Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Carbon dioxide and climate impulse response functions for the computation of greenhouse gas metrics: a multi-model analysis

The responses of carbon dioxide (CO2) and other climate variables to an emission pulse of CO2 into the atmosphere are often used to compute the Global Warming Potential (GWP) and Global Temperature change Potential (GTP), to characterize the response timescales of Earth System models, and to build reduced-form models. In this carbon cycle-climate model intercomparison project, which spans the full model hierarchy, we quantify responses to emission pulses of different magnitudes injected under different conditions. The CO2 response shows the known rapid decline in the first few decades followed by a millennium-scale tail. For a 100 Gt-C emission pulse added to a constant CO2 concentration of 389 ppm, 25 ± 9% is still found in the atmosphere after 1000 yr; the ocean has absorbed 59 ± 12% and the land the remainder (16 ± 14%). The response in global mean surface air temperature is an increase by 0.20 ± 0.12 °C within the first twenty years; thereafter and until year 1000, temperature decreases only slightly, whereas ocean heat content and sea level continue to rise. Our best estimate for the Absolute Global Warming Potential, given by the time-integrated response in CO2 at year 100 multiplied by its radiative efficiency, is 92.5 × 10−15 yr W m−2 per kg-CO2. This value very likely (5 to 95% confidence) lies within the range of (68 to 117) × 10−15 yr W m−2 per kg-CO2. Estimates for time-integrated response in CO2 published in the IPCC First, Second, and Fourth Assessment and our multi-model best estimate all agree within 15% during the first 100 yr. The integrated CO2 response, normalized by the pulse size, is lower for pre-industrial conditions, compared to present day, and lower for smaller pulses than larger pulses. In contrast, the response in temperature, sea level and ocean heat content is less sensitive to these choices. Although, choices in pulse size, background concentration, and model lead to uncertainties, the most important and subjective choice to determine AGWP of CO2 and GWP is the time horizon.

The hemodynamic impulse response to a single neural event

This article investigates the relation between stimulus-evoked neural activity and cerebral hemodynamics. Specifically, the hypothesis is tested that hemodynamic responses can be modeled as a linear convolution of experimentally obtained measures of neural activity with a suitable hemodynamic impulse response function. To obtain a range of neural and hemodynamic responses, rat whisker pad was stimulated using brief (less than or equal to2 seconds) electrical stimuli consisting of single pulses (0.3 millisecond, 1.2 mA) combined both at different frequencies and in a paired-pulse design. Hemodynamic responses were measured using concurrent optical imaging spectroscopy and laser Doppler flowmetry, whereas neural responses were assessed through current source density analysis of multielectrode recordings from a single barrel. General linear modeling was used to deconvolve the hemodynamic impulse response to a single "neural event" from the hemodynamic and neural responses to stimulation. The model provided an excellent fit to the empirical data. The implications of these results for modeling schemes and for physiologic systems coupling neural and hemodynamic activity are discussed.

Hybrid frequency–time domain models for dynamic response analysis of marine structures

Time-domain models of marine structures based on frequency domain data are usually built upon the Cummins equation. This type of model is a vector integro-differential equation which involves convolution terms. These convolution terms are not convenient for analysis and design of motion control systems. In addition, these models are not efficient with respect to simulation time, and ease of implementation in standard simulation packages. For these reasons, different methods have been proposed in the literature as approximate alternative representations of the convolutions. Because the convolution is a linear operation, different approaches can be followed to obtain an approximately equivalent linear system in the form of either transfer function or state-space models. This process involves the use of system identification, and several options are available depending on how the identification problem is posed. This raises the question whether one method is better than the others. This paper therefore has three objectives. The first objective is to revisit some of the methods for replacing the convolutions, which have been reported in different areas of analysis of marine systems: hydrodynamics, wave energy conversion, and motion control systems. The second objective is to compare the different methods in terms of complexity and performance. For this purpose, a model for the response in the vertical plane of a modern containership is considered. The third objective is to describe the implementation of the resulting model in the standard simulation environment Matlab/Simulink.

Frequency response analysis of layered ground in Ahmedabad during Bhuj earthquake

This paper presents the results of seismic response analysis of layered ground in Ahmedabad City during the earthquake in Bhuj on 26(th) January 2001. An attempt has been made to understand the reasons for the failure of multistoreyed buildings founded on soft alluvial deposits in Ahmedabad. Standard Penetration test at a site very close to the Sabarmati river belt was carried out for geotechnical investigations. The program SHAKE91, widely used in the field of earthquake engineering for computing the seismic response of horizontally layered soil deposits, was used to analyse the soil profile at the selected site considering the ground as one dimensional layered elastic system. The ground accelerations recorded at the ground floor of the Regional Passport Staff Quarters building, which is very close to the investigated site, was used as input motion. Also, Finite Element Analysis was carried out for different configurations of multistorey building frames for evaluating their natural frequencies and is compared with the predominant frequency of the layered soil system. The results reveal that the varying degree of damage to multistorey buildings in the close proximity of Sabarmati river area was essentially due to the large amplification of the ground and the near resonance condition.

Application of the random eigenvalue problem in forced response analysis of a linear stochastic structure

The random eigenvalue problem arises in frequency and mode shape determination for a linear system with uncertainties in structural properties. Among several methods of characterizing this random eigenvalue problem, one computationally fast method that gives good accuracy is a weak formulation using polynomial chaos expansion (PCE). In this method, the eigenvalues and eigenvectors are expanded in PCE, and the residual is minimized by a Galerkin projection. The goals of the current work are (i) to implement this PCE-characterized random eigenvalue problem in the dynamic response calculation under random loading and (ii) to explore the computational advantages and challenges. In the proposed method, the response quantities are also expressed in PCE followed by a Galerkin projection. A numerical comparison with a perturbation method and the Monte Carlo simulation shows that when the loading has a random amplitude but deterministic frequency content, the proposed method gives more accurate results than a first-order perturbation method and a comparable accuracy as the Monte Carlo simulation in a lower computational time. However, as the frequency content of the loading becomes random, or for general random process loadings, the method loses its accuracy and computational efficiency. Issues in implementation, limitations, and further challenges are also addressed.

Gas sensing response analysis of p-type porous chromium oxide thin films

The ethanol sensing properties of porous Cr2O3 thin films deposited by the ultrasonic nebulized spray pyrolysis of an aqueous combustion mixture is reported. The impact of the precursor selection and various deposition parameters on the film crystallinity, surface morphology and stoichiometry are studied using thermo-gravimetric analysis, X-ray diffraction, scanning electron microscopy, transmission electron microscopy, X-ray photoelectron spectroscopy and atomic force microscopy techniques. The film morphology exhibits a highly porous nature, as a result of the exothermic combustion reaction during film deposition. The gas sensing properties of these films are investigated in the temperature range of 200-375 degrees C for ethanol. The films show two different regions of response for ethanol above and below 300 degrees C. A good relationship between the response and the ethanol concentration is observed, and is modeled using an empirical relation. The possible mechanism and the surface chemical reactions of ethanol over the chromium oxide surface are discussed.

Effect of Pt doping on the gas sensing properties of porous chromium oxide films through a kinetic response analysis approach

The effect of doping trace amounts of noblemetals (Pt) on the gas sensing properties of chromium oxide thin films, is studied. The sensors are fabricated by depositing chromium oxide films on a glass substrate using a modified spray pyrolysis technique and characterized using X-ray diffraction, scanning electron microscopy, transmission electron microscopy and X-ray photoelectron spectroscopy. The films are porous and nanocrystalline with an average crystallite size of similar to 30 nm. The typical p-type conductivity arises due to the presence of Cr vacancies, formed as a result of Cr non-stoichiometry, which is found to vary upon Pt doping. In order to analyze the effect of doping on the gas sensing properties, we have adopted a kinetic response analysis approach, which is based on Langmuir Adsorption isotherm (LA) theory. The sensor response is analyzed with equations obtained from LA theory and time constants as well as energies of adsorption-desorption are evaluated. It is seen that, Pt doping lowers the Schottky barrier height of the metal oxide semiconductor sensor from 222 meV to 172 meV. Subsequently the reduction in adsorption and desorption energies led to enhancement in sensor response and improvement in the kinetics of the sensor response i.e. the response time as well as recovery times of the sensor.

A hybrid method for stochastic response analysis of a vibrating structure

Response analysis of a linear structure with uncertainties in both structural parameters and external excitation is considered here. When such an analysis is carried out using the spectral stochastic finite element method (SSFEM), often the computational cost tends to be prohibitive due to the rapid growth of the number of spectral bases with the number of random variables and the order of expansion. For instance, if the excitation contains a random frequency, or if it is a general random process, then a good approximation of these excitations using polynomial chaos expansion (PCE) involves a large number of terms, which leads to very high cost. To address this issue of high computational cost, a hybrid method is proposed in this work. In this method, first the random eigenvalue problem is solved using the weak formulation of SSFEM, which involves solving a system of deterministic nonlinear algebraic equations to estimate the PCE coefficients of the random eigenvalues and eigenvectors. Then the response is estimated using a Monte Carlo (MC) simulation, where the modal bases are sampled from the PCE of the random eigenvectors estimated in the previous step, followed by a numerical time integration. It is observed through numerical studies that this proposed method successfully reduces the computational burden compared with either a pure SSFEM of a pure MC simulation and more accurate than a perturbation method. The computational gain improves as the problem size in terms of degrees of freedom grows. It also improves as the timespan of interest reduces.