In this paper, a compact and easy to fabricate brach-line couplers, which can be used for tight and weak couplings with high directivity, is proposed. For these purpose, various artificial transmission lines (ATLs) are incorporated. Design of 3 dB and 10 dB couplers are designed and their characteristics are measured. Good electrical performance and circuit miniaturization indicate the validity of the present theory.
This paper tries to investigate whether the information contained in trading volume volatilities of spot and futures may be statistically useful in explaining the volatility of korean stock market. This paper uses both the component-jump model and the bivariate GJR-GARCH type BEKK model to estimate the trading volume volatilities of spot and futures from 1/2/2001 to 9/30/2010. By using the component-jump model, the volume volatility is decomposed into a permanent component and a transitory component. According to this study, the relative importance of permanent component to the transitory component contained in both trading volume volatilities of spot and futures has been more significant in explaining the volatility of the korean stock markets.
This paper discusses theoretical extensions of the implied volatility method of Dupire (1994) when the stock prices follow the Geometric Levy process. For the extensions of Kolmogorov forward equation for Levy process, this paper uses adjoint operator in L² spaces. This paper obtains similar results of Dupire (1994) and Andersen and Andreasan (2001). However, our results can be applied to more general semi-martingale processes such as well-known VG (Variance Gamma) model and NIG (Normal Inverse Gaussian) model with diffusion processes. This paper also applies the approach to the case of stochastic time changed Levy process, which generates the stochastic volatility models.
This paper tries to estimate the dynamic linear latent factor model (DLLFM) with jump in order to find jump risk, heteroscedasticity and time varying correlations in Global REITs Markets.
Using five major Global Reits rates such as the United States, Japan, the United Kingdom, Australia and Hong Kong form January 4, 2000 to June 29, 2018, this study finds the evidence of common factor and time-varying correlations in addition to the country-specific idiosyncratic risk.
According to the main estimated results of this paper, approximately 60% of the common factors of global REITs market risk. Can be explained by global stock markets.
Second, REITs market integration among five countries seems to have been increasing gradually since Global Financial Crisis.
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