Refine
Year of publication
- 2008 (763) (remove)
Document Type
- Article (296)
- Working Paper (100)
- Book (95)
- Doctoral Thesis (85)
- Part of Periodical (81)
- Conference Proceeding (31)
- Part of a Book (25)
- Preprint (18)
- Report (14)
- Other (10)
Language
- English (763) (remove)
Keywords
- Deutsch (10)
- Metapher (9)
- USA (7)
- Bank (6)
- Englisch (6)
- Phonetik (6)
- Phonologie (6)
- Bedeutung (5)
- Geldpolitik (5)
- Grammatik (5)
Institute
- Medizin (77)
- Center for Financial Studies (CFS) (59)
- Biochemie und Chemie (55)
- Physik (36)
- Geowissenschaften (35)
- Biowissenschaften (32)
- Extern (26)
- E-Finance Lab e.V. (20)
- Informatik (18)
- Wirtschaftswissenschaften (16)
This paper investigates the relation between TT-MCTAG, a formalism used in computational linguistics, and RCG. RCGs are known to describe exactly the class PTIME; simple RCG even have been shown to be equivalent to linear context-free rewriting systems, i.e., to be mildly context-sensitive. TT-MCTAG has been proposed to model free word order languages. In general, it is NP-complete. In this paper, we will put an additional limitation on the derivations licensed in TT-MCTAG. We show that TT-MCTAG with this additional limitation can be transformed into equivalent simple RCGs. This result is interesting for theoretical reasons (since it shows that TT-MCTAG in this limited form is mildly context-sensitive) and, furthermore, even for practical reasons: We use the proposed transformation from TT-MCTAG to RCG in an actual parser that we have implemented.
The distribution of linguistic structures in the world is the joint product of universal principles, inheritance from ancestor languages, language contact, social structures, and random fluctuation. This paper proposes a method for evaluating the relative significance of each factor — and in particular, of universal principles — via regression modeling: statistical evidence for universal principles is found if the odds for families to have skewed responses (e.g. all or most members have postnominal relative clauses) as opposed to having an opposite response skewing or no skewing at all, is significantly higher for some condition (e.g. VO order) than for another condition, independently of other factors.
This work is devoted to the description of mechanisms that might be responsible for avian magnetoreception. Two possible theoretical concepts underlying this phenomenon are formulated and their functionality is proven in realistic geomagnetic fields. It has been suggested that the "magnetic sense" in birds may be mediated by the blue light receptor protein- cryptochrome- which is known to be localized in the retinas of migratory birds. Cryptochromes are a class of photoreceptor signaling proteins that are found in a wide variety of organisms and which primarily perform regulatory functions, such as the entrainment of circadian rhythm in mammals and the inhibition of hypocotyl growth in plants. Recent experiments have shown that the activity of cryptochrome-1 in Arabidopsis thaliana is enhanced by the presence of a weak external magnetic field, confirming the ability of cryptochrome to mediate magnetic field responses. Cryptochrome's signaling is tied to the photoreduction of an internally bound chromophore, flavin adenine dinucleotide (FAD). The spin chemistry of this photoreduction process, which involves electron transfer from a chain of three tryptophans, is modulated by the presence of a magnetic field in an effect known as the radical pair mechanism. Cryptochrome was suggested as a possible magnetoreceptor for the first time in 2000. However, no realistic calculations of the magnetic field effect in cryptochrome were performed. One of the goals of the present thesis is computationally to study the electron spin dynamics in cryptochrome and to show the feasibility of a cryptochrome-based compass in birds. In particular, the activation yield of cryptochrome was studied as a function of an external magnetic field and it was shown that the activation of the protein can be influenced by the geomagnetic field. In the work it has also been proven that cryptochrome provides an inclination compass, which is necessary for bird orientation. The evolution of spin densities as a function of time is also discussed. An alternative mechanism of avian magnetoreception discussed in the thesis is based on the interaction of two iron minerals (magnetite and maghemite) which were only recently found in subcellular compartments within the sensory dendrites of the upper beak of several bird species. The iron minerals in the beak form platelets of crystalline maghemite and assemblies of magnetite nanoparticles (magnetite clusters). The interaction between these particles can be manipulated by an external magnetic field inducing a primary receptor potential via strain-sensitive membrane channels that lead to a certain bird orientation effect. Various properties of the magnetite/maghemite magnetoreceptor system have been considered: the potential energy surface of the magnetite cluster has been calculated and analyzed as a function of the orientation of an external magnetic field; the forces acting on the magnetite cluster were calculated and analyzed; the force differences caused by the change of the direction of external magnetic field were established; the probability of opening the mechanosensitive ion channel was calculated. Finally it has been demonstrated that the iron-mineral based magnetoreceptor provides a polarity magnetic compass. Various conditions at which the magnetoreception process is violated are outlined.
Based on a unique dataset of legislative changes in industrial countries, we identify events that strengthen the competition control of mergers and acquisitions, analyze their impact on banks and non-financial firms and explain the different reactions observed with specific regulatory characteristics of the banking sector. Covering nineteen countries for the period 1987 to 2004, we find that more competition-oriented merger control increases the stock prices of banks and decreases the stock prices of non-financial firms. Bank targets become more profitable and larger, while those of non-financial firms remain mostly unaffected. A major determinant of the positive bank returns is the degree of opaqueness that characterizes the institutional setup for supervisory bank merger reviews. The legal design of the supervisory control of bank mergers may therefore have important implications for real activity.
Marginal income taxes may have an insurance effect by decreasing the effective fluctuations of after-tax individual income. By compressing the idiosyncratic component o personal income fluctuations, higher marginal taxes should be negatively correlated with the dispersion of consumption across households, a necessary implication of an insurance effect of taxation. Our study empirically examines this negative correlation, exploiting the ample variation of state taxes across US states. We show that taxes are negatively correlated with the consumption dispersion of the within-state distribution of non-durable consumption and that this correlation is robust.
The paper provides novel insights on the effect of a firm’s risk management objective on the optimal design of risk transfer instruments. I analyze the interrelation between the structure of the optimal insurance contract and the firm’s objective to minimize the required equity it has to hold to accommodate losses in the presence of multiple risks and moral hazard. In contrast to the case of risk aversion and moral hazard, the optimal insurance contract involves a joint deductible on aggregate losses in the present setting.
Arthropods use fluid medium motion-sensing filiform hairs on their exoskeleton to detect aerodynamic or hydrodynamic stimuli in their surroundings that affect their behaviour. The hairs, often of different lengths and organized in groups or arrays, respond to particular fluid motion amplitudes and frequencies produced by prey, predators, or conspecifics, even in the presence of background noise peculiar to the environment. While long known to biologists and experimentally investigated by them, it is only relatively recently that comprehensive physical-mathematical models have emerged offering an alternative methodology for investigating the biomechanics of filiform hair motion. These models have been developed and applied to quantitatively predict the performance characteristics of filiform hairs in air and water as a function of the relevant parameters that affect their physical behaviour. They even allow the exploration of possible biological evolutionary paths for filiform hair changes resulting from physical selection pressures. In this chapter we review the state of knowledge of filiform hair biomechanics and discuss two physical-mathematical models to predict hair dynamical behaviour. One modelling approach is analytically exact, serving for quantitative purposes, while the other, derived from it, is approximate, serving for qualitative guidance concerning the parameter dependencies of hair motion. Using these models we look in turn at the influence of these parameters and the fluid media physical properties on hair motion, including the possibility of medium-facilitated viscous coupling between hairs. The models point to areas where data is currently lacking and future research could be focused. In addition, new results are presented pertaining to transient tlows. We qualitatively explore the possibility of an overlapping water-air niches adaptation potential that may explain how, over many generations, the filiform hairs of an arthropod living in water could have evolved to function in air. Because flow-sensing hairs have served to inspire corresponding artificial medium motion microsensors, we discuss recent advances in this area. Significant challenges remain to be overcome, especially with respect to the materials and fabrication techniques used. In spite of the impressive technological advances made, nature still remains unrivalled.
Writing against the odds : the south’s cultural and literary struggle against progress and modernity
(2008)
Die Literatur und Kultur der Südstaaten ist entscheidend geprägt von ihrer Orientierung an der eigenen Geschichte und Vergangenheit. Die düstere Vergangenheit, die die Gegenwart überschatten und die Zukunft determiniert ist ein Südstaatenthema par exellence und allgegenwärtig in ihrer Kultur und Literatur. Nach dem Bürgerkrieg und der Reconstruction Era ist der Süden kulturell und ökonomisch ausgeblutet, am Boden und isoliert. Nach dem Krieg weitet sich die Kluft zwischen Nord- und Südstaaten immer weiter aus, ein Prozess, der jedoch schon so alt ist wie die Vereinigten Staaten selbst und bereits im beginnenden 18. Jahrhundert seinen Anfang nimmt. Die Isolation ist gleichzeitig gewollt und ungewollt, bewusst und unbewusst. Die Scham des verlorenen Krieges und die Marginalisierung sind die Katalysatoren für die Kultivierung und das Bestreben nach Erhalt der Besonderheiten der Südstaaten, mit ihrer vermeintlich überlegenen Kultur und Moral. Es beginnt die kommerzialisierte, hoch ideologisierte Konstruktion der Geschichte und Identität der Südstaaten, die in alle Lebensbereiche strahlt. Der melancholische Blick in die Vergangenheit als wichtigste Referenz und kulturellen Fluchtpunkt ersetzt den Eintritt in die Moderne und Modernität mit ihrer Schnelllebigkeit, Austauschbarkeit und die Aufgabe der Tradition für eine rasante Gegenwart. Das Individuum der Südstaaten sieht sich statt mit einer Flut an Wahlmöglichkeiten und Optionen, mit einer einengenden Gesellschaft konfrontiert, die wenig Spielraum für Abweichungen übriglässt und ein harsches Kontrollsystem hat. Es ist eine einzigartige Mischung aus Stolz, Scham und einem Gefühl der gleichzeitigen Unter- und Überlegenheit, die einen besonders guten literarischen Nährboden hervorbringt. In dieser Arbeit wird den historischen, kulturellen, und literarischen Wurzeln der Südstaatenliteratur seit der Southern Renaissance nachgegegangen, um dann die ständig perpetuierten formalen und inhaltlichen Strukturen darzustellen, die wenig Veränderungen erfahren haben. Diese Perpetuierung resultiert aus der einzigartigen Situation der Südstaaten, aus der historischen Last, die unvermindert aktuell bleibt und längst nicht verarbeitet ist. Südstaatenautoren konnten und können nicht die traditionellen Formen und Themen ablegen, solange diese konstituierende Bestandteile der Kultur und Identität der Südstaaten bleiben. Die Südstaaten verweigern sich der Modernität und empfinden Fortschritt und die moderne Massengesellschaft nicht nur als Bedrohung, sondern als Einfluss aus den Nordstaaten, der die eigene Kultur bedroht und eine Einmischung von außen ist, die es abzuwenden gilt. Traditionsbewusste, reaktionäre Tendenzen und Elemente ziehen sich selbst durch vermeintlich progressive, moderne Entwicklungen und Phänomene. Ich kombiniere identitätskonstituierende, isolierende und melancholische Elemente und beleuchte sie historisch, kulturell und literarisch, um eine mehrschichtige Perspektive zu erlangen. Das Verständnis dieser historischen Last und deren unverminderte Bedeutung und Auswirkung auf die Literatur und Kultur der Südstaaten ist essentiell für eine tiefere Einsicht in deren Strukturen und Bedeutung.
Religious conversion has become a dangerous social and individual problem. In Latin America, a traditional Catholic area, Protestant sects are successfully con-verting more and more Catholics into their own communities. Therefore the Pope demands a strict control of these activities. In India e.g., the Catholic hierarchy is critizising the Indian governments which have forbidden conversion on non-spiritual reasons. Hindu organizations have started even very successfully to re-convert Indian Christians particularly of Dalit and tribal background. Buddhists are very successful in indirect and even direct conversion of many Westerners. Wah-habit missionaries spread their Neo-Islam in the Muslim societies and get more and more even non-Muslim converts. We should add the forcible and sometimes ex-tremely cruel conversions the atheistic states had executed since the last century. ...
Poster presentation A central problem in neuroscience is to bridge local synaptic plasticity and the global behavior of a system. It has been shown that Hebbian learning of connections in a feedforward network performs PCA on its inputs [1]. In recurrent Hopfield network with binary units, the Hebbian-learnt patterns form the attractors of the network [2]. Starting from a random recurrent network, Hebbian learning reduces system complexity from chaotic to fixed point [3]. In this paper, we investigate the effect of Hebbian plasticity on the attractors of a continuous dynamical system. In a Hopfield network with binary units, it can be shown that Hebbian learning of an attractor stabilizes it with deepened energy landscape and larger basin of attraction. We are interested in how these properties carry over to continuous dynamical systems. Consider system of the form Math(1) where xi is a real variable, and fi a nondecreasing nonlinear function with range [-1,1]. T is the synaptic matrix, which is assumed to have been learned from orthogonal binary ({1,-1}) patterns ξμ, by the Hebbian rule: Math. Similar to the continuous Hopfield network [4], ξμ are no longer attractors, unless the gains gi are big. Assume that the system settles down to an attractor X*, and undergoes Hebbian plasticity: T´ = T + εX*X*T, where ε > 0 is the learning rate. We study how the attractor dynamics change following this plasticity. We show that, in system (1) under certain general conditions, Hebbian plasticity makes the attractor move towards its corner of the hypercube. Linear stability analysis around the attractor shows that the maximum eigenvalue becomes more negative with learning, indicating a deeper landscape. This in a way improves the system´s ability to retrieve the corresponding stored binary pattern, although the attractor itself is no longer stabilized the way it does in binary Hopfield networks.
Oscillatory activity in human electro- or magnetoencephalogram has been related to cortical stimulus representations and their modulation by cognitive processes. Whereas previous work has focused on gamma-band activity (GBA) during attention or maintenance of representations, there is little evidence for GBA reflecting individual stimulus representations. The present study aimed at identifying stimulus-specific GBA components during auditory spatial short-term memory. A total of 28 adults were assigned to 1 of 2 groups who were presented with only right- or left-lateralized sounds, respectively. In each group, 2 sample stimuli were used which differed in their lateralization angles (15° or 45°) with respect to the midsagittal plane. Statistical probability mapping served to identify spectral amplitude differences between 15° versus 45° stimuli. Distinct GBA components were found for each sample stimulus in different sensors over parieto-occipital cortex contralateral to the side of stimulation peaking during the middle 200–300 ms of the delay phase. The differentiation between "preferred" and "nonpreferred" stimuli during the final 100 ms of the delay phase correlated with task performance. These findings suggest that the observed GBA components reflect the activity of distinct networks tuned to spatial sound features which contribute to the maintenance of task-relevant information in short-term memory.
Market uptake of pegylated interferons for the treatment of hepatitis C in Europe : meeting abstract
(2008)
Introduction and Objectives Hepatitis C virus (HCV) infection is a leading cause of chronic liver disease with life threatening sequelae such as end-stage liver cirrhosis and liver cancer. It is estimated that the infection annually causes about 86,000 deaths, 1.2 million disability adjusted life years (DALYs), and ¼ of the liver transplants in the WHO European region. Presently, only antiviral drugs can prevent the progression to severe liver disease. Pegylated interferons combined with ribavirin are considered as current state-of-the-art treatment. Objective of this investigation was to assess the market uptake of these drugs across Europe in order to find out whether there is unequal access to optimised therapy. Material and Methods We used IMS launch and sales data (April 2000 to December 2005) for peginterferons and ribavirin for 21 countries of the WHO European region. Market uptake was investigated by comparing the development of country-specific sales rates. For market access analysis, we converted sales figures into numbers of treated patients and related those to country-specific hepatitis C prevalence. To convert sales figures into patient figures, the amount of active pharmaceutical ingredients (API) sold was divided by average total patient doses (ATPD), derived by a probability tree-based calculation algorithm accounting for genotype distribution, early stopping rules, body weight, unscheduled treatment stops and dose reductions Ntotal=APIPegIFNalpha-2a/ATPDPegIFNalpha-2a+APIPegIFN&alpha-2b/ATPDPegIFNalpha-2b For more concise result presentation the 21 included countries were aggregated into four categories: 1. EU founding members (1957): Belgium, France, Germany, Italy and Netherlands; 2. Countries joining EU before 2000: Austria (1995), Denmark (1973), Finland (1995), Greece (1981), Republic of Ireland (1973), Spain (1986), Sweden and UK (1973) 3. Countries joining EU after 2000: Czech Republic (2004), Hungary (2004), Poland (2004) and Romania (2007); 4. EU non-member states: Norway, Russia, Switzerland and Turkey. Results Market launch and market uptake of the investigated drugs differed considerably across countries. The earliest, most rapid and highest increases in sales rates were observed in the EU founding member states, followed by countries that joined the EU before 2000, countries that joined the EU after 2000, and EU non-member states. Most new EU member states showed a noticeable increase in sales after joining the EU. Market access analysis yielded that until end of 2005, about 308 000 patients were treated with peginterferon in the 21 countries. Treatment rates differed across Europe. The number of patients ever treated with peginterferon per 100 prevalent cases ranged from 16 in France to less than one in Romania, Poland, Greece and Russia. Discussion Peginterferon market uptake and prevalence adjusted treatment rates were found to vary considerably across 21 countries in the WHO European region suggesting unequal access to optimised therapy. Poor market access was especially common in low-resource countries. Besides budget restrictions, national surveillance and prevention policy should be considered as explanations for market access variation. Although our results allowed for the ranking of countries in order of market access, no final conclusions on over- or undertreatment can be drawn, because the number of patients who really require antiviral treatment is unknown. Further research based on pan-European decision models is recommended to determine the fraction of not yet successfully treated but treatable patients among those ever diagnosed with HCV. ...
In this work data of the NA49 experiment at CERN SPS on the energy dependence of multiplicity fluctuations in central Pb+Pb collisions at 20A, 30A, 40A, 80A and 158A GeV, as well as the system size dependence at 158A GeV, is analysed for positively, negatively and all charged hadrons. Furthermore the rapidity and transverse momentum dependence of multiplicity fluctuations are studied. The experimental results are compared to predictions of statistical hadron-gas and string-hadronic models. It is expected that multiplicity fluctuations are sensitive to the phase transition to quark-gluon-plasma (QGP) and to the critical point of strongly interacting matter. It is predicted that both the onset of deconfinement, the lowest energy where QGP is created, and the critical point are located in the SPS energy range. Furthermore, the predictions for the multiplicity fluctuations of statistical and string-hadronic models are different, the experimental data might allow to distinguish between them. The used measure of multiplicity fluctuations is the scaled variance omega, defined as the ratio of the variance and the mean of the multiplicity distribution. In the NA49 experiment the tracks of charged particles are detected in four large volume time projection chambers (TPCs). In order to remove possible detector effects a detailed study of event and track selection criteria is performed. Naively one would expect Poisson fluctuations in central heavy ion collisions. A suppression of fluctuations compared to a Poisson distribution is observed for positively and negatively charged hadrons at forward rapidity in Pb+Pb collisions. At midrapidity and for all charged hadrons the fluctuations are larger than the Poisson ones. The fluctuations seem to increase with decreasing system size. It is suggested that this is due to increased relative fluctuations in the number of participants. Furthermore, it was discovered that omega increases for decreasing rapidity and transverse momentum. A hadron-gas model predicts different values of omega for different statistical ensembles. In the grand-canonical ensemble, where all conservation laws are fulfilled only on the average, not on an event-by-event basis, the predicted fluctuations are the largest ones. In the canonical ensemble the charges, namely the electrical charge, the baryon number and the strangeness, are conserved for each event. The scaled variance in this ensemble is smaller than for the grand-canonical ensemble. In the micro-canonical ensemble not only the charges, but also the energy and the momentum are conserved in each event, the predicted $omega$ is the smallest one. The grand-canonical and canonical formulations of the hadron-gas model over-predict fluctuations in the forward acceptance. In contrast to the experimental data no dependence of omega on rapidity and transverse momentum is expected. For the micro-canonical formulation, which predicts small fluctuations in the total phase space, no quantitative calculation is available yet for the limited experimental acceptance. The increase of fluctuations for low rapidities and transverse momenta can be qualitatively understood in a micro-canonical ensemble as an effect of energy and momentum conservation. The string-hadronic model UrQMD significantly over-predicts the mean multiplicities but approximately reproduces the scaled variance of the multiplicity distributions at all measured collision energies, systems and phase-space intervals. String-hadronic models predict for Pb+Pb collisions a monotonous increase of omega with collision energy, similar to the observations for p+p interactions. This is in contrast to the predictions of the hadron-gas model, where omega shows no energy dependence at higher energies. At SPS energies the predictions of the string-hadronic and hadron-gas models are in the same order of magnitude, but at RHIC and LHC energies the difference in omega in the full phase space is much larger. Experimental data should be able to distinguish between them rather easily. Narrower than Poissonian (omega < 1) multiplicity fluctuations measured in the forward kinematic region (1<y(pi)<y_{beam}) can be related to the reduced fluctuations predicted for relativistic gases with imposed conservation laws. This general feature of relativistic gases may be preserved also for some non-equilibrium systems as modeled by the string-hadronic approaches. A quantitative estimate shows that the predicted maximum in fluctuations due to a first order phase transition from hadron-gas to QGP is smaller than the experimental errors of the present experiment and can therefore neither be confirmed nor disproved. No sign of increased fluctuations as expected for a freeze-out near the critical point of strongly interacting matter is observed.
A graph theoretical approach to the analysis, comparison, and enumeration of crystal structures
(2008)
As an alternative approach to lattices and space groups, this work explores graph theory as a means to model crystal structures. The approach uses quotient graphs and nets - the graph theoretical equivalent of cells and lattices - to represent crystal structures. After a short review of related work, new classes of cycles in nets are introduced and their ability to distinguish between non-isomorphic nets and their computational complexity are evaluated. Then, two methods to estimate a structure’s density from the corresponding net are proposed. The first uses coordination sequences to estimate the number of nodes in a sphere, whereas the second method determines the maximal volume of a unit cell. Based on the quotient graph only, methods are proposed to determine whether nets consist of islands, chains, planes, or penetrating, disconnected sub-nets. An algorithm for the enumeration of crystal structures is revised and extended to a search for structures possessing certain properties. Particular attention is given to the exclusion of redundant nets and those, which, by the nature of their connectivity, cannot correspond to a crystal structure. Nets with four four-coordinated nodes, corresponding to sp3 hybridised carbon polymorphs with four atoms per unit cell, are completely enumerated in order to demonstrate the approach. In order to render quotient graphs and nets independent from crystal structures, they are reintroduced in a purely graph-theoretical way. Based on this, the issue of iso- and automorphism of nets is reexamined. It is shown that the topology of a net (that is the bonds in a crystal) constrains severely the symmetry of the embedding (that is the crystal), and in the case of connected nets the space group except for the setting. Several examples are studied and conclusions on phases are drawn (pseudo-cubic FeS2 versus pyrite; α- versus β- quartz; marcasite- versus rutile-like phases). As the automorphisms of certain quotient graphs stipulate a translational symmetry higher than an arbitrary embedding of the corresponding net would show, they are examined in more detail and a method to reduce the size of such quotient graphs is proposed. Besides two instructional examples with 2-dimensional graphs, the halite, calcite, magnesite, barytocalcite, and a strontium feldspar structures are discussed. For some of the structures it is shown that the quotient graph which is equivalent to a centred cell is reduced to a quotient graph equivalent to the primitive cell. For the partially disordered strontium feldspar, it is shown that even if it could be annealed to an ordered structure, the unit cell would likely remain unchanged. For the calcite and barytocalcite structures it is shown that the equivalent nets are not isomorphic.
This paper explores the role of trade integration—or openness—for monetary policy transmission in a medium-scale New Keynesian model. Allowing for strategic complementarities in price-setting, we highlight a new dimension of the exchange rate channel by which monetary policy directly impacts domestic inflation. Although the strength of this effect increases with economic openness, it also requires that import prices respond to exchange rate changes. In this case domestic producers find it optimal to adjust their prices to exchange rate changes which alter the domestic currency price of their foreign competitors. We pin down key parameters of the model by matching impulse responses obtained from a vector autoregression on U.S. time series relative to an aggregate of industrialized countries. While we find evidence for strong complementarities, exchange rate pass-through is limited. Openness has therefore little bearing on monetary transmission in the estimated model.
The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.
Measuring financial asset return and volatilty spillovers, with application to global equity markets
(2008)
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically important. In particular, in an analysis of nineteen global equity markets from the early 1990s to the present, we find striking evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts.