a silicon photodiode

  3. Instrumentation Cables Test Plan

    Energy Technology Data Exchange (ETDEWEB)

    Muna, Alice Baca [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); LaFleur, Chris Bensdotter [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)

    2016-10-01

    A fire at a nuclear power plant (NPP) has the potential to damage structures, systems, and components important to safety, if not promptly detected and suppressed. At Browns Ferry Nuclear Power Plant on March 22, 1975, a fire in the reactor building damaged electrical power and control systems. Damage to instrumentation cables impeded the function of both normal and standby reactor coolant systems, and degraded the operators’ plant monitoring capability. This event resulted in additional NRC involvement with utilities to ensure that NPPs are properly protected from fire as intended by the NRC principle design criteria (i.e., general design criteria 3, Fire Protection). Current guidance and methods for both deterministic and performance based approaches typically make conservative (bounding) assumptions regarding the fire-induced failure modes of instrumentation cables and those failure modes effects on component and system response. Numerous fire testing programs have been conducted in the past to evaluate the failure modes and effects of electrical cables exposed to severe thermal conditions. However, that testing has primarily focused on control circuits with only a limited number of tests performed on instrumentation circuits. In 2001, the Nuclear Energy Institute (NEI) and the Electric Power Research Institute (EPRI) conducted a series of cable fire tests designed to address specific aspects of the cable failure and circuit fault issues of concern1. The NRC was invited to observe and participate in that program. The NRC sponsored Sandia National Laboratories to support this participation, whom among other things, added a 4-20 mA instrumentation circuit and instrumentation cabling to six of the tests. Although limited, one insight drawn from those instrumentation circuits tests was that the failure characteristics appeared to depend on the cable insulation material. The results showed that for thermoset insulated cables, the instrument reading tended to drift

  4. Celadon Figurines Play Instruments

    Institute of Scientific and Technical Information of China (English)

    1995-01-01

    This group of figurines, each 0.15m tall, were unearthed from a Tang Dynasty tomb in Changsha in 1977. Music was very developed in the Tang Dynasty. Colorful musical instruments and dances were popular both among the people and in the palace. These vivid-looking figurines wear pleated skirts with small sleeves and open chest, a style influenced by the non-Han nationalities living in the north and west of China. Some of the musical instruments were brought from the Western Regions. The figurines are playing the xiao (a vertical bamboo flute), the konghou (an

  5. Detecting Volatiles Deep in the Lunar Regolith

    Science.gov (United States)

    Crotts, A.; Heggy, E.; Ciarletti, V.; Colaprete, A.; Moghaddam, M.; Siegler, M. A.

    2015-12-01

    There is increasing theoretical and empirical evidence, from the Apollo era and after, of volatiles deep in the lunar interior, in the crust and deeper, both hydrogen-rich and otherwise. This comes in the form of fire fountain samples from Apollo 15 and Apollo 17, of hydrated minerals excavated by impacts which reach the base of the lunar crust e.g., crater Bullialdus, of hydration of apatite and other minerals, as well as predictions of a water-concentrated layer along with the KREEP material at the base of the lunar crust. We discuss how the presence of these volatiles might be directly explored. In particular water vapor molecules percolating to the surface through lunar regolith might be expected to stick and freeze into the regolith, at depths of several meters depending on the regolith temperature profile, porosity and particle size distribution, quantities that are not well known beyond two meters depth. To explore these depths in the regolith we use and propose several modes of penetrating radar. We will present results using the SELENE/Kaguya's Lunar Sounding RADAR (LSR) to probe the bulk volatile dielectric and loss structure properties of the regolith in various locations, both within permanently shadowed regions (PSRs) and without, and within neutron suppression regions (NSRs) as traced by epithermal neutrons and without. We also propose installation of ground penetrating RADAR (GPR) on a roving lunar platform that should be able to probe between 0.2 and 1.6 GHz, which will provide a probe of the entire depth of the lunar regolith as well as a high-resolution (about 4 cm FWHM) probe of the upper meter or two of the lunar soil, where other probes of volatiles such as epithermal neutron absorption or drilling might be employed. We discuss predictions for what kinds of volatile density profiles might be distinguished in this way, and whether these will be detected from orbit as NSRs, whether these must be restricted to PSRs, and how these might appear in

  6. Extended Research on Detection of Deception Using Volatile Organic Compound (VOC) Emissions

    Energy Technology Data Exchange (ETDEWEB)

    Center for Human Reliability Studies

    2006-06-01

    A system that captures and analyzes volatile organic compound (VOC) emissions from skin surfaces may offer a viable alternative method to the polygraph instrument currently in use for detecting deception in U.S. government settings. Like the involuntary autonomic central nervous system response data gathered during polygraph testing, VOC emissions from the skin may provide data that can be used to detect stress caused by deception. Detecting VOCs, then, may present a noninvasive, non-intrusive method for observing, recording, and quantifying evidence of stress or emotional change.

  7. Organic geochemistry and environmental instrumentation programs

    International Nuclear Information System (INIS)

    Anon.

    1988-01-01

    The areas of research of the Organic Geochemistry Group include (1) computer-assisted gas chromatrographic, qualitative, and quantitative analyses of coal-derived complex mixtures; (2) chemodynamic measurements in complex organic mixtures to study the transport and transformation processes of chemicals in the environment; (3) bioassay-directed characterization of mutagenic polycyclic aromatic hydrocarbons in coal-derived materials; (4) chemical and toxicological evaluation of condensates from mild coal gasification processes; (5) development of rapid (high-pressure liquid chromatography) characterization techniques for primary aromatic amines in coal-derived liquids; (6) study of flame ionization detector response factors and chemical structure in gas chromatography; (7) development of a simple, portable device for preconcentrating airborne aromatic amines to be analyzed by portable liquid chromatography; (8) initial uptake and release studies of perchloroethylene and trichloroethylene in pine needles; (9) application of stable carbon isotope techniques in tracing environmental pollutants; (10) development of control technology for hydrazine fuels by neutralization with hypochlorite II. The Environmental Instrumentation group is engaged in research to develop and build prototype field-portable devices and instruments for the detection, identification, and quantification of volatile hazardous gases in a variety of environmental and workplace settings

  8. Inspector-instrument interface in portable NDA instrumentation

    International Nuclear Information System (INIS)

    Halbig, J.K.; Klosterbuer, S.F.

    1981-01-01

    Recent electronics technology advances make it possible to design sophisticated instruments in small packages for convenient field implementation. An inspector-instrument interface design that allows communication of procedures, responses, and results between the instrument and user is presented. This capability has been incorporated into new spent-fuel instrumentation and a battery-powered multichannel analyzer

  9. Inspector-instrument interface in portable NDA instrumentation

    International Nuclear Information System (INIS)

    Halbig, J.K.; Klosterbuer, S.F.

    1981-01-01

    Recent electronics technology advances make it possible to design sophisticated instruments in small packages for convenient field implementation. This report describes an inspector-instrument interface design which allows communication of procedures, responses, and results between the instrument and user. The interface has been incorporated into new spent-fuel instrumentation and a battery-powered multichannel analyzer

  10. Instrumentation for studying binder burnout in an immobilized plutonium ceramic wasteform

    Energy Technology Data Exchange (ETDEWEB)

    Mitchell, M; Pugh, D; Herman, C

    2000-04-21

    The Plutonium Immobilization Program produces a ceramic wasteform that utilizes organic binders. Several techniques and instruments were developed to study binder burnout on full size ceramic samples in a production environment. This approach provides a method for developing process parameters on production scale to optimize throughput, product quality, offgas behavior, and plant emissions. These instruments allow for offgas analysis, large-scale TGA, product quality observation, and thermal modeling. Using these tools, results from lab-scale techniques such as laser dilametry studies and traditional TGA/DTA analysis can be integrated. Often, the sintering step of a ceramification process is the limiting process step that controls the production throughput. Therefore, optimization of sintering behavior is important for overall process success. Furthermore, the capabilities of this instrumentation allows better understanding of plant emissions of key gases: volatile organic compounds (VOCs), volatile inorganics including some halide compounds, NO{sub x}, SO{sub x}, carbon dioxide, and carbon monoxide.

  11. 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.

  12. 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.

  13. 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...

  14. Volatility and dividend risk in perpetual American options

    Science.gov (United States)

    Montero, Miquel

    2007-04-01

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

  15. High precision isotopic ratio analysis of volatile metal chelates

    International Nuclear Information System (INIS)

    Hachey, D.L.; Blais, J.C.; Klein, P.D.

    1980-01-01

    High precision isotope ratio measurements have been made for a series of volatile alkaline earth and transition metal chelates using conventional GC/MS instrumentation. Electron ionization was used for alkaline earth chelates, whereas isobutane chemical ionization was used for transition metal studies. Natural isotopic abundances were determined for a series of Mg, Ca, Cr, Fe, Ni, Cu, Cd, and Zn chelates. Absolute accuracy ranged between 0.01 and 1.19 at. %. Absolute precision ranged between +-0.01-0.27 at. % (RSD +- 0.07-10.26%) for elements that contained as many as eight natural isotopes. Calibration curves were prepared using natural abundance metals and their enriched 50 Cr, 60 Ni, and 65 Cu isotopes covering the range 0.1-1010.7 at. % excess. A separate multiple isotope calibration curve was similarly prepared using enriched 60 Ni (0.02-2.15 at. % excess) and 62 Ni (0.23-18.5 at. % excess). The samples were analyzed by GC/CI/MS. Human plasma, containing enriched 26 Mg and 44 Ca, was analyzed by EI/MS. 1 figure, 5 tables

  16. Volatile organic compound monitoring by photo acoustic radiometry

    International Nuclear Information System (INIS)

    Sollid, J.E.; Trujillo, V.L.; Limback, S.P.; Woloshun, K.A.

    1995-01-01

    Two methods for sampling and analyzing volatile organics in subsurface pore gas were developed for use at the Hazardous Waste Disposal Site at Los Alamos National Laboratory. One is Thermal Desorption Gas Chromatography Mass Spectrometry (TDGCMS), the other is Photoacoustic Radiometry (PAR). Presented here are two years worth of experience and lessons learned as both techniques matured. The sampling technique is equally as important as the analysis method. PAR is a nondispersive infrared technique utilizing band pass filters in the region from 1 to 15 μm. A commercial instrument, the Model 1302 Multigas Analyzer, made by Bruel and Kjaer, was adapted for field use. To use the PAR there must be some a priori knowledge of the constellation of analytes to be measured. The TDGCMS method is sensitive to 50 analytes. Hence TDGCMS is used in an initial survey of the site to determine what compounds are present and at what concentration. Once the major constituents of the soil-gas vapor plume are known the PAR can be configured to monitor for the five analytes of most interest. The PAR can analyse a sample in minutes, while in the field. The PAR is also quite precise in controlled situations

  17. Power station instrumentation

    International Nuclear Information System (INIS)

    Jervis, M.W.

    1993-01-01

    Power stations are characterized by a wide variety of mechanical and electrical plant operating with structures, liquids and gases working at high pressures and temperatures and with large mass flows. The voltages and currents are also the highest that occur in most industries. In order to achieve maximum economy, the plant is operated with relatively small margins from conditions that can cause rapid plant damage, safety implications, and very high financial penalties. In common with other process industries, power stations depend heavily on control and instrumentation. These systems have become particularly significant, in the cost-conscious privatized environment, for providing the means to implement the automation implicit in maintaining safety standards, improving generation efficiency and reducing operating manpower costs. This book is for professional instrumentation engineers who need to known about their use in power stations and power station engineers requiring information about the principles and choice of instrumentation available. There are 8 chapters; chapter 4 on instrumentation for nuclear steam supply systems is indexed separately. (Author)

  18. University Reactor Instrumentation Program

    International Nuclear Information System (INIS)

    Vernetson, W.G.

    1992-11-01

    Recognizing that the University Reactor Instrumentation Program was developed in response to widespread needs in the academic community for modernization and improvement of research and training reactors at institutions such as the University of Florida, the items proposed to be supported by this grant over its two year period have been selected as those most likely to reduce foreed outages, to meet regulatory concerns that had been expressed in recent years by Nuclear Regulatory Commission inspectors or to correct other facility problems and limitations. Department of Energy Grant Number DE-FG07-90ER129969 was provided to the University of Florida Training Reactor(UFTR) facility through the US Department of Energy's University Reactor Instrumentation Program. The original proposal submitted in February, 1990 requested support for UFTR facility instrumentation and equipment upgrades for seven items in the amount of $107,530 with $13,800 of this amount to be the subject of cost sharing by the University of Florida and $93,730 requested as support from the Department of Energy. A breakdown of the items requested and total cost for the proposed UFTR facility instrumentation and equipment improvements is presented

  19. Neutron instrumentation for biology

    Energy Technology Data Exchange (ETDEWEB)

    Mason, S.A. [Institut Laue-Langevin, Grenoble (France)

    1994-12-31

    In the October 1994 round of proposals at the ILL, the external biology review sub- committee was asked to allocate neutron beam time to a wide range of experiments, on almost half the total number of scheduled neutron instruments: on 3 diffractometers, on 3 small angle scattering instruments, and on some 6 inelastic scattering spectrometers. In the 3.5 years since the temporary reactor shutdown, the ILL`s management structure has been optimized, budgets and staff have been trimmed, the ILL reactor has been re-built, and many of the instruments up-graded, many powerful (mainly Unix) workstations have been introduced, and the neighboring European Synchrotron Radiation Facility has established itself as the leading synchrotron radiation source and has started its official user program. The ILL reactor remains the world`s most intense dedicated neutron source. In this challenging context, it is of interest to review briefly the park of ILL instruments used to study the structure and energetics of small and large biological systems. A brief summary will be made of each class of experiments actually proposed in the latest ILL proposal round.

  20. The ozone monitoring instrument

    NARCIS (Netherlands)

    Levelt, P.F.; Oord, G.H.J. van den; Dobber, M.R.; Mälkki, A.; Visser, H.; Vries, J. de; Stammes, P.; Lundell, J.O.V.; Saari, H.

    2006-01-01

    The Ozone Monitoring Instrument (OMI) flies on the National Aeronautics and Space Adminsitration's Earth Observing System Aura satellite launched in July 2004. OMI is a ultraviolet/visible (UV/VIS) nadir solar backscatter spectrometer, which provides nearly global coverage in one day with a spatial

  1. Economic Policy Instruments

    DEFF Research Database (Denmark)

    Klemmensen, Børge

    2007-01-01

    Økonomiske instrumenter begrundes med behovet for politiske indgreb, der muliggør internaliseringen af omkostningerne ved de miljøpåvirkninger, produktion and levevis afstedkommer, således at hensyntagen til miljøet bliver en del af virksomheders og husholdningers omkostninger og dermed en tilsky...

  2. Radiometric well logging instruments

    International Nuclear Information System (INIS)

    Davydov, A.V.

    1975-01-01

    The technical properties of well instruments for radioactive logging used in the radiometric logging complexes PKS-1000-1 (''Sond-1'') and PRKS-2 (''Vitok-2'') are described. The main features of the electric circuit of the measuring channels are given

  3. Advanced instrumentation and teleoperation

    International Nuclear Information System (INIS)

    Decreton, M.

    1998-01-01

    SCK-CEN's advanced instrumentation and teleoperation project aims at evaluating the potential of a telerobotic approach in a nuclear environment and, in particular, the use of remote-perception systems. Main achievements in 1997 in the areas of R and D on radiation tolerance for remote sensing, optical fibres and optical-fibre sensors, and computer-aided teleoperation are reported

  4. Health physics instrumentation needs

    International Nuclear Information System (INIS)

    Selby, J.M.; Swinth, K.L.; Kenoyer, J.L.

    1984-10-01

    Deficiencies and desirable improvements can be identified in every technical area in which health physics instruments are employed. The needed improvements cover the full spectrum including long-term reliability, human factors, accuracy, ruggedness, ease of calibration, improved radiation response, and improved mixed field response. Some specific areas of deficiency noted along with needed improvements. 17 references

  5. Virtual reality musical instruments

    DEFF Research Database (Denmark)

    Serafin, Stefania; Erkut, Cumhur; Kojs, Juraj

    2016-01-01

    The rapid development and availability of low cost technologies has created a wide interest in virtual reality (VR), but how to design and evaluate multisensory interactions in VR remains as a challenge. In this paper, we focus on virtual reality musical instruments, present an overview of our...

  6. Creating a Super Instrument

    DEFF Research Database (Denmark)

    Kallionpää, Maria; Gasselseder, Hans-Peter

    2015-01-01

    Thanks to the development of new technology, musical instruments are no more tied to their existing acoustic or technical limitations as almost all parameters can be augmented or modified in real time. An increasing number of composers, performers, and computer programmers have thus become intere...

  7. CMO Site: Ocean Instrumentation

    Science.gov (United States)

    1997-02-01

    Precipitation , Lightning, Visibility 0150 A InterOcea Hawser Strain 1.. systems, inc. and more... n 1946 3540 aero court san diego ca 92123-1799 usa phone: (619...AGU’s Microgal culture Association, P.O. Box 1004, April 8-10, 1997-Underwater Gravimetry : Instruments, Observa- Niland, CA 92257; (619) 359-3474

  8. Instrumentation in thermoluminescence dosimetry

    International Nuclear Information System (INIS)

    Julius, H.W.

    1986-01-01

    In the performance of a thermoluminescence dosimetry (TLD) system the equipment plays an important role. Crucial parameters of instrumentation in TLD are discussed in some detail. A review is given of equipment available on the market today - with some emphasis on automation - which is partly based on information from industry and others involved in research and development. (author)

  9. Ion chamber instrument

    International Nuclear Information System (INIS)

    Stephan, D.H.

    1975-01-01

    An electrical ionization chamber is described having a self-supporting wall of cellular material which is of uniform areal density and formed of material, such as foamed polystyrene, having an average effective atomic number between about 4 and about 9, and easily replaceable when on the instrument. (auth)

  10. Integrating Nephelometer Instrument Handbook

    Energy Technology Data Exchange (ETDEWEB)

    Uin, J. [Brookhaven National Lab. (BNL), Upton, NY (United States)

    2016-03-01

    The Integrating Nephelometer (Figure 1) is an instrument that measures aerosol light scattering. It measures aerosol optical scattering properties by detecting (with a wide angular integration – from 7 to 170°) the light scattered by the aerosol and subtracting the light scattered by the carrier gas, the instrument walls and the background noise in the detector (zeroing). Zeroing is typically performed for 5 minutes every day at midnight UTC. The scattered light is split into red (700 nm), green (550 nm), and blue (450 nm) wavelengths and captured by three photomultiplier tubes. The instrument can measure total scatter as well as backscatter only (from 90 to 170°) (Heintzenberg and Charlson 1996; Anderson et al. 1996; Anderson and Ogren 1998; TSI 3563 2015) At ARM (Atmospheric Radiation Measurement), two identical Nephelometers are usually run in series with a sample relative humidity (RH) conditioner between them. This is possible because Nephelometer sampling is non-destructive and the sample can be passed on to another instrument. The sample RH conditioner scans through multiple RH values in cycles, treating the sample. This kind of setup allows to study how aerosol particles’ light scattering properties are affected by humidification (Anderson et al. 1996). For historical reasons, the two Nephelometers in this setup are labeled “wet” and “dry”, with the “dry” Nephelometer usually being the one before the conditioner and sampling ambient air (the names are switched for the MAOS measurement site due to the high RH of the ambient air).

  11. Measurement and Instrumentation

    Energy Technology Data Exchange (ETDEWEB)

    Kirkham, Harold

    2018-01-02

    This is a chapter for a book called the Standard Handbook for Electrical Engineering. Though it is not obvious from the title, the book deals mainly with power engineering. The first chapter (not mine) is about the fundamental quantities used in measurement. This chapter is about the process and the instrumentation.

  12. Analytical chemistry instrumentation

    International Nuclear Information System (INIS)

    Laing, W.R.

    1986-01-01

    In nine sections, 48 chapters cover 1) analytical chemistry and the environment 2) environmental radiochemistry 3) automated instrumentation 4) advances in analytical mass spectrometry 5) fourier transform spectroscopy 6) analytical chemistry of plutonium 7) nuclear analytical chemistry 8) chemometrics and 9) nuclear fuel technology

  13. CRISP instrument manual

    International Nuclear Information System (INIS)

    Bucknall, D.G.; Langridge, Sean

    1997-05-01

    This document is a user manual for CRISP, one of the two neutron reflectomers at ISIS. CRISP is highly automated allowing precision reproducible measurements. The manual provides detailed instructions for the setting-up and running of the instrument and advice on data analysis. (UK)

  14. 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

  15. 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...

  16. The Science of String Instruments

    CERN Document Server

    Rossing, Thomas D

    2010-01-01

    Many performing musicians, as well as instrument builders, are coming to realize the importance of understanding the science of musical instruments. This book explains how string instruments produce sound. It presents basic ideas in simple language, and it also translates some more sophisticated ideas in non-technical language. It should be of interest to performers, researchers, and instrument makers alike.

  17. Silence on Shangri-La: Attenuation of Huygens acoustic signals suggests surface volatiles

    Science.gov (United States)

    Lorenz, Ralph D.; Leese, Mark R.; Hathi, Brijen; Zarnecki, John C.; Hagermann, Axel; Rosenberg, Phil; Towner, Martin C.; Garry, James; Svedhem, Håkan

    2014-01-01

    Objective. Characterize and understand acoustic instrument performance on the surface of Titan. Methods. The Huygens probe measured the speed of sound in Titan's atmosphere with a 1 MHz pulse time-of-flight transducer pair near the bottom of the vehicle. We examine the fraction of pulses correctly received as a function of time. Results. This system returned good data from about 11 km altitude, where the atmosphere became thick enough to effectively transmit the sound, down to the surface just before landing: these data have been analyzed previously. After an initial transient at landing, the instrument operated nominally for about 10 min, recording pulses much as during descent. The fraction of pulses detected then declined and the transmitted sound ceased to be detected altogether, despite no indication of instrument or probe configuration changes. Conclusions. The most likely explanation appears to be absorption of the signal by polyatomic gases with relaxation losses at the instrument frequency, such as ethane, acetylene and carbon dioxide. These vapors, detected independently by the GCMS instrument, were evolved from the surface material by the warmth leaking from the probe, and confirm the nature of the surface materials as 'damp' with a cocktail of volatile compounds. Some suggestions for future missions are considered. Practice implications. None.

  18. Characterization of odor-active volatiles in apples: influence of cultivars and maturity stage.

    Science.gov (United States)

    Mehinagic, Emira; Royer, Gaëlle; Symoneaux, Ronan; Jourjon, Frédérique; Prost, Carole

    2006-04-05

    The aroma and texture of three different apple cultivars, harvested at three maturity stages, were analyzed by sensory and instrumental analysis. The emphasis was on the identification of the most potent odorant volatiles, and the challenge was to separate the few most important flavor compounds, which may be trace chemicals, from the vast number of nonodorant compounds present in apple aroma extracts. Thirty-six odorant compounds were detected, 24 of which were common to all extracts. A significant correlation coefficient was found between the aroma intensity scores and overall quantity of the odorant volatiles, which shows that the development of sensory aroma is similar to that of odorant volatiles. This study also showed that the parameters measured by penetrometry and compression were highly correlated with sensory textural attributes. The determination of the optimal maturity stage for different apple cultivars by the usual parameters, such as color, diameter, total soluble solids, and titrable acidity, may not be sufficient to determine the optimal sensory quality for consumers. Moreover, the sensory quality of fruits changes during maturation in a different way from one cultivar to another, and this should be taken into account.

  19. Overview of one transistor type of hybrid organic ferroelectric non-volatile memory

    Institute of Scientific and Technical Information of China (English)

    Young; Tea; Chun; Daping; Chu

    2015-01-01

    Organic ferroelectric memory devices based on field effect transistors that can be configured between two stable states of on and off have been widely researched as the next generation data storage media in recent years.This emerging type of memory devices can lead to a new instrument system as a potential alternative to previous non-volatile memory building blocks in future processing units because of their numerous merits such as cost-effective process,simple structure and freedom in substrate choices.This bi-stable non-volatile memory device of information storage has been investigated using several organic or inorganic semiconductors with organic ferroelectric polymer materials.Recent progresses in this ferroelectric memory field,hybrid system have attracted a lot of attention due to their excellent device performance in comparison with that of all organic systems.In this paper,a general review of this type of ferroelectric non-volatile memory is provided,which include the device structure,organic ferroelectric materials,electrical characteristics and working principles.We also present some snapshots of our previous study on hybrid ferroelectric memories including our recent work based on zinc oxide nanowire channels.

  20. 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 ...

  1. netherland hydrological modeling instrument

    Science.gov (United States)

    Hoogewoud, J. C.; de Lange, W. J.; Veldhuizen, A.; Prinsen, G.

    2012-04-01

    Netherlands Hydrological Modeling Instrument A decision support system for water basin management. J.C. Hoogewoud , W.J. de Lange ,A. Veldhuizen , G. Prinsen , The Netherlands Hydrological modeling Instrument (NHI) is the center point of a framework of models, to coherently model the hydrological system and the multitude of functions it supports. Dutch hydrological institutes Deltares, Alterra, Netherlands Environmental Assessment Agency, RWS Waterdienst, STOWA and Vewin are cooperating in enhancing the NHI for adequate decision support. The instrument is used by three different ministries involved in national water policy matters, for instance the WFD, drought management, manure policy and climate change issues. The basis of the modeling instrument is a state-of-the-art on-line coupling of the groundwater system (MODFLOW), the unsaturated zone (metaSWAP) and the surface water system (MOZART-DM). It brings together hydro(geo)logical processes from the column to the basin scale, ranging from 250x250m plots to the river Rhine and includes salt water flow. The NHI is validated with an eight year run (1998-2006) with dry and wet periods. For this run different parts of the hydrology have been compared with measurements. For instance, water demands in dry periods (e.g. for irrigation), discharges at outlets, groundwater levels and evaporation. A validation alone is not enough to get support from stakeholders. Involvement from stakeholders in the modeling process is needed. There fore to gain sufficient support and trust in the instrument on different (policy) levels a couple of actions have been taken: 1. a transparent evaluation of modeling-results has been set up 2. an extensive program is running to cooperate with regional waterboards and suppliers of drinking water in improving the NHI 3. sharing (hydrological) data via newly setup Modeling Database for local and national models 4. Enhancing the NHI with "local" information. The NHI is and has been used for many

  2. Developments in analytical instrumentation

    Science.gov (United States)

    Petrie, G.

    The situation regarding photogrammetric instrumentation has changed quite dramatically over the last 2 or 3 years with the withdrawal of most analogue stereo-plotting machines from the market place and their replacement by analytically based instrumentation. While there have been few new developments in the field of comparators, there has been an explosive development in the area of small, relatively inexpensive analytical stereo-plotters based on the use of microcomputers. In particular, a number of new instruments have been introduced by manufacturers who mostly have not been associated previously with photogrammetry. Several innovative concepts have been introduced in these small but capable instruments, many of which are aimed at specialised applications, e.g. in close-range photogrammetry (using small-format cameras); for thematic mapping (by organisations engaged in environmental monitoring or resources exploitation); for map revision, etc. Another innovative and possibly significant development has been the production of conversion kits to convert suitable analogue stereo-plotting machines such as the Topocart, PG-2 and B-8 into fully fledged analytical plotters. The larger and more sophisticated analytical stereo-plotters are mostly being produced by the traditional mainstream photogrammetric systems suppliers with several new instruments and developments being introduced at the top end of the market. These include the use of enlarged photo stages to handle images up to 25 × 50 cm format; the complete integration of graphics workstations into the analytical plotter design; the introduction of graphics superimposition and stereo-superimposition; the addition of correlators for the automatic measurement of height, etc. The software associated with this new analytical instrumentation is now undergoing extensive re-development with the need to supply photogrammetric data as input to the more sophisticated G.I.S. systems now being installed by clients, instead

  3. 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)

  4. 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

  5. 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

  6. 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...

  7. 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.

  8. 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

  9. Stability and `volatility ` of element 104 oxychloride

    Energy Technology Data Exchange (ETDEWEB)

    Eichler, B.; Gaeggeler, H.W. [Paul Scherrer Inst. (PSI), Villigen (Switzerland)

    1997-09-01

    The formation enthalpies {Delta}H{sup *} of solid and gaseous oxychlorides of element 104 from free atoms were estimated by extrapolation. Stability and volatility of these compounds are compared to those of the homologous and neighbouring elements in the periodic system. It can be supposed that in a gas adsorption chromatographic process with oxygen containing chlorinating carrier gas the transport with the carrier gas flow occurs in the chemical state 104Cl{sub 4}. Only in the absorbed state the compound 104OCl{sub 2} is formed. (author) 1 fig., 3 refs.

  10. On the Economic Evaluation of Volatility Forecasts

    DEFF Research Database (Denmark)

    Voev, Valeri

    We analyze the applicability of economic criteria for volatility forecast evaluation based on unconditional measures of portfolio performance. The main theoretical finding is that such unconditional measures generally fail to rank conditional forecasts correctly due to the presence of a bias term...... driven by the variability of the conditional mean and portfolio weights. Simulations and a small empirical study suggest that the bias can be empirically substantial and lead to distortions in forecast evaluation. An important implication is that forecasting superiority of models using high frequency...

  11. Housing market volatility in the OECD area

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    2014-01-01

    Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash flow (rent) news and discount rate (return) news over the period 1970-2011. For the jajority of countries news about future returns is the main driver, and both real interest rates and risk-premia play...... an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. We explain the results in terms of global changes in credit constraints...

  12. Parametric Portfolio Policies with Common Volatility Dynamics

    DEFF Research Database (Denmark)

    Ergemen, Yunus Emre; Taamouti, Abderrahim

    A parametric portfolio policy function is considered that incorporates common stock volatility dynamics to optimally determine portfolio weights. Reducing dimension of the traditional portfolio selection problem significantly, only a number of policy parameters corresponding to first- and second......-order characteristics are estimated based on a standard method-of-moments technique. The method, allowing for the calculation of portfolio weight and return statistics, is illustrated with an empirical application to 30 U.S. industries to study the economic activity before and after the recent financial crisis....

  13. Hematological Parameters in the Volatile Substance Sniffers

    OpenAIRE

    Dündaröz, Ruşen; Ceylan, Süleyman; Denli, Metin; Açıkel, Cengizhan; Balım, Elvan; Özışık, Tahir

    2009-01-01

    SüleymanDemirel Üniversitesi TIP FAKÜLTESİ DERGİSİ: 1999 Eylül; 6(3) Hematological Parameters in the Volatile Substance Sniffers Ruşen Dündaröz, Süleyman Ceylan, Metin Denli, Cengiz Han Açıkel, Elvan Balım, Tahir Özışık Abstract Glue sniffing is a frequent problem among teenagers. Various chemical substances, especially toluene and benzene, contained in the glues kave been reported to be hematotoxic. The hematological parameters of 44 healthy teenagers ~...

  14. Exponential Smoothing, Long Memory and Volatility Prediction

    DEFF Research Database (Denmark)

    Proietti, Tommaso

    three models that are natural extensions of ES: the fractionally integrated first order moving average (FIMA) model, a new integrated moving average model formulated in terms of the fractional lag operator (FLagIMA), and a fractional equal root integrated moving average (FerIMA) model, proposed...... originally by Hosking. We investigate the properties of the volatility components and the forecasts arising from these specification, which depend uniquely on the memory and the moving average parameters. For statistical inference we show that, under mild regularity conditions, the Whittle pseudo...

  15. Volatility Analysis of Bitcoin Price Time Series

    Directory of Open Access Journals (Sweden)

    Lukáš Pichl

    2017-12-01

    Full Text Available Bitcoin has the largest share in the total capitalization of cryptocurrency markets currently reaching above 70 billion USD. In this work we focus on the price of Bitcoin in terms of standard currencies and their volatility over the last five years. The average day-to-day return throughout this period is 0.328%, amounting in exponential growth from 6 USD to over 4,000 USD per 1 BTC at present. Multi-scale analysis is performed from the level of the tick data, through the 5 min, 1 hour and 1 day scales. Distribution of trading volumes (1 sec, 1 min, 1 hour and 1 day aggregated from the Kraken BTCEUR tick data is provided that shows the artifacts of algorithmic trading (selling transactions with volume peaks distributed at integer multiples of BTC unit. Arbitrage opportunities are studied using the EUR, USD and CNY currencies. Whereas the arbitrage spread for EUR-USD currency pair is found narrow at the order of a percent, at the 1 hour sampling period the arbitrage spread for USD-CNY (and similarly EUR-CNY is found to be more substantial, reaching as high as above 5 percent on rare occasions. The volatility of BTC exchange rates is modeled using the day-to-day distribution of logarithmic return, and the Realized Volatility, sum of the squared logarithmic returns on 5-minute basis. In this work we demonstrate that the Heterogeneous Autoregressive model for Realized Volatility Andersen et al. (2007 applies reasonably well to the BTCUSD dataset. Finally, a feed-forward neural network with 2 hidden layers using 10-day moving window sampling daily return predictors is applied to estimate the next-day logarithmic return. The results show that such an artificial neural network prediction is capable of approximate capture of the actual log return distribution; more sophisticated methods, such as recurrent neural networks and LSTM (Long Short Term Memory techniques from deep learning may be necessary for higher prediction accuracy.

  16. The fight against Volatile Organic Compounds (VOC)

    International Nuclear Information System (INIS)

    Anon.

    1993-01-01

    This paper strikes the balance of the fight against organic volatile compounds emissions in France and in Europe. The first part describes the influence of VOC on production of Ozone in troposphere and gives numerical data on permissive emission values in atmosphere. The second part describes french and european policy and regulations. The third part gives the principle methods and devices for COV measurement in the atmosphere. In the last part, effluents treatment is given: thermal incineration, catalytic incineration, adsorption on active carbon, biologic purification, condensation and separative processes on membrane

  17. Intense pyrification of volatile inorganic halides

    International Nuclear Information System (INIS)

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

    1992-01-01

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

  18. Trade Openness And Real Exchange Rate Volatility: Panel Data Evidence

    OpenAIRE

    César Calderón

    2004-01-01

    A recent strand of the literature, the so-called “New Open Economy Macroeconomics”, argues that nonmonetary factors have gained importance in explaining exchange rate volatility. In this context, it has been suggested the inclusion of shocks to productivity, terms of trade, and government spending, among others. The goal of the present paper is to explain the real exchange rate volatility by positing a structural relationship between volatility and its determinants. To perform our task we col...

  19. 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...

  20. 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...

  1. 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...

  2. 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...

  3. Long memory and the relation between implied and realized volatility

    OpenAIRE

    Federico Bandi; Benoit Perron

    2003-01-01

    We argue that the conventional predictive regression between implied volatility (regressor) and realized volatility over the remaining life of the option (regressand) is likely to be a fractional cointegrating relation. Since cointegration is associated with long-run comovements, this finding modifies the usual interpretation of such regression as a study towards assessing option market efficiency (given a certain option pricing model) and/or short-term unbiasedness of implied volatility as a...

  4. A GC Instrument Simulator

    Science.gov (United States)

    Armitage, D. Bruce

    1999-02-01

    This simulator was developed to help students beginning the study of gas chromatographic instruments to understand their operation. It is not meant to teach chromatographic theory. The instrument simulator is divided into 5 sections. One is for sample preparation. Another is used to manage carrier gases and choose a detector and column. The third sets the conditions for either isothermal or programmed temperature operation. A fourth section models manual injections, and the fifth is the autosampler. The operator has a choice among 6 columns of differing diameters and packing polarities and a choice of either isothermal or simple one-stage temperature programming. The simulator can be operated in either single-sample mode or as a 10-sample autosampler. The integrator has two modes of operation, a "dumb" mode in which only the retention time, area of the peak, and percentage area are listed and a "smart" mode that also lists the components' identities. The identities are obtained from a list of names and retention times created by the operator. Without this list only the percentages and areas are listed. The percentages are based on the areas obtained from the chromatogram and not on the actual percentages assigned during sample preparation. The data files for the compounds used in the simulator are ASCII files and can be edited easily to add more compounds than the 11 included with the simulator. A maximum of 10 components can be used in any one sample. Sample mixtures can be made on a percent-by-volume basis, but not by mass of sample per volume of solvent. A maximum of 30 compounds can be present in any one file, but the number of files is limited only by the operating system. (I suggest that not more than 20 compounds be used in any one file, as scrolling through large numbers of compounds is annoying to say the least.) File construction and layout are discussed in detail in the User's Manual. Chromatograms are generated by calculating a retention time based on

  5. Data acquisition instruments: Psychopharmacology

    Energy Technology Data Exchange (ETDEWEB)

    Hartley, D.S. III

    1998-01-01

    This report contains the results of a Direct Assistance Project performed by Lockheed Martin Energy Systems, Inc., for Dr. K. O. Jobson. The purpose of the project was to perform preliminary analysis of the data acquisition instruments used in the field of psychiatry, with the goal of identifying commonalities of data and strategies for handling and using the data in the most advantageous fashion. Data acquisition instruments from 12 sources were provided by Dr. Jobson. Several commonalities were identified and a potentially useful data strategy is reported here. Analysis of the information collected for utility in performing diagnoses is recommended. In addition, further work is recommended to refine the commonalities into a directly useful computer systems structure.

  6. Social Responsibility Instruments

    Directory of Open Access Journals (Sweden)

    Katarzyna Mizera

    2008-09-01

    Full Text Available Responsible business notion is more and more present in Polish economy, however the results of the research carried out in Polish business still shows a low level of CRS idea knowledge, especially in small and medium companies. Although responsible business notion is generally known, its details, ways of preparing strategy, instruments and what is more its benefits are still narrowly spread. Many business people face the lack of knowledge and information, which on one hand make it easier to spread and deepen wrong stereotypes connected with this notion and on the other hand make business people unwilling to implement CRS in their companies. The subjects of this article are examples of instruments which are responsible for realization of social responsibility strategy.

  7. Radiation measuring instrument

    International Nuclear Information System (INIS)

    Genrich, V.

    1985-01-01

    A highly sensitive and compactly structured radiation measuring instrument for detecting ionizing radiation, in particular for measuring dose rates and contamination. The laminar structure of the associated counter tube, using only a few, simple plastic parts and a highly elastic counter wire, makes it possible to use the simplest manufacturing techniques. The service life of the counter tube construction, which is completely and permanently sealed and filled with gas, is expected to be more than 12 years. The described counter tube can be adapted in optimal fashion to the available space in a pocket instrument if it is used in combination with a specialized high-voltage generator which is low in interference voltage and with a pulse evaluation circuit having a means of compensating for interference voltage

  8. Chemical generation of volatile species of copper – Optimization, efficiency and investigation of volatile species nature

    Czech Academy of Sciences Publication Activity Database

    Šoukal, Jakub; Benada, Oldřich; Matoušek, Tomáš; Dědina, Jiří; Musil, Stanislav

    2017-01-01

    Roč. 977, JUL (2017), s. 10-19 ISSN 0003-2670 Institutional support: RVO:68081715 ; RVO:61388971 Keywords : generation of volatile species * copper * analytical atomic spectrometry Subject RIV: CB - Analytical Chemistry, Separation; EE - Microbiology, Virology (MBU-M) OBOR OECD: Analytical chemistry; Microbiology (MBU-M) Impact factor: 4.950, year: 2016

  9. Radon-Instrumentation

    International Nuclear Information System (INIS)

    Moreno y Moreno, A.

    2003-01-01

    The presentation of the active and passive methods for radon, their identification and measure, instrumentation and characteristics are the objectives of this work. Active detectors: Active Alpha Cam Continuous Air Monitor, Model 758 of Victoreen, Model CMR-510 Continuous Radon Monitor of the Signature Femto-Tech. Passive detectors: SSNTD track detectors in solids Measurement Using Charcoal Canisters, disk of activated coal deposited in a metallic box Electrets Methodology. (Author)

  10. Testing Aircraft Instruments.

    Science.gov (United States)

    1981-02-11

    1. Have test data been collected, recorded, and presented in accordance with this TOP? Yes No Comment : 2. Were the facilities, test equipment...instrumentation, and support accommodations adequate to accomplish the test objectives? Yes No Comment : 3. Have all data collected been reviewed for...correctness and completeness? Yes No Comment : 4. Were the test results compromised in any way due to insufficient test planning? Yes No Comment : 5. Were the

  11. Transgressive or Instrumental?

    DEFF Research Database (Denmark)

    Chemi, Tatiana

    2018-01-01

    Contemporary practices that connect the arts with learning are widespread at all level of educational systems and in organisations, but they include very diverse approaches, multiple methods and background values. Regardless of explicit learning benefits, the arts/learning partnerships bring about...... creativity and the other on practices of arts-integration. My final point rests on the belief that the opposition of transgression and instrumentality is a deceiving perspective on the arts, against the background of the aesthetic plurality and hybridity....

  12. EPRTM Reactor neutron instrumentation

    International Nuclear Information System (INIS)

    Pfeiffer, Maxime; SALA, Stephanie

    2013-06-01

    The core safety during operation is linked, in particular, to the respect of criteria related to the heat generated in fuel rods and to the heat exchange between the rods and the coolant. This local power information is linked to the power distribution in the core. In order to evaluate the core power distribution, the EPR TM reactor relies on several types of neutron detectors: - ionization chambers located outside the vessel and used for protection and monitoring - a fixed in-core instrumentation based on Cobalt Self Powered Neutron Detectors used for protection and monitoring - a mobile reference in-core instrumentation based on Vanadium aero-balls This document provides a description of this instrumentation and its use in core protection, limitation, monitoring and control functions. In particular, a description of the detectors and the principles of their signal generation is supplied as well as the description of the treatments related to these detectors in the EPR TM reactor I and C systems (including periodical calibration). (authors)

  13. Mandolin Family Instruments

    Science.gov (United States)

    Cohen, David J.; Rossing, Thomas D.

    The mandolin family of instruments consists of plucked chordophones, each having eight strings in four double courses. With the exception of the mandobass, the courses are tuned in intervals of fifths, as are the strings in violin family instruments. The soprano member of the family is the mandolin, tuned G3-D4-A4-E5. The alto member of the family is the mandola, tuned C3-G3-D4-A4. The mandola is usually referred to simply as the mandola in the USA, but is called the tenor mandola in Europe. The tenor member of the family is the octave mandolin, tuned G2-D3-A3-E4. It is referred to as the octave mandolin in the USA, and as the octave mandola in Europe. The baritone member of the family is the mandocello, or mandoloncello, tuned C2-G2-D3-A3. A variant of the mandocello not common in the USA is the five-course liuto moderno, or simply liuto, designed for solo repertoire. Its courses are tuned C2-G2-D3-A3-E4. A mandobass was also made by more than one manufacturer during the early twentieth century, though none are manufactured today. They were fretted instruments with single string courses tuned E1-A1-D2-G2. There are currently a few luthiers making piccolo mandolins, tuned C4-G4-D5-A5.

  14. Nuclear reactor instrumentation

    International Nuclear Information System (INIS)

    Duncombe, E.; McGonigal, G.

    1976-01-01

    Reference is made to the instrumentation of liquid metal cooled fast reactors. In order to ensure the safe operation of such reactors it is necessary to constantly monitor the coolant flowing through the fuel assemblies for temperature and rate of flow, requiring a large number of sensors. An improved and simplified arrangement is claimed in which the fuel assemblies feed a fraction of coolant to three instrument units arranged to sense the temperature and rate of flow of samples of coolant. Each instrument unit comprises a sleeve housing a sensing unit and has a number of inlet ducts arranged for receiving coolant from a fuel assembly together with a single outlet. The sensing unit has three thermocouple hot junctions connected in series, the hot junctions and inlet ducts being arranged in pairs. Electromagnetic windings around an inductive core are arranged to sense variation in flow of liquid metal by flux distortion. Fission product sensing means may also be provided. Full constructional details are given. (U.K.)

  15. 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...

  16. 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...

  17. 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)

  18. 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)

  19. 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...

  20. 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...

  1. 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...

  2. 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.

  3. 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.

  4. 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)

  5. FIELD SCREENING FOR HALOGENATED VOLATILE ORGANIC COMPOUNDS

    Energy Technology Data Exchange (ETDEWEB)

    John F. Schabron; Joseph F. Rovani Jr.; Theresa M. Bomstad

    2002-06-01

    Western Research Institute (WRI) initiated exploratory work towards the development of new field screening methodology and a test kit to measure halogenated volatile organic compounds (VOCs) in the field. Heated diode and corona discharge sensors are commonly used to detect leaks of refrigerants from air conditioners, freezers, and refrigerators. They are both selective to the presence of carbon-halogen bonds. Commercially available heated diode and corona discharge leak detectors were procured and evaluated for halogenated VOC response. The units were modified to provide a digital readout of signal related to VOC concentration. Sensor response was evaluated with carbon tetrachloride and tetrachloroethylene (perchloroethylene, PCE), which represent halogenated VOCs with and without double bonds. The response characteristics were determined for the VOCs directly in headspace in Tedlar bag containers. Quantitation limits in air were estimated. Potential interferences from volatile hydrocarbons, such as toluene and heptane, were evaluated. The effect of humidity was studied also. The performance of the new devices was evaluated in the laboratory by spiking soil samples and monitoring headspace for halogenated VOCs. A draft concept of the steps for a new analytical method was outlined. The results of the first year effort show that both devices show potential utility for future analytical method development work towards the goal of developing a portable test kit for screening halogenated VOCs in the field.

  6. 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

  7. Identification of a volatile phytotoxin from algae

    Science.gov (United States)

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

    1984-01-01

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

  8. Asymmetric conditional volatility in international stock markets

    Science.gov (United States)

    Ferreira, Nuno B.; Menezes, Rui; Mendes, Diana A.

    2007-08-01

    Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.

  9. Arsenic biotransformation and volatilization in transgenic rice

    Science.gov (United States)

    Meng, Xiang-Yan; Qin, Jie; Wang, Li-Hong; Duan, Gui-Lan; Sun, Guo-Xin; Wu, Hui-Lan; Chu, Cheng-Cai; Ling, Hong-Qing; Rosen, Barry P.; Zhu, Yong-Guan

    2011-01-01

    Summary Biotransformation of arsenic includes oxidation, reduction, methylation and conversion to more complex organic arsenicals. Members of the class of arsenite [As(III)] S-adenosylmethyltransferase enzymes catalyze As(III) methylation to a variety of mono-, di- and trimethylated species, some of which are less toxic than As(III) itself. However, no methyltransferase gene has been identified in plants. Here, an arsM gene from the soil bacterium Rhodopseudomonas palustris was expressed in Japonica rice (Oryza sativa L.) cultivar Nipponbare, and the transgenic rice produced methylated arsenic species, which were measured by inductively coupled plasma mass spectrometry (ICP-MS) and high performance liquid chromatography-inductively coupled plasma-mass spectrometry (HPLC-ICP-MS). Both monomethylarsenate [MAs(V)] and dimethylarsenate [DMAs(V)] were detected in the root and shoot of transgenic rice. After 12-d exposure to As(III), the transgenic rice gave off 10-fold more volatile arsenicals. The present study demonstrates that expression of an arsM gene in rice induces arsenic methylation and volatilization, providing a potential stratagem for phytoremediation theoretically. PMID:21517874

  10. Rapid analytical extraction of volatile fermentation products

    Energy Technology Data Exchange (ETDEWEB)

    Jansen, N B; Flickinger, M C; Tsao, G T

    1979-10-01

    With renewed interest in production of liquid fuels and chemical feedstocks from carbohydrates, numerous authors have utilized gas-liquid chromatography (GC) for quantification of volatile products. Poor separation and short column life will result if residual sugars present in the medium are not separated from the volatile compounds before injection. In our current investigation of 2,3-butanediol production from xylose, we have developed a rapid GC assay for 2,3-butanediol, acetyl methyl carbinol (acetoin), 2,3-butanedione (diacetyl), and ethanol. This method extracts the fermentation products at high pH from residual xylose before injection into the GC. This routine is a modification of the method of Kolfenbach et al. and is more rapid than the method of separation of diacetyl and acetoin from carbohydrates by distillation reported by Gupta et al. Their erroneous reports of yields of 640 mg diacetyl + acetoin/g sugar are 30% higher than the theoretical maximum for Enterobacter cloacae (ATCC 27613) and points out the need for a reliable, accurate assay for these products.

  11. CARMENES instrument overview

    Science.gov (United States)

    Quirrenbach, A.; Amado, P. J.; Caballero, J. A.; Mundt, R.; Reiners, A.; Ribas, I.; Seifert, W.; Abril, M.; Aceituno, J.; Alonso-Floriano, F. J.; Ammler-von Eiff, M.; Antona Jiménez, R.; Anwand-Heerwart, H.; Azzaro, M.; Bauer, F.; Barrado, D.; Becerril, S.; Béjar, V. J. S.; Benítez, D.; Berdiñas, Z. M.; Cárdenas, M. C.; Casal, E.; Claret, A.; Colomé, J.; Cortés-Contreras, M.; Czesla, S.; Doellinger, M.; Dreizler, S.; Feiz, C.; Fernández, M.; Galadí, D.; Gálvez-Ortiz, M. C.; García-Piquer, A.; García-Vargas, M. L.; Garrido, R.; Gesa, L.; Gómez Galera, V.; González Álvarez, E.; González Hernández, J. I.; Grözinger, U.; Guàrdia, J.; Guenther, E. W.; de Guindos, E.; Gutiérrez-Soto, J.; Hagen, H.-J.; Hatzes, A. P.; Hauschildt, P. H.; Helmling, J.; Henning, T.; Hermann, D.; Hernández Castaño, L.; Herrero, E.; Hidalgo, D.; Holgado, G.; Huber, A.; Huber, K. F.; Jeffers, S.; Joergens, V.; de Juan, E.; Kehr, M.; Klein, R.; Kürster, M.; Lamert, A.; Lalitha, S.; Laun, W.; Lemke, U.; Lenzen, R.; López del Fresno, Mauro; López Martí, B.; López-Santiago, J.; Mall, U.; Mandel, H.; Martín, E. L.; Martín-Ruiz, S.; Martínez-Rodríguez, H.; Marvin, C. J.; Mathar, R. J.; Mirabet, E.; Montes, D.; Morales Muñoz, R.; Moya, A.; Naranjo, V.; Ofir, A.; Oreiro, R.; Pallé, E.; Panduro, J.; Passegger, V.-M.; Pérez-Calpena, A.; Pérez Medialdea, D.; Perger, M.; Pluto, M.; Ramón, A.; Rebolo, R.; Redondo, P.; Reffert, S.; Reinhardt, S.; Rhode, P.; Rix, H.-W.; Rodler, F.; Rodríguez, E.; Rodríguez-López, C.; Rodríguez-Pérez, E.; Rohloff, R.-R.; Rosich, A.; Sánchez-Blanco, E.; Sánchez Carrasco, M. A.; Sanz-Forcada, J.; Sarmiento, L. F.; Schäfer, S.; Schiller, J.; Schmidt, C.; Schmitt, J. H. M. M.; Solano, E.; Stahl, O.; Storz, C.; Stürmer, J.; Suárez, J. C.; Ulbrich, R. G.; Veredas, G.; Wagner, K.; Winkler, J.; Zapatero Osorio, M. R.; Zechmeister, M.; Abellán de Paco, F. J.; Anglada-Escudé, G.; del Burgo, C.; Klutsch, A.; Lizon, J. L.; López-Morales, M.; Morales, J. C.; Perryman, M. A. C.; Tulloch, S. M.; Xu, W.

    2014-07-01

    This paper gives an overview of the CARMENES instrument and of the survey that will be carried out with it during the first years of operation. CARMENES (Calar Alto high-Resolution search for M dwarfs with Exoearths with Near-infrared and optical Echelle Spectrographs) is a next-generation radial-velocity instrument under construction for the 3.5m telescope at the Calar Alto Observatory by a consortium of eleven Spanish and German institutions. The scientific goal of the project is conducting a 600-night exoplanet survey targeting ~ 300 M dwarfs with the completed instrument. The CARMENES instrument consists of two separate echelle spectrographs covering the wavelength range from 0.55 to 1.7 μm at a spectral resolution of R = 82,000, fed by fibers from the Cassegrain focus of the telescope. The spectrographs are housed in vacuum tanks providing the temperature-stabilized environments necessary to enable a 1 m/s radial velocity precision employing a simultaneous calibration with an emission-line lamp or with a Fabry-Perot etalon. For mid-M to late-M spectral types, the wavelength range around 1.0 μm (Y band) is the most important wavelength region for radial velocity work. Therefore, the efficiency of CARMENES has been optimized in this range. The CARMENES instrument consists of two spectrographs, one equipped with a 4k x 4k pixel CCD for the range 0.55 - 1.05 μm, and one with two 2k x 2k pixel HgCdTe detectors for the range from 0.95 - 1.7μm. Each spectrograph will be coupled to the 3.5m telescope with two optical fibers, one for the target, and one for calibration light. The front end contains a dichroic beam splitter and an atmospheric dispersion corrector, to feed the light into the fibers leading to the spectrographs. Guiding is performed with a separate camera; on-axis as well as off-axis guiding modes are implemented. Fibers with octagonal cross-section are employed to ensure good stability of the output in the presence of residual guiding errors. The

  12. Thermal Stability of Frozen Volatiles in the North Polar Region of Mercury

    Science.gov (United States)

    Paige, David A.; Siegler, Matthew A.; Harmon, John K.; Smith, David E.; Zuber, Maria T.; Neumann, Gregory A.; Solomon, Sean C.

    2012-01-01

    Earth-based radar observations have revealed the presence on Mercury of anomalously bright, depolarizing features that appear to be localized in the permanently shadowed regions of high-latitude impact craters [1]. Observations of similar radar signatures over a range of radar wavelengths implies that they correspond to deposits that are highly transparent at radar wavelengths and extend to depths of several meters below the surface [1]. Thermal models using idealized crater topographic profiles have predicted the thermal stability of surface and subsurface water ice at these same latitudes [2]. One of the major goals of the MESSENGER mission is to characterize the nature of radar-bright craters and presumed associated frozen volatile deposits at the poles of Mercury through complementary orbital observations by a suite of instruments [3]. Here we report on an examination of the thermal stability of water ice and other frozen volatiles in the north polar region of Mercury using topographic profiles obtained by the Mercury Laser Altimeter (MLA) instrument [4] in conjunction with a three-dimensional ray-tracing thermal model previously used to study the thermal environment of polar craters on the Moon [5].

  13. 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.

  14. Instrumentation for environmental monitoring: biomedical

    International Nuclear Information System (INIS)

    1979-05-01

    An update is presented to Volume four of the six-volume series devoted to a survey of instruments useful for measurements in biomedicine related to environmental research and monitoring. Results of the survey are given as descriptions of the physical and operating characteristics of available instruments, critical comparisons among instrumentation methods, and recommendations of promising methodology and development of new instrumentation. Methods of detection and analysis of gaseous organic pollutants and metals, including Ni and As are presented. Instrument techniques and notes are included on atomic spectrometry and uv and visible absorption instrumentation

  15. 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

  16. Payment Instrument Characteristics

    DEFF Research Database (Denmark)

    Holst, Jacques; Kjeldsen, Martin; Hedman, Jonas

    2015-01-01

    Over the last decade, we have witnessed payment innovations that fundamentally have changed the ways we pay. Payment innovations, such as mobile payments and on-line banking, include characteristics or features that are essential to understand if we want to know how and why payers choose among...... payment innovations. Using the Repertory Grid technique to explore 15 payers’ perception of six payment instruments, including coins, banknotes, debit cards, credit cards, mobile payments, and on-line banking, we identify 16 payment characteristics. The characteristics aggregate seventy-six unique...

  17. Operational Test Instrumentation Guide.

    Science.gov (United States)

    1981-11-01

    System. A topographic, transit-level measuring system, instrumented with altimeter, clinometers, compasses , and an alidade, plane table, and stadia rod...dual hangar 250 x 135 feet with two door openings, 80 feet each. There is no compass swing base, no electronic landing aids, ro aircraft wash or...month) of SDG &E) Haybarn Canyon 15,000 6,183,870 Lan Pulgas 1,500 433,890 Las Pulgas Well #41621 100 4,258 Las Pulgas Well #41611 150 7,548 Las Flores

  18. Beam Instrumentation and Diagnostics

    CERN Document Server

    Strehl, Peter

    2006-01-01

    This treatise covers all aspects of the design and the daily operations of a beam diagnostic system for a large particle accelerator. A very interdisciplinary field, it involves contributions from physicists, electrical and mechanical engineers and computer experts alike so as to satisfy the ever-increasing demands for beam parameter variability for a vast range of operation modi and particles. The author draws upon 40 years of research and work, most of them spent as the head of the beam diagnostics group at GSI. He has illustrated the more theoretical aspects with many real-life examples that will provide beam instrumentation designers with ideas and tools for their work.

  19. Instrumentation for tomograph positioning

    International Nuclear Information System (INIS)

    Frenkel, A.D.B.; Castello Branco, L.M.; Reznik, D.S.; Santos, C.A.C.; Borges, J.C.

    1986-01-01

    The COPPE's Nuclear Instrumentation Lab. has been developing researches directed towards the implementation of a Computer-Based Tomography System. Basically, the system reported in this paper can be divided into three major parts: the mechanical part, responsible for the physical movement (Stepper-Motors, table, etc.); the electronic part, which controls the mechanical part and handles the data-acquisition process (microcomputer, interfaces, etc.); and finally, the support of a software-oriented system, including control programs and information processing routines. (Author) [pt

  20. Easy instrumental analysis

    International Nuclear Information System (INIS)

    Ko, Myeong Su; Kim, Tae Hwa; Park, Gyu Hyeon; Yang, Jong Beom; Oh, Chang Hwan; Lee, Kyoung Hye

    2010-04-01

    This textbook describes instrument analysis in easy way with twelve chapters. The contents of the book are pH measurement on principle, pH meter, pH measurement, examples of the experiments, centrifugation, Absorptiometry, Fluorescent method, Atomic absorption analysis, Gas-chromatography, Gas chromatography-mass spectrometry, High performance liquid chromatography liquid chromatograph-mass spectrometry, Electrophoresis on practical case and analysis of the result and examples, PCR on principle, device, application and examples and Enzyme-linked immunosorbent assay with indirect ELISA, sandwich ELISA and ELISA reader.

  1. Maintenance of nuclear instruments

    International Nuclear Information System (INIS)

    Oliveira Rebelo, A.M. de; Santos, C.J.F. dos; Jesus, E.F.O. de; Silva, L.E.M.C.; Borges, J.C.

    1988-01-01

    A program to design and repairing of nuclear instruments for teaching and research was founded in the UFRJ to find solutions for technical support problem - The GEMD-RADIACOES. This group has assisted to several groups of the University in recuperation and conservation of devices like: Linear scanner, Cromatograph and system of radiation detection in general. Recuperation of these devices had required a study of theirs operations modes, to make it possible the setting up of a similar system. Recuperation also involves operation tests, calibration and technical for users, orienting them to get the best performance. (Author) [pt

  2. Easy instrumental analysis

    Energy Technology Data Exchange (ETDEWEB)

    Ko, Myeong Su; Kim, Tae Hwa; Park, Gyu Hyeon; Yang, Jong Beom; Oh, Chang Hwan; Lee, Kyoung Hye

    2010-04-15

    This textbook describes instrument analysis in easy way with twelve chapters. The contents of the book are pH measurement on principle, pH meter, pH measurement, examples of the experiments, centrifugation, Absorptiometry, Fluorescent method, Atomic absorption analysis, Gas-chromatography, Gas chromatography-mass spectrometry, High performance liquid chromatography liquid chromatograph-mass spectrometry, Electrophoresis on practical case and analysis of the result and examples, PCR on principle, device, application and examples and Enzyme-linked immunosorbent assay with indirect ELISA, sandwich ELISA and ELISA reader.

  3. Instruments of Transformative Governance

    DEFF Research Database (Denmark)

    Borrás, Susana

    production and distribution channels. PDPs aim at overcoming current market and government failures by pooling resources in the attempt to solve this global social challenge. Thus, PDPs are a case of instruments of transformative research and innovation, operating in a transnational governance context....... They exhibit three novelties: they address strategic long-term problems in a holistic manner, set substantive output-oriented goals, and are implemented through new organizational structures. After characterizing the different types of current PDPs and the context in which they emerged, the paper examines...

  4. Diamonds for beam instrumentation

    International Nuclear Information System (INIS)

    Griesmayer, Erich

    2013-01-01

    Diamond is perhaps the most versatile, efficient and radiation tolerant material available for use in beam detectors with a correspondingly wide range of applications in beam instrumentation. Numerous practical applications have demonstrated and exploited the sensitivity of diamond to charged particles, photons and neutrons. In this paper, a brief description of a generic diamond detector is given and the interaction of the CVD diamond detector material with protons, electrons, photons and neutrons is presented. Latest results of the interaction of sCVD diamond with 14 MeV mono-energetic neutrons are shown.

  5. Pesticide reducing instruments

    DEFF Research Database (Denmark)

    Jacobsen, Lars-Bo; Jensen, Jørgen Dejgård; Andersen, Martin

    2005-01-01

    -mentioned models and tools. All three scenarios are constructed such that they result in the same welfare implication (measured by national consumption in the CGE model). The scenarios are: 1) pesticide taxes resulting in a 25 percent overall reduction; 2) use of unsprayed field margins, resulting in the same...... for improving bio-diversity and securing drinking water. That is, combining economic modeling with physical biological modeling and geological evaluation allows us to select unsprayed field margins as the most effective instrument. Sensitivity analysis conducted on bio-diversity suggest that this result...

  6. Calibration of radiation monitoring instruments

    International Nuclear Information System (INIS)

    1973-01-01

    Radiation protection is dependent on good radiation monitoring, and properly calibrated instruments are essential for this work. Simple procedures for periodically checking and recalibrating different kinds of radiation monitoring instruments are shown in this training film

  7. Calibration of "Babyline" RP instruments

    CERN Multimedia

    2015-01-01

      If you have old RP instrumentation of the “Babyline” type, as shown in the photo, please contact the Radiation Protection Group (Joffrey Germa, 73171) to have the instrument checked and calibrated. Thank you. Radiation Protection Group

  8. Calibration of radiation monitoring instruments

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    1974-12-31

    Radiation protection is dependent on good radiation monitoring, and properly calibrated instruments are essential for this work. Simple procedures for periodically checking and recalibrating different kinds of radiation monitoring instruments are shown in this training film

  9. Instruments for Water Quality Monitoring

    Science.gov (United States)

    Ballinger, Dwight G.

    1972-01-01

    Presents information regarding available instruments for industries and agencies who must monitor numerous aquatic parameters. Charts denote examples of parameters sampled, testing methods, range and accuracy of test methods, cost analysis, and reliability of instruments. (BL)

  10. Assessing Volatilities of Monetary Policy and their Effects on the Islamic and Conventional Stock Markets in Indonesia

    Directory of Open Access Journals (Sweden)

    M Shabri Abd Majid

    2018-03-01

    Full Text Available The main objective of this study is to empirically assess the volatilities of the monetary policy instruments and their effects on the Indonesian Islamic and conventional stock market. The changes in exchange rate, interest rates, and money supply and their effects on the stock markets are investigated using the using the Generalized Autoregressive Conditional Heteroskedasticity frameworks. As a big-open economy, the capital market of Indonesia is vulnerable to the global monetary shocks changes, thus the US federal funds rate is also incorporated into the GARCH model. The study documented that, with the exception of the US interest rate, the volatilities of all monetary policy variables of interest rate, exchange rate, and money supply were documented affecting the volatilities of both Islamic and conventional stock markets. These findings imply that the volatilities of Islamic and conventional stock markets have similar determinants, thus to stabilize the markets, the investigated monetary policy variables should be controlled for by the policy-makers. Any monetary policy design imposed by the policy-makers would have a similar effect on both conventional and Islamic stocks in Indonesia.DOI: 10.15408/sjie.v7i2.7352

  11. Nuclear instrumentation for research reactors

    International Nuclear Information System (INIS)

    Hofer, Carlos G.; Pita, Antonio; Verrastro, Claudio A.; Maino, Eduardo J.

    1997-01-01

    The nuclear instrumentation for research reactors in Argentina was developed in 70'. A gradual modernization of all the nuclear instrumentation is planned. It includes start-up and power range instrumentation, as well as field monitors, clamp, scram and rod movement control logic. The new instrumentation is linked to a computer network, based on real time operating system for data acquisition, display and logging. This paper describes the modules and whole system aspects. (author). 2 refs

  12. The Sample Analysis at Mars Investigation and Instrument Suite

    Science.gov (United States)

    Mahaffy, Paul; Webster, Christopher R.; Conrad, Pamela G.; Arvey, Robert; Bleacher, Lora; Brinckerhoff, William B.; Eigenbrode, Jennifer L.; Chalmers, Robert A.; Dworkin, Jason P.; Errigo, Therese; hide

    2012-01-01

    The Sample Analysis at Mars (SAM) investigation of the Mars Science Laboratory (MSL) addresses the chemical and isotopic composition of the atmosphere and volatiles extracted from solid samples. The SAM investigation is designed to contribute substantially to the mission goal of quantitatively assessing the habitability of Mars as an essential step in the search for past or present life on Mars. SAM is a 40 kg instrument suite located in the interior of MSL's Curiosity rover. The SAM instruments are a quadrupole mass spectrometer, a tunable laser spectrometer, and a 6-column gas chromatograph all coupled through solid and gas processing systems to provide complementary information on the same samples. The SAM suite is able to measure a suite of light isotopes and to analyze volatiles directly from the atmosphere or thermally released from solid samples. In addition to measurements of simple inorganic compounds and noble gases SAM will conduct a sensitive search for organic compounds with either thermal or chemical extraction from sieved samples delivered by the sample processing system on the Curiosity rover's robotic arm,

  13. 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

  14. 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

  15. 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

  16. A Jump-Diffusion Model with Stochastic Volatility and Durations

    DEFF Research Database (Denmark)

    Wei, Wei; Pelletier, Denis

    jumps in two ways: as exogenous sampling intervals, and through the interaction with volatility. We adopt a bivariate Ornstein-Ulenbeck process to model intraday volatility and conditional duration. We develop a MCMC algorithm for the inference on irregularly spaced multivariate processes with jumps...

  17. Shannon Entropy of Ammonia Volatilization from Fertilized Agricultural Soils

    Science.gov (United States)

    The economic loss of ammonia (NH3) volatilization from chemical N fertilizers applied to farmlands worldwide is 11.6 billion US dollars per year. The economic impact of negative environmental effects resulted from NH3 volatilization, i.e., formation of potent greenhouse gas (N2O) and PM2.5, is diffi...

  18. A simple nonstationary-volatility robust panel unit root test

    NARCIS (Netherlands)

    Demetrescu, Matei; Hanck, Christoph

    2012-01-01

    We propose an IV panel unit root test robust to nonstationary error volatility. Its finite-sample performance is convincing even for many units and strong cross-correlation. An application to GDP prices illustrates the inferential impact of nonstationary volatility. (C) 2012 Elsevier B.V. All rights

  19. 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

  20. A novel Monte Carlo approach to hybrid local volatility models

    NARCIS (Netherlands)

    A.W. van der Stoep (Anton); L.A. Grzelak (Lech Aleksander); C.W. Oosterlee (Cornelis)

    2017-01-01

    textabstractWe present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid local volatility [Risk, 1994, 7, 18–20], [Int. J. Theor. Appl. Finance, 1998, 1, 61–110] models. In particular, we consider the stochastic local volatility model—see e.g. Lipton et al. [Quant.