Volatility spillovers for spot, futures, and ETF prices in energy and agriculture

The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper. Although there has already been significant research on biofuel and biofuel-related crops, much of the previous research has sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility spillovers. However, it must be emphasized that there have been numerous technical errors in the theoretical and empirical research, which needs to be corrected. The paper not only considers futures prices as a widely-used hedging instrument, but also takes an interesting new hedging instrument, ETF, into account. ETF is regarded as index futures when investors manage their portfolios, so it is possible to calculate an optimal dynamic hedging ratio. This is a very useful and interesting application for the estimation and testing of volatility spillovers. In the empirical analysis, multivariate conditional volatility diagonal BEKK models are estimated for comparing patterns of covolatility spillovers. The paper provides a new way of analyzing and describing the patterns of covolatility spillovers, which should be useful for the future empirical analysis of estimating and testing covolatility spillover effects.

Testing diagnostics of nuclear activity and star formation in galaxies at z > 1

We present some of the first science data with the new Keck/MOSFIRE instrument to test the effectiveness of different AGN/SF diagnostics at z ~ 1.5. MOSFIRE spectra were obtained in three H-band multi-slit masks in the GOODS-S field, resulting in 2 hr exposures of 36 emission-line galaxies. We compare X-ray data with the traditional emission-line ratio diagnostics and the alternative mass-excitation and color-excitation diagrams, combining new MOSFIRE infrared data with previous HST/WFC3 infrared spectra (from the 3D-HST survey) and multiwavelength photometry. We demonstrate that a high [O III]/Hβ ratio is insufficient as an active galactic nucleus (AGN) indicator at z > 1. For the four X-ray-detected galaxies, the classic diagnostics ([O III]/Hβ versus [N II]/Hα and [S II]/Hα) remain consistent with X-ray AGN/SF classification. The X-ray data also suggest that "composite" galaxies (with intermediate AGN/SF classification) host bona fide AGNs. Nearly ~2/3 of the z ~ 1.5 emission-line galaxies have nuclear activity detected by either X-rays or the classic diagnostics. Compared to the X-ray and line ratio classifications, the mass-excitation method remains effective at z > 1, but we show that the color-excitation method requires a new calibration to successfully identify AGNs at these redshifts.

Anisotropy and chemical composition of ultra-high energy cosmic rays using arrival directions measured by the Pierre Auger Observatory

The Pierre Auger Collaboration has reported. evidence for anisotropy in the distribution of arrival directions of the cosmic rays with energies E > E-th = 5.5 x 10(19) eV. These show a correlation with the distribution of nearby extragalactic objects, including an apparent excess around the direction of Centaurus A. If the particles responsible for these excesses at E > E-th are heavy nuclei with charge Z, the proton component of the sources should lead to excesses in the same regions at energies E/Z. We here report the lack of anisotropies in these directions at energies above E-th/Z (for illustrative values of Z = 6, 13, 26). If the anisotropies above E-th are due to nuclei with charge Z, and under reasonable assumptions about the acceleration process, these observations imply stringent constraints on the allowed proton fraction at the lower energies.

Experimental and theoretical cross sections for positron scattering from the pentane isomers.

Isomerism is ubiquitous in chemistry, physics, and biology. In atomic and molecular physics, in particular, isomer effects are well known in electron-impact phenomena; however, very little is known for positron collisions. Here we report on a set of experimental and theoretical cross sections for low-energy positron scattering from the three structural isomers of pentane: normal-pentane, isopentane, and neopentane. Total cross sections for positron scattering from normal-pentane and isopentane were measured at the University of Trento at incident energies between 0.1 and 50 eV. Calculations of the total cross sections, integral cross sections for elastic scattering, positronium formation, and electronic excitations plus direct ionization, as well as elastic differential cross sections were computed for all three isomers between 1 and 1000 eV using the independent atom model with screening corrected additivity rule. No definitive evidence of a significant isomer effect in positron scattering from the pentane isomers appears to be present. (C) 2016 AIP Publishing LLC.

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not available to examine spillover effects, “generated regressors” may be used to construct both Financial ETF futures and Energy ETF futures. The purpose of the paper is to investigate the covolatility spillovers within and across the US energy and financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model, namely Diagonal BEKK. The daily data used are from 1998/12/23 to 2016/4/22. The data set is analyzed in its entirety, and also subdivided into three subset time periods. The empirical results show there is a significant relationship between the Financial ETF and Energy ETF in the spot and futures markets. Therefore, financial and energy ETFs are suitable for constructing a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes.

Systematic investigation of projectile fragmentation using beams of unstable B and C isotopes

Background: Models describing nuclear fragmentation and fragmentation fission deliver important input for planning nuclear physics experiments and future radioactive ion beam facilities. These models are usually benchmarked against data from stable beam experiments. In the future, two-step fragmentation reactions with exotic nuclei as stepping stones are a promising tool for reaching the most neutron-rich nuclei, creating a need for models to describe also these reactions. Purpose: We want to extend the presently available data on fragmentation reactions towards the light exotic region on the nuclear chart. Furthermore, we want to improve the understanding of projectile fragmentation especially for unstable isotopes. Method: We have measured projectile fragments from (10,12-18C) and B10-15 isotopes colliding with a carbon target. These measurements were all performed within one experiment, which gives rise to a very consistent data set. We compare our data to model calculations. Results: One-proton removal cross sections with different final neutron numbers (1 pxn) for relativistic C-10,C-12-18 and B10-15 isotopes impinging on a carbon target. Comparing model calculations to the data, we find that the EPAX code is not able to describe the data satisfactorily. Using ABRABLA07 on the other hand, we find that the average excitation energy per abraded nucleon needs to be decreased from 27 MeV to 8.1 MeV. With that decrease ABRABLA07 describes the data surprisingly well. Conclusions: Extending the available data towards light unstable nuclei with a consistent set of new data has allowed a systematic investigation of the role of the excitation energy induced in projectile fragmentation. Most striking is the apparent mass dependence of the average excitation energy per abraded nucleon. Nevertheless, this parameter, which has been related to final-state interactions, requires further study.