A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework

This paper proposes a new non-parametric method for estimating model-free, time-varying liquidity betas which builds on realized covariance and volatility theory. Working under a liquidity-adjusted CAPM framework we provide evidence that liquidity risk is a factor priced in the Greek stock market, mainly arising from the covariation of individual liquidity with local market liquidity, however, the level of liquidity seems to be an irrelevant variable in asset pricing. Our findings provide support to the notion that liquidity shocks transmitted across securities can cause market-wide effects and can have important implications for portfolio diversification strategies. ©2012 Elsevier B.V. All rights reserved.

Developing a numerical inverse-theory-based extraction of orientation-dependent relaxation rates from partially- relaxed spectra

Second-rank tensor interactions, such as quadrupolar interactions between the spin- 1 deuterium nuclei and the electric field gradients created by chemical bonds, are affected by rapid random molecular motions that modulate the orientation of the molecule with respect to the external magnetic field. In biological and model membrane systems, where a distribution of dynamically averaged anisotropies (quadrupolar splittings, chemical shift anisotropies, etc.) is present and where, in addition, various parts of the sample may undergo a partial magnetic alignment, the numerical analysis of the resulting Nuclear Magnetic Resonance (NMR) spectra is a mathematically ill-posed problem. However, numerical methods (de-Pakeing, Tikhonov regularization) exist that allow for a simultaneous determination of both the anisotropy and orientational distributions. An additional complication arises when relaxation is taken into account. This work presents a method of obtaining the orientation dependence of the relaxation rates that can be used for the analysis of the molecular motions on a broad range of time scales. An arbitrary set of exponential decay rates is described by a three-term truncated Legendre polynomial expansion in the orientation dependence, as appropriate for a second-rank tensor interaction, and a linear approximation to the individual decay rates is made. Thus a severe numerical instability caused by the presence of noise in the experimental data is avoided. At the same time, enough flexibility in the inversion algorithm is retained to achieve a meaningful mapping from raw experimental data to a set of intermediate, model-free

The information content of Canadian implied volatility indexes

For predicting future volatility, empirical studies find mixed results regarding two issues: (1) whether model free implied volatility has more information content than Black-Scholes model-based implied volatility; (2) whether implied volatility outperforms historical volatilities. In this thesis, we address these two issues using the Canadian financial data. First, we examine the information content and forecasting power between VIXC - a model free implied volatility, and MVX - a model-based implied volatility. The GARCH in-sample test indicates that VIXC subsumes all information that is reflected in MVX. The out-of-sample examination indicates that VIXC is superior to MVX for predicting the next 1-, 5-, 10-, and 22-trading days' realized volatility. Second, we investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices. We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts. We conclude that VIXC cannot incorporate all information contained in historical index prices for predicting future volatility.

Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities

This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results in Barndorff-Nielsen and Shephard (2002a), are both easy to implement and highly accurate in empirically realistic situations. On properly accounting for the measurement errors in the volatility forecast evaluations reported in Andersen, Bollerslev, Diebold and Labys (2003), the adjustments result in markedly higher estimates for the true degree of return-volatility predictability.

Intra-crystalline protein diagenesis (IcPD) in Patella vulgata. Part II: Breakdown and temperature sensitivity

Artificial diagenesis of the intra-crystalline proteins isolated from Patella vulgata was induced by isothermal heating at 140 °C, 110 °C and 80 °C. Protein breakdown was quantified for multiple amino acids, measuring the extent of peptide bond hydrolysis, amino acid racemisation and decomposition. The patterns of diagenesis are complex; therefore the kinetic parameters of the main reactions were estimated by two different methods: 1) a well-established approach based on fitting mathematical expressions to the experimental data, e.g. first-order rate equations for hydrolysis and power-transformed first-order rate equations for racemisation; and 2) an alternative model-free approach, which was developed by estimating a “scaling” factor for the independent variable (time) which produces the best alignment of the experimental data. This method allows the calculation of the relative reaction rates for the different temperatures of isothermal heating. High-temperature data were compared with the extent of degradation detected in sub-fossil Patella specimens of known age, and we evaluated the ability of kinetic experiments to mimic diagenesis at burial temperature. The results highlighted a difference between patterns of degradation at low and high temperature and therefore we recommend caution for the extrapolation of protein breakdown rates to low burial temperatures for geochronological purposes when relying solely on kinetic data.

The importance of the volatility risk premium for volatility forecasting

In this paper, we study the role of the volatility risk premium for the forecasting performance of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility risk premium and implement this methodology using more than 20 years of options and futures data on three major energy markets. Using regression models and statistical loss functions, we find compelling evidence to suggest that the risk premium adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding holds for different choices of volatility estimators and competing time-series models, underlying the robustness of our results.

Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

Medidas de risco extraídas de opções sobre petróleo

Bali, Cakici e Chabi-Yo (2011) introduziram uma nova medida de risco, englobando as medidas de risco de Aumann e Serrano (2008) e Foster e Hart (2009). Trata-se de um modelo de medida de risco implícito de opções baseado na distribuição neutra ao risco dos retornos de ativos financeiros. Este trabalho se propõe a calcular a medida de risco de Bali, Cakici e Chabi-Yo (2011) com base nas opções de petróleo, a commodity mais importante da economia mundial. Como os preços das opções incorporam a expectativa do mercado, a medida de risco calculada é considerada forward-looking. Desta forma, esse trabalho também analisa a significância dessa medida em prever a atividade econômica futura. Os resultados indicaram poder preditivo em relação ao índice VIX, o qual representa a incerteza do mercado financeiro, e ao índice CFNAI, indicador da atividade econômica norte-americana.

Síntese, caracterização e estudo da regeneração do silicoaluminofosfato-11 (SAPO-11)

heterogeneous catalyst such as a silicoaluminophosphate, molecular sieve with AEL (Aluminophosphate eleven) structure such as SAPO-11, was synthesized through the hydrothermal method starting from silica, pseudoboehmite, orthophosphoric acid (85%) and water, in the presence of a di-isopropylamine organic template. For the preparation of SAPO-11 in a dry basis it was used as reactants: DIPA; H3PO4; SiO4; Pseudoboehmite and distilled water. The crystallization process occurred when the reactive hydrogel was charged into a vessel and autoclaved at 200ºC for a period of 72 hours under autogeneous pressure. The obtained material was washed, dried and calcined to remove the molecular sieves of DIPA. The samples were characterized by X-ray diffraction (XRD), scanning electron microscopy (SEM), infrared spectroscopy (FT-IR), nitrogen adsorption (BET) and thermal analysis (TG/DTG). The acidic properties were determined using adsorption of nbutylamine followed by programmed thermodessorption. This method revealed that SAPO-11 shows an acidity that ranges from weak to moderate. However, a small quantity of strong acid sites could be detected there. The deactivation of the catalysts was conducted by artificial coking followed by the cracking of the n-hexane in a fixed bed with a continuous flow micro-reactor coupled on line to a gas chromatograph. The main products obtained were: ethane, propane, isobutene, n-butane, n-pentane and isopentane. The Vyazovkin (model-free) kinetics method was used to determine the regeneration and removal of the coke

Síntese, caracterização e cinética da decomposição térmica dos materiais cerâmicos PrMO3 (M = Ni ou Co)

In this work have been studied the preparation, characterization and kinetic study of decomposition of the polymerizing agent used in the synthesis under non-isothermal condition ceramics PrMO3 of general formula (M = Co and Ni). These materials were obtained starting from the respective metal nitrates, as a cations source, and making use of gelatin as polymerizing agent. The powders were calcined at temperatures of 500°C, 700°C and 900°C and characterized by X-ray Diffraction (XRD), Thermogravimetric Analysis (TG / DTG/ DTA), Infrared Spectroscopy (FTIR), Temperature Programmed Reduction (TPR) and Scanning Electron Microscopy (SEM). The perovskite phase was detected in all the X-rays patterns. In the infrared spectroscopy observed the oxide formation as the calcination temperature increases with the appearance of the band metal - oxygen. The images of SEM revealed uniform distribution for the PrCoO3 and particles agglomerated as consequence of particle size for PrNiO3. From the data of thermal analysis, the kinetics of decomposition of organic matter was employed using the kinetics methods called Model Free Kinetics and Flynn and Wall, in the heating ratios 10, 20 and 30° C.min-1 between room temperature and 700°C. Finally, been obtained the values of activation energy for the region of greatest decomposition of organic matter in samples that were determined by the degree of conversion (α)

Estudos comparativos do ciclo de regeneração de diferentes tipos de silicoaluminofosfatos

Different types of heterogeneous catalysts of the silicoaluminophosphate type, (SAPO-5, SAPO-11, SAPO-31, SAPO-34 and SAPO-41), molecular sieves with a: AFI, AEL, ATO, CHA and AFO structure, respectively, were synthesized through the hydrothermal method. Using sources such as hydrated alumina (pseudobohemita), phosphoric acid, silica gel, water, as well as, different types of organic structural templates, such as: cetyltrimethylammonium bromide (CTMABr), di-isopropylamine (DIPA), di-n- propylamine (DNPA) and tetraethylammonium hydroxide (TEOS), for the respective samples. During the preparation of the silicoaluminophosphates, the crystallization process of the samples occurred at a temperature of approximately 200 ° C, ranging through periods of 18-72 h, when it was possible to obtain pure phases for the SAPOs. The materials were furthermore washed with deionized water, dried and calcined to remove the molecules of the templates. Subsequently the samples were characterized by X-ray diffraction (XRD), scanning electron microscopy (SEM), absorption spectroscopy in the infrared region (FT-IR), specific surface area and thermal analysis via TG/DTG. The acidic properties were determined using adsorption of n-butylamine followed by programmed termodessorption. These methods revealed that the SAPO samples showed a typically weak to moderate acidity. However, a small amount of strong acid sites was also detected. The deactivation of the catalysts was conducted by artificially coking the samples, followed by n-hexane cracking reactions in a fixed bed with a continuous flow micro-reactor coupled on line to a gas chromatograph. The main products obtained were: ethane, propane, isobutene, n-butane, n-pentane and isopentane. The Vyazovkin (model-free) kinetics method was used to determine the catalysts regeneration and removal of the coke

Bio-óleo e biogás da degradação termoquímica de lodo de esgoto doméstico em cilindro rotativo

The objective of this study was to produce biofuels (bio-oil and gas) from the thermal treatment of sewage sludge in rotating cylinder, aiming industrial applications. The biomass was characterized by immediate and instrumental analysis (elemental analysis, scanning electron microscopy - SEM, X-ray diffraction, infrared spectroscopy and ICP-OES). A kinetic study on non-stationary regime was done to calculate the activation energy by Thermal Gravimetric Analysis evaluating thermochemical and thermocatalytic process of sludge, the latter being in the presence of USY zeolite. As expected, the activation energy evaluated by the mathematical model "Model-free kinetics" applying techniques isoconversionais was lowest for the catalytic tests (57.9 to 108.9 kJ/mol in the range of biomass conversion of 40 to 80%). The pyrolytic plant at a laboratory scale reactor consists of a rotating cylinder whose length is 100 cm with capable of processing up to 1 kg biomass/h. In the process of pyrolysis thermochemical were studied following parameters: temperature of reaction (500 to 600 ° C), flow rate of carrier gas (50 to 200 mL/min), frequency of rotation of centrifugation for condensation of bio-oil (20 to 30 Hz) and flow of biomass (4 and 22 g/min). Products obtained during the process (pyrolytic liquid, coal and gas) were characterized by classical and instrumental analytical techniques. The maximum yield of liquid pyrolytic was approximately 10.5% obtained in the conditions of temperature of 500 °C, centrifugation speed of 20 Hz, an inert gas flow of 200 mL/min and feeding of biomass 22 g/min. The highest yield obtained for the gas phase was 23.3% for the temperature of 600 °C, flow rate of 200 mL/min inert, frequency of rotation of the column of vapor condensation 30 Hz and flow of biomass of 22 g/min. The non-oxygenated aliphatic hydrocarbons were found in greater proportion in the bio-oil (55%) followed by aliphatic oxygenated (27%). The bio-oil had the following characteristics: pH 6.81, density between 1.05 and 1.09 g/mL, viscosity between 2.5 and 3.1 cSt and highest heating value between 16.91 and 17.85 MJ/ kg. The main components in the gas phase were: H2, CO, CO2 and CH4. Hydrogen was the main constituent of the gas mixture, with a yield of about 46.2% for a temperature of 600 ° C. Among the hydrocarbons formed, methane was found in higher yield (16.6%) for the temperature 520 oC. The solid phase obtained showed a high ash content (70%) due to the abundant presence of metals in coal, in particular iron, which was also present in bio-oil with a rate of 0.068% in the test performed at a temperature of 500 oC.

Estudo da regeneração de aditivos para catalisadores de craqueamento aluminofosfatos (ALPO s)e silicoaluminofosfatos (SAPO s)

Heterogeneous catalysts such as aluminophosphate and silicoaluminophosphate, molecular sieves with AEL of ALPO-11 and SAPO-11, were synthesized by the hydrothermal method with the following molar composition: 2.9 Al +3.2 P + 3.5 DIPA +32.5 H20 (ALPO-11); 2.9 Al +3.2 P + 0.5 Si + 3.5 DIPA +32.5 H20 (SAPO-11) starting from silica (only in the SAPO-11), pseudoboehmite, orthophosphoric acid (85%) and water, in the presence of a di-isopropylamine organic template. The crystallization process occurred when the reactive hydrogel was charged into a vessel and autoclaved at 170ºC for a period of 48 hours under autogeneous pressure. The obtained materials were washed, dried and calcined to remove the molecular sieves of DIPA. The samples were characterized by X-ray diffraction (XRD), scanning electron microscopy (SEM), infrared spectroscopy (FT-IR), thermo gravimetric differential thermal analysis (TG/DTA) and nitrogen adsorption (BET). The acidic properties were determined using adsorption of n-butylamine followed by programmed thermodessorption. This method revealed that ALPO-11 has weaker acid sites due to structural defects, while SAPO-11 shows an acidity that ranges from weak to moderate. However, a small quantity of strong acid sites could be detected there. The deactivation of the catalysts was conducted by the cracking of the n-hexane in a fixed bed continuous flow microrreator coupled on line to a gas chromatograph. The main products obtained were: ethane, propane, isobutene, n-butane, n-pentane and isopentane. The Vyazovkin (model-free) kinetics method was used to determine the regeneration and removal of the organic template

Síntese, caracterização, propriedades e aplicação dos sistemas Mg- Al, Zn-Al e Mg-Fe

The Layered Double Hydroxides has become extremely promising materials due to its range of applications, easily obtained in the laboratory and reusability after calcination, so the knowledge regarding their properties is of utmost importance. In this study were synthesized layered double hydroxides of two systems, Mg-Al and Zn-Al, and such materials were analyzed with X-ray diffraction and, from these data, we determined the volume density, planar atomic density, size crystallite, lattice parameters, interplanar spacing and interlayer space available. Such materials were also subjected to thermogravimetric analysis reasons for heating 5, 10, 20 and 25 ° C / min to determine kinetic parameters for the formation of metaphases HTD and HTB based on theoretical models Ozawa, Flynn-Wall Starink and Model Free Kinetics. In addition, the layered double hydroxides synthesized in this working ratios were calcined heating 2.5 ° C / min and 20 ° C / min, and tested for adsorption of nitrate anion in aqueous solution batch system at time intervals 5 min, 15 min, 30 min, 1h, 2h and 4h. Such calcined materials were also subjected to exposure to the atmosphere and at intervals of 1 week, 2 weeks and 1 month were analyzed by infrared spectroscopy to study the kinetics of regeneration determining structural called "memory effect"

Estudo cinético da degradação térmica e catalítica de petróleo pesado usando Al-MCM-41

The mesoporous nanostructured materials have been studied for application in the oil industry, in particular Al-MCM-41, due to the surface area around 800 to 1.000 m2 g-1 and, pore diameters ranging from 2 to 10 nm, suitable for catalysis to large molecules such as heavy oil. The MCM-41 has been synthesized by hydrothermal method, on which aluminum was added, in the ratio Si/Al equal to 50, to increase the generation of active acid sites in the nanotubes. The catalyst was characterized by X-ray diffraction (XRD), surface area by the BET method and, the average pore volume BJH method using the N2 adsorption, absorption spectroscopy in the infrared Fourier Transform (FT-IR) and determination of surface acidity with application of a probe molecule - n-butylamine. The catalyst showed well-defined structural properties and consistent with the literature. The overall objective was to test the Al-MCM-41 as catalyst and thermogravimetric perform tests, using two samples of heavy oil with API º equal to 14.0 and 18.5. Assays were performed using a temperature range of 30-900 ° C and heating ratios (β) ranging from 5, 10 and 20 °C min-1.The aim was to verify the thermogravimetric profiles of these oils when subjected to the action of the catalyst Al- MCM-41. Therefore, the percentage ranged catalyst applied 1, 3, 5, 10 and 20 wt%, and from the TG data were applied two different kinetic models: Ozawa-Flynn-Wall (OFW) and Kissinger-Akahrira-Sunose (KAS).The apparent activation energies found for both models had similar values and were lower for the second event of mass loss known as cracking zone, indicating a more effective performance of Al-MCM-41 in that area. Furthermore, there was a more pronounced reduction in the value of activation energy for between 10 and 20% by weight of the oil-catalyst mixture. It was concluded that the Al-MCM-41 catalyst has applicability in heavy oils to reduce the apparent activation energy of a catalyst-oil system, and the best result with 20% by weight of Al-MCM-41