21 resultados para term-structure of implied volatility


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The characteristics of the monsoon boundary layer are imperative to understand in the perception of the tropical regions. The southwest monsoon is associated with a strong wind in the lower troposphere near 1.5 km and is referred to as Low Level Jet stream (LLJ). The boundary layer structure associated with the LLJ during monsoon can be studied using L-band Ultra High Frequency (UHF) radar. This L-band wind profiler-commonly referred as lower atmospheric wind profiler (LAWP), was installed at NARL, Gadanki. Zonal, meridional and vertical wind components are used to understand the diurnal variation of the wind in the Atmospheric Boundary Layer (ABL) and associated features. From the analysis during non rainy days of the southwest monsoon, it is found that the LLJ has maximum strength during the early morning hours at lower level and the height increases as day progresses. The vertical wind shows the transfer of momentum from the LLJ towards the surface, indicating the sinking motion during the daytime. Vertical gradient of the wind shear shows the intensity of clear air turbulence is moderate and no severe clear air turbulence is noticed during the monsoon period

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In general Indian summer monsoon rainfall did not show any significant trend in all Indian summer monsoon rainfall series, however, it was reported that the ISMR is subjected to spatial trends. This paper made an attempt to bring out long term trends of different intensity classes of summer monsoon rainfall in different regions of Indian subcontinent. The long term trend of seasonal and monthly rainfall were also made using the India Meteorological Department gridded daily rainfall data with a spatial resolution of 1° × 1° latitude-longitude grid for the period from 1st January, 1901 to 31st December, 2003. The summer monsoon rainfall shows an increasing trend in southeast, northwest and northeast regions, whereas decreasing trend in the central and west coastal regions. In monthly scale, July rainfall shows decreasing trend over west coastal and central Indian regions and significant increasing trend over northeast region at 0.1% significant level. During the month August, decreasing trend is observed in the west coastal stations at 10% significant level. In most of the stations, mean daily rainfall shows an increasing trend for low and very high intense rainfall. For the moderate rainfall, the trend is different for different regions. In the central and southern regions the trend of moderate and moderately high classes show increasing trend. And for the high and very high intensity classes, the trend is decreasing significantly. In the northeastern regions, above 10 mm/day rainfall shows significantly increasing trend with 0.1% significant level.

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Present study consists the species diversity, abundance and community structure of ichthyofauna in the seagrass meadow of Minicoy Atoll, Lakshadweep Islands. Two hundred and three species of fishes were recorded during the study, from four stations in the Atoll. They belonged to 2 classes, 11orders, 43 families and 93 genera. Six species belonged to the class Chondreichthyes and 197 species to Osteichthyes. Family Pomacentridae showed maximum abundance of species (22%). Station I, having close proximity to the coral reefs, observed the maximum number of families (37) and species (129) and that with minimum number was in station II (23 families and 52 species). Bray-Curtis similarity plot showed a similarity range of 22 to 52%, seasonally. Station I showed highest Shannon-Wiener diversity index (H’log2) (4.22) during August and the lowest (2.91) during June. Stations I and III showed comparatively higher abundance and diversity of fishes. Variability in seagrass habitat structure and the interaction with coral reefs influenced the species composition and diversity of fishes in Minicoy Atoll. The findings of the present investigation can be used as baseline information for the fishery resource management of the region

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Six new copper complexes of di-2-pyridyl ketone nicotinoylhydrazone (HDKN) have been synthesized. The complexes have been characterized by a variety of spectroscopic techniques and the structure of [Cu(DKN)2]·H2O has been determined by single crystal X-ray diffraction. The compound [Cu(DKN)2]·H2O crystallized in the monoclinic space group P21 and has a distorted octahedral geometry. The IR spectra revealed the presence of variable modes of chelation for the investigated ligand. The EPR spectra of compounds [Cu2(DKN)2( -N3)2] and [Cu2(DKN)2( -NCS)2] in polycrystalline state suggest a dimeric structure as they exhibited a half field signal, which indicate the presence of a weak interaction between two Cu(II) ions in these complexes

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An interesting series of nine new copper(II) complexes [Cu2L2(OAc)2] H2O (1), [CuLNCS] ½H2O (2), [CuLNO3] ½H2O (3), [Cu(HL)Cl2] H2O (4), [Cu2(HL)2(SO4)2] 4H2O (5), [CuLClO4] ½H2O (6), [CuLBr] 2H2O (7), [CuL2] H2O (8) and [CuLN3] CH3OH (9) of 2-benzoylpyridine-N(4)-phenyl semicarbazone (HL) have been synthesized and physico-chemically characterized. The tridentate character of the semicarbazone is inferred from IR spectra. Based on the EPR studies, spin Hamiltonian and bonding parameters have been calculated. The g values, calculated for all the complexes in frozen DMF, indicate the presence of the unpaired electron in the dx2 y2 orbital. The structure of the compound, [Cu2L2(OAc)2] (1a) has been resolved using single crystal X-ray diffraction studies. The crystal structure revealed monoclinic space group P21/n. The coordination geometry about the copper(II) in 1a is distorted square pyramidal with one pyridine nitrogen atom, the imino nitrogen, enolate oxygen and acetate oxygen in the basal plane, an acetate oxygen form adjacent moiety occupies the apical position, serving as a bridge to form a centrosymmetric dimeric structure

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The classical methods of analysing time series by Box-Jenkins approach assume that the observed series uctuates around changing levels with constant variance. That is, the time series is assumed to be of homoscedastic nature. However, the nancial time series exhibits the presence of heteroscedasticity in the sense that, it possesses non-constant conditional variance given the past observations. So, the analysis of nancial time series, requires the modelling of such variances, which may depend on some time dependent factors or its own past values. This lead to introduction of several classes of models to study the behaviour of nancial time series. See Taylor (1986), Tsay (2005), Rachev et al. (2007). The class of models, used to describe the evolution of conditional variances is referred to as stochastic volatility modelsThe stochastic models available to analyse the conditional variances, are based on either normal or log-normal distributions. One of the objectives of the present study is to explore the possibility of employing some non-Gaussian distributions to model the volatility sequences and then study the behaviour of the resulting return series. This lead us to work on the related problem of statistical inference, which is the main contribution of the thesis