NoVaS Transformations: Flexible Inference for Volatility Forecasting

In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting introduced by Politis (2003a,b, 2007). In particular: (a) we introduce an alternative target distribution (uniform); (b) we present a new method for volatility forecasting using NoVaS ; (c) we show that the NoVaS methodology is applicable in situations where (global) stationarity fails such as the cases of local stationarity and/or structural breaks; (d) we show how to apply the NoVaS ideas in the case of returns with asymmetric distribution; and finally (e) we discuss the application of NoVaS to the problem of estimating value at risk (VaR). The NoVaS methodology allows for a flexible approach to inference and has immediate applications in the context of short time series and series that exhibit local behavior (e.g. breaks, regime switching etc.) We conduct an extensive simulation study on the predictive ability of the NoVaS approach and find that NoVaS forecasts lead to a much ÔtighterÕ distribution of the forecasting performance measure for all data generating processes. This is especially relevant in the context of volatility predictions for risk management. We further illustrate the use of NoVaS for a number of real datasets and compare the forecasting performance of NoVaS -based volatility forecasts with realized and range-based volatility measures.ARCH, GARCH, local stationarity, structural breaks, VaR, volatility.

Algorithmic options for joint time-frequency analysis in structural dynamics applications

The purpose of this paper is to present recent research efforts by the authors supporting the superiority of joint time-frequency analysis over the traditional Fourier transform in the study of non-stationary signals commonly encountered in the fields of earthquake engineering, and structural dynamics. In this respect, three distinct signal processing techniques appropriate for the representation of signals in the time-frequency plane are considered. Namely, the harmonic wavelet transform, the adaptive chirplet decomposition, and the empirical mode decomposition, are utilized to analyze certain seismic accelerograms, and structural response records. Numerical examples associated with the inelastic dynamic response of a seismically-excited 3-story benchmark steel-frame building are included to show how the mean-instantaneous-frequency, as derived by the aforementioned techniques, can be used as an indicator of global structural damage

The evaluation of the USD currency and the oil prices : a Var analysis

Dollar devaluation creates a huge problem in the world oil industry, leading to a vast decrease in the revenues of the oil producers, though the local oil producers use the local currencies to operate and the oil price is evaluated in dollars. The depreciation of the US dollar reduces the effect of the high prices in oil, making it rather cheap for all the countries and especially for the Eurozone area. The record high exchange rate of the Euro vis-à-vis dollar followed by a subsequent high of the crude oil price, suggests on a relation between the price of the oil and the evaluation of the US dollar. The main aim of this research is to construct an restricted Vector Autoregressive estimation model to simulate the relation between the exchange rate of the U.S. dollar and Euro against the West Texas Intermediate (WTI) prices for light crude oil, in connection with the impulse response of the prices to the various shocks. Lastly, a co integration test will illuminate the possibility of simultaneous long term integration along with Granger causality test to estimate the direction of causality in variables.peer-reviewe

Joint time-frequency representation of simulated earthquake accelerograms via the adaptive chirplet transform

Seismic accelerograms are inherently nonstationary signals since both the intensity and frequency content of seismic events evolve in time. The adaptive chirplet transform is a signal processing technique for joint time-frequency representation of nonstationary data. Analysis of a signal via the adaptive chirplet decomposition in conjunction with the Wigner-Ville distribution yields the so-called adaptive spectrogram which constitutes a valid representation of the signal in the time-frequency plane. In this paper the potential of this technique for capturing the temporal evolution of the frequency content of strong ground motions is assessed. In this regard, simulated nonstationary earthquake accelerograms compatible with an exponentially modulated and appropriately filtered Kanai-Tajimi spectrum are processed using the adaptive chirplet transform. These are samples of a random process whose evolutionary power spectrum can be represented by an analytical expression. It is suggested that the average of the ensemble of the adaptive chirplet spectrograms can be construed as an estimate of the underlying evolutionary power spectrum. The obtained numerical results show, indeed, that the estimated evolutionary power spectrum is in a good agreement with the one defined analytically. This fact points out the potential of the adaptive chirplet analysis for as a tool for capturing localized frequency content of arbitrary data- banks of real seismic accelerograms

Knowledge based cloud FE simulation of sheet metal forming processes

The use of Finite Element (FE) simulation software to adequately predict the outcome of sheet metal forming processes is crucial to enhancing the efficiency and lowering the development time of such processes, whilst reducing costs involved in trial-and-error prototyping. Recent focus on the substitution of steel components with aluminum alloy alternatives in the automotive and aerospace sectors has increased the need to simulate the forming behavior of such alloys for ever more complex component geometries. However these alloys, and in particular their high strength variants, exhibit limited formability at room temperature, and high temperature manufacturing technologies have been developed to form them. Consequently, advanced constitutive models are required to reflect the associated temperature and strain rate effects. Simulating such behavior is computationally very expensive using conventional FE simulation techniques. This paper presents a novel Knowledge Based Cloud FE (KBC-FE) simulation technique that combines advanced material and friction models with conventional FE simulations in an efficient manner thus enhancing the capability of commercial simulation software packages. The application of these methods is demonstrated through two example case studies, namely: the prediction of a material's forming limit under hot stamping conditions, and the tool life prediction under multi-cycle loading conditions

International stock markets : a co-integration analysis

This study investigates the degree of co-integration between five major European stock markets and five major non European stock markets. The results show that all five major European stock markets are co-integrated either positively or negatively, while among the five major non European the Canadian, the Japanese and the Singapore are non cointegrated with the others. The results point towards a decreasing number of common stochastic trends influencing the stock markets, i.e. the degree of co-integration between the European stock markets has been increased during the recent decade.peer-reviewe

Ship-hull shape optimization with a T-spline based BEM-isogeometric solver

In this work, we present a ship-hull optimization process combining a T-spline based parametric ship-hull model and an Isogeometric Analysis (IGA) hydrodynamic solver for the calculation of ship wave resistance. The surface representation of the ship-hull instances comprise one cubic T-spline with extraordinary points, ensuring C2 continuity everywhere except for the vicinity of extraordinary points where G1 continuity is achieved. The employed solver for ship wave resistance is based on the Neumann-Kelvin formulation of the problem, where the resulting Boundary Integral Equation is numerically solved using a higher order collocated Boundary Element Method which adopts the IGA concept and the T-spline representation for the ship-hull surface. The hydrodynamic solver along with the ship parametric model are subsequently integrated within an appropriate optimization environment for local and global ship-hull optimizations against the criterion of minimum resistance