Information Spillover, Volatility and the Currency Markets for the Binary Choice Model

We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the definition of impulse responses, we allow for different types of news, and consider two categories in the application: those considered positive or negative for the U.S. economy. Using a multivariate GARCH model with exogenous news effects, we find that the initial impact of positive news on the volatility of the Pound is higher than that of the Euro, whereas the persistence of shocks is highest for the Yen. For negative news, we find that an important part of the impact on the Yen and Pound is induced by volatility spillover from the Euro.Information, Volatility, Impulse Response Function, Foreign Exchange

Postprivatization Corporate Governance: the Role of Ownership Structure and Investor Protection

We investigate the role of ownership structure and investor protection in postprivatization corporate governance. We find that the government relinquishes control over time, mainly to the benefit of local institutions and foreign investors. We also show that private ownership tends to concentrate over time. In addition to firm-level variables, investor protection, political and social stability explain the cross-firm differences in ownership concentration. We find that the positive effect of ownership concentration on firm performance matters more in countries with weak investor protection and that private domestic ownership leads to higher performance.Corporate governance, privatization, performance

Intra-Daily FX Optimal Portfolio Allocation

We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the optimization procedure is carried out at regular time intervals. For the estimation of the conditional variance from which the VaR is computed, we use univariate and multivariate GARCH models. The result for each model is given by the best intradaily investment recommendations in terms of the optimal weights of the currencies in the risk portfolio.Optimal portfolio selection; Value-at-risk; GARCH models; Foreign exchange markets

Design of an easy tunable soft sensor for real-time speed and position estimation of PMSM

Volume 4 Issue 2 (February 2016

Collectivism and the Costs of High Leverage

Prior literature shows that high leverage is associated with losses in market share due to unfavorable actions by customers and competitors. Building on this literature, we investigate the effect of collectivism on the product market performance of highly leveraged firms. Using a sample of 46 countries over the 1989–2016 period, we find significantly lower costs of high leverage for countries with higher collectivism scores. Moreover, we find that the impact of collectivism on high leverage costs is more pronounced for firms with high product specialization and with financially healthy rivals. In additional analysis, we find that collectivism helps highly leveraged firms retain employees and obtain trade credit from suppliers. Our findings thus suggest that a country’s culture affects corporate financial outcomes by influencing the actions of firm stakeholders

An Analysis of Exchange Rate Risk Exposure Related to the Public Debt Portfolio of Tunisia: Beyond VaR Approach

The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the dollar, the euro and the yen. Our period of interest is from 02/01/2004 to 31/12/2008. Thetas and Marginal VaR analysis reveal that Japanese yen is the most risky currency constituting the Tunisian public debt portfolio. American dollar appears as a source of risk for the Tunisian external debt but remains less risky than the yen, while, the euro constitutes a hedge currency for exchange risk management associated with the Tunisian public debt portfolioPublic debt management, Exchange risk, Value at risk, Tunisia.

Gas phase thermometry of hot turbulent jets using laser induced phosphorescence

This article is made available through the Brunel Open Access Publishing Fund. Copyright @ 2013 OSAThe temperature distributions of heated turbulent jets of air were determined using two dimensional (planar) laser induced phosphorescence. The jets were heated to specific temperature increments, ranging from 300 – 850 K and several Reynolds numbers were investigated at each temperature. The spectral ratio technique was used in conjunction with thermographic phosphors BAM and YAG:Dy, individually. Single shot and time averaged results are presented as two dimensional stacked images of turbulent jets. YAG:Dy did not produce a high enough signal for single shot measurements. The results allowed for a direct comparison between BAM and YAG:Dy, revealing that BAM is more suitable for relatively lower temperature, fast and turbulent regimes and that YAG:Dy is more suited to relatively higher temperature, steady flow situations

Design and Development of a Vision System Interface for Three Degree of Freedom Agricultural Robot

In this study, a vision system interfaced 3DOF agricultural harvester robot was designed, developed and tested. The robot was actuated by hydraulic power for heavy tasks such as picking and harvesting oil palm FFB. The design was based on the task of that robot, the type of actuators and on the overall size. Attention was given to the stability, portability and kinematic simplicity in relation to the hydraulic actuators. The derivation of the kinematic model was based on the Matrix Algebra for the forward kinematics, and the inverse kinematics problem was based on analytical formulation. The D-H representation was used to carry out the coordinates of the end-effector as the function of the joint angles. The joint angles of the robot were computed as the function of the end-effector coordinates to achieve the inverse kinematic model. A mathematical model that related the joint angles and the actuators length was derived using geometric and trigonometric formulations. A differential system was derived for the manipulator. This differential system represents the dynamic model, which describes relationships between robot motion and forces causing that motion. The Lagrange-Euler formulation with the D-H representation was applied to formulate the differential system. The importance of the derivation of the kinematic model arises in the development of the control strategy. While the derivation of the dynamic model helps in real time simulation. The robot was enhanced by a CCD camera as a vision sensor to recognise red object as a target. Red object was to exemplify the matured oil palm FFB . The recognition process was achieved by using C++ programming language enhanced by MIL functions. An algorithm based on empirical results was developed in order to convert the target coordinates from the image plane (pixel) into the robot plane (cm). The image plane is two-dimensional while the robot plane is three-dimensional. Thus at least one coordinate of the target in the robot plane should be known. An Interface program has been developed using Visual Basics to control and simulate 2D motion of the manipulator

PAC Fields over Finitely Generated Fields

We prove the following theorem for a finitely generated field $K$: Let $M$ be a Galois extension of $K$ which is not separably closed. Then $M$ is not PAC over $K$.Comment: 7 pages, Math.