86,723 research outputs found

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

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    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.

    "Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies"

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    This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models. Such inclusion increases the significant direct and indirect past shock and volatility effects on future volatility between the commodities, as compared with their effects in the all-commodity basic model (Model 1), which includes the highly-traded aluminum, copper, gold and oil. Model 2, which includes copper, gold, oil and exchange rate, displays more direct and indirect transmission than does Model 3, which replaces the business cycle-sensitive copper with the highly energy-intensive aluminum. Optimal portfolios should have more Euro than commodities, and more copper and gold than oil. The multivariate conditional volatility models reveal greater volatility spillovers than their univariate counterparts.

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

    Get PDF
    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.

    Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies

    Get PDF
    This paper examines the inclusion of the dollar/euro exchange rate together with important commodities in two different BEKK, or multivariate conditional covariance, models. Such inclusion increases the significant direct and indirect past shock and volatility effects on future volatility between the commodities, as compared with their effects in the all-commodity basic model (Model 1), which includes the highly-traded aluminum, copper, gold and oil. Model 2, which includes copper, gold, oil and exchange rate, displays more direct and indirect transmission than does Model 3, which replaces the business cycle-sensitive copper with the highly energy-intensive aluminum. Optimal portfolios should have more Euro than commodities, and more copper and gold than oil. The multivariate conditional volatility models reveal greater volatility spillovers than their univariate counterparts.

    Harnessing poly(ionic liquid)s for sensing applications

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    The interest in poly(ionic liquid)s for sensing applications is derived from their strong interactions to a variety of analytes. By combining the desirable mechanical properties of polymers with the physical and chemical properties of ILs, new materials can be created. The tunable nature of both ionic liquids and polymers allows for incredible diversity, which is exemplified in their broad applicability. In this article we examine the new field of poly(ionic liquid) sensors by providing a detailed look at the current state-of-the-art sensing devices for solvents, gases, biomolecules, pH, and anions

    Electronic response of graphene to linelike charge perturbations

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    The problem of electrostatic screening of a charged line by undoped or weakly doped graphene is treated beyond the linear-response theory. The induced electron density is found to be approximately doping independent, n(x)~(log x)^2/x^2, at intermediate distances x from the charged line. At larger x, twin p-n junctions may form if the external perturbation is repulsive for graphene charge carriers. The effect of such inhomogeneities on conductance and quantum capacitance of graphene is calculated. The results are relevant for transport properties of graphene grain boundaries and for local electrostatic control of graphene with ultrathin gates.Comment: Fixed typos and added reference

    Neutrino and anti-neutrino transport in accretion disks

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    We numerically solve the one dimensional Boltzmann equation of the neutrino and anti-neutrino transport in accretion disks and obtain the fully energy dependent and direction dependent neutrino and anti-neutrino emitting spectra, under condition that the distribution of the mass density,temperature and chemical components are given. Then, we apply the resulting neutrino and anti-neutrino emitting spectra to calculate the corresponding annihilation rate of neutrino pairs above the neutrino dominated accretion disk and find that the released energy resulting from the annihilation of neutrino pairs can not provide sufficient energy for the most energetic short gamma ray bursts whose isotropic luminosity can be as high as 105210^{52} ergs/s unless the high temperature zone where the temperature is beyond 10 MeV can stretch over 200 km in the disk. We also compare the resulting luminosity of neutrinos and anti-neutrinos with the results from the two commonly used approximate treatment of the neutrino and anti-neutrino luminosity: the Fermi-Dirac black body limit and a simplified model of neutrino transport, i.e., the gray body model, and find that both of them overestimate the neutrino/anti-neutrino luminosity and their annihilation rate greatly. Additionally, as did in Sawyer (2003), we also check the validity of the two stream approximation, and find that it is a good approximation to high accuracy.Comment: Phys. Rev. D in press, 15 preprint papers, 5 figure
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