885 resultados para Implied volatility (VIX)
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Staged as an attempt to ‘bring together Shakespeare’s plays and Tang Xian Zu’s classical Kunqu opera, The Peony Pavilion,’ (Ong, Programme Notes) Awaking stands as Singapore Director Ong Keng Sen’s most recent and prominent attempt at engaging issues of the intercultural through music and sound. While Ong’s previous intercultural projects sought to explore the politics of intercultural performance through the exchange, layering, confrontation and inter-mixing of Asian performance modes as visual aesthetics, Awaking is a performance at the borders of theatrical and musical conventions, as it features the music and musicians as central performative devices of staging the intercultural. Northern Kunqu opera, Chinese classical music and Elizabethan folk tunes from Shakespeare’s plays were re-moved, re-contextualised, and juxtaposed to explore ‘differing yet connected philosophies on love, death, and the afterlife’ (Awaking, Publicity). These humanist and ‘universal’ themes found expression in the ‘universal’ language of music. Through a study of the musicalities and sonic expressions of Awaking, the paper seeks to explore the implications of such cultural-musical juxtapositions. The paper engages, specifically, with the problematics and possibilities of music as a ‘universal language’ as implied by Ong’s concordance of Eastern and Western sounds in the final act. It further considers the politics of an intercultural soundscape and the acoustemologies of such an intercultural approach.
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In this paper we seek to shed light on the mismatch between income poverty and deprivation through a comparative and dynamic analysis of both forms of disadvantage. By extending analysis over five waves of the ECHP we are able to take into account the key dimensions characterizing poverty profiles overtime. Our conclusions turn out to be remarkably stable across countries. While persistent income poverty measures are systematically related to both cross-sectional and longitudinal measures of deprivation, the scale of mismatch is no less at the latter than at the former level. There is some evidence that although rates of volatility for income and deprivation measures are roughly similar, the processes of change themselves are somewhat different. Further light is shed on the underlying processes by cross-classifying the forms of deprivation. Those exposed to both types of deprivation are differentiated from others in terms of need and resource variables. Conclusions relating to the socio-demographic influences on risk levels are influenced by choice and combination of indicators. The results of our analysis confirm the need to devote considerably more attention than heretofore to the analysis of multi-dimensional poverty dynamics.
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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.
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Analyses of the widths and shifts of optically thin emission lines in the ultraviolet spectrum of the active dwarf e Eri (K2 V) are presented. The spectra were obtained using the Space Telescope Imaging Spectrograph on the Hubble Space Telescope and the Far Ultraviolet Spectroscopic Explorer. The linewidths are used to find the non-thermal energy density and its variation with temperature from the chromosphere to the upper transition region. The energy fluxes that could be carried by Alfvén and acoustic waves are investigated, to test their possible roles in coronal heating. Acoustic waves do not appear to be a viable means of coronal heating. There is, in principle, ample flux in Alfvén waves, but detailed calculations of wave propagation are required before definite conclusions can be drawn concerning their viability. The high sensitivity and spectral resolution of the above instruments have allowed two-component Gaussian fits to be made to the profiles of the stronger transition region lines. The broad and narrow components that result share some similarities with those observed in the Sun, but in e Eri the broad component is redshifted relative to the narrow component and contributes more to the total line flux. The possible origins of the two components and the energy fluxes implied are discussed. On balance our results support the conclusion of Wood, Linsky & Ayres, that the narrow component is related to Alfvén waves reaching to the corona, but the origin of the broad component is not clear.
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Demonstration of a tunable conductivity of the LaAlO3/SrTiO3 interfaces drew significant attention to the development of oxide electronic structures where electronic confinement can be reduced to the nanometer range. While the mechanisms for the conductivity modulation are quite different and include metal insulator phase transition and surface charge writing, generally it is implied that this effect is a result of electrical modification of the LaAlO3 surface (either due to electrochemical dissociation of surface adsorbates or free charge deposition) leading to the change in the two-dimensional electron. gas (2DEG) density at the LaAlO3/SrTiO3 (LAO/STO) interface. In this paper, using piezoresponse force microscopy we demonstrate a switchable electromechanical response of the LAO overlayer, which we attribute to the motion of oxygen vacancies through the LAO layer thickness. These electrically induced reversible changes in bulk stoichiometry of the LAO layer are a signature of a possible additional mechanism for nanoscale oxide 2DEG control on LAO/STO interfaces.
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The problem of model selection of a univariate long memory time series is investigated once a semi parametric estimator for the long memory parameter has been used. Standard information criteria are not consistent in this case. A Modified Information Criterion (MIC) that overcomes these difficulties is introduced and proofs that show its asymptotic validity are provided. The results are general and cover a wide range of short memory processes. Simulation evidence compares the new and existing methodologies and empirical applications in monthly inflation and daily realized volatility are presented.
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Thomas De Quincey’s terrifying oriental nightmares, reported to sensational acclaim in his Confessions of an English Opium-Eater (1821), have become a touchstone of romantic imperialism in recent studies of the literature of the period (Leask 1991; Barrell 1992 et al). De Quincey’s collocation of “all creatures, birds, beasts, reptiles, all trees and plants, usages and appearances, that are found in all tropical regions” in the hypnagogic hallucinations that characterized what he called “the pains of opium” seems to anticipate neatly Said’s theory of orientalism, whereby the orient was supplied by the west with “a mentality, a genealogy, an atmosphere,” the attitudinal basis as he argues for the continuing march of imperialism from the late eighteenth century. Yet, as Thomas Trautmann (1997) has pointed out, orientalist scholarship based in India and led by the influential Asiatic Society of Bengal in the late eighteenth century was extremely enthusiastic about Indian classical antiquity. The early orientalist scholarship posited ethnic, linguistic, cultural and religious links between Europe and India, while recognizing the greater antiquity of Indian civilization. This favourable attitude (which Trautmann calls “Indomania”) was overtaken in the nineteenth century by disavowal of that scholarship and repugnance (which he calls “Indophobia”), influenced by utilitarian and evangelical attitudes to colonialism. De Quincey’s lifespan covers this crucial period of change. My paper examines his evangelical upbringing and interest in biblical and orientalist scholarship to suggest his anxious investment in these modes of thinking. I will suggest that the bizarre orientalist fusions of his dreams can be better understood in the context of changing attitudes to the imperialism during the period. An examination of his work provides a far more dynamic understanding of the processes of orientalism than the binary model suggested by Said. The transformation implied from imperial scholarship to governance, I will suggest, is not irrelevant to a world which continues to pull apart on various grounds of race and ethnicity, and reflects on our own role in the academy today.
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We report on Suzaku observations of selected regions within the southern giant lobe of the radio galaxy Centaurus A. In our analysis we focus on distinct X-ray features detected with the X-ray Imaging Spectrometer within the range 0.5-10 keV, some of which are likely associated with fine structure of the lobe revealed by recent high-quality radio intensity and polarization maps. With the available photon statistics, we find that the spectral properties of the detected X-ray features are equally consistent with thermal emission from hot gas with temperatures kT > 1 keV, or with a power-law radiation continuum characterized by photon indices Gamma similar to 2.0 +/- 0.5. However, the plasma parameters implied by these different models favor a synchrotron origin for the analyzed X-ray spots, indicating that a very efficient acceleration of electrons up to greater than or similar to 10 TeV energies is taking place within the giant structure of Centaurus A, albeit only in isolated and compact regions associated with extended and highly polarized radio filaments. We also present a detailed analysis of the diffuse X-ray emission filling the whole field of view of the instrument, resulting in a tentative detection of a soft excess component best fitted by a thermal model with a temperature of kT similar to 0.5 keV. The exact origin of the observed excess remains uncertain, although energetic considerations point to thermal gas filling the bulk of the volume of the lobe and mixed with the non-thermal plasma, rather than to the alternative scenario involving a condensation of the hot intergalactic medium around the edges of the expanding radio structure. If correct, this would be the first detection of the thermal content of the extended lobes of a radio galaxy in X-rays. The corresponding number density of the thermal gas in such a case is n(g) similar to 10(-4) cm(-3), while its pressure appears to be in almost exact equipartition with the volume-averaged non-thermal pressure provided by the radio-emitting electrons and the lobes' magnetic field. A prominent large-scale fluctuation of the Galactic foreground emission, resulting in excess foreground X-ray emission aligned with the lobe, cannot be ruled out. Although tentative, our findings potentially imply that the structure of the extended lobes in active galaxies is likely to be highly inhomogeneous and non-uniform, with magnetic reconnection and turbulent acceleration processes continuously converting magnetic energy to internal energy of the plasma particles, leading to possibly significant spatial and temporal variations in the plasma beta parameter around the volume-averaged equilibrium condition beta similar to 1.
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The ecological footprint of food transport can be communicated using carbon dioxide emissions (CO2 label) or by providing information about both the length of time and the mileage travelled (food miles label). We use stated choice data to estimate conventional unobserved taste heterogeneity models and extend them to a specification that also addresses attribute nonattendance. The implied posterior distributions of the marginal willingness to pay values are compared graphically and are used in validation regressions. We find strong bimodality of taste distribution as the emerging feature, with different groups of subjects having low and high valuations for these labels. The best fitting model shows that CO2 and food miles valuations are much correlated. CO2 valuations can be high even for those respondents expressing low valuations for food miles. However, the reverse is not true. Taken together, the results suggest that consumers tend to value the CO2 label at least as much and sometimes more than the food miles label.
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There is a paradox between the remarkable genetic stability of measles virus (MV) in the field and the high mutation rates implied by the frequency of the appearance of monoclonal antibody escape mutants generated when the virus is pressured to revert in vitro (S. J. Schrag, P. A. Rota, and W. J. Bellini, J. Virol. 73: 51-54, 1999). We established a highly sensitive assay to determine frequencies of various categories of mutations in large populations of wild-type and laboratory-adapted MVs using recombinant viruses containing an additional transcription unit (ATU) encoding enhanced green fluorescent protein (EGFP). Single and double mutations were made in the fluorophore of EGFP to ablate fluorescence. The frequencies of reversion mutants in the population were determined by measuring the appearance of fluorescence indicating a revertant virus. This allows mutation rates to be measured under nonselective conditions, as phenotypic reversion to fluorescence requires only either a single-or a double-nucleotide change and amino acid substitution, which does not affect the length of the nonessential reporter protein expressed from the ATU. Mutation rates in MV are the same for wild-type and laboratory-adapted viruses, and they are an order of magnitude lower than the previous measurement assessed under selective conditions. The actual mutation rate for MV is approximately 1.8 x 10(-6) per base per replication event. Copyright © 2013, American Society for Microbiology. All Rights Reserved.
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Although widely debated in broader socioeconomic terms, the Eurozone crisis has not received adequate scholarly attention with regards to the impact of alternative political systems. This article revisits the debate on majoritarian and consensus democracies drawing on recent evidence from the Eurozone debacle. Greece is particularly interesting both with regards to its potential ‘global spillover effects’ and choice of political system. Despite facing comparable challenges as Portugal and Spain, the country has become polarized socially and politically, seeing a record number of MP defections, electoral volatility and the rise of the militant extreme right. The article explains why Greece, the country that relied most extensively on majoritarian institutions, entered the global financial crisis in the most vulnerable position while subsequently faced insurmountable political and institutional obstacles in its management. The article points to the paradox of majoritarianism: in times of economic stress, the first ‘casualties’ are its strongest elements – centrist parties (bi-partisanship) and cabinet stability.
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With the growing interest in the topic of attribute non-attendance, there is now widespread use of latent class (LC) structures aimed at capturing such behaviour, across a number of different fields. Specifically, these studies rely on a confirmatory LC model, using two separate values for each coefficient, one of which is fixed to zero while the other is estimated, and then use the obtained class probabilities as an indication of the degree of attribute non-attendance. In the present paper, we argue that this approach is in fact misguided, and that the results are likely to be affected by confounding with regular taste heterogeneity. We contrast the confirmatory model with an exploratory LC structure in which the values in both classes are estimated. We also put forward a combined latent class mixed logit model (LC-MMNL) which allows jointly for attribute non-attendance and for continuous taste heterogeneity. Across three separate case studies, the exploratory LC model clearly rejects the confirmatory LC approach and suggests that rates of non-attendance may be much lower than what is suggested by the standard model, or even zero. The combined LC-MMNL model similarly produces significant improvements in model fit, along with substantial reductions in the implied rate of attribute non-attendance, in some cases even eliminating the phenomena across the sample population. Our results thus call for a reappraisal of the large body of recent work that has implied high rates of attribute non-attendance for some attributes. Finally, we also highlight a number of general issues with attribute non-attendance, in particular relating to the computation of willingness to pay measures.
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In this paper, we re-examine two important aspects of the dynamics of relative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for endogenous multiple structural breaks. Results show that all the series are stationary after allowing for endogenous multiple breaks. Test results on the Prebisch–Singer hypothesis, which states that relative commodity prices follow a downward secular trend, are mixed but with a majority of series showing negative trends. We also make a first attempt at identifying the potential drivers of the structural breaks. We end by investigating the dynamics of the volatility of the 25 relative primary commodity prices also allowing for endogenous multiple breaks. We describe the often time-varying volatility in commodity prices and show that it has increased in recent years.
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The present research investigates the uptake of phosphate ions from aqueous solutions using acidified laterite (ALS), a by-product from the production of ferric aluminium sulfate using laterite. Phosphate adsorption experiments were performed in batch systems to determine the amount of phosphate adsorbed as a function of solution pH, adsorbent dosage and thermodynamic parameters per fixed P concentration. Kinetic studies were also carried out to study the effect of adsorbent particle sizes. The maximum removal capacity of ALS observed at pH 5 was 3.68 mg P g-1. It was found that as the adsorbent dosage increases, the equilibrium pH decreases, so an adsorbent dosage of 1.0 g L-1 of ALS was selected. Adsorption capacity (qm) calculated from the Langmuir isotherm was found to be 2.73 mg g-1. Kinetic experimental data were mathematically well described using the pseudo first-order model over the full range of the adsorbent particle size. The adsorption reactions were endothermic, and the process of adsorption was favoured at high temperature; the ΔG and ΔH values implied that the main adsorption mechanism of P onto ALS is physisorption. The desorption studies indicated the need to consider a NaOH 0.1M solution as an optimal solution for practical regeneration applications.
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We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.