Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil- in symmetric and asymmetric multivariate GARCH and DCC models. The inclusion of exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the commodities in all the models. Model 2, which includes the business cycle industrial metal copper and not aluminum, displays more direct and indirect transmissions than does Model 3, which replaces the business cycle-sensitive copper with the highly energy-intensive aluminum. The asymmetric effects are the greatest in Model 3 because of the high interactions between oil and aluminum. Optimal portfolios should have more euro currency than commodities, and more copper and gold than oil.hedging;volatility;shocks;MGARCH;transmission;asymmetries

Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets

Upon examining own volatility dependency for the three major sectors, namely Service, Industrial and Banking, in four GCC economies (Kuwait, Qatar, Saudi Arabia and UAE), the empirical findings suggest that Banking seems to be the least sensitive among the sectors to past own volatility, while Industrial is the most volatile to the onset of past shocks or news. Sector volatility spillovers show that Saudi Arabia has the least inter-sector spillovers, while tiny Qatar has the most. Saudi Arabia seems to be the most sensitive to geopolitics, while Kuwait is the least affected. The constant conditional correlations between the three sectors for all four GCC markets echo different economic advantages and varying roles in the economy. We also provide two examples using the estimates of the GCC equity sector markets for portfolio designs and hedging strategies.

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for the four metals system show significant short-run and long-run dependencies and interdependencies to news and past volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a differential impact on the precious metals and the exchange rate volatilities. Finally, the applications of the results show the optimal weights in a two-asset portfolio and the hedging ratios for long positions.exchange rates;hedging;volatility;shocks;precious metals;correlation;dependency;interdependency;multivariate

Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets

Upon examining own volatility dependency for the three major sectors, namely Service, Industrial and Banking, in four GCC economies (Kuwait, Qatar, Saudi Arabia and UAE), the empirical findings suggest that Banking seems to be the least sensitive among the sectors to past own volatility, while Industrial is the most volatile to the onset of past shocks or news. Sector volatility spillovers show that Saudi Arabia has the least inter-sector spillovers, while tiny Qatar has the most. Saudi Arabia seems to be the most sensitive to geopolitics, while Kuwait is the least affected. The constant conditional correlations between the three sectors for all four GCC markets echo different economic advantages and varying roles in the economy. We also provide two examples using the estimates of the GCC equity sector markets for portfolio designs and hedging strategies

Low-Luminosity Accretion in Black Hole X-ray Binaries and Active Galactic Nuclei

At luminosities below a few percent of Eddington, accreting black holes switch to a hard spectral state which is very different from the soft blackbody-like spectral state that is found at higher luminosities. The hard state is well-described by a two-temperature, optically thin, geometrically thick, advection-dominated accretion flow (ADAF) in which the ions are extremely hot (up to $10^{12}$ K near the black hole), the electrons are also hot ($\sim10^{9-10.5}$ K), and thermal Comptonization dominates the X-ray emission. The radiative efficiency of an ADAF decreases rapidly with decreasing mass accretion rate, becoming extremely low when a source reaches quiescence. ADAFs are expected to have strong outflows, which may explain why relativistic jets are often inferred from the radio emission of these sources. It has been suggested that most of the X-ray emission also comes from a jet, but this is less well established.Comment: To appear in "From X-ray Binaries to Quasars: Black Hole Accretion on All Mass Scales" edited by T. Maccarone, R. Fender, L. Ho, to be published as a special edition of "Astrophysics and Space Science" by Kluwe

Finite Element Convergence for the Joule Heating Problem with Mixed Boundary Conditions

We prove strong convergence of conforming finite element approximations to the stationary Joule heating problem with mixed boundary conditions on Lipschitz domains in three spatial dimensions. We show optimal global regularity estimates on creased domains and prove a priori and a posteriori bounds for shape regular meshes.Comment: Keywords: Joule heating problem, thermistors, a posteriori error analysis, a priori error analysis, finite element metho

Gastric cancer and Helicobacter pylori: a combined analysis of 12 case control studies nested within prospective cohorts

BACKGROUND: The magnitude of the association between Helicobacter pylori and incidence of gastric cancer is unclear. H pylori infection and the circulating antibody response can be lost with development of cancer; thus retrospective studies are subject to bias resulting from classifi- cation of cases as H pylori negative when they were infected in the past. AIMS: To combine data from all case control studies nested within prospective cohorts to assess more reliably the relative risk of gastric cancer associated with H pylori infection.To investigate variation in relative risk by age, sex, cancer type and subsite, and interval between blood sampling and cancer diagnosis. METHODS: Studies were eligible if blood samples for H pylori serology were collected before diagnosis of gastric cancer in cases. Identified published studies and two unpublished studies were included. Individual subject data were obtained for each. Matched odds ratios (ORs) and 95% confidence intervals (95% CI) were calculated for the association between H pylori and gastric cancer. RESULTS: Twelve studies with 1228 gastric cancer cases were considered. The association with H pylori was restricted to noncardia cancers (OR 3.0; 95% CI 2.3–3.8) and was stronger when blood samples for H pylori serology were collected 10+ years before cancer diagnosis (5.9; 3.4–10.3). H pylori infection was not associated with an altered overall risk of cardia cancer (1.0; 0.7–1.4). CONCLUSIONS: These results suggest that 5.9 is the best estimate of the relative risk of non-cardia cancer associated with H pylori infection and that H pylori does not increase the risk of cardia cancer. They also support the idea that when H pylori status is assessed close to cancer diagnosis, the magnitude of the non-cardia association may be underestimated

Succinct Indices for Range Queries with applications to Orthogonal Range Maxima

We consider the problem of preprocessing $N$ points in 2D, each endowed with a priority, to answer the following queries: given a axis-parallel rectangle, determine the point with the largest priority in the rectangle. Using the ideas of the \emph{effective entropy} of range maxima queries and \emph{succinct indices} for range maxima queries, we obtain a structure that uses O(N) words and answers the above query in $O(\log N \log \log N)$ time. This is a direct improvement of Chazelle's result from FOCS 1985 for this problem -- Chazelle required $O(N/\epsilon)$ words to answer queries in $O((\log N)^{1+\epsilon})$ time for any constant $\epsilon > 0$.Comment: To appear in ICALP 201

Magnetoluminescence

Pulsar Wind Nebulae, Blazars, Gamma Ray Bursts and Magnetars all contain regions where the electromagnetic energy density greatly exceeds the plasma energy density. These sources exhibit dramatic flaring activity where the electromagnetic energy distributed over large volumes, appears to be converted efficiently into high energy particles and gamma-rays. We call this general process magnetoluminescence. Global requirements on the underlying, extreme particle acceleration processes are described and the likely importance of relativistic beaming in enhancing the observed radiation from a flare is emphasized. Recent research on fluid descriptions of unstable electromagnetic configurations are summarized and progress on the associated kinetic simulations that are needed to account for the acceleration and radiation is discussed. Future observational, simulation and experimental opportunities are briefly summarized.Comment: To appear in "Jets and Winds in Pulsar Wind Nebulae, Gamma-ray Bursts and Blazars: Physics of Extreme Energy Release" of the Space Science Reviews serie