Modelling stock volatilities during financial crises:a time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.

Coefficient Estimates for Analytic Functions Concerned with Hankel Determinant

MSC 2010: 30C45

Analysing Conjoint Analysis Data by a Random Coefficient Regression Model

2000 Mathematics Subject Classification: 62J12, 62K15, 91B42, 62H99.

Some Coefficient Estimates for Polynomials on the Unit Interval

2000 Mathematics Subject Classification: 26C05, 26C10, 30A12, 30D15, 42A05, 42C05.

New Coefficient Conditions for Functions Starlike with Respect to Symmetric Points

2000 Mathematics Subject Classification: Primary 30C45, secondary 30C80.

Identification of a time-dependent bio-heat blood perfusion coefficient

In the paper the identification of the time-dependent blood perfusion coefficient is formulated as an inverse problem. The bio-heat conduction problem is transformed into the classical heat conduction problem. Then the transformed inverse problem is solved using the method of fundamental solutions together with the Tikhonov regularization. Some numerical results are presented in order to demonstrate the accuracy and the stability of the proposed meshless numerical algorithm.

Thermal effects on the photoelastic coefficient of polymer optical fibers

We measure the radial profile of the photoelastic coefficient C(r) in single-mode polymer optical fibers (POFs), and we determine the evolution of C(r) after annealing the fibers at temperatures from 40°C to 80°C. We demonstrate that C(r) in the fibers drawn from a preform without specific thermal pre-treatment changes and converges to values between 1.2 and 1.6×10-12 Pa-1 following annealing at 80°C. The annealed fibers display a smoothened radial profile of C(r) and a lowered residual birefringence. In contrast, the mean value of C(r) of the fiber drawn from a preform that has been pre-annealed remains constant after our annealing process and is significantly higher, i.e., 4×10-12 Pa-1. The annealing process decreases the residual birefringence to a lower extent as well. These measurements indicate the impact of annealing on the thermal stability of the photoelastic coefficient of POFs, which is an essential characteristic in view of developing POF-based thermomechanical sensors.

Inflation forecasting, relative price variability and skewness

This article presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness. © 2010 Taylor & Francis.

Measurements of stress-optic coefficient and Young's modulus in PMMA fibers drawn under different conditions

We have systematically measured the differential stress-optic coefficient, ΔC, and Young's modulus, E, in a number of PMMA fibers drawn with different stress, ranging from 2 up to 27 MPa. Effect of temperature annealing on those parameters was also investigated. ΔC was determined in transverse illumination by measuring the dependence of birefringence on additional axial stress applied to the fiber. Our results show that ΔC in PMMA fibers has a negative sign and ranges from -4.5 to -1.5×10-12 Pa -1 depending on the drawing stress. Increase of the drawing stress results in greater initial fiber birefringence and lower ΔC. The dependence of ΔC and initial birefringence upon drawing stress is nonlinear and gradually saturates for higher drawing stress. Moreover, we find that ΔC is linearly proportional to initial fiber birefringence and that annealing the fiber has no impact on the slope of this dependence. On the other hand, no clear dependence was observed between the fiber drawing stress and the Young's modulus of the fibers as measured using microscopic digital image correlation with the fibers tensioned using an Instron tension tester. © 2010 SPIE.