Investment and oil price volatility

In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.

Investigation of hybrid ion-exchange membranes reinforced with non-woven metal meshes for electro-dialysis applications

Salt and solvent permeations across ion-exchange membranes used in electro-dialysis are directly related to the membrane material structure and chemistry. Although primarily used for aqueous effluents desalination, electro-dialysis was recently shown to be a promising technology for industrial wastewater and co-solvent mixtures purification. The harsh working conditions imposed by these liquid effluents, including high suspended solids, require the development of more chemically and mechanically resistant membranes. In this study, commercial porous stainless steel media filters (240 μm thick) were used as a backbone to prepare hybrid ion-exchange membranes by casting ion-exchange materials within the porous metal structure. The surface of the metal reinforcements was modified by plasma treatment prior to sol-gel silane grafting to improve the interface between the metal and the ion-exchange resins. The morphology of novel hybrid materials and the interface between the metal fibers and the ion-exchange material have been characterized using techniques such as scanning electron microscopy and FTIR mapping. The thickness of the silane coating was found to lie between 1 and 2 μm while water contact angle tests performed on membrane surfaces and corrosion test behaviors revealed the formation of a thin passivating oxide layer on the material surfaces providing anchoring for the silane grafting and adequate surface energy for the proper incorporation of the ion-exchange material. The hybrid membranes desalination performance were then tested in a bench top electro-dialysis cell over a range of flow rate, current densities and salt concentration conditions to evaluate the ability of the novel hybrid materials to desalinate model streams. The performance of the hybrid membranes were benchmarked and critically compared against commercially available membranes (Selemion™). Although the salt transfer kinetics across the hybrid ion-exchange composite membranes were shown to be comparable to that of the commercial membranes, the low porosity of the stainless steel reinforcements, around 60%, was shown to impede absolute salt permeations. The hybrid ion-exchange membranes were however found to be competitive at low current density and low flow velocity desalination conditions.

Investigation of hybrid ion-exchange membranes reinforced with non-woven metal meshes for electro-dialysis applications

Salt and solvent permeations across ion-exchange membranes used in electro-dialysis are directly related to the membrane material structure and chemistry. Although primarily used for aqueous effluents desalination, electro-dialysis was recently shown to be a promising technology for industrial wastewater and co-solvent mixtures purification. The harsh working conditions imposed by these liquid effluents, including high suspended solids, require the development of more chemically and mechanically resistant membranes. In this study, commercial porous stainless steel media filters (240. μm thick) were used as a backbone to prepare hybrid ion-exchange membranes by casting ion-exchange materials within the porous metal structure. The surface of the metal reinforcements was modified by plasma treatment prior to sol-gel silane grafting to improve the interface between the metal and the ion-exchange resins. The morphology of novel hybrid materials and the interface between the metal fibers and the ion-exchange material have been characterized using techniques such as scanning electron microscopy and FTIR mapping. The thickness of the silane coating was found to lie between 1 and 2. μm while water contact angle tests performed on membrane surfaces and corrosion test behaviors revealed the formation of a thin passivating oxide layer on the material surfaces providing anchoring for the silane grafting and adequate surface energy for the proper incorporation of the ion-exchange material. The hybrid membranes desalination performance were then tested in a bench top electro-dialysis cell over a range of flow rate, current densities and salt concentration conditions to evaluate the ability of the novel hybrid materials to desalinate model streams. The performance of the hybrid membranes were benchmarked and critically compared against commercially available membranes (Selemion™). Although the salt transfer kinetics across the hybrid ion-exchange composite membranes were shown to be comparable to that of the commercial membranes, the low porosity of the stainless steel reinforcements, around 60%, was shown to impede absolute salt permeations. The hybrid ion-exchange membranes were however found to be competitive at low current density and low flow velocity desalination conditions.

Energy expenditure in relation to flight speed: what is the power of mass loss rate estimates?

The relationship between mass loss rate and chemical power in flying birds is analysed with regard to water and heat balance. Two models are presented: the first model is applicable to situations where heat loads are moderate. i.e. when heat balance can be achieved by regulating non-evaporative heat loss, and evaporative water loss is minimised. The second model is applicable when heat loads are high, non-evaporative heat loss is maximised. and heat balance has to be achieved by regulating evaporative heat loss. The rates of mass loss of two Thrush Nightingales Luscinia luscinia and one Teal Anas crecca were measured at various flight speeds in a wind tunnel. Estimates of metabolic water production indicate that the Thrush Nightingales did not dehydrate during experimental flights. Probably, the Thrush Nightingales maintained heat balance without actively increasing evaporative cooling. The Teal, however, most likely had to resort to evaporative cooling, although it may not have dehydrated. Chemical power was estimated from our mass loss rate data using the minimum evaporation model for the Thrush Nightingales and the evaporative heat regulation model for the Teal. For both Thrush Nightingales and the Teal, the chemical power calculated from our mass loss rate data showed a greater change with speed (more 'U-shaped' curve) than the theoretically predicted chemical power curves based on aerodynamic theory. The minimum power speeds calculated from our data differed little from theoretical predictions but maximum range speeds were drastically different. Mass loss rate could potentially be used to estimate chemical power in flying birds under laboratory conditions where temperature and humidity are controlled. However, the assumptions made in the models and the model predictions need further testing.

A modelling study of transient, buoyancy-driven exchange flow over a descending barrier

Results are presented from a series of model studies of the transient exchange flow resulting from the steady descent of an impermeable barrier separating initially-quiescent fresh and saline water bodies having density ρ0 and ρ0 + (Δρ)0, respectively. A set of parametric laboratory experiments has been carried out (i) to determine the characteristic features of the time-dependent exchange flow over the barrier crest and (ii) to quantify the temporal increase in the thickness and spatial extent of the brackish water reservoir formed behind the barrier by the outflowing, partly-mixed saline water. The results of the laboratory experiments have been compared with the predictions of a theoretical model adapted from the steady, so-called maximal exchange flow case and good qualitative agreement between theory and experiment has been demonstrated. The comparisons indicate that head losses of between 7% and 3% are applicable to the flow over the ridge crest in the early and late stages, respectively, of the barrier descent phase, with these losses being attributed to mixing processes associated with the counterflowing layers of fresh and saline water in the vicinity of the ridge crest. The experimental data show (and the theoretical model predictions confirm) that (i) the dimensionless time of detection tdet (g′/Hb)1/2 of the brackish water pool fed by the dense outflow increases (at a given distance from the barrier) with increasing values of the descent rate parameter g'Hb/(dhb/dt)2 and (ii) the normalised thickness δ(x,t)/Hb of the pool at a given reference station increases monotonically with increasing values of the modified time (t - tdet)/(Hb/g′) 1/2, with the rate of thickening decreasing with increasing values of the descent rate parameter g'Hb (dhb/dt)2. Here, g′ = (g/ρ0) (Δρ)0 is the modified gravitational acceleration, Hb is the mean depth of the water and dhb/dt denotes the rate of descent of the barrier height hb with elapsed time t after the two water bodies are first brought into contact. © 2004 Kluwer Academic Publishers.

Estimating cointegrated panels with common factors and the forward rate unbiasedness hypothesis

This article proposes a bias-adjusted estimator for use in cointegrated panel regressions when the errors are cross-sectionally correlated through an unknown common factor structure. The asymptotic distribution of the new estimator is derived and is examined in small samples using Monte Carlo simulations. For the estimation of the number of factors, several information-based criteria are considered. The simulation results suggest that the new estimator performs well in comparison to existing ones. In our empirical application, we provide new evidence suggesting that the forward rate unbiasedness hypothesis cannot be rejected. © The Author 2007.

No news is not good news: evidence from the intra-day return volatility–volume relationship in Shanghai Stock Exchange

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is driven by the return-chasing behaviour of investors during bull markets. We also find that volatility increases after stock price declines in bear markets. After controlling for liquidity shifts, we observe similar patterns in volatility in both bull and bear markets. We posit that institutional and behavioural factors are the major driving forces of observed volatility patterns in the Chinese stock market.

Asymmetric risk and return: evidence from the Australian Stock Exchange

This paper examines volatility asymmetry in a financial market using a stochastic volatility framework. We use the MCMC method for model estimations. There is evidence of volatility asymmetry in the data. Our asymmetric stochastic volatility in mean model, which nests both asymmetric stochastic volatility (ASV) and stochastic volatility in mean models (SVM), indicates ASV sufficiently captures the risk-return relationship; therefore, augmenting it with volatility in mean does not improve its performance. ASV fits the data better and yields more accurate out-of-sample forecasts than alternatives. We also demonstrate that asymmetry mainly emanates from the systematic parts of returns. As a result, it is more pronounced at the market level and the volatility feedback effect dominates the leverage effect.

Estimating the term structure of volatility and fixed income derivative pricing

Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.

Modeling and predicting the CBOE market volatility index

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns investors' risk appetite, but also on the fact that there are many trading strategies that rely on the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index displays long-range dependence. This is well in line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main ndings are as follows. First, we con rm the evidence in the literature that there is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, the term spread has a slightly negative long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index.

Análise e extração das expectativas dos agentes de mercado em torno da data do COPOM

Este trabalho explora um importante conceito desenvolvido por Breeden & Litzenberger para extrair informações contidas nas opções de juros no mercado brasileiro (Opção Sobre IDI), no âmbito da Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBOVESPA) dias antes e após a decisão do COPOM sobre a taxa Selic. O método consiste em determinar a distribuição de probabilidade através dos preços das opções sobre IDI, após o cálculo da superfície de volatilidade implícita, utilizando duas técnicas difundidas no mercado: Interpolação Cúbica (Spline Cubic) e Modelo de Black (1976). Serão analisados os quatro primeiros momentos da distribuição: valor esperado, variância, assimetria e curtose, assim como suas respectivas variações.

Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

The Sao Paulo stock exchange and the economic stabilization

The inflationary stabilization recently observed in Brazil brings a lot of changes in all aspects of the country’s economic life. In this work we look at the impacts on the stock market, specifically at Bovespa - the São Paulo Stock Exchange. We analyze the leading variables and statistics that describe Bovespa’s behavior, such as volatility and systematic risk, comparing the four years preceding and the four years after 1994, when the Real Plan was implemented. In order to eliminate exogenous influences, we use control series made with international Stock Exchanges Indexes. The results show that after 1994 there was reduced volatility, increased trade volume, reduced efficiency of the Bovespa Index and no changes in systematic risk.

Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also showed that a reduction in stock prices are associated with an increase in volatility. Finally we found a greater trading volume tends to increase the volatility.