Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the multivariate relationship among English, German and French markets. To that, we used daily prices of FTSE100, DAX and CAC from July 2009 to July 2011, totalizing 508 observations. The volatility of markets and their dependences indicate vestiges of the current European financial crisis, presenting a cluster of volatility and decrease of correlations near to dates of important events. Further, we used CUSUM, MOSUM and F tests to verify the presence of structural change in the volatility of these markets. The results allow concluding that the three markets had the same estimated break point, which coincided with start of Greek crisis. After the peak of turbulence, the risk of these markets returned to lower levels, so they can again be considered as relevant options for international diversification.Risk Management, Multivariate Volatility, Structural Change, European markets.

A high-power and fast charging Li-ion battery with outstanding cycle-life

Electrochemical energy storage devices based on Li-ion cells currently power almost all electronic devices and power tools. The development of new Li-ion cell configurations by incorporating innovative functional components (electrode materials and electrolyte formulations) will allow to bring this technology beyond mobile electronics and to boost performance largely beyond the state-of-the-art. Here we demonstrate a new full Li-ion cell constituted by a high-potential cathode material, i.e. LiNi0.5Mn1.5O4, a safe nanostructured anode material, i.e. TiO2, and a composite electrolyte made by a mixture of an ionic liquid suitable for high potential applications, i.e. Pyr1,4PF6, a lithium salt, i.e. LiPF6, and standard organic carbonates. The final cell configuration is able to reversibly cycle lithium for thousands of cycles at 1000 mAg-1 and a capacity retention of 65% at cycle 2000. © 2017 The Author(s)

Nanoporous carbons from hydrothermally treated biomass as anode materials for lithium ion batteries

Biomass is transformed to carbon nanoparticles with surface-end groups called ‘hydrochar’ (HC) by an efficient and green hydrothermal carbonization (HTC) method. Three different approaches are used to introduce porosity to the HC: sole heat treatment, traditional potassium hydroxide (KOH) activation, and environmentally benign magnesium oxide (MgO) templating. All the resulting microporous materials are tested as Li-ion intercalation hosts in lithium cells by using an 1 M LiPF6 in EC/DMC electrolyte solution. They all show stable reversible capacities at elevated current rates (1C), closely comparable to the maximum theoretical capacity of graphite. Among all the materials studied, the HC-MA with a surface area of 150 m2 g1 and obtained by MgO templating of the hydrochar shows the best cycling performance in lithium cell at room temperature (307 mAh g1 at cycle 100 at 1C). The HC-600 with the highest degree of aromaticity/order, lowest content of oxygen functional groups and surface area of 250 m2 g1, obtained by heating the hydrochar at 600 C under inert atmosphere, shows the best power and overall performance with its ability to sustain high discharge/charge rates (1C, 2C, 5C, 10C, 20C). These electrochemical performances attained with materials of reasonable specific surface areas – obtained by green, low cost and practical strategies – can address the space limitations in Li-ion battery applications by improving volumetric energy densities

DESEMPENHO DE MODELOS CONDICIONAIS NA GESTÃO DE RISCO DO OURO

Even with studies to confront different risk models for gold, there is no consensus about what is the best approach or models when considering the presence of extreme negative values. To that, we employ a backtesting in conditional models with distinct distributions in order to estimate VaR and ES risk measures and, thus, find a pattern for the risk of investments in gold. We verify that the EVT approach has more conservative and volatile risk estimates, with satisfactory results in extreme situations. Incluso con los estudos que comparan diferentes modelos de riesgo para el oro, no hay consenso en lo que es el mejor enfoque o modelo cuándo se considera la presencia de valores negativos extremos. Para esto, se emplea un backtesting en modelos condicionales con distribuciones distintas, a fin de estimar las medidas de riesgo VaR y ES, y, así, encontrar un padrão para el riesgo de las inversiones en el ouro. Encontramos que el enfoque EVT hay estimaciones de riesgo más conservadora y volátil, con resultados satisfactorios en situaciones extremas.Mesmo com estudos que comparam diferentes modelos de risco para o ouro, não há consenso sobre qual é a melhor abordagem ou modelo quando se considera a presença de valores negativos extremos. Para isso, emprega-se um backtesting em modelos condicionais com distribuições distintas, a fim de estimar as medidas de risco VaR e ES, e, assim, encontrar um padrão para o risco dos investimentos no ouro. Verificamos que a abordagem EVT tem estimativas de risco mais conservadora e volátil, com resultados satisfatórios em situações extremas

Análise de desempenho financeiro setorial no mercado brasileiro

<div align="justify">O presente trabalho tem como objetivo auferir quais dos setores pertencentes àBM&F/Bovespa (Telecomunicações, Energia Elétrica, Industrial, Consumo,Imobiliário e Financeiro) possui o melhor desempenho. Para tanto são utilizadosindicadores referenciados na literatura de finanças (Índice de Sharpe, Índice deSortino, Índice de Treynor, Alfa de Jensen, Medida de Modigliani e Modigliani eÍndice de Informação). A amostra é composta por 812 observações (02/01/2007 a19/04/2010). Os resultados obtidos permitem concluir que o setor de Energia Elétricaobteve o melhor desempenho no período amostral estudado, sendo, dentre osíndices setoriais da BM&F/Bovespa, o mais indicado para diversos tipos decomposição, seja uma carteira inteira, uma fração da mesma ou diversificação.<br><br>Abstract The present paper aims ascertain which sectors of the BM&F/Bovespa(Telecommunications, Electric Energy, Industrial, Consumption, Real Estate andFinancial) has the best performance. For this are used indicators referenced in thefinance literature (Sharpe Index, Sortino Index, Treynor Index, Jensen's Alpha,Modigliani and Modigliani Measure and Information Index). The sample is composedfor 812 observations (2007/01/02 to 2010/04/19). The results obtained allowconcluding that the sector of Electric Energy obtained the best performance in thesample period studied, and, among the sectorial indices of the BM&F/Bovespa, the most suitable for various kinds of composition, it is entire portfolio, a fraction of thesame or diversification.</div

Laser Irradiation of a Bio-Waste Derived Carbon Unlocks Performance Enhancement in Secondary Lithium Batteries

Pyrolyzed carbons from bio-waste sources are renewable nanomaterials for sustainable negative electrodes in Li- and Na-ion batteries. Here, carbon derived from a hazelnut shell has been obtained by hydrothermal processing of the bio-waste followed by thermal treatments and laser irradiation in liquid. A non-focused nanosecond pulsed laser source has been used to irradiate pyrolyzed carbon particles suspended in acetonitrile to modify the surface and morphology. Morphological, structural, and compositional changes have been investigated by microscopy, spectroscopy, and diffraction to compare the materials properties after thermal treatments as well as before and after the irradiation. Laser irradiation in acetonitrile induces remarkable alteration in the nanomorphology, increase in the surface area and nitrogen enrichment of the carbon surfaces. These materials alterations are beneficial for the electrochemical performance in lithium half cells as proved by galvanostatic cycling at room temperature

On the existence of an optimal estimation window for risk measures

We investigate whether there can exist an optimal estimation window for financial risk measures. Accordingly, we propose a procedure that achieves optimal estimation window by minimizing estimation bias. Using results from a Monte Carlo simulation for Value at Risk and Expected Shortfall in distinct scenarios, we conclude that the optimal length for the estimation window is not random but has very clear patterns. Our findings can contribute to the literature, as studies have typically neglected the estimation window choice or relied on arbitrary choices

Transmissão da volatilidade entre ações de grandes e pequenas empresas no mercado brasileiro de capitais

Researches about volatility transmission between small and large company stocks had received great attention in last years. Based on this idea, the current paper aims to analyze the occurrence of volatility transmission  between small and large companies in Brazil. To that, we estimate multivariate GARCH models. As asset proxies we used the Small and Mid-Large cap BM&amp;F/Bovespa index. Results allow concluding that large company stocks impact the small stocks conditional volatility. However, the relationship does not maintain it in reverse direction. This result is in accord with the addressed subject.Estudos acerca da transmissão de volatilidade entre ações de grandes e pequenas empresas vêm recebendo grande atenção nos últimos anos. Com base nessa ideia, o presente artigo visa analisar a ocorrência de transmissão de volatilidade entre pequenas e grandes empresas no Brasil. Para tanto, foram estimados modelos GARCH multivariados. Como proxies dos ativos, utilizaram-se os índices Small Cap (pequenas empresas) e Mid-Large (grandes empresas) da BM&amp;F/Bovespa. Os resultados permitem concluir que as ações de grandes empresas impactam a volatilidade condicional das ações das pequenas empresas, embora o contrário não seja verdadeiro. Esse resultado está de acordo com a literatura inerente ao tema abordado.

Testes de quociente de variância do caminho aleatório nos índices setoriais brasileiros

This study aims to evaluate the hypothesis of random walk in the sector indexes of the BM&amp;F/ Bovespa through the use of variance ratio tests. For this purpose, we used daily prices of the sector indexes for the period from 03/01/2008 to 30/08/2011 totaling 880 observations. The results allow concluding that there is a pattern among the sectors, which is to reject the hypothesis of random walk for tests that consider lags singly and not to reject the tests that jointly consider the lags. However, the real estate industry rejects the hypothesis of random walk in all types of tests, revealing that there was arbitrage opportunity.Keywords: efficiency, variance ratio, random walk, sector indices, Brazilian market.O presente trabalho possui como objetivo testar a hipótese de caminho aleatório nos índices setoriais da BM&amp;F/Bovespa através da utilização de testes de quociente de variância. Para tanto, são utilizadas cotações diárias dos índices setoriais correspondentes ao período de 03/01/2008 a 30/08/2011, totalizando 880 observações. Os resultados obtidos permitem concluir que existe um padrão entre os setores, que é a rejeição da hipótese de caminho aleatório nos testes que consideram defasagens isoladas e não rejeição dos testes que consideram as defasagens conjuntamente. Entretanto, o setor imobiliário rejeita a hipótese de caminho aleatório em todos os tipos de teste, revelando que houve oportunidade de arbitragem.Palavras-chave: eficiência, quociente de variância, caminho aleatório, índices setoriais, mercado brasileiro