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SSRN
Working paper
In: The Washington quarterly, Band 18, Heft 4, S. 117-131
ISSN: 0163-660X, 0147-1465
World Affairs Online
In: The Washington quarterly, Band 18, Heft 4, S. 117-131
ISSN: 1530-9177
In: Journal of Risk Model Validation, Band 14
SSRN
SSRN
SSRN
In: Bulletin of the Military University of Technology, Band 70, Heft 3, S. 111-134
The results of the work give an overview of the phenomenon of volatility and one-dimensional
diffusion of toxic substances with a volatility range from 500 to approx. 1100 mg/m3
, in relation to
chemical warfare agents. The purpose of this work was to initially investigate the diffusion rate of lowvolatile substances in laboratory conditions, with the best possible representation of real conditions.
The obtained results allowed us to assess potential contamination with such substances at a height of
up to 150 cm from the surface of the emission source. For this reason, there was built an apparatus for
taking gaseous samples at various distances from the emission source of the tested substance. Nontoxic sulfur mustard imitators of similar volatility were used for the experiments: dodecane, dimethyl
glutarate, diethyl succinat, and dibenzyl ether. For each of these substances, the concentration of
saturated vapour was determined and the time to achieve the liquid-vapour equilibrium in various
configurations of research equipment was estimated. The analyses of the concentrations of the tested
substances in the air were carried out using a gas chromatograph coupled with an atomic emission
detector. The studies have shown that substances with low volatility can quickly rise to high altitudes.
SSRN
The paper aims to examine how fiscal and monetary volatility might affect the balanced economic growth rate using a standard monetary growth model characterized by nominal wage rigidity and productive public spending. The model shows that any type of shock — monetary or fiscal — can generate either a negative or positive relationship between short-run volatility and long-run growth, critically de- pending on the size of government and the elasticity of output with respect to labor/ capital. In particular, given the labor income share, it shows that excessive government spending may cause the impact of fiscal volatility on long-run growth to turn from positive to negative. In addition, a rise in the volatility of the monetary shock is capable of generating either an increase or decrease in the mean of growth. With the range of the labor share values in reality, the model produces results consistent with the fact that the relationship between volatility and growth is generally found empirically to be more negative in developing than in developed countries. The model can be seen as a further explanation for the ambiguous empirical evidence in the existing literature. ; info:eu-repo/semantics/publishedVersion
BASE
In: Clarendon lectures in economics
In this financial engineering research we evaluate if observed non normalities in the market price distributions are caused mainly by a volatility clustering or also by another nonclustering mechanism. Such findings allow us to assess accor d ing to which rules the market price is actually developing or even make conclusions about market price directional forecasting chances, based on the realistic financial processes which we assign to the clustering and non clustering mechanisms. In the research we suggest certain methodology how to recognize these processes behind the market price development. We apply the method to the European government bonds market and for the comparison also to 1 day periods of S&P 500 Index development, with respect to the different time periods. Based on the findings we confirm the combination of both the volatility clustering and the non clustering processes to be active inside 1 day periods and to be responsible for measured nonnormalities. We also find significant non clustering mechanism in 30 and 60 minute periods in case of European government bonds.
BASE
In this financial engineering research we evaluate if observed non normalities in the market price distributions are caused mainly by a volatility clustering or also by another nonclustering mechanism. Such findings allow us to assess accor d ing to which rules the market price is actually developing or even make conclusions about market price directional forecasting chances, based on the realistic financial processes which we assign to the clustering and non clustering mechanisms. In the research we suggest certain methodology how to recognize these processes behind the market price development. We apply the method to the European government bonds market and for the comparison also to 1 day periods of S&P 500 Index development, with respect to the different time periods. Based on the findings we confirm the combination of both the volatility clustering and the non clustering processes to be active inside 1 day periods and to be responsible for measured nonnormalities. We also find significant non clustering mechanism in 30 and 60 minute periods in case of European government bonds.
BASE
In this financial engineering research we evaluate if observed non normalities in the market price distributions are caused mainly by a volatility clustering or also by another nonclustering mechanism. Such findings allow us to assess accor d ing to which rules the market price is actually developing or even make conclusions about market price directional forecasting chances, based on the realistic financial processes which we assign to the clustering and non clustering mechanisms. In the research we suggest certain methodology how to recognize these processes behind the market price development. We apply the method to the European government bonds market and for the comparison also to 1 day periods of S&P 500 Index development, with respect to the different time periods. Based on the findings we confirm the combination of both the volatility clustering and the non clustering processes to be active inside 1 day periods and to be responsible for measured nonnormalities. We also find significant non clustering mechanism in 30 and 60 minute periods in case of European government bonds.
BASE