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 deep levels in a phenylenevinylene polymer by transient capacitance methods

Transient capacitance methods were applied to the depletion region of an abrupt asymmetric n(+) -p junction of silicon and unintentionally doped poly[2-methoxy, 5 ethyl (2' hexyloxy) paraphenylenevinylene] (MEH-PPV). Studies in the temperature range 100-300 K show the presence of a majority-carrier trap at 1.0 eV and two minority traps at 0.7 and 1.3 eV, respectively. There is an indication for more levels for which the activation energy could not be determined. Furthermore, admittance data reveal a bulk activation energy for conduction of 0.12 eV, suggesting the presence of an additional shallow acceptor state. (C) 1999 American Institute of Physics. [S0003-6951(99)02308-6].

Alfa'-oxy enones and pyrrolidin-2,3-diones as efficient new templates in asymmetric organocatalytic Michael reactions

470 p.

Purification and preliminary crystallographic analysis of a new Lys49-PLA2 from B-jararacussu

BjVIII is a new myotoxic Lys49-PLA2 isolated from Bothrops jararacussu venom that exhibits atypical effects on human platelet aggregation. To better understand the mode of action of BjVIII, crystallographic studies were initiated. Two crystal forms were obtained, both containing two molecules in the asymmetric unit (ASU). Synchrotron radiation diffraction data were collected to 2.0 angstrom resolution and 1.9 angstrom resolution for crystals belonging to the space group P2(1)2(1)2(1) (a = 48.4 angstrom, b = 65.3 angstrom, c = 84.3 angstrom) and space group P3(1)21 (a = b = 55.7 angstrom, c = 127.9 angstrom), respectively. Refinement is currently in progress and the refined structures are expected to shed light on the unusual platelet aggregation activity observed for BjVIII.

Crystallization, preliminary X-ray analysis and molecular-replacement solution of haemoglobin-II from the fish matrinxa (Brycon cephalus)

Haemoglobins constitute a set of proteins with interesting structural and functional properties, especially when the two large animal groups reptiles and fishes are focused on. Here, the crystallization and preliminary X-ray analysis of haemoglobin-II from the South American fish matrinxa (Brycon cephalus) is reported. X-ray diffraction data have been collected to 3.0 Angstrom resolution using synchrotron radiation (LNLS). Crystals were determined to belong to space group P2(1) and preliminary structural analysis revealed the presence of two tetramers in the asymmetric unit. The structure was determined using the standard molecular-replacement technique.

Analysis of deep levels in a phenylenevinylene polymer by transient capacitance methods

Transient capacitance methods were applied to the depletion region of an abrupt asymmetric n(+) -p junction of silicon and unintentionally doped poly[2-methoxy, 5 ethyl (2' hexyloxy) paraphenylenevinylene] (MEH-PPV). Studies in the temperature range 100-300 K show the presence of a majority-carrier trap at 1.0 eV and two minority traps at 0.7 and 1.3 eV, respectively. There is an indication for more levels for which the activation energy could not be determined. Furthermore, admittance data reveal a bulk activation energy for conduction of 0.12 eV, suggesting the presence of an additional shallow acceptor state. (C) 1999 American Institute of Physics. [S0003-6951(99)02308-6].

Raman microscopy of formamide-intercalated kaolinites treated by controlled-rate thermal analysis technology

Raman spectroscopy of formamide-intercalated kaolinites treated using controlled-rate thermal analysis technology (CRTA), allowing the separation of adsorbed formamide from intercalated formamide in formamide-intercalated kaolinites, is reported. The Raman spectra of the CRTA-treated formamide-intercalated kaolinites are significantly different from those of the intercalated kaolinites, which display a combination of both intercalated and adsorbed formamide. An intense band is observed at 3629 cm-1, attributed to the inner surface hydroxyls hydrogen bonded to the formamide. Broad bands are observed at 3600 and 3639 cm-1, assigned to the inner surface hydroxyls, which are hydrogen bonded to the adsorbed water molecules. The hydroxyl-stretching band of the inner hydroxyl is observed at 3621 cm-1 in the Raman spectra of the CRTA-treated formamide-intercalated kaolinites. The results of thermal analysis show that the amount of intercalated formamide between the kaolinite layers is independent of the presence of water. Significant differences are observed in the CO stretching region between the adsorbed and intercalated formamide.

Detailed analysis of a conservative difference approximation for the time fractional diffusion equation

Diffusion equations that use time fractional derivatives are attractive because they describe a wealth of problems involving non-Markovian Random walks. The time fractional diffusion equation (TFDE) is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α ∈ (0, 1). Developing numerical methods for solving fractional partial differential equations is a new research field and the theoretical analysis of the numerical methods associated with them is not fully developed. In this paper an explicit conservative difference approximation (ECDA) for TFDE is proposed. We give a detailed analysis for this ECDA and generate discrete models of random walk suitable for simulating random variables whose spatial probability density evolves in time according to this fractional diffusion equation. The stability and convergence of the ECDA for TFDE in a bounded domain are discussed. Finally, some numerical examples are presented to show the application of the present technique.

Determination of preventive maintenance lead time using hybrid analysis

The time for conducting Preventive Maintenance (PM) on an asset is often determined using a predefined alarm limit based on trends of a hazard function. In this paper, the authors propose using both hazard and reliability functions to improve the accuracy of the prediction particularly when the failure characteristic of the asset whole life is modelled using different failure distributions for the different stages of the life of the asset. The proposed method is validated using simulations and case studies.

Hydrazine-hydrate intercalated halloysite under controlled-rate thermal analysis conditions

The thermal behaviour of halloysite fully expanded with hydrazine-hydrate has been investigated in nitrogen atmosphere under dynamic heating and at a constant, pre-set decomposition rate of 0.15 mg min-1. Under controlled-rate thermal analysis (CRTA) conditions it was possible to resolve the closely overlapping decomposition stages and to distinguish between adsorbed and bonded reagent. Three types of bonded reagent could be identified. The loosely bonded reagent amounting to 0.20 mol hydrazine-hydrate per mol inner surface hydroxyl is connected to the internal and external surfaces of the expanded mineral and is present as a space filler between the sheets of the delaminated mineral. The strongly bonded (intercalated) hydrazine-hydrate is connected to the kaolinite inner surface OH groups by the formation of hydrogen bonds. Based on the thermoanalytical results two different types of bonded reagent could be distinguished in the complex. Type 1 reagent (approx. 0.06 mol hydrazine-hydrate/mol inner surface OH) is liberated between 77 and 103°C. Type 2 reagent is lost between 103 and 227°C, corresponding to a quantity of 0.36 mol hydrazine/mol inner surface OH. When heating the complex to 77°C under CRTA conditions a new reflection appears in the XRD pattern with a d-value of 9.6 Å, in addition to the 10.2 Ĺ reflection. This new reflection disappears in contact with moist air and the complex re-expands to the original d-value of 10.2 Å in a few h. The appearance of the 9.6 Å reflection is interpreted as the expansion of kaolinite with hydrazine alone, while the 10.2 Å one is due to expansion with hydrazine-hydrate. FTIR (DRIFT) spectroscopic results showed that the treated mineral after intercalation/deintercalation and heat treatment to 300°C is slightly more ordered than the original (untreated) clay.