Volatility linkages and spillovers in stock and bond markets : some international evidence

This study investigates the transmission of market-wide volatility between the equity markets and bond markets of Japan, Germany, the U. K., and the U. S. To measure the volatility transmission, the BEKK- a decomposition approach to the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. Our results suggest that within the domestic cross markets, the volatility transmission is undirectional from the stock market to the bond market. Evidence from international cross-market analysis is mixed, with strong evidence on volatility spillover among these international stock markets, but weak evidence between international stock and bond markets. In addition, there are significant bi-directional volatility transmissions between stock markets in Germany and the U. K., and between Germany and the U. S. The volatility transmissions among these markets suggest that the international diversification of bonds is not prevalent.

Volatility transmissions between stock and bond markets : evidence from Japan and the U.S.

This study attempts to investigate the transmission of market-wide volatility between the equity markets and bond markets of Japan and the U.S. To measure the volatility transmission, the BEKK (Baba, Engle, Kraft and Kroner, 1990) method, a decomposition approach of the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. The time series analysis provides evidence to the long-run phenomena of causality in conditional variances of paired assets within the local and international markets. Within various pairings, some evidence of bi-directional volatility transmissions such as informational linkages have been observed. Our empirical results suggest that within the domestic cross markets, the volatility transmission is unidirectional from the stock market to the bond market. Evidence from international cross-market analysis is mixed, with strong evidence on volatility spillover among these international stock markets, but weak evidence between international stock and bond markets. In addition, there are significant directional volatility transmissions between DJI index and FTSE100 index, and between DJI index and DAX200 index. The volatility transmission between these two markets indicates that the international diversification of bonds is not prevalent.

Volatility transmission between stock and bond markets : evidence from US and Australia

This paper investigates the cross-market informational dependence between these assets under disparate interest rate conditions of the U.S and Australia. With conditional variance as a proxy for volatility, we use the BEKK – a matricular decomposition of the bivariate GARCH (1,1) model to examine the cross-market contemporaneous effect of information arrival. Applying the model to the stock and bond indices of both countries, we find evidence of volatility spillover, thereby supporting the notion of informational dependence between each market

Why is the tetrahedral bond angle 109°? The tetrahedron-in-a-cube

The common question of why the tetrahedral angle is 109.471° can be answered using a tetrahedron-in-a-cube, along with some Year 10 level mathematics. The tetrahedron-in-a-cube can also be used to demonstrate the non-polarity of tetrahedral molecules, the relationship between different types of lattice structures, and to demonstrate that inductive reasoning does not always provide the correct answer.

Common trends and common cycles in stock markets

In this paper we examine the role of permanent and transitory shocks in explaining variations in the S&P 500, Dow Jones and the NASDAQ. Our modeling technique involves imposing both common trend and common cycle restrictions in extracting the variance decomposition of shocks. We find that: (1) the three stock price indices are characterized by a common trend and common cycle relationship; and (2) permanent shocks explain the bulk of the variations in stock prices over short horizons.

International business cycles and remittance flows

In this paper, we study the macroeconomic determinants of remittance flows. We place particular attention to fluctuations in remittance flows over the international business cycles. Estimating a dynamic panel data model using the system-GMM method over the period 1970–2007, we document that remittance inflows decrease with home country volatility. Contrarily, remittance inflows increase with the volatility in host countries, especially for middle-income countries. Lower interest rates in host countries lead to larger remittance outflows. Trade and capital account openness are the most important factors that determine both remittance inflows and outflows. We conclude that macroeconomic factors of both home and host countries are important for understanding remittance flows.

Establishing Competitive Domination Cycles for Peer-to-peer Game Combat

Games require balance to be fair and enjoyable. In two player combat settings balance can be achieved by ensuring that both units are equally capable. The possibility of alliances changes the nature of balance when additional players are introduced. One approach to achieving balance is to use a domination loop between agents in a rock, scissors, paper style approach. This paper investigates whether such loops exist within the existing rules of game combat. Search processes within the attribute space of the game units are used to identify loops within an existing game architecture. A dominance metric is used to identify cycles where the victory is achieved by a clear threshold. Cycles with up to 5 players are demonstrated, although larger cycles require more effort to find. Use of models of game play and attribute space search are recommended as a mechanism for balancing games of this format.

Bioinspired strategy to reinforce PVA with improved toughness and thermal properties via hydrogen-bond self-assembly

Despite the high strength and stiffness of polymer nanocomposites, they usually display lower deformability and toughness relative to their matrices. Spider silk features exceptionally high stiffness and toughness via the hierarchical architecture based on hydrogen-bond (H-bond) assembly. Inspired by this intriguing phenomenon, we here exploit melamine (MA) to reinforce poly(vinyl alcohol) (PVA) via H-bond self-assembly at a molecular level. Our results have shown that due to the formation of physical cross-link network based on H-bond assembly between MA and PVA, yield strength, Young’s modulus, extensibility, and toughness of PVA are improved by 22, 25, 144, and 200% with 1.0 wt % MA, respectively. Moreover, presence of MA can enhance the thermal stability of PVA to a great extent, even exceeding some nanofillers (e.g., graphene). This work provides a facile method to improve the mechanical properties of polymers via H-bond self-assembly.