Volatility Decomposition Research Articles

Have World, Country and Industry Risk Changed Over Time? An Investigation of the Developed Stock Markets Volatility

This paper uses a volatility decomposition method to study the time series behavior of equity volatility at the world, country and local industry levels. Between 1974 and 2001 there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s, there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.

A Novel Iridium Precursor for MOCVD

ABSTRACTA novel liquid iridium precursor (1,3-cyclohexadiene)(ethylcyclopentadienyl)iridium, Ir(EtCp)(CHD), was synthesized and its physical properties were examined. Ir(EtCp)(CHD) exhibited enough vapor pressure (0.1 Torr/75°C), excellent volatility and adequate decomposition temperature. Characteristics of the Ir films deposited using Ir(EtCp)(CHD) and the conventional Ir precursor (1,5-cyclooctadiene)(ethylcyclopentadienyl)iridium, Ir(EtCp)(COD), by metal-organic chemical vapor deposition (MOCVD) method were compared. Ir films grown using Ir(EtCp)(CHD) showed shorter incubation time and higher nucleation density than those of films using Ir(EtCp)(COD).

Intra-day volatility components in FTSE-100 stock index futures

Recent research has suggested that intra-day volatility may contain both short-run and long-run components due to the existence of heterogeneous information flows or heterogeneous market agents (Andersen & Bollerslev, 1997a, 1997b; Muller et al., 1997). We report direct evidence for the existence of such a volatility decomposition in intra-day UK FTSE-100 futures returns data at frequencies of one hour and higher using the permanent–transitory component variance model of Engle and Lee (1993). Moreover, the transitory component identified exhibits rapid decay, volatility at the half-day frequency being completely dominated by the highly persistent permanent component. The model also is able to capture all dependency within the data at frequencies of one hour and lower. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:425–444, 2000