Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Analysis of the spectral response of fractal antennas related with its geometry and current paths

Fractal antennas have been proposed to improve the bandwidth of resonant structures and optical antennas. Their multiband characteristics are of interest in radiofrequency and microwave technologies. In this contribution we link the geometry of the current paths built-in the fractal antenna with the spectral response. We have seen that the actual currents owing through the structure are not limited to the portion of the fractal that should be geometrically linked with the signal. This fact strongly depends on the design of the fractal and how the different scales are arranged within the antenna. Some ideas involving materials that could actively respond to the incoming radiation could be of help to spectrally select the response of the multiband design.

Global transcriptome analysis of Lactococcus garvieae strains in response to temperature

Lactococcus garvieae is an important fish and an opportunistic human pathogen. The genomic sequences of several L. garvieae strains have been recently published, opening the possibility of global studies on the biology of this pathogen. In this study, a whole genome DNA microarray of two strains of L. garvieae was designed and validated. This DNA microarray was used to investigate the effects of growth temperature (18°C and 37°C) on the transcriptome of two clinical strains of L. garvieae that were isolated from fish (Lg8831) and from a human case of septicemia (Lg21881). The transcriptome profiles evidenced a strain-specific response to temperature, which was more evident at 18°C. Among the most significant findings, Lg8831 was found to up-regulate at 18°C several genes encoding different cold-shock and cold-induced proteins involved in an efficient adaptive response of this strain to low-temperature conditions. Another relevant result was the description, for the first time, of respiratory metabolism in L. garvieae, whose gene expression regulation was temperature-dependent in Lg21881. This study provides new insights about how environmental factors such as temperature can affect L. garvieae gene expression. These data could improve our understanding of the regulatory networks and adaptive biology of this important pathogen.