Development of a technique for forming helical coils Final report

Roll forming technique for fabricating helical coils for use as recording surfaces in tape recorder

How wacky is the DAX? The changing structure of German stock market volatility

In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after 1997 but the volatility persistence also increased. That means that there is a greater likelihood of high volatility days being followed by further high volatility days. An immediate consequence is that the tails of the distribution of stock market returns become fatter or that the probability of extreme price movements becomes greater. The break in volatility is not only a phenomenon of the index itself; the returns of the underlying equities also show a volatility break. If the volatility is decomposed into market and firm-specific or idiosyncratic components, the idiosyncratic volatility is shown to have increased much more than the market volatility. This is probably connected to the declining correlations among individual stock returns and has implications for portfolio diversification. When analysing potential reasons for the break in volatility, we find that the increase in the volatility of the German stock market cannot be attributed to international spillovers alone. Domestic factors which may help to explain the break in volatility are the growing number of institutional investors and the increase in the volatility of longer-term interest rates. -- Dieses Arbeitspapier analysiert Veränderungen der Volatilität des Deutschen Aktienindex (DAX) und der in ihm enthaltenen Aktienwerte. Ein kürzlich entwickelter Test zeigt einen Bruch im Ausmaß der Schwankungen der Aktienrenditen im Jahr 1997 an. Seitdem nahm nicht nur die Volatilität der täglichen Aktienrenditen deutlich zu, sondern es stieg auch deren Persistenz an. Das heißt, auf Tage mit hohen Schwankungen folgen jetzt viel häufiger Tage mit ebenfalls hoher Volatilität. Die ebenso höhere Wahrscheinlichkeit extremer Preisschwankungen zeigt sich darin, dass die Verteilung der Aktienkurserträge deutlich mehr Masse in den Rändern aufweist. Interessanterweise läst sich der Bruch in der Volatilitä nicht nur im Index, sondern auch bei fast allen Einzelwerten etwa zum selben Zeitpunkt nachweisen. Eine Zerlegung der Volatilität in eine Marktkomponente und eine firmenspezifische oder idiosynkratische Komponente zeigt desweiteren, dass letztere viel stärker angestiegen ist als das systematische oder Marktrisiko. Im Zusammenhang damit stehen die gesunkenen Korrelationen zwischen den Einzelaktien; diese haben Auswirkungen auf die Risikodiversifikation eines Portfolios. Als mögliche Ursachen für den Anstieg der Volatilität können nicht allein Übertragungen von Schwankungen anderer internationaler Märkte, insbesondere des amerikanischen Marktes, gelten. Heimische Faktoren, die helfen können den Bruch in der Dynamik der Schwankungen der Aktienerträge zu erklären, sind die zunehmende Rolle institutioneller Investoren am Aktienmarkt und die steigende Volatilität von Langfristzinsen.market and idiosyncratic volatility,test on break in volatility dynamics,institutional ownership

Price discovery on traded inflation expectations: does the financial crisis matter?

We analyze contributions of different markets to price discovery on traded inflation expectations and how it changed during the financial crisis. The quicker information is processed on one market and the less one market is disrupted by the financial crisis the more valuable is its information for central banks and market participants. We use a new high frequency data set on inflation-indexed and nominal government bonds as well as inflation swaps to calculate information shares of break-even inflation rates in the euro area and the US. For maturities up to 5 years new information comes from both the swap and the bond markets. For longer maturities the swap market provides less and less information in the euro area. In the US where the market volume of inflation-linked bonds is large the bond market dominates the price discovery process for all maturities. The severe financial crisis that spread out in Autumn 2008 drove a wedge between bond and swap break-even inflation rates in both currencies. Price discovery ceased to take place on the swap market. Disruptions coming from the short-end of the market even separated price formation on both segments for maturities of up to 6 years in the US. Against the backdrop of the most severe financial crisis in decades contributions to price formation concentrated a lot more on the presumably safest financial instrument: government bonds. --Inflation-linked bonds,inflation swaps,price discovery,financial crisis

Influence of Surface and Atmospheric Thermodynamic Properties on the Cloud Radiative Forcing and Radiative Energy Budget in the Arctic

The Arctic climate has changed significantly in the last decades, experiencing a dramatic loss of sea ice and stronger than global warming. The Arctic surface temperature and the growth or melt of sea ice is determined by the local surface energy budget. In this context, clouds are of essential importance as they strongly interact with the radiative fluxes and modulate the surface energy budget depending on their properties, the surface types, and atmospheric thermodynamics. For the quantification of changes in the radiative energy budget (REB) associated with the presence or absence of clouds, the concept of cloud radiative forcing (CRF) is commonly used. This concept is defined as the differences between the REB in cloudy and cloud-free conditions, two atmospheric states which can not be observed at the same location and time. Consequently, either radiative transfer simulations or observations in both states have to be related, both of which complicate the derivation of CRF. A review of available studies and their approaches to derive the CRF reveals conceptual differences as well as deficiencies in the handling of radiative processes related to the surface albedo. These findings call into question the current state of CRF assessment in the Arctic based on the few available studies, but also their comparability. By combining atmospheric radiative transfer simulations with a snow albedo model, two processes that control the surface albedo during the transition from cloud-free to cloudy conditions and their role in the derivation of CRF are discussed. The broadband surface albedo of snow surfaces typically increases in the presence of clouds due to a spectral weighting of downward irradiance toward shorter wavelengths. For more absorbing surface types such as white ice and melt ponds, which are common in summer, there is a strong shift between the albedo of direct and diffuse illuminated surface, which diminishes the surface albedo depending on the cloud optical thickness and solar zenith angle. In this thesis, a hypothesis on the impact of those surface-albedo--cloud interactions on the annual cycle of shortwave CRF is discussed, but an application to inner Arctic conditions remains an open issue. An improved method to derive the shortwave CRF is proposed and an application to two airborne campaigns in the marginal sea ice zone northwest of Svalbard (Norway) illustrates the role of surface-albedo--cloud interactions in the Arctic in spring and early summer. For the longwave CRF, conceptual differences and the general interpretation of the different CRF estimates are discussed and illustrated for a case study. Radiative transfer simulations of a rarely observed annual cycle of thermodynamic profiles in the inner Arctic are used to study both longwave CRF approaches and the impact of thermodynamic profiles on the longwave CRF. Making use of airborne low-level flights in the MIZ and other available datasets, common seasonal radiative states on sea ice and case studies of warm air intrusions and cold air outbreaks are illustrated. The CRF is analyzed as a function of the observed cloud/surface regime, which is extended by radiative transfer simulations characterizing the conditions in this region and seasons