Speculative behaviour and oil price predictability

We develop two- and three-state regime switching models and test their forecasting ability for oil prices. We use the deviations of market oil price from fundamental values as the main explanatory variable in our models, while additional potential predictors enrich our specification. Our findings suggest that the regime-switching models are, in general, more accurate than the Random Walk model in terms of both statistical and economic evaluation criteria for oil price forecasts

Integration at a cost: Evidence from volatility impulse response functions

We investigate the international information transmission between the U.S. and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A pre-1995 and post- 1995 analysis reveals that the linkages between the markets have changed substantially in the more recent era, suggesting that national markets have become more interdependent. In the majority of the countries under scrutiny, we provide evidence of direct volatility spillovers, running mainly from the US and pointing to more rapid information transmission during the recent years. We further uncover the dynamics of the volatility spillovers between the international stock markets by means of a Volatility Impulse Response Analysis. Our findings, based on three historical shocks that have caused turbulence in the stock markets, suggest that the persistence of volatility shocks has increased substantially during the post-1995 period mainly due to increased persistence and interdependence in the volatility of all markets. As a result, volatility shocks in the international stock markets nowadays perpetuate for a significant longer period compared to the pre-1995 era.volatility spillovers,volatility impulse response functions,stock market, ARCH-BEKK

Electrical Re-Writable Non-Volatile Memory Device based on PEDOT:PSS Thin Film

open access articleIn this research, we investigate the memory behavior of poly(3,4 ethylenedioxythiophene) polystyrene sulfonate (PEDOT:PSS) cross bar structure memory cells. We demonstrate that Al/PEDOT:PSS/Al cells fabricated elements exhibit a bipolar switching and reproducible behavior via current–voltage, endurance, and retention time tests. We ascribe the physical origin of the bipolar switching to the change of the electrical conductivity of PEDOT:PSS due to electrical field induced dipolar reorientation

Club Convergence in Carbon Dioxide Emissions

We examine convergence in carbon dioxide emissions among 128 countries for the period 1960-2003 by means of a new methodology introduced by Phillips and Sul (Econometrica, 2007). Contrary to previous studies, our approach allows us to examine for evidence of club convergence, i.e. identify groups of countries that converge to different equilibria. Our results suggest convergence in per capita CO2 emissions among all the countries under scrutiny in the early years of our sample. However, there seems to be two separate convergence clubs in the recent era that converge to different steady states. Interestingly, we also find evidence of transitioning between the two convergence clubs suggesting either a slow convergence between the two clubs or a tendency for some countries to move from one convergence club to the other.

The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study

In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this speciÞcation. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the nuisance-parameter free property to hold, and address the issue of their necessity, using the ßexible framework offered by the GARCH(1,1) model in terms of moment, memory and time heterogeneity properties. By means of Monte Carlo simulations, we show that the BDS test statistic still approximates the standard null distribution even for mildly explosive processes that violate the majority of the conditions. Thus, the test performs reasonably well, its empirical size being rather close to the nominal one. As a by-product of this study, we also shed light on the related issue of consistency of the QML estimators of the conditional variance parameters under various parameter conÞgurations and alternative distributional assumptions on the innovation process