Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011. Understanding the price behavior of commodity prices and the volatility transmission mechanism between these markets and the stock exchanges are crucial for each participant, including governments, traders, portfolio managers, consumers, and producers. For return and volatility spillover, the results show significant transmission among the S&P 500 and commodity markets. The past shocks and volatility of the S&P 500 strongly influenced the oil and gold markets. This study finds that the highest conditional correlations are between the S&P 500 and gold index and the S&P 500 and WTI index. We also analyze the optimal weights and hedge ratios for commodities/S&P 500 portfolio holdings using the estimates for each index. Overall, our findings illustrate several important implications for portfolio hedgers for making optimal portfolio allocations, engaging in risk management and forecasting future volatility in equity and commodity markets. © 2013 Elsevier B.V.

Modeling conditional correlations of asset returns : a smooth transition approach

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM–test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in the S&P 500 stock index completes the paper.

The role of tunnel junction resistances and defects on electron transport mechanism in networks of two-dimensional disordered conductors

The effect of tunnel junction resistances on the electronic property and the magneto-resistance of few-layer graphene sheet networks is investigated. By decreasing the tunnel junction resistances, transition from strong localization to weak localization occurs and magneto-resistance changes from positive to negative. It is shown that the positive magneto-resistance is due to Zeeman splitting of the electronic states at the Fermi level as it changes with the bias voltage. As the tunnel junction resistances decrease, the network resistance is well described by 2D weak localization model. Sensitivity of the magneto-resistance to the bias voltage becomes negligible and diminishes with increasing temperature. It is shown 2D weak localization effect mainly occurs inside of the few-layer graphene sheets and the minimum temperature of 5 K in our experiments is not sufficiently low to allow us to observe 2D weak localization effect of the networks as it occurs in 2D disordered metal films. Furthermore, defects inside the few-layer graphene sheets have negligible effect on the resistance of the networks which have small tunnel junction resistances between few-layer graphene sheets

Evolution of a ~2.7 Ga large igneous province: A volcanological, geochemical and geochronological study of the Agnew Greenstone Belt, and new regional correlations for the Kalgoorlie Terrane (Yilgarn Craton, Western Australia)

The thick package of ~2.7 Ga mafic and ultramafic lavas and intrusions preserved among the Neoarchean of the Kalgoorlie Terrene in Western Australia provides valuable insight into geological processes controlling the most prodigious episode of growth and preservation of juvenile continental crust in Earth’s history. Limited exposure of these rocks results in uncertainty about their age, physical and chemical characteristics, and stratigraphic relationships. This in turn prevents confident correlation of regional occurrences of mafic and ultramafic successions (both intrusive and extrusive) and hinders the interpretation of tectonic setting and magmatic evolution. A recent stratigraphic drilling program of the Neoarchean stratigraphy of the Agnew Greenstone Belt in Western Australia has provided continuous exposures through a c. 7 km thick sequence of mafic and ultramafic units. In this study, we present a volcanological, lithogeochemical and chronological study of the Agnew Greenstone Belt, and provide the first pre-2690 Ma regional correlation across the Kalgoorlie Terrane. The Agnew Greenstone Belt records ~30 m.y. of episodic ultramafic-mafic magmatism that includes two cycles, each defined by a komatiite that is overlain by units that become more evolved and contaminated with time. The sequence is divided into nine conformable packages, each consisting of stacked subaqueous lava flows and comagmatic intrusions, as well as two sills without associated extrusions. Lavas, with the exception of intercalations between two units, form a layer-cake stratigraphy and were likely erupted from a system of fissures tapping the same magma source. The komatiites are not contaminated by continental crust ([La/Sm]PM ~0.7) and are of the Al-undepleted Munro-type. Crustal contamination is evident in many units (Songvang Basalt, Never Can Tell Basalt, Redeemer Basalt, and Turrett Dolerite), as judged by [La/Sm]>1, negative Nb and Ti anomalies, and geochemical mixing trends towards felsic contaminants. Crystal fractionation was also significant, with early olivine and chromite (Mg#>65) followed by plagioclase and clinopyroxene removal (Mg<65), and in the most evolved case, titanomagnetite accumulation. Three new TIMS dates on granophyric zones of mafic sills and one ICP-MS date from an interflow felsic tuff are presented and used for regional stratigraphic correlation. Cycle I magmatism began at ~2720 Ma and ended ~2705 Ma, whereas cycle II began ~2705 Ma and ended at 2690.7±1.2 Ma. Regional correlations indicate the western Kalgoorlie Terrane consists of a remarkably similar stratigraphy that can be recognised at Agnew, Ora Banda and Coolgardie, whereas the eastern part of the terrane (e.g., Kambalda Domain) does not include cycle I, but correlates well with cycle II. This research supports an autochthonous model of greenstone formation, in which one large igneous province, represented by two complete cycles, is constructed on sialic crust. New stratigraphic correlations for the Kalgoorlie Terrane indicate that many units can be traced over distances >100 km, which has implications for exploration targeting for stratigraphically hosted ultramafic Ni and VMS deposits.

Conformation-activity correlations for chemotactic tripeptide analogs incorporating dialkyl residues with linear and cyclic alkyl sidechains at position 2

Five stereochemically constrained analogs of the chemotactic tripeptide incorporating 1-aminocycloalkane-1-carboxylic acid (Ac(n)c) and alpha,alpha-dialkylglycines (Deg, diethylglycine; Dpg, n,n-dipropylglycine and Dbg, n,n-dibutylglycine) at position 2 have been synthesized. NMR studies of peptides For-Met-Xxx-Phe-OMe (Xxx = Ac(7)c, I; Ac(8)c, II; Deg, III; Dpg, IV and Dbg, V; For, formyl) establish that peptides with cycloalkyl residues, I and II, adopt folded beta-turn conformations in CDCl3 and (CD3)(2)SO. In contrast, analogs with linear alkyl sidechains, III-V, favour fully extended (C-5) conformations in solution. Peptides I-V exhibit high activity in inducing beta-glucosaminidase release from rabbit neutrophils, with ED(50) values ranging from 1.4-8.0 x 10(-11)M. In human neutrophils the Dxg peptides III-V have ED(50) values ranging from 2.3 x 10(-8) to 5.9 x 10(-10) M, with the activity order being V > IV > III. While peptides I-IV are less active than the parent. For-Met-Leu-Phe-OH, in stimulating histamine release from human basophils, the Dbg peptide V is appreciably more potent, suggesting its potential utility as a probe for formyl peptide receptors.

Structural correlations in GexSe1-x glasses - a neutron diffraction study

Neutron diffraction measurement is carried out on GexSe1-x glasses, where 0.1 less than or equal to x less than or equal to 0.4, in a Q interval of 0.55-13.8 Angstrom(-1). The first sharp diffraction peak (FSDP) in the structure factor, S(Q), shows a systematic increase in the intensity and shifts to a lower Q with increasing Ge concentration. The coherence length of FSDP increases with x and becomes maximum for 0.33 less than or equal to x less than or equal to 0.4. The Monte-Carlo method, due to Soper, is used to generate S(Q) and also the pair correlation function, g(r). The generated S(Q) is in agreement with the experimental data for all x. Analysis of the first four peaks in the total correlation function, T(r), shows that the short range order in GeSe2 glass is due to Ge(Se-1/2)(4) tetrahedra, in agreement with earlier reports. Se-rich glasses contain Se-chains which are cross-linked with Ge(Se-1/2)(4) tetrahedra. Ge-2(Se-1/2)(6) molecular units are the basic structural units in Ge-rich, x = 0.4, glass. For x = 0.2, 0.33 and 0.4 there is evidence for some of the tetrahedra being in an edge-shared configuration. The number of edge-shared tetrahedra in these glasses increase with increasing Ge content.

Dynamics of a dilute sheared inelastic fluid. II. The effect of correlations

The effect of correlations on the viscosity of a dilute sheared inelastic fluid is analyzed using the ring-kinetic equation for the two-particle correlation function. The leading-order contribution to the stress in an expansion in epsilon=(1-e)(1/2) is calculated, and it is shown that the leading-order viscosity is identical to that obtained from the Green-Kubo formula, provided the stress autocorrelation function in a sheared steady state is used in the Green-Kubo formula. A systemmatic extension of this to higher orders is also formulated, and the higher-order contributions to the stress from the ring-kinetic equation are determined in terms of the terms in the Chapman-Enskog solution for the Boltzmann equation. The series is resummed analytically to obtain a renormalized stress equation. The most dominant contributions to the two-particle correlation function are products of the eigenvectors of the conserved hydrodynamic modes of the two correlated particles. In Part I, it was shown that the long-time tails of the velocity autocorrelation function are not present in a sheared fluid. Using those results, we show that correlations do not cause a divergence in the transport coefficients; the viscosity is not divergent in two dimensions, and the Burnett coefficients are not divergent in three dimensions. The equations for three-particle and higher correlations are analyzed diagrammatically. It is found that the contributions due to the three-particle and higher correlation functions to the renormalized viscosity are smaller than those due to the two-particle distribution function in the limit epsilon -> 0. This implies that the most dominant correlation effects are due to the two-particle correlations.

Nanolines on silicon surfaces

Although a wide range of periodic surface nets can be grown on low index silicon surfaces, only a few of these have quasi-one dimensional symmetry. If high index silicon surfaces, such as (553) and (557), are used instead, the surface unit cell contains steps. It is possible to fabricate a number of quasi-one dimensional nanoline systems on the terraces and some of these have nested energy bands near the Fermi level. These nano-scale systems may support exotic many-electron states produced by enhanced electron correlations and a reduction in electron screening in one spatial dimension. In this paper, our groups' experimental and theoretical studies of nanolines phases, grown on both low index and vicinal silicon surfaces are reviewed. These studies give us insight into the electronic properties of artificial nanoline structures.

Effect of inter-edge Coulomb interactions on transport through a point contact in nu=5/2 quantum Hall state

We study transport across a point contact separating two line junctions in a nu = 5/2 quantum Hall system. We analyze the effect of inter-edge Coulomb interactions between the chiral bosonic edge modes of the half-filled Landau level (assuming a Pfaffian wave function for the half-filled state) and of the two fully filled Landau levels. In the presence of inter-edge Coulomb interactions between all the six edges participating in the line junction, we show that the stable fixed point corresponds to a point contact that is neither fully opaque nor fully transparent. Remarkably, this fixed point represents a situation where the half-filled level is fully transmitting, while the two filled levels are completely backscattered; hence the fixed point Hall conductance is given by G(H) = 1/2e(2)/h. We predict the non-universal temperature power laws by which the system approaches the stable fixed point from the two unstable fixed points corresponding to the fully connected case (G(H) = 5/2e(2)/h) and the fully disconnected case (G(H) = 0).

The credit risk(+) model with general sector correlations

We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

Synthetic peptides as chemoattractants for bull spermatozoa structure activity correlations

The ability of various synthetic peptide analogs of. Formyl-Met-Leu-Phe to induce chemotaxis in bull sperm is compared using an inverted capillary assay. The formyl group is essential for chemotactic activity and corresponding t-butyloxycarbonyl tripeptides are inactive. Sequence analogs, Formyl-Met-Phe-Leu, Formyl-Leu-Met-Phe and Formyl-Leu-Phe-Met are active. Replacement of Met and Leu by Pro does not diminish activity. Formyl-Met-Leu-Phe-NH2 is active suggesting that electrostatic interactions involving the carboxyl group may be unimportant in receptor interactions. The studies establish the importance of an amino terminal formyl group and a sequence of at least three hydrophobic residues, for inducing sperm chemotaxis.

Heritability of reproductive traits and genetic correlations with growth in the black tiger prawn Penaeus monodon reared in tanks

Captive-reared broodstock of the black tiger prawn (Penaeus monodon) have exhibited poor reproductive performance limiting attempts to domesticate this species. The potential for improved reproductive performance was assessed by determining heritabilities of four measures of reproductive performance, their genetic correlations with each other and with growth rate and weight at age. Heritability estimates (h2 ± S.E.) obtained from √ (days to spawn), √ (egg number), √ (nauplii number) and arcsin √ (proportion hatched) were 0.47 ± 0.15, 0.41 ± 0.18, 0.27 ± 0.16, and 0.18 ± 0.16, respectively. Estimates of genetic correlations between reproductive traits and weight at age, or growth rate were less than 0.5 except for √ (egg number) and weight at 54 weeks (0.93 ± 0.19) and √ (egg number) and 16-54-week growth (0.63 ± 0.29).

Spatial correlations around a Kondo impurity

We present a method for calculating zero-frequency, spatially varying response and correlation functions around a magnetic impurity in metals. We illustrate the procedure which involves a combination of perturbative scaling and nonperturbative renormalization-group methods for the spin-(1/2) Kondo impurity. We explain the factorization of the temperature and spatial dependence of the Knight shift observed in NMR experiments.