Search results for "Condition"
showing 10 items of 2530 documents
Scrotal Masses
2009
No abstract available
A symmetric Galerkin boundary/domain element method for finite elastic deformations
2000
Abstract The Symmetric Galerkin Boundary Element Method (SGBEM) is reformulated for problems of finite elasticity with hyperelastic material and incompressibility, using fundamental solutions related to a (fictitious) homogeneous isotropic and compressible linear elastic material. The proposed formulation contains, besides the standard boundary integrals, domain integrals which account for the problem's nonlinearities through some (fictitious) initial strain and stress fields required to satisfy appropriate “consistency” equations. The boundary/domain integral equation problem so obtained is shown to admit a stationarity principle (a consequence of the Hu-Washizu one), which covers a number…
Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
2013
Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normally distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalised assumption of normally distributed financial returns. Thus it is crucial to model distribution tails properly so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey …
Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry: Evidence from the Years of Financial Liberalisation and Banking Crisis
1999
This paper investigates the evolution of the (conditional) volatility of returns on three Scandinavian markets (Finland, Norway and Sweden) over the turbulent period of the past decade, namely the overlapping periods of financial liberalisation, drastically changing macroeconomic conditions and banking crisis. We find that even over this relatively turbulent period volatility is in most cases successfully captured by past volatility and shocks to past volatility, ie by a (symmetric) GARCH process. In each country banking crisis has induced regime shifts in (unconditional) volatility. We also find evidence for cross-country volatility spillovers during the banking crisis episodes. The estima…
Bitcoin and stock market indices: analysis of volatility’s clusters during the bitcoin bubble based on the dynamic conditional correlation model
2019
The market of virtual currencies, called cryptocurrency, has grown immensely since 2008 in terms of market capitalisation and the numbers of new currencies. Bitcoin is one of the most famous cryptocurrency with an estimated market capitalisation of nearly $ 69 billion. The fact that Bitcoin prices have fallen about 70% from their peak value and most indices were down double-digit year to date (2018) with a high daily volatility create the appearance that there has to be a correlation. The purpose of this paper is to investigate the contagion effect between Bitcoin prices and the leading American, European and Asian equity markets using the dynamic conditional correlation (DCC) model propose…
Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
2004
We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the example of Nokia's share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE). We find asymmetry in the volume-price duration relationship between the two markets. In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours. Outside common trading hours no such relationship is significant in Helsinki. Based …
Robustness of the risk–return relationship in the U.S. stock market
2008
Abstract Using GARCH-in-Mean models, we study the robustness of the risk–return relationship in monthly U.S. stock market returns (1928:1–2004:12) with respect to the specification of the conditional mean equation. The issue is important because in this commonly used framework, unnecessarily including an intercept is known to distort conclusions. The existence of the relationship is relatively robust, but its strength depends on the prior belief concerning the intercept. The latter applies in particular to the first half of the sample, where also the coefficient of the relative risk aversion is smaller and the equity premium greater than in the latter half.
Uneven economic burden of non-communicable diseases among Indian households: A comparative analysis
2021
Background Non-communicable diseases (NCDs) are the leading global cause of death and disproportionately concentrate among those living in low-income and middle-income countries. However, its economic impact on households remains less well known in the Indian context. This study aims to assess the economic impact of NCDs in terms of out-of-pocket expenditure (OOPE) and its catastrophic impact on NCDs affected households in India. Materials and methods Data were collected from the 75th round of the National Sample Survey Office, Government of India, conducted in the year 2017–18. This is the latest round of data available on health, which constitutes a sample of 113,823 households. The coll…
Repetition times for Gibbsian sources
1999
In this paper we consider the class of stochastic stationary sources induced by one-dimensional Gibbs states, with Holder continuous potentials. We show that the time elapsed before the source repeats its first n symbols, when suitably renormalized, converges in law either to a log-normal distribution or to a finite mixture of exponential random variables. In the first case we also prove a large deviation result.
PANORMUS-SPH. A new Smoothed Particle Hydrodynamics solver for incompressible flows
2015
Abstract A new Smoothed Particle Hydrodynamics (SPH) solver is presented, fully integrated within the PANORMUS package [7] , originally developed as a Finite Volume Method (FVM) solver. The proposed model employs the fully Incompressible SPH approach, where a Fractional Step Method is used to make the numerical solution march in time. The main novelty of the proposed model is the use of a general and highly flexible procedure to account for different boundary conditions, based on the discretization of the boundary surfaces with a set of triangles and the introduction of mirror particles with suitable hydrodynamic properties. Both laminar and turbulent flows can be solved (the latter using t…