Testing for Cointegration with Nonstationary Volatility

The paper generalises recent unit root tests for nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix lead to size distortions in conventional cointegration tests, and possibilities of increased power by taking the time-varying volatilities and correlations into account. The testing procedures are based on a likelihood analysis of the vector autoregressive model with a conditional covariance matrix that may be estimated nonparametrically. We find that under suitable conditions, adaptation with respect to the volatility matrix process is possible, in the sense that nonparametric volatility estimation does not lead to a loss of asymptotic local power

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

This paper develops nonparametric specification tests for stochastic volatility models by comparing the nonparametically estimated return density and distribution functions with their parametric counterparts. Asymptotic null distributions of the tests are derived and the tests are shown to be consistent. Extensive Monte Carlo experiments are performed to study the finite sample properties of the tests. The tests are applied to an empirical dataset and we find the estimated stochastic volatility model is misspecified

Numerical simulation of bubbles deformation, flow and coalescence in a microchannel under pseudo-nucleation conditions

This paper was presented at the 2nd Micro and Nano Flows Conference (MNF2009), which was held at Brunel University, West London, UK. The conference was organised by Brunel University and supported by the Institution of Mechanical Engineers, IPEM, the Italian Union of Thermofluid dynamics, the Process Intensification Network, HEXAG - the Heat Exchange Action Group and the Institute of Mathematics and its Applications.The paper reports results of numerical study on bubbles deformation, flow and coalescence under pseudo nucleate boiling conditions in horizontal mini-/micro- channels. The numerical simulation, which is based on the multiphase model of volume of fluid (VOF) method, aims to study the corresponding flow behaviours of nucleate bubbles generated from the tube walls in mini/micro channels so as to understand the effect of confined surfaces/walls on nucleate bubbles and heat transfer. Under the pseudo or quasi nucleate boiling condition, small superheated vapour bubbles are injected at the wall to ensure that the bubbles generation is under a similar condition of real nucleation. The numerical study examined the fluid mechanics of bubble motion with heat transfer, but the mass transfer across the bubble-liquid interface is not simulated in the present work.This work is supported by the UK EPSRC under grant EP/D500125/01

Lattice Boltzmann modelling of droplets on chemically heterogeneous surfaces with large liquid-gas density ratio

This paper was presented at the 2nd Micro and Nano Flows Conference (MNF2009), which was held at Brunel University, West London, UK. The conference was organised by Brunel University and supported by the Institution of Mechanical Engineers, IPEM, the Italian Union of Thermofluid dynamics, the Process Intensification Network, HEXAG - the Heat Exchange Action Group and the Institute of Mathematics and its Applications.A lattice Boltzmann method which can simulate droplet dynamics on partial wetting surface with large liquid-gas density ratio is proposed. The interaction between the fluid-fluid interface and the partial wetting wall is typically considered. Using the method, the dynamics of liquid drops on chemically heterogeneous surfaces are numerically simulated. The corresponding mechanisms including droplet spreading, break-up and migration on such surfaces are studied on the basis of droplet shapes, moving contact lines and velocity fields.This work is supported by the UK EPSRC under grant EP/D500125/1

LBM, a useful tool for mesoscale modelling of single phase and multiphase flow – the variety of applications and approaches at Nottingham

This paper was presented at the 2nd Micro and Nano Flows Conference (MNF2009), which was held at Brunel University, West London, UK. The conference was organised by Brunel University and supported by the Institution of Mechanical Engineers, IPEM, the Italian Union of Thermofluid dynamics, the Process Intensification Network, HEXAG - the Heat Exchange Action Group and the Institute of Mathematics and its Applications.Giving an overview of Nottingham group’s recent progress on numerical modelling and approaches in developing and applying the lattice Boltzmann method (LBM), the paper tries to demonstrate that the LBM is a useful tool for mesoscale modelling of single phase and multiphase flow. The variety of applications of the LBM modelling is reported, which include single phase fluid flow and heat transfer around or across rotational cylinder of curved boundary, two-phase flow in mixing layer, electroosmotically driven flow in thin liquid layer, bubbles/drops flow and coalescence in conventional channels and in microchannels with confined boundary, liquid droplets in gas with relative large density ratio; viscous fingering phenomena of immiscible fluids displacement, and flow in porous media

NADH oxidation at fluorosurfactant-covered metal electrodes

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