Search results
1 – 10 of 330Huiyu Sun, Guangming Song, Zhong Wei and Ying Zhang
This paper aims to tele-operate the movement of an unmanned aerial vehicle (UAV) in the obstructed environment with asymmetric time-varying delays. A simple passive proportional…
Abstract
Purpose
This paper aims to tele-operate the movement of an unmanned aerial vehicle (UAV) in the obstructed environment with asymmetric time-varying delays. A simple passive proportional velocity errors plus damping injection (P-like) controller is proposed to deal with the asymmetric time-varying delays in the aerial teleoperation system.
Design/methodology/approach
This paper presents both theoretical and real-time experimental results of the bilateral teleoperation system of a UAV for collision avoidance over the wireless network. First, a position-velocity workspace mapping is used to solve the master-slave kinematic/dynamic dissimilarity. Second, a P-like controller is proposed to ensure the stability of the time-delayed bilateral teleoperation system with asymmetric time-varying delays. The stability is analyzed by the Lyapunov–Krasovskii function and the delay-dependent stability criteria are obtained under linear-matrix-inequalities conditions. Third, a vision-based localization is presented to calibrate the UAV’s pose and provide the relative distance for obstacle avoidance with a high accuracy. Finally, the performance of the teleoperation scheme is evaluated by both human-in-the-loop simulations and real-time experiments where a single UAV flies through the obstructed environment.
Findings
Experimental results demonstrate that the teleoperation system can maintain passivity and collision avoidance can be achieved with a high accuracy for asymmetric time-varying delays. Moreover, the operator could tele-sense the force reflection to improve the maneuverability in the aerial teleoperation.
Originality/value
A real-time bilateral teleoperation system of a UAV for collision avoidance is performed in the laboratory. A force and visual interface is designed to provide force and visual feedback of the slave environment to the operator.
Details
Keywords
Gülfen Tuna, Vedat Ender Tuna, Mirsariyya Aghalarova and Ahmet Bülent Atasoy
This study aims to reveal new information about the relationship between energy consumption and economic growth for the time-varying causality.
Abstract
Purpose
This study aims to reveal new information about the relationship between energy consumption and economic growth for the time-varying causality.
Design/methodology/approach
Economic growth and renewable and nonrenewable energy consumption data of the G7 countries (Canada, France, Germany, Italy, Japan, the UK and the USA) for the 1980–2016 period were used in the study. The nonasymmetric causality test developed by Hacker and Hatemi-J (2006) and both traditional and time-varying forms of the asymmetric causality test by Hatemi-J (2012) were used as the study method.
Findings
While the study favors feedback hypothesis for renewable energy consumption in the nonasymmetric causality tests in the UK economy, it favors the same hypothesis for nonrenewable energy consumption in the US economy. However, according to the results reported by Hatemi-J (2012), the feedback hypothesis, which is supported for the UK, is supported only in positive shocks, yet not for each period of analysis. Similarly, feedback hypothesis, which is supported in the USA, is supported only in the negative shocks, yet not for each period of analysis.
Originality/value
This study examined that the asymmetric causality relationship between variables can be analyzed in time-varying form. Therefore, whether positive and negative shocks in renewable and nonrenewable energy consumption always provide useful information in estimations about economic growth is analyzed.
Details
Keywords
Carlos Montes-Galdón and Eva Ortega
This chapter proposes a vector autoregressive VAR model with structural shocks (SVAR) that are identified using sign restrictions, and whose distribution is subject to time varying…
Abstract
This chapter proposes a vector autoregressive VAR model with structural shocks (SVAR) that are identified using sign restrictions, and whose distribution is subject to time varying skewness. The authors also present an efficient Bayesian algorithm to estimate the model. The model allows tracking joint asymmetric risks to macroeconomic variables included in the SVAR, and provides a structural narrative to the evolution of those risks. When faced with euro area data, our estimation suggests that there has been a significant variation in the skewness of demand, supply and monetary policy shocks. Such variation can explain a significant proportion of the joint dynamics of real GDP growth and inflation, and also generates important asymmetric tail risks in those macroeconomic variables. Finally, compared to the literature on growth- and inflation-at-risk, the authors find that financial stress indicators are not enough to explain all the macroeconomic tail risks.
Details
Keywords
Yang Gao, Yangyang Li and Yaojun Wang
This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.
Abstract
Purpose
This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.
Design/methodology/approach
This study takes the Baidu index of “green finance” as the proxy for investor attention and constructs several generalized prediction error variance decomposition models to investigate the interdependence. It further analyzes the dynamic interaction between investor attention and the return and volatility of green security markets using the rolling time window.
Findings
The empirical analysis and robustness test results reveal that the spillovers between investor attention and the return and volatility of the green bond market are relatively stable. In contrast, the spillover level between investor attention and the green stock market displays significant time-varying and asymmetric effects. Moreover, the volatility spillover between investor attention and green securities is vulnerable to major financial events, while the return spillover is extremely sensitive to market performance.
Originality/value
The conclusion further expands the practical application and theoretical framework of behavioral finance in green finance and provides a new reference for investors and regulators. Besides, this study also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management in green securities.
Details
Keywords
Hyo-Chan Lee, Seyoung Park and Jong Mun Yoon
This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a…
Abstract
This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a certain threshold. This study presents other results that refine or extend this one by integrating timing flexibility and changes in cash flows with time-varying transition probabilities for regime switching. This study emphasizes that optimal thresholds are either overvalued or undervalued in the absence of time-varying transition probabilities. Accordingly, the stochastic nature of transition probabilities has important implications to the search for optimal timing of investment.
Details
Keywords
Property purchasers who rescind on their contracts and forfeit the initial deposits are exercising their right to not proceed with the purchase. The deposit to purchase endows on…
Abstract
Property purchasers who rescind on their contracts and forfeit the initial deposits are exercising their right to not proceed with the purchase. The deposit to purchase endows on the buyer an implicit call option that is valuable and the value exceeds the face value of the deposit. As such, real estate sellers and developers are not adequately compensated for the abortion risk, especially when there is no legal recourse for the sellers to seek specific performance and damages in the event of default. The historical value of this call is estimated by inferring a time‐varying volatility from Singapore residential price data over the last 20 years. The results show that real estate prices are more volatile in up markets than down markets, and that under‐compensation persists in both market conditions. This paper further highlights some measures to reduce the risk of aborted sales and the under‐compensation problem.
Details
Keywords
Omer Faruk Argin and Zeki Yagiz Bayraktaroglu
This paper aims to present a novel modular design framework for the haptic teleoperation of single-master/multiple-slave (SM/MS) systems with cooperating manipulators.
Abstract
Purpose
This paper aims to present a novel modular design framework for the haptic teleoperation of single-master/multiple-slave (SM/MS) systems with cooperating manipulators.
Design/methodology/approach
The user commands the remote-leader robot and the slave remote robot follows the leader in a leader–follower formation. The remote-slave is purely force-controlled. A virtual model of the remote environment is introduced between the local and remote environments through simulation software. Locally generated motion inputs are transmitted to the remote environment through the virtual model. A haptic coupling is designed in the virtual environment and the haptic feedback is transmitted to the user along with the forces measured in the remote environment. The controllers proposed in this work are experimentally evaluated with experienced and inexperienced users.
Findings
The proposed haptic interaction model contributes to the total force feedback and smoothens the high-frequency signals occurring at the physical interaction in the remote environment. Experimental results show that the implemented controllers including the proposed haptic interaction improve the teleoperation performances in terms of trajectory tracking. Furthermore, pure force control of the remote-slave is shown to enhance the robustness of the teleoperation against external disturbances. Satisfactory teleoperation performances are observed with both experienced and inexperienced users.
Originality/value
The proposed SM/MS teleoperation system involves a multi-purpose virtual simulator and a purely force-controlled remote-slave manipulator in a modular cooperative configuration. The uniquely defined structure of the proposed haptic coupling is used in modeling the interaction between the local and remote manipulators on the one hand, and between cooperating remote manipulators on the other.
Details
Keywords
Ho Thuy Tien and Ngo Thai Hung
This study aims to examine the spillover effects of the mean and volatility between oil prices and stock indices of six Gulf Cooperation Council (GCC) countries (UAE, Kuwait…
Abstract
Purpose
This study aims to examine the spillover effects of the mean and volatility between oil prices and stock indices of six Gulf Cooperation Council (GCC) countries (UAE, Kuwait, Saudi Arabia, Qatar, Oman and Bahrain).
Design/methodology/approach
Over the period 2008–2019, a bivariate VARMA-GARCH-ADCC model was combined with the maximal overlap discrete wavelet transform technique filter to shed light on a wide range of possible spillover effects in the mean and variances of level prices at various time horizons.
Findings
The authors find that the spillover effects between oil prices and the GCC stock markets are time-varying and spread across various time horizons. Besides, oil prices and stock market indices are directly impacted by their own shocks and variations and indirectly influenced by other price volatilities and wavelet scales. The linkages in volatility spillovers between oil prices and the GCC stock markets occur in the short-term, midterm and long-term horizons. More specifically, the results also show that the asymmetric estimates are statistically significant for the associations between oil prices and each stock market in the GCC countries. This implies that negative shocks play a more vital role than positive shocks in driving the dynamic condition correlations between oil and stock markets under study.
Practical implications
The significant interrelatedness between oil prices and each stock market in the GCC countries has important implications for investors, portfolio managers, and other market participants. They can use the findings of this research to create the best oil-GCC stock portfolios and predict more precisely the volatility spillover patterns in constructing their hedging strategies.
Originality/value
In several ways, this study differs from previous research. First, while previous empirical studies of the dynamic link between oil prices and stock markets have focused primarily on developed or emerging markets, the focus of this is on six GCC countries. Second, the linkage between oil prices and stock markets is typically studied at the original data level in the time domain in relevant literature, while frequency information is overlooked. Therefore, the current study examines this relationship from a multiscale perspective. Third, in this paper, to capture a wide range of possible spillover effects in the mean and variance of level prices at multiple wavelet scales, the authors use a VARMA-GARCH-ADCC model in conjunction with wavelet multiresolution analysis. Additionally, this article also applies wavelet hedge ratio and wavelet hedge portfolio analysis at various time horizons.
Details
Keywords
Opeoluwa Adeniyi Adeosun, Olumide Adeola Adeosun, Mosab I. Tabash and Suhaib Anagreh
The study aims to examine the relationship among economic policy uncertainty (EPU), geopolitical-risks (GPR), the interaction (EPGR) of EPU and GPR and the returns of gold…
Abstract
Purpose
The study aims to examine the relationship among economic policy uncertainty (EPU), geopolitical-risks (GPR), the interaction (EPGR) of EPU and GPR and the returns of gold, silver, platinum, palladium and rhodium using monthly data from January (1997) to May (2021).
Design/methodology/approach
The paper employs the Markov-switching and the novel Shi et al. (2020) bootstrap time-varying Granger-causality approach.
Findings
Though the Markov-switching shows variation in the responses of precious metals to EPU, GPR and EPGR across low and high states, the paper observes the safe-haven potential of the precious metals in the high regime while the hedging potency is also evident in the results. To further substantiate the safe-haven and hedging properties, the time-varying Granger-causality shows the causal effect of EPU on all the selected precious metal returns coinciding with global events. While the authors show that GPR Granger causes platinum, palladium and rhodium consistently under the rolling/recursive-evolving tests, the authors cannot find the causal effect of GPR on gold and silver returns across the algorithms. The paper also observes persistence in the causal effect of EPGR on palladium and platinum across all the algorithms, while gold and rhodium only show consistency in the responses under the rolling- and recursive-evolving algorithms given the conditions of homoscedasticity and heteroscedasticity.
Practical implications
The authors' results are essential to investors and policymakers since both typically leverage the hedging and safe-haven characteristics of precious metals to obviate downside risks during highly uncertain periods.
Originality/value
The authors' techniques allow examining the hedging and safe-haven properties of precious metals across regimes and date-stamp critical periods of causation inherent in the relationship.
Details
Keywords
Sercan Demiralay, Nikolaos Hourvouliades and Athanasios Fassas
This paper aims to examine dynamic equicorrelations (DECO) and directional volatility spillover effects among four energy futures markets, namely, West Texas Intermediate crude…
Abstract
Purpose
This paper aims to examine dynamic equicorrelations (DECO) and directional volatility spillover effects among four energy futures markets, namely, West Texas Intermediate crude oil, heating oil, natural gas and reformulated blendstock for oxygenate blending gasoline, by using a multivariate fractionally integrated asymmetric power ARCH–DECO–generalized autoregressive conditional heteroskedasticity (GARCH) model and the spillover index technique.
Design/methodology/approach
The empirical analysis uses the dynamic equicorrelation model of Engle and Kelly (2012) to examine time-varying correlations at equilibrium. The authors further analyze dynamic volatility transmission among energy futures by using Diebold and Yilmaz (2012) dynamic spillover index based on generalized value-at-risk framework.
Findings
The empirical results provide evidence of heightened equicorrelations at times of financial turmoil. More specifically, the dynamic spillover analysis shows that volatility is transmitted predominantly from crude oil to the other markets and risk transfer among four markets exhibits asymmetries. Spillovers are found to be highly responsive to dramatic events such as the 9/11 terror attack, 2008–2009 global financial crisis and 2014–2016 oil glut.
Practical implications
The results of this study have important practical implications for investors, portfolio managers and energy policymakers as the presence of time-varying co-movements and spillovers suggests the need for dynamic trading strategies. There are also implications regarding risk management practices, as there is evidence of increased volatility transmission at times of financial turmoil and uncertainty. Finally, the results provide insights to policymakers in a better understanding of the spillover dynamics.
Originality/value
This paper investigates the DECOs and spillover effects among crude oil, natural gas, heating oil and gasoline futures markets. To the best of the knowledge, this is one of a few studies that examine co-movements and risk transfer in energy futures in a comprehensive framework.
Details