Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated financial markets.

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial aspect of constructing optimal dynamic hedging strategies. The paper tests and calculates spillover effects among natural gas spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a result suggests that both natural gas futures and ETF products within and beyond the country might be considered when constructing optimal dynamic hedging strategies for natural gas spot prices.

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.

Large-scale clustering measurements with photometric redshifts: comparing the dark matter haloes of X-ray AGN, star-forming and passive galaxies at z ≈ 1

We combine multi-wavelength data in the AEGIS-XD and C-COSMOS surveys to measure the typical dark matter halo mass of X-ray selected active galactic nuclei (AGN) [L_X(2–10 keV) > 10^42 erg s^− 1] in comparison with far-infrared selected star-forming galaxies detected in the Herschel/PEP survey (PACS Evolutionary Probe; L_IR > 10^11 L_⊙) and quiescent systems at z ≈ 1. We develop a novel method to measure the clustering of extragalactic populations that uses photometric redshift probability distribution functions in addition to any spectroscopy. This is advantageous in that all sources in the sample are used in the clustering analysis, not just the subset with secure spectroscopy. The method works best for large samples. The loss of accuracy because of the lack of spectroscopy is balanced by increasing the number of sources used to measure the clustering. We find that X-ray AGN, far-infrared selected star-forming galaxies and passive systems in the redshift interval 0.6 < z < 1.4 are found in haloes of similar mass, log M_DMH/(M_⊙ h^−1) ≈ 13.0. We argue that this is because the galaxies in all three samples (AGN, star-forming, passive) have similar stellar mass distributions, approximated by the J-band luminosity. Therefore, all galaxies that can potentially host X-ray AGN, because they have stellar masses in the appropriate range, live in dark matter haloes of log M_DMH/(M_⊙ h^−1) ≈ 13.0 independent of their star formation rates. This suggests that the stellar mass of X-ray AGN hosts is driving the observed clustering properties of this population. We also speculate that trends between AGN properties (e.g. luminosity, level of obscuration) and large-scale environment may be related to differences in the stellar mass of the host galaxies.

Estadística Aplicada a los Recursos Marinos. Clustering. Análisis de segmentación

Introducción al análisis con Clustering

Forecasting Elections with High Volatility

This article uses data from the social survey Allbus 1998 to introduce a method of forecasting elections in a context of electoral volatility. The approach models the processes of change in electoral behaviour, exploring patterns in order to model the volatility expressed by voters. The forecast is based on the matrix of transition probabilities, following the logic of Markov chains. The power of the matrix, and the use of the mover-stayer model, is debated for alternative forecasts. As an example of high volatility, the model uses data from the German general election of 1998. The unification of two German states in 1990 caused the incorporation of around 15 million new voters from East Germany who had limited familiarity and no direct experience of the political culture in West Germany. Under these circumstances, voters were expected to show high volatility.

An adaptive algorithm for clustering cumulative probability distribution functions using the Kolmogorov–Smirnov two-sample test

This paper proposes an adaptive algorithm for clustering cumulative probability distribution functions (c.p.d.f.) of a continuous random variable, observed in different populations, into the minimum homogeneous clusters, making no parametric assumptions about the c.p.d.f.’s. The distance function for clustering c.p.d.f.’s that is proposed is based on the Kolmogorov–Smirnov two sample statistic. This test is able to detect differences in position, dispersion or shape of the c.p.d.f.’s. In our context, this statistic allows us to cluster the recorded data with a homogeneity criterion based on the whole distribution of each data set, and to decide whether it is necessary to add more clusters or not. In this sense, the proposed algorithm is adaptive as it automatically increases the number of clusters only as necessary; therefore, there is no need to fix in advance the number of clusters. The output of the algorithm are the common c.p.d.f. of all observed data in the cluster (the centroid) and, for each cluster, the Kolmogorov–Smirnov statistic between the centroid and the most distant c.p.d.f. The proposed algorithm has been used for a large data set of solar global irradiation spectra distributions. The results obtained enable to reduce all the information of more than 270,000 c.p.d.f.’s in only 6 different clusters that correspond to 6 different c.p.d.f.’s.

Competing Lipid-Protein and Protein-Protein Interactions Determine Clustering and Gating Patterns in the Potassium Channel from Streptomyces lividans (KcsA)

There is increasing evidence to support the notion that membrane proteins, instead of being isolated components floating in a fluid lipid environment, can be assembled into supramolecular complexes that take part in a variety of cooperative cellular functions. The interplay between lipid-protein and protein-protein interactions is expected to be a determinant factor in the assembly and dynamics of such membrane complexes. Here we report on a role of anionic phospholipids in determining the extent of clustering of KcsA, a model potassium channel. Assembly/disassembly of channel clusters occurs, at least partly, as a consequence of competing lipid-protein and protein-protein interactions at nonannular lipid binding sites on the channel surface and brings about profound changes in the gating properties of the channel. Our results suggest that these latter effects of anionic lipids are mediated via the Trp67–Glu71–Asp80 inactivation triad within the channel structure and its bearing on the selectivity filter.

Electoral Volatility, Political Sophistication, Trust and Efficacy

In this article we investigate voter volatility and analyze the causes and motives of switching vote intentions. We test two main sets of variables linked to volatility in literature; political sophistication and ‘political (dis)satisfaction’. Results show that voters with low levels of political efficacy tend to switch more often, both within a campaign and between elections. In the analysis we differentiate between campaign volatility and inter-election volatility and by doing so show that the dynamics of a campaign have a profound impact on volatility. The campaign period is when the lowly sophisticated switch their vote intention. Those with higher levels of interest in politics have switched their intention before the campaign has started. The data for this analysis are from the three wave PartiRep Belgian Election Study (2009).

Knowledge acquisition through conceptual clustering : a theoretical framework and an algorithm for partitioning data into conjunctive concepts /

"May 1980."

Clustering by clique generation /

Originally presented as the author's thesis (M.A.), University of Illinois at Urbana-Champaign.

The preparation of uranium hexafluoride from uranium ores and concentrates by fluoride volatility processes : an annotated bibliography /

"Feed Materials Production Center, National Lead Company of Ohio"--Cover.

National longitudinal study of the high school class of 1972 : sample design efficiency study: effects of stratification, clustering, and unequal weighting on the variances of NLS statistics /

Project officer: William B. Fetters.

Manufacturers respond to volatility in energy markets.

Mode of access: Internet.