Volatility Impulse Responses for DCC-GARCH: The Role of Volatility Transmission Mechanisms

2018 ◽  
Author(s):  
David Gabauer
Keyword(s):  
Impulse Responses ◽  
Volatility Transmission ◽  
Transmission Mechanisms

The Role of Volatility Regimes on Volatility Transmission Patterns

2011 ◽  
Author(s):  
Enrique Salvador ◽  
Nikos K. Nomikos
Keyword(s):  
Volatility Transmission ◽  
Volatility Regimes

scholarly journals Unravelling the Role of Socioeconomic Forces in the Early Stage of COVID-19 Pandemic: A Global Analysis

2021 ◽  
Vol 18 (12) ◽  
pp. 6340
Author(s):  
Kostas Rontos ◽  
Maria-Eleni Syrmali ◽  
Luca Salvati
Keyword(s):  
Early Stage ◽  
Global Analysis ◽  
Healthcare Services ◽  
Large Set ◽  
Health Crisis ◽  
Transmission Mechanisms ◽  
Virus Dissemination ◽  
Sustainable Health ◽  
Background Context

The COVID-19 pandemic has rapidly evolved into an acute health crisis with extensive socioeconomic and demographic consequences. The severity of the COVID-19 pandemic requires a refined (and more comprehensive) understanding of virus dissemination over space, transmission mechanisms, clinical features, and risk factors. In line with this assumption, the present study illustrates a comparative, empirical analysis of the role of socioeconomic and demographic dimensions in the early stages of the COVID-19 pandemic grounded on a large set of indicators comparing the background context across a global sample of countries. Results indicate that—in addition to epidemiological factors—basic socioeconomic forces significantly shaped contagions as well as hospitalization and death rates across countries. As a response to the global crisis driven by the COVID-19 pandemic, all-embracing access to healthcare services should be strengthened along with the development of sustainable health systems supported by appropriate resources and skills. The empirical findings of this study have direct implications for the coordination of on-going, global efforts aimed at containing COVID-19 (and other, future) pandemics.

The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets

2019 ◽  
Vol 61 ◽  
pp. 410-422 ◽  
Author(s):  
Beyza Mina Ordu-Akkaya ◽  
Ecenur Ugurlu-Yildirim ◽  
Ugur Soytas
Keyword(s):  
Trading Volume ◽  
Futures Markets ◽  
Open Interest ◽  
Volatility Transmission

scholarly journals The Role of Reverberation and Magnitude Spectra of Direct Parts in Contralateral and Ipsilateral Ear Signals on Perceived Externalization

2019 ◽  
Vol 9 (3) ◽  
pp. 460 ◽  
Author(s):  
Song Li ◽  
Roman Schlieper ◽  
Jürgen Peissig
Keyword(s):  
Speech Signal ◽  
Impulse Responses ◽  
Sound Sources ◽  
Reverberant Environments ◽  
Contralateral Ear ◽  
Listening Experiment ◽  
Binaural Sound

Several studies show that the reverberation and spectral details in direct sounds are two essential cues for perceived externalization of virtual sound sources in reverberant environments. The present study investigated the role of these two cues in contralateral and ipsilateral ear signals on perceived externalization of headphone-reproduced binaural sound images at different azimuth angles. For this purpose, seven pairs of non-individual binaural room impulse responses (BRIRs) were measured at azimuth angles of −90°, −60°, −30°, 0°, 30°, 60°, and 90° in a listening room. The magnitude spectra of direct parts were smoothed, and the reverberation was removed, either in left or right ear BRIRs. Such modified BRIRs were convolved with a speech signal, and the resulting binaural sounds were presented over headphones. Subjects were asked to assess the degree of perceived externalization for the presented stimuli. The result of the subjective listening experiment revealed that the magnitude spectra of direct parts in ipsilateral ear signals and the reverberation in contralateral ear signals are important for perceived externalization of virtual lateral sound sources.

scholarly journals Transmission of climate risks across sectors and borders

2018 ◽  
Vol 376 (2121) ◽  
pp. 20170301 ◽  
Author(s):  
Andy J. Challinor ◽  
W. Neil Adger ◽  
Tim G. Benton ◽  
Declan Conway ◽  
Manoj Joshi ◽  
...  
Keyword(s):  
Risk Assessment ◽  
Case Studies ◽  
National Level ◽  
Systems Science ◽  
Climate Risks ◽  
Transmission Mechanisms ◽  
The Social ◽  
International Boundaries ◽  
Global Systems

Systemic climate risks, which result from the potential for cascading impacts through inter-related systems, pose particular challenges to risk assessment, especially when risks are transmitted across sectors and international boundaries. Most impacts of climate variability and change affect regions and jurisdictions in complex ways, and techniques for assessing this transmission of risk are still somewhat limited. Here, we begin to define new approaches to risk assessment that can account for transboundary and trans-sector risk transmission, by presenting: (i) a typology of risk transmission that distinguishes clearly the role of climate versus the role of the social and economic systems that distribute resources; (ii) a review of existing modelling, qualitative and systems-based methods of assessing risk and risk transmission; and (iii) case studies that examine risk transmission in human displacement, food, water and energy security. The case studies show that policies and institutions can attenuate risks significantly through cooperation that can be mutually beneficial to all parties. We conclude with some suggestions for assessment of complex risk transmission mechanisms: use of expert judgement; interactive scenario building; global systems science and big data; innovative use of climate and integrated assessment models; and methods to understand societal responses to climate risk. These approaches aim to inform both research and national-level risk assessment.

The role of volatility regimes on volatility transmission patterns

2013 ◽  
Vol 14 (1) ◽  
pp. 1-13 ◽  
Author(s):  
Nikos Nomikos ◽  
Enrique Salvador
Keyword(s):  
Volatility Transmission ◽  
Volatility Regimes

Role of the α/β Interface in the Plastic Anisotropy of Single Colony Crystals in Titanium Alloys

2004 ◽  
Vol 819 ◽  
Author(s):  
M. F. Savage ◽  
J. Tatalovich ◽  
M. J. Mills
Keyword(s):  
Orientation Relationship ◽  
Basal Slip ◽  
Plastic Anisotropy ◽  
Slip Systems ◽  
Transmission Mechanisms ◽  
Single Colony ◽  
Transmission Electron ◽  
Strain Hardening Behavior ◽  
Slip Transmission

AbstractThe anisotropy in room temperature plastic deformation has been investigated in single α(HCP)/β(BCC) colonies of a commercial α/β titanium alloy (Ti-6Al-2Sn-4Zr-2Mo-0.1Si) oriented for activation of individual basal slip systems. Detailed transmission electron microscopy (TEM) studies of the slip transmission mechanisms through the α/β interfaces have been performed to elucidate the role of these interfaces in determining yield and strain hardening behavior. Significant anisotropy in the yield strengths and hardening rates for the 3 unique basal slip systems is measured, and is attributed to the different slip transmission mechanisms active due to the near-Burgers orientation relationship existing between α- and β-phases. These results are should be transferable to other alloy systems exhibiting this orientation relationship.

scholarly journals The price puzzle and the role of South African monetary policy in Botswana and Namibia

2012 ◽  
Vol 5 (1) ◽  
pp. 193-214
Author(s):  
Philippe Burger ◽  
Helvi Fillipus ◽  
Innocent Molalapata
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
South African ◽  
Reaction Functions ◽  
Transmission Mechanisms ◽  
Price Puzzle ◽  
The Interest Rate ◽  
Monetary Transmission Mechanisms ◽  
Interest Rate Shock

Using SVAR analysis, this paper finds what Sims calls a ‘price puzzle’, i.e. a case where CPI increases after a positive interest rate shock. The SVAR analysis controls for various monetary transmission mechanisms, including one based on the South African dominance hypothesis that links South African monetary policy to inflation in Botswana and Namibia. The paper follows Castelnuovo and Surico and interprets the price puzzle as a symptom of an indeterminate monetary policy. Subsequently the paper explores the finding of indeterminate monetary policy further by using an unstructured VAR to estimate the monetary reaction functions of Botswana and Namibia. These results also point to the presence of an indeterminate monetary policy. Lastly, both the SVAR and the unstructured VAR estimated for the monetary reaction function indicate the importance of the exchange rate, and not the interest rate, as a determinant of inflation in both Botswana and Namibia

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