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.

Analysis of metallic nanoantennas for solar energy conversion

Recently thermo-electrical nanoantennas, also known as Seebeck nanoantennas, have been proposed as an alternative for solar energy harvesting applications. In this work we present the optical and thermal analysis of metallic nanoantennas operating at infrared wavelengths, this study is performed by numerical simulations using COMSOL Multiphysics. Several different nanoantenna designs were analyzed including dipoles, bowties and square spiral antennas. Results show that metallic nanoantennas can be tuned to absorb electromagnetic energy at infrared wavelengths, and that numerical simulation can be useful in optimizing the performance of these types of nanoantennas at optical and infrared wavelengths.

Subband energy in two-band δ-doped semiconductors

We study electron dynamics in a two-band δ-doped semiconductor within the envelope-function approximation. Using a simple parametrization of the confining potential arising from the ionized donors in the δ -doping layer, we are able to find exact solutions of the Dirac-type equation describing the coupling of host bands. As an application we then consider Si δ -doped GaAs. In particular we find that the ground subband energy scales as a power law of the Si concentration per unit area in a wide range of doping levels. In addition, the coupling of host bands leads to a depression of the subband energy due to nonparabolicity effects.

Measurement of the radiation energy in the radio signal of extensive air showers as a universal estimator of cosmic-ray energy.

We measure the energy emitted by extensive air showers in the form of radio emission in the frequency range from 30 to 80 MHz. Exploiting the accurate energy scale of the Pierre Auger Observatory, we obtain a radiation energy of 15.8 +/- 0.7 (stat) +/- 6.7 (syst) MeV for cosmic rays with an energy of 1 EeV arriving perpendicularly to a geomagnetic field of 0.24 G, scaling quadratically with the cosmic-ray energy. A comparison with predictions from state-of-the-art first-principles calculations shows agreement with our measurement. The radiation energy provides direct access to the calorimetric energy in the electromagnetic cascade of extensive air showers. Comparison with our result thus allows the direct calibration of any cosmic-ray radio detector against the well-established energy scale of the Pierre Auger Observatory.