Changes In Volatility Research Articles

Assessment of maternal and child health care services performance in the context of COVID-19 pandemic in Addis Ababa, Ethiopia: evidence from routine service data

BackgroundIn many settings, health care service provision has been modified to managing COVID-19 cases, and this has been affecting the provision of maternal and child health services. The aim of this study was to assess trends in selected maternal and child health services performance in the context of COVID-19 pandemic.MethodsA cross-sectional data review was conducted in Addis Ababa, Ethiopia from April to May 2021. Routine health management information system database was reviewed from Addis Ababa Health Bureau for the period from July 2019 to March 2021 across all quarters. Proportion and mean with standard deviation were computed. T-test was used to assess statistically significant differences in services mean performance.ResultsPostnatal care visit, new contraceptives accepters, safe abortion care and number of under-5 years old children treated for pneumonia significantly decreased by 9.3% (p-value 0.04), 20.3% (p-value 0.004), 23.7% (p-value 0.01) and 77.2% (p-value < 0.001), respectively during the first 8 months of the COVID-19 pandemic compared to the previous 8 months’ average performance. The trends in Antenatal care first visit, new contraceptive accepters, pentavalent-3 vaccination and under-five children treated for pneumonia began to decline in January to March 2020, a quarter when the COVID-19 pandemic began; with accelerated declines in April to June 2020 following national lockdown. The trends for the stated services began to increase during July–September 2020, the last quarter of national lockdown. Contraceptive accepters and pentavalent-1 vaccination continued to decline and showed no recovery until January–March 2021 when this study was completed.ConclusionsMost of the maternal and child health services performance declined following the onset of COVID-19 pandemic and national lockdown, and most of the services began recovering during July–September 2020, the last quarter of national lockdown. However, new and repeat contraceptive accepters and pentavalent-1 recipients continue to decline and show no recovery during end of the study period. Implementing COVID-19 prevention measures and assuring the community about the safety of service delivery is imperative to ensure continuity of the maternal and child health services. Regular monitoring and evaluation of services performance is required to identify slowly recovering services and respond to potentially volatile changes during the COVID-19 pandemic.

NetVIX — A network volatility index of financial markets

We construct a network volatility index (NetVIX) via market interconnectedness and volatilities to measure global market risk. The NetVIX multiplicatively decomposes into a network volatility effect and a network contagion effect. It also additively decomposes into volatility contributions of each market. We apply our measure to study the relationship between the interconnectedness among 20 major stock markets and global market risks over the last two decades. We show that the NetVIX has a strong relationship with the VIX index, and therefore able to reliably signal changes in global market volatility. We also show that while the NetVIX tracks to some extent the VIX, it provides much more information about the level of volatility and contagion effects in financial markets. The result shows that during crisis periods, particularly the tech bubble, the global financial crisis, and the Covid-19 pandemic, stock market interconnectedness contributes to global market turmoil by amplifying average market volatility with over 400 percent multiplier. Also during crisis times, the level of risk is relatively higher and more persistent in the US and German markets, which implies market losses for investors with long exposures. The results also reveal that the highest risk-contributing markets are the US, Brazil, Hong Kong, France, and Germany.

The price‐leverage covariation as a measure of the response of the leverage effect to price and volatility changes

AbstractWe study the sensitivity of the leverage effect to changes of the volatility and the price, showing the existence of an analytical link between the latter and the price‐leverage covariation in settings with, respectively, stochastic and level‐dependent volatility. From the financial standpoint, the results we obtain allow for the interpretation of the price‐leverage covariation as a gauge of the responsiveness of the leverage effect to price and volatility changes. The empirical study of S&amp;P500 high‐frequency prices over the period March 2018–April 2018, carried out by means of nonparametric Fourier estimators, supports this interpretation of the role of the price‐leverage covariation.

Leafminer attack accelerates the development of soil-dwelling conspecific pupae via plant-mediated changes in belowground volatiles.

Summary Herbivore population dynamics are strongly influenced by the interactions established through their shared host. Such plant‐mediated interactions can occur between different herbivore species and different life developmental stages of the same herbivore. However, whether these interactions occur between leaf‐feeding herbivores and their soil‐dwelling pupae is unknown.We studied whether tomato (Solanum lycopersicum) leaf herbivory by the American serpentine leafminer Liriomyza trifolii affects the performance of conspecific pupae exposed to the soil headspace of the plant. To gain mechanistic insights, we performed insect bioassays with the jasmonate‐deficient tomato mutant def‐1 and its wild‐type, along with phytohormones, gene expression and root volatiles analyses.Belowground volatiles accelerated leafminer metamorphosis when wild‐type plants were attacked aboveground by conspecifics. The opposite pattern was observed for def‐1 plants, in which aboveground herbivory slowed metamorphosis. Leafminer attack induced jasmonate and abscisic acid accumulation and modulated volatile production in tomato roots in a def‐1‐dependent manner.Our results demonstrate that aboveground herbivory triggers changes in root defence signalling and expression, which can directly or indirectly via changes in soil or microbial volatiles, alter pupal development time. This finding expands the repertoire of plant–herbivore interactions to herbivory‐induced modulation of metamorphosis, with potential consequences for plant and herbivore community dynamics.

Volatility Spillover between Bist 30 Futures and Spot Markets: A DCC-GARCH Analyses

In terms of investors, it is essential to be aware of the flow of information across markets and build up investment policies in line with this information. The volatility spillover relationships between futures and spot markets contain important information in the context of optimal portfolio composing. In this study, the relevant relationship between futures and spot markets in Turkey were investigated in the context of BIST 30 index, using the end-of-day pricing data for the period from 2 February 2006 to 30 April 2020. The volatility spillover effects and the time-varying dynamic conditional relationship between markets was investigated by DCC-GARCH method. The results indicate that there is a strong dependence between markets' return volatilities. Also a significant bidirectional relationship is found in volatility transmissions between the markets. The results of GJR-GARCH analysis, in order to examine the effect of negative and positive shocks on the markets' volatilities indicate that both markets responded more strongly to their negative shocks than to positive shocks. Findings generally indicate that there is a bidirectional causality relationship between price and volatility changes of the markets. This result supports the hypothesis that both markets play a role in volatility spillover.

Identification of the influential odorants for the unpleasant rancid smell of ripe noni fruit (Morinda citrifolia)

SummaryIn this study, the volatile changes of noni fruit in various ripening stages were analysed using gas chromatography–mass spectrometry. Eleven of the 35 identified volatiles were found odour‐active through gas chromatography–olfactometry. Based on the aroma extract dilution analysis, hexanoic acid, octanoic acid and their methyl esters were considered as the key odorants for the smell of noni fruit. Results also indicated that the sensory perception of the rancid smell was resulted from the antagonistic effects of the key acid and methyl ester odorants. This study may facilitate the improvement of the acceptability of noni processed foods in the future.

NATO’s sub-conventional deterrence: The case of Russian violations of the Estonian airspace

ABSTRACT The question of how to deter sub-conventional activities—characterized by a limited role for the use of force—is one of the biggest puzzles in security studies. A way forward might be to use an enduring rivalry conflict management framework and to focus on findings from criminology. As the case study of 56 Estonian airspace violations suggests, executing sub-conventional deterrence is not an easy task to achieve. NATO’s deterrence success remains elusive, because there is no consistency in responding to these violations and no meaningful punishment. Yet many changes in frequency, intensity, and volatility of Russian intrusions over the last two decades indicate that a successful dissuasion, if not de-escalation, is still possible. To achieve that, NATO needs to improve information transmission, define its deterrence goals more narrowly, impose group-level costs, and implement dynamic deterrence mechanisms offering alternative modes of behavior.

A multicountry measure of comovement and contagion in international markets: definition and applications

This paper introduces a new measure of comovement and contagion of crises between countries, applies it to 16 world crises, including the current COVID-19 pandemic, and provides insights regarding the occurrence of contagion during these crises. Our measure demonstrates several important advantages over the extant measures of contagion. Traditional measures of contagion, such as increase in correlation, could be limited in scope since they are bivariate, whereas contagion is often a regional or global market phenomenon. The multiple comparisons that the binary correlations require in such cases could yield inconclusive or contradictory results and fail to capture the broad effects of the crisis on the regions. Moreover, during crises, a country’s stock market volatility often increases, a phenomenon that could lead to a spurious indication of increased correlation with other countries (contagion). Corrections for this bias have been suggested, but they could adversely affect the power of the contagion tests and fail to detect genuine contagion. Using simulations, we show the robustness of our measure to changes in volatility and demonstrate its power to affirm instances of genuine contagion. Support for the power of our measure relative to an extant leading measure of contagion is also provided by analysis of the cases of the 1994 Mexican peso crisis, the 1997 East Asian crisis, and Black Monday, the 1987 US stock market crash.

Chemical Profiling and Constituent Diversity in Nutmeg Genotypes (Myristica fragrans Houtt.)

Background: Nutmeg is a perennial tree spices which is yielding twin spices; present days research thrust is to identify high yielding mother trees. But yield and quality both are equally important due to its wide spread medicinal as well as industrial usage. Methods: The core collection of nutmeg genotypes form different locations of Kerala evaluated for biochemical composition. Seventeen morphologically distinct types of nutmeg were analysed through GC/MS method. The change in volatiles after storage (at 4°C) was also assessed after one year. Result: The range of variation was observed for kernel oil, mace oil, kernel oleoresin, mace oleoresin and fixed oil of kernel. Myristicin, elemecin and sabinene were principal volatile compounds. The identification of distinct nutmeg chemotypes for specific volatile compounds which could be used in commercial cultivation/pharmaceutical application/industrial use. Present study highlights the high and low hallucinogen (myristicine, elemicine and safrole) genotypes along with high sabinene types.

ВІДКЛАДЕННЯ ОЖЕЛЕДІ КАТЕГОРІЇ НЯ (НЕБЕЗПЕЧНА) ТА СГЯ (СТИХІЙНА) МАСОВОГО ХАРАКТЕРУ РОЗПОВСЮДЖЕННЯ НА ТЕРИТОРІЇ УКРАЇНИ ПРОТЯГОМ ДЕСЯТИРІЧ 1991-2000 рр., 2001-2010 рр., 2011-2020 рр.

The presented work is devoted to the study of ice deposits of the category of DP (dangerous) and SHP (spontaneous) of mass distribution in Ukraine during the last 30 years (1991-2020) at certain ten-year intervals. It is established that the period 1991-2000 will be distinguished by the total number of cases of mass distribution of ice deposits of the DP category, and the periods 2001-2010 and 2011-2020 are almost equivalent. The peculiarities of the manifestation of cases of mass deposition of ice of the DP category on the territory of Ukraine in separate months of the studied ten – year intervals are shown and the years in which such cases were the most are revealed. Thus, the largest number of such cases was observed in 1998, 1999, 2009, 2013, 2014, 2018. That is, in the last decade the number of years with such cases has increased slightly. It was found that in the studied decades the largest number of such cases was detected in the winter months (December-February), but from decade to decade they had their own dynamics, namely – their predominant increase in January (relative to 1991-2000) and volatile change in February and December (from period to period there is a variation in the number of cases). Thus, in February 2001-2010, compared to 1991-2000, there is an increase in the number of such cases, and in 2011-2020, on the contrary, there is a rather sharp decrease. In December 2001-2010, the number of such cases decreased slightly compared to 1991-2000, and in 2011-2020 slightly increased. In March, the number of cases of mass spread of ice deposits of the DP category did not change during the studied ten-year periods. In November, the largest number of such cases was observed during 1991-2000. The largest contribution to the number of such cases was in 1998 and 1999. During 2001-2010, it decreased significantly, and in the following decade 2011-2020 it more than doubled compared to with the last decade. Cases of mass deposition of ice in the SHP category have also changed over the decades under study. The largest number of them was observed during 1991-2000 and 2011-2020, and in the first decade they were mostly observed in November, and in the last in January. For the most part, ice deposits of the NE and OHS categories during their mass distribution are observed at 2 or 3-4 stations and within 2 (3-4) oblasts. However, in some cases, especially in the winter months, they may be larger.

Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning

We use deep distributional reinforcement learning (RL) to develop a hedging strategy for a trader responsible for derivatives that arrive stochastically and depend on a single underlying asset. The transaction costs associated with trading the underlying asset are usually quite small. The trader therefore normally carries out delta hedging daily, or even more frequently, to ensure that the current portfolio is almost completely insensitive to small movements in the asset's price. Hedging the portfolio's exposure to large asset price movements and volatility changes (gamma and vega hedging) is more expensive because this requires trades in derivatives, for which transaction costs are quite large. Our analysis takes account of these transaction cost differences. It shows how RL can be used to develop a strategy for using options to manage gamma and vega risk with three different objective functions. These objective functions involve a mean-variance trade-off, value at risk, and conditional value at risk. We illustrate how the optimal hedging strategy depends on the asset price process, the trader's objective function, the level of transaction costs when options are traded, and the maturity of the options used for hedging. We also investigate the robustness of the hedging strategy to the process assumed for the underlying asset.

Effects of geopolitical risks and political uncertainties on stock markets: Country specific new generation panel data analysis for developing Asian countries

In general, there are strong and meaningful relationships between risks and uncertainties, and economic activities. In this context, geopolitical risks (GPR) and global economic and political uncertainties (WUI) can significantly affect financial markets and investor behavior. In this study, the effects of GPR and WUI on stock markets for 10 developing Asian countries were investigated for 2001:M07-2020:M12 period. Cross-section dependency was examined with LM, 𝐿𝑀𝑆 , 𝐶𝐷 and 𝐿𝑀𝐵𝐶 tests, series stationarity with Hadri and Kurozumi (2012) test, cointegration relations with Westerlund (2006) cointegration with multiple structural breaks method, and regression analyzes with Eberhardt and Bond (2009) method. It was determined that high GPR decreases the stock market index in Turkey, Korea, Russia, Indonesia and Malaysia, whereas it increases in India, Thailand and Philippines. It was found that high WUI decreases the stock market index in Korea, China, Indonesia and Thailand, whereas it increases in Turkey, India and Malaysia. On the other hand, while the stock market returns of the change in GPR decreases the stock market returns in Turkey, Korea, Russia, Indonesia and Malaysia, it increases in India, Thailand and Philippines. It has been determined that change in WUI decreases the stock return in Korea, China, Indonesia and Thailand, and it increases in Turkey, India and Malaysia. It was also observed that changes in GPR increases the volatility of the stock markets in India, Thailand and Philippines, and it decreases in Turkey, S. Korea, Russia, Indonesia and Malaysia. While the effects of change in WUI increases stock market volatility in Turkey and Malaysia, it decreases in Korea, China, Indonesia and Thailand. As the results achieved are heterogeneous, investors should avoid a basket trading strategy in these countries. Country-specific causality test was carried out with the Konya (2006) method, and it was observed that there are causal relationships between high WUI and stock market index, high WUI and stock market return in Turkey. Similarly, causal relationships were determined between high WUI and stock market index in India, between change in WUI and stock market index volatility in Philippines, between high GPR and stock market index, change in GPR and stock market return in Hong Kong. Causal relationships for all countries in the panel were examined using the Dumitrescu and Hurlin (2012) method, and causality was only found between high WUI and stock market index.

Four decades of Canadian earnings inequality and dynamics across workers and firms

This paper studies the evolution of individual earnings inequality and dynamics in Canada from 1983 to 2016 using tax files and administrative records. Linking individual tax filers to their employers (and rich administrative records on firms) beginning in 2001, it also documents the relationship between the earnings dynamics of workers and the size and growth of their employers. It highlights three main patterns over this period: First, with a few exceptions (sharp increase in top 1% and declining gender gap), Canada has experienced relatively modest changes in overall earnings inequality, volatility, and mobility between 1983 and 2016. Second, earnings inequality and the distribution of earnings growth vary substantially over the business cycle. Third, the earnings dynamics of individuals are strongly related to the size and employment growth of their employers.

Market risk, value-at-risk and exponential weighting

Banks and financial intermediaries are exposed to market risk. The aim of the paper is to explore the implications of legal requirements on market risk valuation. The focus is on the calculation of the permissible weighting factor of the concept of value-at-risk (VaR). When measuring market risk, banks and financial intermediaries may deviate from equally weighting historical data in their value-at-risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the value-at-risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases this leads to a reduction in VaR and thus to lower own funds’ requirements for banks and financial intermediaries. However, in the exponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated. To prevent this banks and financial intermediaries are not completely free to choose a weighting (decay) factor. The exchange rate between Polish zloty and euro is used to estimate the value-at-risk as an example and exceptions to the general legal requirements are also discussed.

Impact of sectoral bank credit on economic growth in India - an empirical analysis

The aim of the present study is on empirically testing the impact of sectoral credit amongst Indian sectors on economic growth. This was achieved by studying the relation between sectoral credit, liquidity and economic growth. The results of the study prove that the sectoral credit was seem to be working on the growth of Indian markets in the long run. On the contrary, it was found that in the short run not only credit was an important factor which impacted the growth of the economy but increase in broad money liquidity, i.e., M3 also impacted sectoral credit which was in favour of our research hypothesis. Similarly, it was also found that past volatility change in terms of different sectors growth was impacting current economic growth again showing the applicability of the concept of increase in sectoral credit and liquidity impacts the economic growth in the Indian markets. However, the external shocks in the variables affect the stable equilibrium in the short run while these stability in the markets were maintained in the long period of time.

Change of soluble sugars, free and glycosidically bound volatile compounds in postharvest cantaloupe fruit response to cutting procedure and storage

In order to investigate the effects of cutting procedure and storage on the changes of sugars and volatiles in postharvest cantaloupe and explore the interactions among sugars, free and bound volatile compounds, two comparative groups were designed in this study (whole fruit stored at 4 °C at 0 d vs fresh-cut cantaloupe stored at 4 °C at 0 d; fresh-cut cantaloupe stored under 4 °C for 0, 1, 3, 5, 7 d). Changes of sugars, free and bound volatiles, β-glucosidase in whole and fresh-cut cantaloupe were determined. Results showed that most aldehydes, alcohols, esters and ketones in free form exhibited significant enhancements at the early storage period, while most bound volatiles decreased along with the storage. Cutting promoted the decrease of benzaldehyde, nonanal, decanal, 1-octen-3-ol, β-ionone and 3-octanone in bound form, but promoted the emissions of these components in free form correspondingly, which was consistent with the β-glucosidase activity in cantaloupe after cutting process. Bedsides, the in vitro test results indicated that sugars play key roles in the synthesis of bound volatiles in cantaloupe.

LONG RUN RELATIONSHIP BETWEEN OIL PRICE SHOCKS, EXCHANGE RATE VOLATILITY AND ECONOMIC GROWTH IN NIGERIA

The paper examined the long run relationship between oil price shock, exchange rate volatility and economic growth in Nigeria over the period 1980-2019. The study employed the Johansen Vector Autoregression (VAR)-based cointegration technique model to examine the sensitivity of real economic growth to changes in oil prices and real exchange rate volatility in the long-run while the short run dynamics was checked using a vector error correction model. The result from the Granger causality test suggests that there is causality between oil price, exchange rate and GDP. The results from Johansen cointegration test indicate there exist a long-run equilibrium relationship among the variables. Findings further show that oil price shock and appreciation in the level of exchange rate exert positive impact on real economic growth in Nigeria. The paper therefore recommends greater diversification of the economy through investment in key productive sectors of the economy using income from the crude oil export to guard against the vicissitude of oil price shock and exchange rate volatility.

Development of a novel MW-VLE model for calculation of vapor–liquid equilibrium under microwave irradiation

Microwave (MW) irradiation can intensify the vapor–liquid separation of polar/non-polar binary system mixtures, but its industrialization requires vapor–liquid equilibrium (VLE) data in microwave field. Therefore, a novel MW-VLE model was proposed to predict the VLE data of binary systems in microwave fields by using system thermodynamic properties, dielectric properties, and electric field strength. For modeling, first, the influence of thermodynamic and dielectric properties on microwave-induced relative volatility change (MIRVC) was investigated experimentally in detail. It indicated that increasing the system dielectric loss difference, boiling temperature difference, and decreasing the thermal conductivity can enhance the effect of MIRVC. Then, the model characteristic parameters were obtained by fitting the VLE curves with/without microwave irradiation. Afterwards, the empirical correlation equations of MW-VLE were derived by correlating model characteristic parameters with mentioned above factors and electric field strength. Finally, the model predictions well agreed with the experimental results of PrOH-PP and IPA-EA systems within 10% error, verifying the model accuracy.

Independent Accountant’s Review Report

Independent Accountant’s Review Report

Microwave-induced spray evaporation process for separation intensification of azeotropic system

The microwave-induced film evaporation process has recently been reported as a promising method for separation intensification of polar/nonpolar mixtures. However, the relatively low separation efficiency and evaporation amount caused by massive intermolecular heat transfer with limited evaporation area restrict its industrial application. To this end, an innovative microwave-induced spray evaporator was developed to overcome the current defects. Furthermore, the experiments demonstrated an excellent separation efficiency of alcohol-water azeotropic systems are achieved via microwave-induced spray evaporator (such as the relative volatility of EtOH was more doubled). Moreover, the experiments of several mixtures with different permittivity and dielectric loss were performed to elucidate the mechanism of microwave-induced relative volatility change (MIRVC). The experimental results revealed that the increase of high dielectric loss components in the vapor phase under microwave heating in comparative experiments verifies the inference that dielectric loss determines the direction of MIRVC.