Search results for "spread"
showing 10 items of 292 documents
The response of calcareous nannoplankton to sea surface variability at Ceara Rise during the early Pleistocene glacial-interglacial cycles
2019
The Ceara Rise lies just beyond the edge of the Amazon River Fan and sediments from this site may record the complex interplay of different climatic systems and processes, including past changes in southern America monsoon activity, Intertropical Convergence Zone setting, different Atlantic Meridional Overturning Circulation (AMOC) strength and phytoplankton blooming triggered by Amazon River plumes. Here we investigate early Pleistocene calcareous nannoplankton at Ceara Rise, between about 1150 and 850 kiloyears ago. Our investigation shows abrupt variations in water column dynamics across glacial/interglacial cycles or, even better, linked with different AMOC modes. Dominant placoliths in…
X-Raying the Dark Side of Venus - Scatter from Venus Magnetotail?
2016
This work analyzes the X-ray, EUV and UV emission apparently coming from the Earth-facing (dark) side of Venus as observed with Hinode/XRT and SDO/AIA during a transit across the solar disk occurred in 2012. We have measured significant X-Ray, EUV and UV flux from Venus dark side. As a check we have also analyzed a Mercury transit across the solar disk, observed with Hinode/XRT in 2006. We have used the latest version of the Hinode/XRT Point Spread Function (PSF) to deconvolve Venus and Mercury X-ray images, in order to remove possible instrumental scattering. Even after deconvolution, the flux from Venus shadow remains significant while in the case of Mercury it becomes negligible. Since s…
Pricing of forwards and other derivatives in cointegrated commodity markets
2015
Abstract We analyze cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility and correlation in the context of our spot price models based on continuous-time autoregressive moving average dynamics for the stationary components. The term structures have many interesting shapes, and we provide some empirical evidence from refined oil future prices at NYMEX defending our modeling idea. Motivated from these results, we present a cointegrated forward price dynamics using the Heath–Jarrow–Morton approach. In this setting, …
Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data
2012
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements. Announcements are not anticipated at 1–2 months horizon but there is bi-directional causality between ratings and spreads within 1–2 weeks; spillover effects especially among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countrie…
Spreads of bonds issued by sub-sovereign European governments
2017
[EN] This paper identifies the factors that affect the spread of fixed and variable type bonds in the primary and secondary markets issued by sub-sovereign European governments. The analyses of both markets will be done separately to compare whether the determinants in the primary market coincide with those in the secondary market. The analyses will examine the period between February 2008 and December 2013 using data panel estimations. The conclusions are that both markets are approximately identical behavior and the signs of the variables matched what was expected in nearly every case. Also, we concluded that the most important in determining the spread sub-sovereign variable is the sprea…
¿SE PUEDE MEDIR LA NEGOCIACIÓN INFORMADA?: UNA REVISIÓN DE LA METODOLOGÍA BASADA EN LAS COVARIANZAS DE LAS SERIES DE PRECIOS
2009
RESUMENEl desarrollo en los modelos teóricos de microestructura ha motivado la aparición de un grupo de trabajos encaminado al estudio empírico de los costes de transacción y sus componentes dada la importancia que han tenido los mismos en el estudio del funcionamiento de los mercados y la comparación entre éstos así como sus numerosas aplicaciones en campos afines (finanzas corporativas, eficiencia de los mercados, etc.). Por otra parte, la contrastación empírica de los distintos modelos establecidos muestra resultados claramente dispares. Por ello, el objetivo de nuestro trabajo es analizar con detalle y en conjunto dichos modelos centrándonos en un grupo con características muy similares…
Leading indicator properties of US high-yield credit spreads.
2010
Abstract In this paper we examine the out-of-sample forecast performance of high-yield credit spreads for real-time and revised data regarding employment and industrial production in the US. We evaluate models using both a point forecast and a probability forecast exercise. Our main findings suggest that the best results come from using only a few factors obtained by pooling information from a number of sector-specific high-yield credit spreads. In particular, for employment and at short-run horizons, there is a gain from using a principal components model fitted to high-yield credit spreads compared to the prediction produced by benchmarks. Moreover, forecast results based on revised data …
A Neurovascular Blood–Brain Barrier In Vitro Model
2014
The cerebral microvasculature possesses certain cellular features that constitute the blood-brain barrier (BBB) (Abbott et al., Neurobiol Dis 37:13-25, 2010). This dynamic barrier separates the brain parenchyma from peripheral blood flow and is of tremendous clinical importance: for example, BBB breakdown as in stroke is associated with the development of brain edema (Rosenberg and Yang, Neurosurg Focus 22:E4, 2007), inflammation (Kuhlmann et al., Neurosci Lett 449:168-172, 2009; Coisne and Engelhardt, Antioxid Redox Signal 15:1285-1303, 2011), and increased mortality. In vivo, the BBB consists of brain endothelial cells (BEC) that are embedded within a precisely regulated environment conta…
A Novel Wideband MIMO Car-to-Car Channel Model Based on a Geometrical Semi-Circular Tunnel Scattering Model
2016
In this paper, we present a wideband multiple-input multiple-output (MIMO) car-to-car (C2C) channel model based on a geometrical semi-circular tunnel (SCT) scattering model. From the geometrical SCT scattering model, a reference channel model is derived under the assumption of single-bounce scattering in line-of-sight (LOS) and non-LOS (NLOS) propagation environments. In the proposed reference channel model, it is assumed that an infinite number of scatterers are randomly distributed on the tunnel wall. Starting from the geometrical scattering model, the time-variant transfer function (TVTF) is derived, and its correlation properties in time, frequency, and space are studied. Expressions ar…
Peripheral Centralities: An Integrated Approach
2017
Un profondo cambiamento caratterizza a livello globale gli insediamenti urbani: ciò può essere osservato attraverso le relazioni tra centro e periferie. Le aree periferiche sono il banco dove il futuro delle città può essere opportunamente messo alla prova, in cui è possibile prefigurare la futura qualità della vita di individui e comunità. Sicurezza, sostenibilità, benessere che potranno essere raggiunti nelle aree periferiche saranno più rilevanti in termini quantitativi; invece il senso di identificazione e appartenenza, più forte nelle aree centrali, è debole o assente nelle periferie. Occorre puntare quindi a una sorta di centralità diffusa, applicando un approccio integrato, che si ad…