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  • 1
    Electronic Resource
    Electronic Resource
    New York : Cambridge University Press
    Econometric theory 6 (1990), S. 318-334 
    ISSN: 0266-4666
    Source: Cambridge Journals Digital Archives
    Topics: Economics
    Notes: This paper establishes necessary and sufficient conditions for the stationarity and ergodicity of the GARCH(l.l) process. As a special case, it is shown that the IGARCH(1,1) process with no drift converges almost surely to zero, while IGARCH(1,1) with a positive drift is strictly stationary and ergodic. We examine the persistence of shocks to conditional variance in the GARCH(l.l) model, and show that whether these shocks "persist" or not depends crucially on the definition of persistence. We also develop necessary and sufficient conditions for the finiteness of absolute moments of any (including fractional) order.
    Type of Medium: Electronic Resource
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  • 2
    Electronic Resource
    Electronic Resource
    New York : Cambridge University Press
    Econometric theory 12 (1996), S. 113-128 
    ISSN: 0266-4666
    Source: Cambridge Journals Digital Archives
    Topics: Economics
    Notes: It is well-known that conditional heteroskedasticity thickens the tails of the unconditional distribution of an error term relative to its conditional distribution. To what extent do imperfect forecasts of the conditional variance undo this tail thickening? This note considers the effect of changing the quality of the information embodied in a forecast of a conditional variance. Adding noise of a certain form thickens the tails of the normalized errors, but decreasing the amount of information used in the forecast may or may not thicken the tails. We also explore the relation between tail thickness and various notions of “optimal” volatility forecasts. The relationship is surprisingly complicated.
    Type of Medium: Electronic Resource
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  • 3
    Electronic Resource
    Electronic Resource
    Springer
    Journal of financial services research 3 (1989), S. 247-254 
    ISSN: 1573-0735
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
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  • 4
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    Unknown
    PANGAEA
    In:  Supplement to: Nelson, Daniel B; Knohl, Alexander; Sachse, Dirk; Schefuß, Enno; Kahmen, Ansgar (2017): Sources and abundances of leaf waxes in aerosols in central Europe. Geochimica et Cosmochimica Acta, 198, 299-314, https://doi.org/10.1016/j.gca.2016.11.018
    Publication Date: 2024-02-17
    Description: Atmospheric transport is an understudied mechanism for leaf wax hydrogen isotope applications that contributes to mobilizing and depositing these compounds on the surface of the Earth. While previous efforts have identified the importance of atmospheric leaf wax deposition in remote marine locations, the processes are not well constrained on land in temperate latitudes where lakes are common and sedimentary leaf wax hydrogen isotope values are an attractive tool for understanding past precipitation changes. This work presents results from a field study that was conducted in 2010 and 2011 at Hainich National Park, Germany in order to evaluate the quantity and sources of leaf waxes in the atmosphere. Aerosols were sam- pled at approximately weekly intervals inside the forest canopy, and n-alkane distributions and hydrogen isotope values were compared with those from major tree species surrounding the sampling site. Despite sampling in what was expected to be a major production center, the distribution and hydrogen isotope values of atmospheric n-alkanes bore little resemblance to those of the local vegetation. Comparison with local meteorological data and to 10-day and 36-h back air mass trajectories indicated shifting effects of winds and temperature, and that mesoscale transport processes were more important than long- range mechanisms. Back trajectories also highlighted source effects, with easterly winds coinciding with relatively lower leaf wax hydrogen isotope values from more continental regions. These results suggest that leaf wax aerosols average over spatial scales that exceed typical surface catchment areas for small lake systems, even in forested areas, yet that the area over which these compounds are derived is still relatively regional. Depositional fluxes were also estimated in order to assess the potential importance of atmospheric transport to sedimentary archives. Although difficult to constrain, these estimates suggest that atmospheric deposition may be non-negligible for lake systems in cases where inputs from rivers or surface runoff are limited. Together, these observations provide new insights on how leaf waxes from different sources are integrated during aeolian transport and the spatial scales over which these processes occur.
    Keywords: Center for Marine Environmental Sciences; MARUM
    Type: Dataset
    Format: application/zip, 4 datasets
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  • 5
    Publication Date: 2024-02-17
    Keywords: Center for Marine Environmental Sciences; DATE/TIME; Day of the year; Gas chromatography; Hainich_National_Park; MARUM; n-Alkane C23, per unit dry leaf mass; n-Alkane C24, per unit dry leaf mass; n-Alkane C24, standard deviation; n-Alkane C25, per unit dry leaf mass; n-Alkane C25, standard deviation; n-Alkane C26, per unit dry leaf mass; n-Alkane C26, standard deviation; n-Alkane C27, per unit dry leaf mass; n-Alkane C27, standard deviation; n-Alkane C28, per unit dry leaf mass; n-Alkane C28, standard deviation; n-Alkane C29, per unit dry leaf mass; n-Alkane C29, standard deviation; n-Alkane C30, per unit dry leaf mass; n-Alkane C30, standard deviation; n-Alkane C31, per unit dry leaf mass; n-Alkane C31, standard deviation; n-Alkane C32, per unit dry leaf mass; n-Alkane C32, standard deviation; n-Alkane C33, per unit dry leaf mass; n-Alkane C33, standard deviation; n-Alkane C34, per unit dry leaf mass; n-Alkane C34, standard deviation; n-Alkane C35, per unit dry leaf mass; n-Alkane C35, standard deviation; Replicates; Species; Thuringia, Germany; Trees, canopy height
    Type: Dataset
    Format: text/tab-separated-values, 414 data points
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  • 6
    Publication Date: 2024-02-17
    Keywords: Center for Marine Environmental Sciences; DATE/TIME; Day of the year; Gas chromatography - Isotope ratio mass spectrometer (GC-IRMS); Hainich_National_Park; MARUM; n-Alkane C27, δD; n-Alkane C27, δD, standard deviation; n-Alkane C29, δD; n-Alkane C29, δD, standard deviation; n-Alkane C31, δD; n-Alkane C31, δD, standard deviation; Replicates; Species; Thuringia, Germany; Trees, canopy height
    Type: Dataset
    Format: text/tab-separated-values, 257 data points
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  • 7
    Publication Date: 2024-02-17
    Keywords: Air volume; Canopy position; Carbon Preference Index, n-Alkanes (C24-C34); Center for Marine Environmental Sciences; Date/time end; Date/time start; Day of the year; Duration, number of days; Flow rate; Gas chromatography; Hainich_National_Park; MARUM; n-Alkane C23 per air volume; n-Alkane C24 per air volume; n-Alkane C25 per air volume; n-Alkane C26 per air volume; n-Alkane C27 per air volume; n-Alkane C28 per air volume; n-Alkane C29 per air volume; n-Alkane C30 per air volume; n-Alkane C31 per air volume; n-Alkane C32 per air volume; n-Alkane C33 per air volume; n-Alkane C34 per air volume; n-Alkane C35 per air volume; Sum odd numbered n-alkanes C25-C35 per air volume; Thuringia, Germany; Time in hours
    Type: Dataset
    Format: text/tab-separated-values, 864 data points
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  • 8
    Publication Date: 2024-02-17
    Keywords: Air volume; Canopy position; Center for Marine Environmental Sciences; Date/time end; Date/time start; Day of the year; Duration, number of days; Flow rate; Hainich_National_Park; MARUM; n-Alkane C27, δD; n-Alkane C29, δD; n-Alkane C31, δD; Thuringia, Germany; Time in hours
    Type: Dataset
    Format: text/tab-separated-values, 417 data points
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  • 9
    Publication Date: 2024-05-21
    Description: Hydroclimate on 'Uvea (Wallis et Futuna) is controlled by rainfall associated with the South Pacific Convergence Zone (SPCZ), the southern hemisphere's largest precipitation feature. To extend the short observational precipitation record, the hydrogen isotopic composition of the algal lipid biomarker dinosterol (d2Hdinosterol) was measured in sediment cores from two volcanic crater lakes on 'Uvea. The modern lakes differ morphologically and chemically but both contain freshwater within the photic zone, support phytoplankton communities inclusive of dinosterol-producing dinoflagellates, and experience identical climate conditions. d2Hdinosterol values track lake water isotope ratios, ultimately controlled in the tropics by precipitation amount and evaporative enrichment. However, in 88-m-deep Lac Lalolalo a steadily decreasing trend in sedimentary d2Hdinosterol values from −227 ‰ around year 988 CE to modern values as low as −303 ‰, suggests this lake's evolution from an active volcanic setting to the present system strongly influenced d2Hdinosterol values. Although current hydrology and water isotope systematics may now reflect precipitation and evaporation in this lake, the interaction between these processes and large changes in basin morphology, geochemistry, and hydrology obstruct the recovery of a climate signal from Lac Lalolalo's sedimentary d2Hdinosterol records. This work emphasizes the importance of site replication and the use of complementary climate reconstruction tools, especially when using molecular proxies that may be sensitive to more than one environmental parameter. Contrary to its neighbor, duplicate d2Hdinosterol records from 23-m-deep Lac Lanutavake varied between −277 ‰ and −297 ‰ and indicate slightly drier conditions during the time-period known as the Medieval Climate Anomaly (MCA, 950 – 1250 CE). The d2Hdinosterol signal in Lac Lanutavake was muted compared to published records from 'Upolu (Samoa) and Efate (Vanuatu) indicating that 'Uvea's location is not as sensitive to precipitation variability at sites farther from the SPCZ central axis. Lithogenic runoff proxies combined with d2Hdinosterol support the interpretation of a relatively dry MCA on 'Uvea, 'Upolu, and Efate, potentially due to less intense precipitation, a contracted, or a more zonally oriented SPCZ.
    Keywords: dinosterol; Holocene; Hydrogen isotopes; lakes; Organic Geochemistry; paleohydrology; Paleolimnology; Sedimentology; South Pacific Convergence Zone; tropical Pacific
    Type: Dataset
    Format: application/zip, 4 datasets
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  • 10
    Publication Date: 2024-05-21
    Keywords: AGE; Age, standard error; DEPTH, sediment/rock; dinosterol; Event label; GCUWI; Gravity corer, UWITEC; Holocene; Hydrogen isotopes; Laboratory code/label; Lac Lalolalo, 'Uvea, Wallis et Futuna; Lac Lanutavake, 'Uvea, Wallis et Futuna; Lake Emaotul, Efate, Vanuatu; Lake Lanotoo, Upolu, Samoa; lakes; Method comment; Organic Geochemistry; paleohydrology; Paleolimnology; PCOR; Percussion corer; rbacon calibration curve choice; Sedimentology; South Pacific Convergence Zone; SPCZ_Efate_VAN; SPCZ_Upolu_LAN; SPCZ_Uvea_LALOUC13; SPCZ_Uvea_LALOUC14; SPCZ_Uvea_LALOUC22; SPCZ_Uvea_LALOUC24; SPCZ_Uvea_LATVKUC1; tropical Pacific
    Type: Dataset
    Format: text/tab-separated-values, 536 data points
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