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1 – 10 of over 1000Diep Duong and Norman R. Swanson
The topic of volatility measurement and estimation is central to financial and more generally time-series econometrics. In this chapter, we begin by surveying models of…
Abstract
The topic of volatility measurement and estimation is central to financial and more generally time-series econometrics. In this chapter, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In particular, in the first sections of this chapter, we discuss important developments in volatility models, with focus on time-varying and stochastic volatility as well as nonparametric volatility estimation. The models discussed share the common feature that volatilities are unobserved and belong to the class of missing variables. We then provide empirical evidence on “small” and “large” jumps from the perspective of their contribution to overall realized variation, using high-frequency price return data on 25 stocks in the DOW 30. Our “small” and “large” jump variations are constructed at three truncation levels, using extant methodology of Barndorff-Nielsen and Shephard (2006), Andersen, Bollerslev, and Diebold (2007), and Aït-Sahalia and Jacod (2009a, 2009b, 2009c). Evidence of jumps is found in around 22.8% of the days during the 1993–2000 period, much higher than the corresponding figure of 9.4% during the 2001–2008 period. Although the overall role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a proportion of overall jumps, has actually increased in the 2000s.
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Amir Najibi, Morteza Kianifar and Payman Ghazifard
The authors examined the numerical natural frequency analysis of a 2D functionally graded (FG) truncated thick hollow cone using 3D elasticity theory.
Abstract
Purpose
The authors examined the numerical natural frequency analysis of a 2D functionally graded (FG) truncated thick hollow cone using 3D elasticity theory.
Design/methodology/approach
The material properties of the 2D-FGM (two dimensional-functionally graded materials) cone are graded along the radial and axial axes of the cone using a power–law distribution. The eigenvalue problem was solved using finite element analysis (FEA) employing graded hexahedral elements, and the verification of the finite element approach was assessed by comparing the current solution to earlier experimental studies.
Findings
The effects of semivertex angle, material distribution and the cone configuration on the natural frequencies have been analyzed. For various semivertex angles, thickness, length and power law exponents, many results in the form of natural frequencies and mode shapes are presented for the 2D-FGM cone. As a result, the effects of the given parameters were addressed, and the results were compared, demonstrating the direct efficiency of raising the power–law exponents and cone thickness on the rise of natural frequencies.
Originality/value
For the first time, the numerical natural frequency analysis of a 2D-FG truncated thick hollow truncated cone based on 3D equations of elasticity has been investigated. The material properties of the truncated cone have been distributed along two directions, which has not been considered before in any research for the truncated thick cone. The reason for using these innovative volume fraction functions is the lack of accurate coverage by functions that are available in the literature (Asemi et al., 2011; Babaei et al. 2021).
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A steady, two‐dimensional natural convection flow of a viscous, incompressible fluid having temperature‐dependent viscosity and thermal conductivity about a truncated cone is…
Abstract
A steady, two‐dimensional natural convection flow of a viscous, incompressible fluid having temperature‐dependent viscosity and thermal conductivity about a truncated cone is considered. We use suitable transformations to obtain the equations governing the flow in convenient form and integrate them by using an implicit finite difference method. Perturbation solutions are employed to obtain the solution in the regimes near and far away from the point of truncation. The results are obtained in terms of the local skin friction and the local Nusselt number. Perturbation solutions are compared with the finite difference solutions and found to be in excellent agreement. The dimensionless velocity, viscosity and thermal conductivity distributions are also displayed graphically, showing the effects of various values of the pertinent parameter for smaller values of Prandtl number.
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Ali J. Chamkha, A.M. Rashad and Humood F. Al‐Mudhaf
The purpose of this paper is to solve the problem of steady, laminar, coupled heat and mass transfer by MHD natural convective boundary‐layer flow over a permeable truncated cone…
Abstract
Purpose
The purpose of this paper is to solve the problem of steady, laminar, coupled heat and mass transfer by MHD natural convective boundary‐layer flow over a permeable truncated cone with variable surface temperature and concentration in the presence of thermal radiation and chemical reaction effects.
Design/methodology/approach
The governing equations are derived and transformed into a set of non‐similar equations which are then solved by an adequate implicit finite difference method.
Findings
It is found that the presence of thermal radiation, magnetic field and chemical reaction have significant effects on the rates of heat and mass transfer. The variation of the wall temperature and concentration exponent contribute to significant changes in the Nusselt and Sherwood numbers as well.
Originality/value
The titled problem with the various considered effects has not been solved before and it is of special importance in various industries. The problem is original.
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Gives introductory remarks about chapter 1 of this group of 31 papers, from ISEF 1999 Proceedings, in the methodologies for field analysis, in the electromagnetic community…
Abstract
Gives introductory remarks about chapter 1 of this group of 31 papers, from ISEF 1999 Proceedings, in the methodologies for field analysis, in the electromagnetic community. Observes that computer package implementation theory contributes to clarification. Discusses the areas covered by some of the papers ‐ such as artificial intelligence using fuzzy logic. Includes applications such as permanent magnets and looks at eddy current problems. States the finite element method is currently the most popular method used for field computation. Closes by pointing out the amalgam of topics.
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Aktham I. Maghyereh and Basel Awartani
The purpose of this paper is to analyze the efficiency performance of the Gulf Cooperation Countries (GCC) banking sector. The primary focus is to assess whether market power…
Abstract
Purpose
The purpose of this paper is to analyze the efficiency performance of the Gulf Cooperation Countries (GCC) banking sector. The primary focus is to assess whether market power, risk taking activities, and regulations have significant effects on GCC banks’ efficiency performance.
Design/methodology/approach
The estimation and inference has been implemented using a double bootstrap procedure that simultaneously corrects for bias and validates inference on the influence of covariates. In the first stage, efficiency scores are estimated with data envelopment analysis (DEA). In the second stage, variation in the resulting efficiency scores is explained using a truncated regression model with inference based on a semi-parametric bootstrap routine.
Findings
The authors found compelling evidence that efficiency is not independent of the market structure, the bank's risk taking activities, and the regulatory environment. In particular, the Lerner Index provides evidence that market power decreases efficiency. The capital adequacy, the supervisory power and the market discipline were all found to improve efficiency. Additionally, when the risk is measured by the Z-Score or even by the ratio of non-performing loans to total loans, it adversely affects efficiency.
Research limitations/implications
The results of the current study have important implications for regulators and supervisors. Promoting banks’ competitive environment in the GCC countries through reducing the information barriers to entry, encouraging bank privatization, and lowering the activities restrictions can potentially improve operational efficiency of banks. Also enhancing banks’ diversification activities and risk management techniques may have the advantage of increasing operational efficiency. Furthermore, improvements in the regulatory conditions that enhance banking supervision and monitoring would also improve efficiency.
Originality/value
The main contributions of the paper are threefold: first, to the knowledge, this study is the first to employ by far the most comprehensive data set of GCC banks investigated to date. Second, the analysis focusses on the influence of a wide set of factors, most of them was not covered before in related economic literature on bank efficiency of the GCC countries. Third, the methodological innovation involves applying a double bootstrap procedure proposed by Simar and Wilson (2007).
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Harry P. Bowen and Margarethe F. Wiersema
Research on strategic choices available to the firm are often modeled as a limited number of possible decision outcomes and leads to a discrete limited dependent variable. A…
Abstract
Research on strategic choices available to the firm are often modeled as a limited number of possible decision outcomes and leads to a discrete limited dependent variable. A limited dependent variable can also arise when values of a continuous dependent variable are partially or wholly unobserved. This chapter discusses the methodological issues associated with such phenomena and the appropriate statistical methods developed to allow for consistent and efficient estimation of models that involve a limited dependent variable. The chapter also provides a road map for selecting the appropriate statistical technique and it offers guidelines for consistent interpretation and reporting of the statistical results.
Linda G. Bills and Linda W. Helgerson
The user interface, in broad terms, is the medium through which the user and the information come together. The types of searches a public access catalog (PAC) can perform are…
Abstract
The user interface, in broad terms, is the medium through which the user and the information come together. The types of searches a public access catalog (PAC) can perform are defined by the indexing strategy and retrieval software. The way the user's interest is communicated to the retrieval software and the way the results are communicated to the user is, by a more narrow definition, the interface software. Both the kinds of searches that can be performed by a variety of CD‐ROM PACs and how their workstations are used to accomplish the searches are considered.
J.P. Pascal and S.J.D. D'Alessio
This paper addresses the onset of Be´nard convection on a rotating horizontally confined layer of water near the temperature of maximum density that is heated from below. A…
Abstract
This paper addresses the onset of Be´nard convection on a rotating horizontally confined layer of water near the temperature of maximum density that is heated from below. A quadratic relation between temperature and density is assumed near the density extremum. A linear stability analysis is employed to determine the critical conditions for the onset of thermal instability. The resulting eigenvalue problem is numerically solved by expanding the amplitudes of the temperature and velocity perturbations in a truncated eigenfunction and power series. The validity of the principle of exchange of stabilities is proved analytically for a certain case and numerically investigated in general. Plots of the marginal stability curves as well as the variation of the critical Rayleigh number with other dimensionless parameters which naturally arise in the problem are also presented and discussed.
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The application of the variety‐generation technique to the construction of truncated author‐title search keys for data bases of monograph records is described. Instead of the…
Abstract
The application of the variety‐generation technique to the construction of truncated author‐title search keys for data bases of monograph records is described. Instead of the usual fixed‐length keys (e.g. three characters of the author's surname, and the first three filing characters of the title) the method uses strings of characters which vary in length according to the statistical characteristics of author names and titles in BNB MARC files. The number of these strings is variable within wide limits. By choice of appropriate sets of keys, bibliographic search codes with a higher resolving power than the 3,3 key can be produced. The codes also show favourable distributions for direct construction of hash addresses.