Modelling stock volatilities during financial crises: A time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying modelwhich provides the platformupon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.Open Access funded by European Research Council under a Creative Commons license

3-D Printed All-Dielectric GRIN Lens Antenna With an Integrated Feeder

In this paper we present the design, fabrication, and experimental verification of a new type of Graded-index (GRIN) lens antenna with an integrated feeder. The continuously varying refractive index distribution is chosen appropriately to offer the rays collimation at the lens aperture. It is practically implemented by varying the material density in a host medium, thus realizing a new type of all-dielectric high gain antenna, entirely using 3D printing. This solution can find application to high gain wireless communication and measurement systems. This GRIN lens antenna is printed in one monolithic process and does not require the feeder to be placed at a focal distance, thus complying with more strict space requirements. It accepts interchangeable feeds that can cover a wide frequency range. The directivity and gain are evaluated using near-field measurements in the Ku-band. A 40% measured aperture efficiency is achieved at 14GHz. The challenges and performance limitations that come with 3D printing, as compared to the design of idealized continuous distribution GRIN lenses are discussed

Creative Information Exploration in Journalism

Existing digital tools used by journalists such as content management systems and search engines focus on helping journalists find relevant information and organize their creative work; they do not provide support for discovering creative angles to investigate. To meet this need in journalism, we have researched new creative search algorithms that manipulate the journalist’s primary medium – written information – and developed an innovative creativity and productivity support tool deliberately for use by journalists. In this paper, we analyse the creative tasks journalists perform when developing new stories, we provide an overview of requirements, which have been addressed by the INJECT digital creativity support tool for journalists. Further, we explain the intended use of the system using a walkthrough scenario and present our early experiences from deploying the tool in journalist’s working environments

Evidences for Tsallis non-extensivity on CMR manganites

We found, from the analysis of $M$ vs. $T$ curves of some manganese oxides (manganites), that these systems do not follow the traditional Maxwell-Boltzmann statistics, but the Tsallis statistics, within the \QTR{em}{normalized} formalism. Curves were calculated within the mean field approximation, for various ferromagnetic samples and the results were compared to measurements of our own and to various other authors published data, chosen at random from the literature. The agreement between the experimental data and calculated $M_{q}$ vs. $T^{\ast}$ curve, where $T^{\ast}$ is an effective temperature, is excellent for all the compounds. The entropic parameter, $q$, correlates in a simple way with the experimental value of $T_{c}$, irrespect the chemical composition of the compounds, heat treatment or other details on sample preparation. Examples include $q<1$ (superextensivity), $q=1$ (extensivity) and $q>1$ (subextensivity) cases.Comment: 12 pages, 3 figure

TL and OSL response of turquoise for dosimetric application

Turquoise is one of the amongst first gem stones used in jewelry and possessing cultural value since 2000 BC (at least). This work attempts characterize this stone scientifically using both thermally (TL) and optically stimulated luminescence (OSL) techniques. The experimental investigation included 1) the study of the natural TL and OSL signals, 2) the reproducibility of TL sensitivity over repeated irradiation and TL readout cycles, 3) dependence of sensitivity on annealing temperatures and 4) the TL and OSL dose response curves. The potential use of the TL and OSL techniques in determination of provenance, accidental dosimetry and probably to authenticity and dating purposes are then discussed.Publisher's Versio

Addressing nodal constraints on the capacity of railways

As demand for passenger and freight transport on Britain’s railways increases, providing additional capacity and making the best use of the existing infrastructure are priorities for the industry. Since the stations and junctions forming the nodes of the railway network tend to form the constraints on route and network capacity, improved understanding of their operation and capacity characteristics is particularly important. This paper describes research undertaken to improve the understanding of nodal capacity and capacity utilisation, and to route and schedule trains more efficiently through nodes, thus improving service quality and/or releasing capacity for additional train service

Dynamic Collection Scheduling Using Remote Asset Monitoring: Case Study in the UK Charity Sector

Remote sensing technology is now coming onto the market in the waste collection sector. This technology allows waste and recycling receptacles to report their fill levels at regular intervals. This reporting enables collection schedules to be optimized dynamically to meet true servicing needs in a better way and so reduce transport costs and ensure that visits to clients are made in a timely fashion. This paper describes a real-life logistics problem faced by a leading UK charity that services its textile and book donation banks and its high street stores by using a common fleet of vehicles with various carrying capacities. Use of a common fleet gives rise to a vehicle routing problem in which visits to stores are on fixed days of the week with time window constraints and visits to banks (fitted with remote fill-monitoring technology) are made in a timely fashion so that the banks do not become full before collection. A tabu search algorithm was developed to provide vehicle routes for the next day of operation on the basis of the maximization of profit. A longer look-ahead period was not considered because donation rates to banks are highly variable. The algorithm included parameters that specified the minimum fill level (e.g., 50%) required to allow a visit to a bank and a penalty function used to encourage visits to banks that are becoming full. The results showed that the algorithm significantly reduced visits to banks and increased profit by up to 2.4%, with the best performance obtained when the donation rates were more variable

Structure inhomogeneities, shallow defects, and charge transport in the series of thermoelectric materials K2Bi8−xSbxSe13

The charge transport properties of the low-dimensional thermoelectric materials K2Bi8-xSbxSe13 (02Bi8-xSbxSe13 was analyzed on the basis of the classical semiconductor theory and discussed in the context of recent band calculations. The results suggest that the K2Bi8-xSbxSe13 materials possess coexisting domains with semimetallic and semiconducting characters whose ratio is influenced by the value of x and by local defects. The extent and relative distribution of these domains control the charge transport properties. Electron diffraction experiments performed on samples of K2Bi8-xSbxSe13 with x=1.6 show evidence for such domains by indicating regions with long range ordering of K+/Bi3+ atoms and regions with increased disorder. The semiconducting behavior is enhanced with increasing x (i.e., Sb/Bi ratio) in the composition through a decrease of the semimetallic fraction