Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets

This study analyzes the spillover effects of volatility in the Russian stock market. The paper applies the Diebold–Yilmaz connectedness methodology to characterize volatility spillovers between Russian assets. The spectral representation of the forecast variance decomposition proposed by Baruník and Křehlik is used to describe the connectivity in short-term (up to 5 days), medium-term (6–20 days) and long-term (more than 20 days) time frequencies. Additionally, two new augmented models are developed and applied to evaluate conditional spillover effects in different sectors of the Russian economy for the period from January 2012 to June 2021. It is shown that spillover effects increase significantly during political and economic crises and decrease during periods of relative stability. The rising of the overall level of spillovers in the Russian stock market coincides in time with the political crisis of 2014, the intensification of anti-Russian sanctions in 2018 and the fall in oil prices and the start of the pandemic in 2020. With the consideration of the augmented models it can be argued that a significant part of the long-term spillover effects on the Russian stock market may be caused by the influence of external economic and political factors. However, volatility spillovers generated by internal Russian idiosyncratic shocks are short-term. Thus, the proposed approach provides new information on the impact of external factors on volatility spillovers in the Russian stock market.

Martingales and the characteristic functions of absorption time on bipartite graphs

Evolutionary graph theory investigates how spatial constraints affect processes that model evolutionary selection, e.g. the Moran process. Its principal goals are to find the fixation probability and the conditional distributions of fixation time, and show how they are affected by different graphs that impose spatial constraints. Fixation probabilities have generated significant attention, but much less is known about the conditional time distributions, even for simple graphs. Those conditional time distributions are difficult to calculate, so we consider a close proxy to it: the number of times the mutant population size changes before absorption. We employ martingales to obtain the conditional characteristic functions (CCFs) of that proxy for the Moran process on the complete bipartite graph. We consider the Moran process on the complete bipartite graph as an absorbing random walk in two dimensions. We then extend Wald’s martingale approach to sequential analysis from one dimension to two. Our expressions for the CCFs are novel, compact, exact, and their parameter dependence is explicit. We show that our CCFs closely approximate those of absorption time. Martingales provide an elegant framework to solve principal problems of evolutionary graph theory. It should be possible to extend our analysis to more complex graphs than we show here.

Contrasting Cryptocurrencies with Other Assets: Full Distributions and the COVID Impact

We investigate any similarity and dependence based on the full distributions of cryptocurrency assets, stock indices and industry groups. We characterize full distributions with entropies to account for higher moments and non-Gaussianity of returns. Divergence and distance between distributions are measured by metric entropies, and are rigorously tested for statistical significance. We assess the stationarity and normality of assets, as well as the basic statistics of cryptocurrencies and traditional asset indices, before and after the COVID-19 pandemic outbreak. These assessments are not subjected to possible misspecifications of conditional time series models which are also examined for their own interests. We find that the NASDAQ daily return has the most similar density and co-dependence with Bitcoin daily return, generally, but after the COVID-19 outbreak in early 2020, even S&P500 daily return distribution is statistically closely dependent on, and indifferent from Bitcoin daily return. All asset distances have declined by 75% or more after the COVID-19 outbreak. We also find that the highest similarity before the COVID-19 outbreak is between Bitcoin and Coal, Steel and Mining industries, and after the COVID-19 outbreak is between Bitcoin and Business Supplies, Utilities, Tobacco Products and Restaurants, Hotels, Motels industries, compared to several others. This study shed light on examining distribution similarity and co-dependence between cryptocurrencies and other asset classes.

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

The green bond market has gradually developed worldwide since its debut in 2007 and is viewed as a new form of investment. This study explores the time-varying interdependence between green bond and conventional asset classes, namely Bitcoin price, Standard and Poor’s (S&P) 500, Clean Energy Index, Goldman Sachs Commodity Index (GSCI) Commodity Index and 10-year US bond spanning from May 2013 to December 2019, using both time-varying copula and transfer entropy models. We first focus on static and dynamic correlations between the green bond and other assets, and then identify the causal association among them. The findings suggest that green bonds and other assets have conditional time-varying dependence, and dependence is relatively low. Using transfer entropy, further evidence is gained for causal associations between two variables, which is depicted by two categories like mono-direction and bi-direction. Such nexus reveals the transmitter and receiver of return innovations on these markets. These findings make a considerable contribution to policymakers and environmentally friendly investors with green bond positions.

Idiosyncratic volatility and interruption mechanisms in South Korean stock markets

PurposeThe purpose of this study is to examine how the volatility interruption (VI) mechanisms affect idiosyncratic volatilities in Korean stock markets.Design/methodology/approachCollecting the South Korea Stock Market (KOSPI) data from June 15, 2015 to March 31, 2019, we collect each residual, εi,t, from three different estimated models: capital asset pricing model (CAPM), FF3 and FF5. To estimate the conditional idiosyncratic volatility, the authors employ two conditional time-varying measurements: GARCH and TGARCH.FindingsThe results show that the conditional idiosyncratic volatility increases when stock prices reach the upper and lower static limits, indicating the implementation of adopting static VI mechanism neither stabilize market conditions nor reduce excess volatility along with the existence of price limits.Originality/valueAlthough market regulators and policymakers improve market conditions with the advanced VI mechanism, the empirical results show the adverse effect of the mechanism. Not allowing investors to earn above average returns without accepting above average risks makes Korean stock markets inefficient along with advanced VI mechanisms.

Procedure for evaluation of tightness of polymer tanks for transportation of fuel by air

The analysis of methods for assessing the diffusion permeability of polymer materials is carried out. The limitations of the methods for determining the tightness time and the rate of fuel bleeding from elastic tanks based on thermoplastic polyurethanes are shown. To solve the set tasks, an approach is proposed related to establishing dependencies of the kinetics of diesel fuel bleeding in the coordinate system of the conditional time, which was calculated as the square root of the process time. The tightness time and rate of fuel bleeding depends on the degree of filling of the tank during testing.

THE IDEOLOGEME «DICTATORSHIP OF RELATIVISM» IN THE ROBERTO DE MATTEI’S ESSAYS: POSTMODERN AND POST-COMMUNIST CONTEXTS

The article considers relativism as a philosophical principle and the moral standpoint of a journalist. In particular, the main argumentation of Roberto de Mattei’s work «Dictatorship of Relativism» is analyzed. Like Ratzinger, the Italian publicist describes modern life as ruled by a dictatorship of relativism which does not recognize anything as definitive and whose ultimate goal consists solely of satisfying «the desires of one’s own ego». In his view, the boundaries of the main conflict of modernity lie between two visions of the world: one that believes in the existence of immutable, absolute values, and one that argues that there is nothing stable, that everything is conditional, time-dependent and can be discussed in the media. The markers of this conflict are our attitude to the famous statement of Protagoras about «man as a measure of all things: of the things that are, that they are, of the things that are not, that they are not», as well as to the non-debatable values, the status of natural and positive law, the worldview neutrality, the dehierarchization and multiplicity of truths, the equalization of all worldviews and axiological standpoint in foreign and Ukrainian media. A special attention in the article is paid to the ideological program of media-relativism, as well as to the postmodern and post-communist contexts of the issue of the penetration of relativism into the journalistic values.