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High Volatility (high + volatility)
Selected AbstractsDoes Correlation Between Stock Returns Really Increase During Turbulent Periods?ECONOMIC NOTES, Issue 1 2001Francois Chesnay Correlations betwen international equity markets are often claimed to increase during periods of high volatility. Therefore the benefits of international diversification are reduced when they are most needed, i.e. during turbulent periods. This paper investigates the relationship between international correlation and stock-market turbulence. We estimate a multivariate Markov-switching model, in which the correlation matrix varies across regimes. Subsequently, we test the null hypothesis that correlations are regime-independent. Using weekly stock returns for the S&P, the DAX and the FTSE over the period 1988,99, we find that international correlations significantly increased during turbulent periods. (J.E.L.: C53, G15). [source] Yttrium ,-Diketonate Glyme MOCVD Precursors: Effects of the Polyether Length on Stabilities, Mass Transport Properties and Coordination SpheresEUROPEAN JOURNAL OF INORGANIC CHEMISTRY, Issue 3 2004Graziella Malandrino Abstract The glyme adducts of trishexafluoroacetylacetonato yttrium, [Y(hfa)3·monoglyme], [Y(hfa)3·diglyme], [Y(hfa)3·(H2O)2·triglyme] and [Y(hfa)2·tetraglyme]+[Y(hfa)4], {CH3(OCH2CH2)nOCH3, n = 1 monoglyme, 2 diglyme, 3 triglyme and 4 tetraglyme}, were synthesized and characterized by elemental analysis, mass spectrometry, and IR, 1H and 13C NMR spectroscopy. Additionally, [Y(hfa)3·monoglyme] and [Y(hfa)3·diglyme] were characterized by single-crystal X-ray diffraction studies. The mass-transport properties of these adducts were investigated by thermogravimetric analysis, differential scanning calorimetry, evaporation-rate measurements and chemical vapour-deposition experiments. There is evidence of high volatility and very good thermal stabilities with a residue lower than 2,4 %. Vaporization-rate experiments proved that all adducts are well-suited for metal-organic chemical vapour-deposition experiments. The [Y(hfa)3·monoglyme] complex was successfully applied in the low-pressure MOCVD process of YBaCuO HTc superconductor using a multimetal molten single source. (© Wiley-VCH Verlag GmbH & Co. KGaA, 69451 Weinheim, Germany, 2004) [source] Perfect Bi4Ti3O12 Single-Crystal Films via Flux-Mediated Epitaxy,ADVANCED FUNCTIONAL MATERIALS, Issue 4 2006R. Takahashi Abstract Excellent crystallinity of material films and atomic control of their surface/interface, sufficient for the realization of their optimal physical properties, are technological premises for modern functional-device applications. Bi4Ti3O12 and related compounds attract much interest as highly insulating, ferroelectric materials for use in ferroelectric random-access memories. However, it has been difficult thus far for Bi4Ti3O12 films to satisfy such requirements when formed using vapor-phase epitaxy, owing to the high volatility of Bi in a vacuum. Here, we demonstrate that flux-mediated epitaxy is one of the most promising and widely applicable concepts to overcome this inevitable problem. The key point of this process is the appropriate selection of a multi-component flux system. A combinatorial approach has led to the successful discovery of the novel flux composition of Bi,Cu,O for Bi4Ti3O12 single-crystal film growth. The perfect single-crystal nature of the stoichiometric Bi4Ti3O12 film formed has been verified through its giant grain size and electric properties, equivalent to those of bulk single crystals. This demonstration has broad implications, opening up the possibility of preparing stoichiometric single-crystal oxide films via vapor-phase epitaxy, even if volatile constituents are required. [source] Reliability factors in business software: volatility, requirements and end-usersINFORMATION SYSTEMS JOURNAL, Issue 3 2002Paul L Bowen Abstract. Many business-oriented software applications are subject to frequent changes in requirements. This paper shows that, ceteris paribus, increases in the volatility of system requirements decrease the reliability of software. Further, systems that exhibit high volatility during the development phase are likely to have lower reliability during their operational phase. In addition to the typically higher volatility of requirements, end-users who specify the requirements of business-oriented systems are usually less technically oriented than people who specify the requirements of compilers, radar tracking systems or medical equipment. Hence, the characteristics of software reliability problems for business-oriented systems are likely to differ significantly from those of more technically oriented systems. [source] Real interest rates linkages between the USA and the UK in the postwar periodINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2005Angelos Kanas Abstract This paper addresses the issue of real interest rate linkages between the UK and the USA during the postwar period. We use a bivariate Markov switching vector error correction model, which accounts for both the regime switches in the real interest rates and their long-run cointegration properties over that period. We find strong evidence of two volatility regimes, namely a high-volatility and a low-volatility regime, jointly characterizing the US and the UK real interest rates. Evidence is found of high-volatility regime dependence between the two real interest rates. In addition, there is evidence of regime-dependent Granger causality: the US real interest rate Granger causes the UK only in the regime of high volatility. Copyright © 2005 John Wiley & Sons, Ltd. [source] Short Rate Dynamics and Regime Shifts,INTERNATIONAL REVIEW OF FINANCE, Issue 3 2009HAITAO LI ABSTRACT We characterize the dynamics of the US short-term interest rate using a Markov regime-switching model. Using a test developed by Garcia, we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it exhibits strong mean reversion and high volatility. In our model, the sensitivity of interest rate volatility to the level of interest rate is much lower than what is commonly found in the literature. We also show that the findings of nonlinear drift in Aït-Sahalia and Stanton, using nonparametric methods, are consistent with our regime-switching model. [source] Acaricidal properties of piperazine and its derivatives against house-dust and stored-food mitesPEST MANAGEMENT SCIENCE (FORMERLY: PESTICIDE SCIENCE), Issue 6 2009Chi-Hoon Lee Abstract BACKGROUND: Piperazine derivatives possess pharmacological properties, yet the acaricidal activity of these compounds has not been investigated. This study was conducted to evaluate the colour alteration and acaricidal activity of piperazine derivatives against Dermatophagoides spp. and Tyrophagus putrescentiae (Schrank) using filter paper and fumigant methods. RESULTS: In a fumigant bioassay, 1-phenylpiperazine (7.83 µg cm,2) against D. farinae (Hughes) was found to be 4.7 times more toxic than DEET (36.84 µg cm,2), followed by benzyl benzoate (9.72 µg cm,2), piperazine (11.41 µg cm,2), 1-ethoxycarbonylpiperazine (20.14 µg cm,2) and 1-(2-methoxyphenyl)piperazine (22.14 µg cm,2). In a filter paper bioassay, 1-(2-methoxyphenyl)piperazine (3.65 µg cm,2) was 5.7 times more toxic than DEET (20.64 µg cm,2), followed by 1-ethoxycarbonylpiperazine (4.02 µg cm,2), 1-phenylpiperazine (4.75 µg cm,2), benzyl benzoate (7.83 µg cm,2) and piperazine (10.59 µg cm,2). Similar results have been exhibited with piperazine derivatives against D. pteronyssinus (Troussart). However, no activity against T. putrescentiae was observed for piperazine derivatives, except for piperazine. CONCLUSIONS: These results indicate that piperazine derivatives may be suitable as vapour-phase acaricide fumigants owing to their high volatility, acaricidal activity and safety. 1-Phenylpiperazine was found to be an excellent mite indicator based on the colour change it induced. Taken together, these findings indicate that piperazine derivatives may be used to replace existing problematical acaricides owing to their activity and ability to act as a mite indicator. Copyright © 2009 Society of Chemical Industry [source] Evaluation of the environmental fate of thymol and phenethyl propionate in the laboratoryPEST MANAGEMENT SCIENCE (FORMERLY: PESTICIDE SCIENCE), Issue 7 2008Dingfei Hu Abstract BACKGROUND: The natural monoterpenoid pesticides thymol and phenethyl propionate (PEP) are used indoors and outdoors, but their fate in the environment has not been reported. In order better to understand their impact on the environment, water metabolism and soil metabolism studies were conducted with thymol and PEP at a concentration of 10 µg g,1 in water and in soil under laboratory conditions. RESULTS: Dissipation half-lives of thymol and PEP were 16 and 5 days in water and 5 and 4 days in soil. 2-Phenylethanol and 2-(4-hydroxyphenyl)ethanol were detected as primary degradation products of PEP. Over time, a considerable volatilization loss of thymol, but not of phenethyl propionate, was found in the 1 month study under the experimental conditions used. Less than 6% of thymol and PEP were detected as bound residues, and less than 3% were mineralized during the 30 day study. CONCLUSION: In order to maximize the pesticidal effect, more attention should be paid to the temperature for thymol than for PEP when they are being applied, owing to the high volatility of the former. Thymol and PEP pose low risks to the ecosystem because of their rapid dissipation and low bound residues in the environment. Copyright © 2008 Society of Chemical Industry [source] Control of composition and structure of ferroelectric oxide thin films grown by pulsed laser depositionPHYSICA STATUS SOLIDI (C) - CURRENT TOPICS IN SOLID STATE PHYSICS, Issue 10 2008Maryline Guilloux-Viry Abstract SrBi2Nb2O9 and KTa1,xNbxO3 high quality thin films were grown by pulsed laser deposition. An accurate optimization of deposition conditions is a prerequisite for the control of composition, mainly according to the high volatility of Bi and K. In order to take benefit of the ferroelectric characteristics for new microelectronic devices, thin films were epitaxially grown on various substrates and seed layers adapted to application requirements. For that purpose metal electrodes and ferroelectric oxides were associated in a planar capacitor geometry or in a coplanar configuration depending on the targeted applications. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim) [source] Reversing the lead, or a series of unfortunate events?THE JOURNAL OF FUTURES MARKETS, Issue 12 2009Amaranth, NYMEX A number of studies compare the efficiency and transparency of floor trading with automated/electronic trading systems in the competition for order flow. Although most of these studies find that electronic systems lead price discovery, a few studies highlight the weaknesses of electronic trading in highly volatile market conditions. A series of unusual events in 2006, sparking extreme volatility in natural gas futures trading, provide an ideal setting to revisit the resilience of trading system price leadership in the face of high volatility. We estimate time-varying Hasbrouck-style information shares to investigate the intertemporal and cross-sectional dynamics in price discovery. The results strongly suggest that the information share is time-dependent and contract-dependent. Floor trading dominates price discovery in the less liquid longer-maturity contracts, whereas electronic trading dominates price discovery in the most liquid spot-month contract. We find that the floor trading information share increases significantly with realized volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1130,1160, 2009 [source] Expiration day effects: The case of Hong KongTHE JOURNAL OF FUTURES MARKETS, Issue 1 2003Ying-Foon Chow Regulators around the world often express concerns about the high volatility of stock markets due to index derivative expirations. Earlier studies of expiration day effects have found large volume effects, abnormal return volatility, and price effects during the last hour of trading on expiration days when the settlement is based on the closing price. This article examines the impact of the expiration of Hang Seng Index (HSI) derivatives on the underlying cash market in Hong Kong for the period from 1990 to 1999. The HSI derivative market is different from most other markets in the sense that the settlement price is computed by taking the average of 5-minute quotations of the HSI on the last trading day, thus providing an alternative setting for testing expiration day effects. Our empirical findings indicate that expiration days in Hong Kong may be associated with a negative price effect and some return volatility on the underlying stock market, but there is no evidence of abnormal trading volume on the expiration day, or price reversal after expiration. Thus, the existence of expiration day effects cannot be confirmed in the Hong Kong market. [JEL classification: G13; G14; G15]. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:67,86, 2003 [source] | |||||||||||||