Possible strong symmetric hydrogen bonding in disodium trihydrogen bis(2,2'-oxydiacetate) nitrate

In the title compound, 2Na+·C8H11O10-·NO3-, the NaI atom is heptacoordinate with an approximately pentagonal-bipyramidal geometry. A possible strong symmetric hydrogen bond, with the H atom located at an inversion centre and an OO distance of 2.450 (2) Å, is observed in the crystal structure

First heterometallic GaIII-DyIII single-molecule magnets: Implication of GaIII in extracting Fe-Dy interaction

The compounds of the system [M4M′2(μ3-OH)2(nbdea)4(C6H5CO2)8]·MeCN, where M = GaIII, M′ = DyIII (2), M = FeIII, M′ = YIII (3) are isostructural to the known [Fe4Dy2] compound (1). Those of the system [M4M′4(μ3-OH)4(nbdea)4(m-CH3C6H4CO2)12]·nMeCN, where M = GaIII, M′ = DyIII, n = 4 (5), M = FeIII, M′ = YIII, n = 1 (6) are isostructural to the [Fe4Dy4] compound (4). This allows for comparisons between single ion effects of the paramagnetic ions. The structures were determined using single crystal analysis. Magnetic susceptibility measurements reveal that the GaIII–DyIII compounds 2 and 5 are SMMs. The energy barrier for 2 is close to that for the known isostructural Fe4Dy2 compound (1), but with a significantly increased relaxation time

A Capital Adequacy Buffer Model

__Abstract__ In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures distance to default and the timeless capital asset pricing model (CAPM) which measures additional returns to compensate for additional share price risk

Nonparametric Multiple Change Point Analysis of the Global Financial Crisis

This paper presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in a data set, namely major financial market indices converted to financial return series. The general problem concerns the inference of a change in the distribution of a set of time-ordered variables. The approach involves the nonparametric estimation of both the number of change points and the positions at which they occur. The approach is general and does not involve assumptions about the nature of the distributions involved or the type of change beyond the assumption of the existence of the α absolute moment, for some α ε (0,2). The estimation procedure is based on hierarchical clustering and the application of both divisive and agglomerative algorithms. The method is used to evaluate the impact of the Global Financial Crisis (GFC) on the US, French, German, UK, Japanese and Chinese markets, as represented by the S&P500, CAC, DAX, FTSE All Share, Nikkei 225 and Shanghai A share Indices, respectively, from 2003 to 2013. The approach is used to explore the timing and number of change points in the datasets corresponding to the GFC and subsequent European Debt Crisis

A Capital Adequacy Buffer Model

__Abstract__ In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures distance to default and the timeless capital asset pricing model (CAPM) which measures additional returns to compensate for additional share price risk

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to Octobe

Volatility Spillovers from Australia's Major Trading Partners across the GFC

__Abstract__ This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These markets are represented by the following major indices: The Shanghai composite and the Hangseng. (in the case of China, as both China and Hong Kong appear in Australian trade statistics), the S&P500 index, the Nikkei225 and the Kospi index. We apply the Diebold and Yilmaz (2009) Spillover Index, constructed in a VAR framework, to assess spillovers across these markets in returns and in volatilities. The analysis confirms that the US and Hong Kong markets have the greatest influence on the Australian one. We then move to a GARCH framework to apply further analysis and apply a tri-variate Cholesky-GARCH model to explore the effects from the US and Chinese market, as represented by the Hang Seng Index

Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nin