Search results for "VaR"
showing 10 items of 14701 documents
Volatility risk premia and financial connectedness
2014
In this paper we use the Diebold Yilmaz (2009 and 2012) methodology to construct an index of connectedness among five European stock markets: France, Germany, UK, Switzerland and the Netherlands, by using volatility risk premia. The volatility risk premium, which is a proxy of risk aversion, is measured by the difference between the implied volatility and expected realized volatility of the stock market for next month. While Diebold and Yilmaz focus is on the forecast error variance decomposition of stock returns or range based volatilities employing a stationary VAR in levels, we account for the (locally) long memory stationary properties of the levels of volatility risk premia series. The…
A CO2-gas precursor to the March 2015 Villarrica volcano eruption
2017
We present here the first volcanic gas compositional time-series taken prior to a paroxysmal eruption of Villarrica volcano (Chile). Our gas plume observations were obtained using a fully autonomous Multi-component Gas Analyser System (Multi-GAS) in the 3 month-long phase of escalating volcanic activity that culminated into the 3 March 2015 paroxysm, the largest since 1985. Our results demonstrate a temporal evolution of volcanic plume composition, from low CO$_2$/SO$_2$ ratios (0.65-2.7) during November 2014-January 2015 to CO$_2$/SO$_2$ ratios up to ≈ 9 then after. The H$_2$O/CO$_2$ ratio simultaneously declined to <38 in the same temporal interval. We use results of volatile saturatio…
Cost Efficiency of Hybrid Cloud Storage : Shortening Acquisition Cycle to Mitigate Volume Variation
2015
Hybrid cloud storage infrastructure, which combines cost-effective but inflexible private resources and flexible but premium-priced public cloud storage, allows organizations to operate cost-efficiently under demand volume uncertainty. The extant literature, however, offers a limited analytical insight into the effect that the variation of demand has on the cost-efficient mix of internal and external resources. This paper considers the storage capacity acquisition cycle, i.e. the interval at which the organization re-assesses and acquires additional resources, as a parameter shaping the optimal mix of resources. It introduces a model capturing the compound effect of the acquisition cycle an…
Relationship between volume and energy of vector fields
2001
Abstract A unified study of energy and volume functionals is presented here by determining the critical points of a functional that extends simultaneously energy and volume and that is defined on the product of the manifold of smooth maps C∞(M,N) times the manifold M of riemannian metrics on M. The restriction of this functional to different submanifolds of the space of vector fields X (M)× M is also considered, and used to study several functionals generalizing volume and energy or total bending of vector fields
Cybersecurity Attacks on Software Logic and Error Handling Within ADS-B Implementations: Systematic Testing of Resilience and Countermeasures
2022
Automatic Dependent Surveillance-Broadcast (ADS-B) is a cornerstone of the next-generation digital sky and is now mandated in several countries. However, there have been many reports of serious security vulnerabilities in the ADS-B architecture. In this paper, we demonstrate and evaluate the impact of multiple cyberattacks on ADS-B via remote radio frequency links that affected various network, processing, and display subsystems used within the ADS-B ecosystem. Overall we implemented and tested 12 cyberattacks on ADS-B in a controlled environment, out of which 5 attacks were presented or implemented for the first time. For all these attacks, we developed a unique testbed that consisted of 1…
Plasticity in Photoperiodism : Drosophila montana Females Have a Life-Long Ability to Switch From Reproduction to Diapause
2022
Photoperiodic reproductive diapause is an essential part of female life cycle in several insect species living on high latitudes, where overwintering in reproductive stage involves high risks for survival and progeny production. The sensitive period (SP), during which photoperiodic cues can trigger the switch from direct development to diapause, can last from a few hours or days after emergence to the entire life span of females. Moreover, in some species, sexually mature females can enter post-reproductive diapause as a response to decreasing day length and/or temperature. We studied the duration of SP for diapause induction and the females’ ability to enter post-reproductive diapause at s…
Mahtivaltio ja vuorovaikutus : vuosikymmenten diskuteeraus ja tulevaisuus
2022
Sanelupolitiikkaa vai vuorovaikutusta : Turun maistraatin ja porvariston suhteet keskushallintoon itsevaltiuden ajan Ruotsissa
1999
Relations between Kindergarten Teachers’ Occupational Well-being and the Quality of Teacher-child Interactions
2020
Research Findings The aim of this study was to examine associations between two aspects of teachers’ occupational well-being, i.e., teaching-related stress and work engagement, and the quality of teacher–child interactions in Finnish kindergarten classrooms. Participants were 47 kindergarten teachers with their classrooms of 6-year-old children. Teacher–child interactions (i.e., emotional support, classroom organization, and instructional support) were observed twice during the kindergarten year (fall and spring), using the Classroom Assessment Scoring System (CLASS). In addition, teachers completed questionnaires on stress and work engagement. The results indicated that teaching-related st…