Recurrent conditional heteroskedasticity Nguyen, Trong‐Nghia; Tran, Minh‐Ngoc; Kohn, Robert
Journal of applied econometrics (Chichester, England),
August 2022, Letnik:
37, Številka:
5
Journal Article
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Summary
We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in‐sample analysis and out‐of‐sample forecasting of the ...traditional conditional heteroskedastic models. In particular, we incorporate auxiliary deterministic processes, governed by recurrent neural networks, into the conditional variance of the traditional conditional heteroskedastic models, for example, GARCH‐type models, to flexibly capture the dynamics of the underlying volatility. RECH models can detect interesting effects in financial volatility overlooked by the existing conditional heteroskedastic models such as the GARCH, GJR, and EGARCH. The new models often have good out‐of‐sample forecasts while still explaining well the stylized facts of financial volatility by retaining the well‐established features of econometric GARCH‐type models. These properties are illustrated through simulation studies and applications to 31 stock indices and exchange rate data. An user‐friendly software package, together with the examples reported in the paper, is available at https://github.com/vbayeslab.
The static bending behavior of porous functionally graded (PFG) micro-plate under the geometrically nonlinear analysis is studied in this article. A small-scale nonlinear solution is established ...using the Von-Kármán hypothesis and the modified couple stress theory (MCST). To obtain the deflection of the plate, the Reddy higher-order plate theory coupled with isogeometric analysis (IGA) is utilized. The distribution of porosities is assumed to be even and uneven across the plate’s thickness and the effective material properties of porous functionally graded micro-plate are calculated using the refined rule-of-mixture hypothesis. The influence of power index, porosity parameter and material length scale parameter on the nonlinear behaviors of static bending of porous FGM micro-plates are also investigated using several numerical examples.
•The biomass-derived high-surface-area carbon material, obtaining a large surface area of 1279 m2g−1.•We employ a simple hydrothermal method to grow high-surface-area carbon successfully on nickel ...foam.•The highest specific capacitances of 242.84 Fg−1 in KOH and 272 Fg−1 in Li2SO4 at a scan rate of 10 mVs−1.
We use a carbonization method to synthesize a high-surface-area carbon (HSAC) material from a biomass source: peanut shells. Due to its high specific surface area of 1279 m2g−1 and porous structure, HSAC is a promising material for energy storage application. We employ a simple hydrothermal method to grow HSAC successfully on nickel (Ni) foam. The biomass-derived HSAC and HSAC growth on Ni foam (HSAC-Ni) is investigated by X-ray powder diffraction, Raman spectroscopy, Brunauer–Emmett–Teller-based analysis, scanning electron microscopy, and transmission electron microscopy. We study HSAC-Ni as a potential material for supercapacitor electrodes. A three-electrode system with HSAC-Ni as the working electrode in 1 M KOH and 1 M Li2SO4 aqueous electrolytes demonstrates maximum specific capacitances of 242.84 Fg−1 in KOH and 272 Fg−1 in Li2SO4 at a scan rate of 10 mVs−1. The HSAC-Ni shows stability after electrochemical measurement, which indicates that HSAC material is an excellent choice as an electrode material.
We introduce a simple, low-cost, and environment friendly method to obtain high-fluorescence carbon dots and activated carbon via a one-step hydrothermal process using banana peels. The dispersion of ...carbon dots generated strong, bright-blue photoluminescence (average diameter 3–6 nm), which could be further used in biosensing, electronics, and catalysis applications research. Moreover, the precipitation accumulated at the bottom of the hydrothermal process contained activated carbon with a highly porous structure and large specific surface area (294.6 m
2
g
−1
), which could be used as a supercapacitor electrode. The three-electrode cell exhibited excellent capability and stability of the activated carbon as the working electrode in various aqueous electrolytes, with a high specific capacitance (199 F g
−1
) in an aqueous electrolyte (1-M KOH) and a high energy density of 54.15 Wh kg
−1
at a current density of 0.5 A g
−1
. Thus, based on the excellent characteristics of the carbon dots and the strong electrochemical properties of the activated carbon as an electrode material, the banana peels, as an abundant bioresource, can provide two excellent produces.
With the advanced communications systems, the integration of 5G bands, including sub‐6‐GHz and millimeter‐wave (mm‐wave) bands with the existing lower bands of 3G/4G has become an essential need for ...the future mobile handsets. This article proposes an integration between a large‐frequency‐ratio dual‐band tapered slot antenna with a multisection meander monopole antenna on a handset board. The tapered slot Vivaldi antenna (TSVA) functions as a resonant open‐ended slot at low frequencies (sub‐6 GHz) while also acting as a high‐gain Vivaldi antenna at higher frequencies (mm‐wave 28 GHz). The modification of the slot geometry, that is, generating multisections within the slot, is shown to improve the impedance bandwidth. Furthermore, the meander‐line monopole antenna covers the bands of the existing mobile generation (3G/4G) at 0.8, 1.8, 2.1, and 2.3 GHz. Most importantly, the compact size of the proposed antenna is realized by utilizing the side wall of a mobile board.
This review provides focused insights into the contamination status, sources, and ecological risks associated with multiple classes of antibiotics in surface water from the East and Southeast Asia ...based on publications over the period 2007 to 2020. Antibiotics are ubiquitous in surface water of these countries with concentrations ranging from <1 ng/L to hundreds μg/L and median values from 10 to 100 ng/L. Wider ranges and higher maximum concentrations of certain antibiotics were found in surface water of the East Asian countries like China and South Korea than in the Southeast Asian nations. Environmental behavior and fate of antibiotics in surface water is discussed. The reviewed occurrence of antibiotics in their sources suggests that effluent from wastewater treatment plants, wastewater from aquaculture and livestock production activities, and untreated urban sewage are principal sources of antibiotics in surface water. Ecological risks associated with antibiotic residues were estimated for aquatic organisms and the prevalence of antibiotic resistance genes and antibiotic-resistant bacteria were reviewed. Such findings underline the need for synergistic efforts from scientists, engineers, policy makers, government managers, entrepreneurs, and communities to manage and reduce the burden of antibiotics and antibiotic resistance in water bodies of East and Southeast Asian countries.
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•Antibiotic contamination status in East/Southeast Asia's surface water is reviewed.•Antibiotics are ubiquitous in surface water, especially in aquaculture and urban areas.•Antibiotic levels varied greatly from few ng/L to hundreds μg/L in surface water.•Ecological risks and prevalence of antibiotic resistance were widely observed.•Regional monitoring studies and environmental guidelines for antibiotics are needed.
•Challenges in multivariate calibration of spectroscopic sensors are discussed.•Discussion of methods for quantitative and qualitative calibration.•All methods are illustrated on an example case from ...the postharvest domain.•Discussion of applications for postharvest quality evaluation.•Special attention is given to spectral preprocessing, careful validation and calibration transfer.
Vibrational spectroscopy methods are widely investigated as fast and non-destructive alternatives for postharvest quality evaluation. As these methods measure spectral responses at a large number of wavebands correlated to the quality traits of interest, multivariate calibration equations have to be built to estimate the quality traits from the acquired spectra. This paper provides an overview of the most important multivariate data analysis techniques for exploring spectral data, detecting outliers and building calibration models for predicting the quality traits of interest. Both linear and non-linear calibration methods are discussed for quantitative (continuous) and qualitative (discrete) quality traits. For each of the presented methods the theory is explained, followed by illustration of an example case from the postharvest domain and a discussion of applications of this technique for postharvest quality evaluation based on spectral sensors. As spectral preprocessing, careful validation and calibration transfer are crucial aspects for successful implementation of spectral sensors for postharvest quality evaluation, special attention is given to these aspects. Finally, conclusions are drawn and recommendations are made with respect to the steps to take and points of attention for successful calibration.
A stub-loaded microstrip patch antenna with reconfigurability in both frequency and polarization is presented. Using 12 varactors with two independent voltages, reconfigurability is achieved in a ...fractional bandwidth of around 40% while allowing selection between circular polarization (CP) with both rotating senses and linear polarization (LP). The design is optimized based on an analytical model, which significantly speeds up the process while yielding reasonably accurate predictions. For illustration of the concept, an antenna is designed, optimized, and manufactured for reconfigurable operation in the 2.4-3.6 GHz frequency range. A good agreement between simulations and measurements is obtained which validates the proposed method. A full reconfigurability is demonstrated in the operation band with the ability to both tune the antenna to a given frequency and select a polarization state among left-hand or right-hand CP or various states of LP.
A comprehensive study on the reaction of H + C3H6 has been conducted in order to clarify the temperature and pressure dependence of product branching. Site‐specific rate of addition of a hydrogen ...atom to the center carbon is measured by a comparative method for the evolutions of H atoms behind reflected shock waves. The rate constant for the addition to the center carbon can be given by ln(k1‐2/cm3molecule–1s–1) = – (1.67 ± 0.65) × 103 T–1 – (24.18 ± 0.55) for H + C3H6 → n‐C3H7* → products (T = 1065‐1306 K) without pressure dependence for P = 1‐2 bar. Theoretical calculation was conducted to evaluate the pressure dependence of the product branching for the H + C3H6 reaction by using transition‐state theory and RRKM theory based on quantum‐chemical calculations of potential‐energy surfaces. The result indicates that transition of the main reaction channel from addition to the terminal carbon in the low temperature range to the central carbon at moderate pressures (0.001‐10 bar) and elevated temperatures causes S‐shaped non‐Arrhenius temperature dependence of the total reaction rate against T–1; at the transition temperature, a strong pressure dependence was predicted. Our experimental result of k1‐2 agrees very well with the predicted value and available experimental data. The predicted rate constant ratio for the terminal versus nonterminal additions at the high‐pressure limits agrees well with the temperature dependence reported by Manion and Awan for the analogous H + C4H8 reaction. Furthermore, the importance of H‐ion reactions at elevated temperatures from three different sites of C3H6 was predicted in this calculation. For kinetic modeling of combustion and pyrolysis of hydrocarbons, we have recommended the rate constants for the 3 ion reactions as well as for the production of i‐ and n‐C3H7 radicals by addition reactions at the high‐ and low‐pressure limits over the temperature range of 300‐2000 K.
The stochastic volatility (SV) model and its variants are widely used in the financial sector, while recurrent neural network (RNN) models are successfully used in many large-scale industrial ...applications of deep learning. We combine these two methods in a nontrivial way and propose a model, which we call the statistical recurrent stochastic volatility (SR-SV) model, to capture the dynamics of stochastic volatility. The proposed model is able to capture complex volatility effects, for example, nonlinearity and long-memory auto-dependence, overlooked by the conventional SV models, is statistically interpretable and has an impressive out-of-sample forecast performance. These properties are carefully discussed and illustrated through extensive simulation studies and applications to five international stock index datasets: the German stock index DAX30, the Hong Kong stock index HSI50, the France market index CAC40, the U.S. stock market index SP500 and the Canada market index TSX250. An user-friendly software package together with the examples reported in the article are available at
https://github.com/vbayeslab
.
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