The Dependence Structure in Credit Risk between Money and Derivatives Markets: A Time-Varying Conditional Copula Approach

Purpose The purpose of this paper is to examine the dynamic dependence structure in credit risk between the money market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market and CDS index spread for the derivatives market. Design/methodology/approach The dependence structure is measured by a time-varying Gaussian copula. A copula is a function that joins one-dimensional distribution functions together to form multivariate distribution functions. The copula contains all the information on the dependence structure of the random variables while also removing the linear correlation restriction. Therefore, provides a straightforward way of modelling non-linear and non-normal joint distributions. Findings The results show that the correlation between these two markets while fluctuating with a general upward trend prior to 2007 exhibited a noticeably higher correlation after 2007. This points to the evidence of credit contagion during the crisis. Three different phases are identified for the crisis period which sheds light on the nature of contagion mechanisms in financial markets. The correlation of the two spreads fell in early 2009, although remained higher than the pre-crisis level. This is partly due to policy intervention that lowered the TED spread while the CDS spread remained higher due to the Eurozone sovereign debt crisis. Originality/value The paper examines the relationship between the TED and CDS spreads which measure credit risk in an economy. This paper contributes to the literature on dynamic co-movement, contagion effects and risk linkages

NOSS Altimeter Detailed Algorithm specifications

The details of the algorithms and data sets required for satellite radar altimeter data processing are documented in a form suitable for (1) development of the benchmark software and (2) coding the operational software. The algorithms reported in detail are those established for altimeter processing. The algorithms which required some additional development before documenting for production were only scoped. The algorithms are divided into two levels of processing. The first level converts the data to engineering units and applies corrections for instrument variations. The second level provides geophysical measurements derived from altimeter parameters for oceanographic users

The Voice of Opportunity From China and Japan

https://digitalcommons.acu.edu/crs_books/1335/thumbnail.jp

Postcard: Spiker and McMillan Music Store, Columbus, Kansas

This monochrome photographic postcard features a music shop in Columbus, Kansas. The black and white photo is blue in hue. The shop contains pianos lined along the right wall. Display cases line the left wall. Violins hang on the right wall. Printed text is on the bottom of the card and handwriting is on the back of the card.https://scholars.fhsu.edu/tj_postcards/1553/thumbnail.jp

Models for the Effects of G-seat Cuing on Roll-axis Tracking Performance

Including whole-body motion in a flight simulator improves performance for a variety of tasks requiring a pilot to compensate for the effects of unexpected disturbances. A possible mechanism for this improvement is that whole-body motion provides high derivative vehicle state information whic allows the pilot to generate more lead in responding to the external disturbances. During development of motion simulating algorithms for an advanced g-cuing system it was discovered that an algorithm based on aircraft roll acceleration producted little or no performance improvement. On the other hand, algorithms based on roll position or roll velocity produced performance equivalent to whole-body motion. The analysis and modeling conducted at both the sensory system and manual control performance levels to explain the above results are described

Research in millimeter wave techniques

During the past six months, efforts on this project have been devoted to: (1) continuation of construction and testing of a 6 GHz subharmonic mixer model with extension of the pumping frequency of this mixer to omega sub s/4, (2) construction of a 183 GHz subharmonic mixer based on the results of tests on this 6 GHz model, (3) ground-based radiometric measurements at 183 GHz, (4) fabrication and testing of wire grid interferometers, (5) calculations of reflected and lost power in these interferometers, and (6) calculations of the antenna temperature due to water vapor to be expected in down-looking radiometry as a function of frequency. Significant events during the past six months include: (1) Receipt of a 183 GHz single-ended fundamental mixer, (2) attainment of 6 db single sideband conversion loss with the 6 GHz subharmonic mixer model by using a 1.5 GHz (omega sub s/4) pump frequency, (3) additional ground-based radiometric measurements and (4) derivation of equations for reflection and loss for wire grid interferometers

NOSS altimeter algorithm specifications

A description of all algorithms required for altimeter processing is given. Each description includes title, description, inputs/outputs, general algebraic sequences and data volume. All required input/output data files are described and the computer resources required for the entire altimeter processing system were estimated. The majority of the data processing requirements for any radar altimeter of the Seasat-1 type are scoped. Additions and deletions could be made for the specific altimeter products required by other projects