Leverage effects and stochastic volatility in spot oil returns : A Bayesian approach with VaR and CVaR applications

Crude oil markets have been quite volatile and risky in the past few decades due to the large fluctuations of oil prices. A large number of studies have shown that oil price fluctuations could have considerable impact on economic activities. We contribute to the current debate by testing for the existence of the leverage effect when considering daily spot returns in the WTI and Brent crude oil markets and by studying the direct impact of the leverage effect on measures of risk such as VaR and CVaR. More specifically, in order to address the risk faced by oil suppliers and oil consumers we model spot crude oil returns using Stochastic Volatility (SV) models with various distributions of the errors. Among other cases, we test the assumption of Asymmetric Laplace Distributed (ALD) errors in order to more carefully model the type of risk faced by oil suppliers versus the risk faced by oil buyers. We find that the introduction of the leverage effect in the traditional SV model with Normally distributed errors is capable of adequately estimating risk (in a VaR and CVaR sense) for conservative oil suppliers in both the WTI and Brent markets while it tends to overestimate risk for more speculative oil suppliers. In comparison, the assumption of ALD errors leads to overestimating risk for both types of investors

Time-dependent Pancharatnam phases and quantum correlations for coupling superconducting two-qubit system with dissipative environment

Two coupling superconducting qubits are studied for the quantum concurrence, discord, and Pancharatnam phase, for the X and Y states under the dephasing and instantaneous decay environment as well as their couplings. We find that the X and Y states are special mixed states according to the Bloch radius. In general, the larger the environment and phonon number are at the larger region of time, the larger the quantum concurrence and discord are. But we find that the environment correlations are helpful to implement the quantum computation. The Pancharatnam phases provide a way to distinguish the X and Y states

Crude oil He and Ar isotopic characteristics and their geochemical significance: an example from the Gangxi oil field in the Huanghua depression

Sampled from the Gangxi oil field in the Huanghua depression, Bohaiwan Basin, the crude oil He and Ar isotopic compositions and their geochemical significance were investigated. The result shows that i) the 3He/4He values of the six oil samples free from air contamination indicate a mantle helium contribution ranging between 13.9% and 32.8% and averaging 24.1%, which means that the Gangxi oil field once had a tectonic background of the mantle-derived helium input and higher geothermal flow with an average of 75.0 mWm-2; ii) deduced from the 40Ar/36Ar aging effect the Gangxi oil should be derived from the Tertiary; iii) water injection is the main reason for the air contamination for the Gangxi oil noble gases and the relations between 3He/4He and 4He/20Ne as well as 40Ar/36Ar and 4He/20Ne are of an applicative potential in estimating the water injection effect and the connectivity of producing formations. The search for the crude oil He and Ar isotopes provides a new approach to inferring natural gas and oil sources, tectonic backgrounds, geothermal flow and water injection effect

Influence of plastic deformation and controlled cooling after rolling on low temp. spheroidization annealing of sheet steel

35.00; Translated from Chinese (Iron Steel (China) 1985 v. 20(8) p. 16-22)Available from British Library Document Supply Centre- DSC:9022.06(BISI--25000)T / BLDSC - British Library Document Supply CentreSIGLEGBUnited Kingdo