High movements of asset prices constitute intrinsic elements of financial crises. There is a common agreement that extreme events are responsible for that. Making inference about the risk spillover and its effect on markets one should use such methods and tools that can fit properly for catastrophic events. In the paper Extreme Value Theory (EVT) invented particularly for modelling extreme events was used. The purpose of the paper is to model risky assets using EVT and to analyse the transfer of risk across the financial markets all over the world using the Granger causality in risk test. The concept of testing in causality in risk was extended to Spectral Risk Measure i.e., respective hypotheses were constructed and checked by simulation. The attention is concentrated on the Chinese financial processes and their relations with those in the rest of the globe. The original idea of the Granger causality in risk assumes usage of Value at Risk as a risk measure. We extended the scope of application of the test to Expected Shortfall and Spectral Risk Measure. The empirical results exhibit very interesting dependencies.
In the public debate, it is argued that Poland avoided a massive drop in output during the 2008/2009 economic crisis in part thanks to substantial nominal zloty’s depreciation against the euro. The Polish case is often contrasted with Slovakia that adopted the euro in January 2009 and, since the Ecofin Council decision in summer 2008, exhibited virtually no nominal exchange rate volatility while facing deep losses in output. In this paper we attempt to validate this contrast by reversing the roles, i.e. checking if Poland really would have faced the same drop – and Slovakia would have remained relatively resilient – if it had been Poland, not Slovakia, that adopted the euro at that point. Our counterfactual simulations based on a New Keynesian DSGE model indicate that, indeed, the Polish tradable output could have been 10‒15 percent lower than actually observed in 2009, while the Slovak one – approximately 20 percent higher. This asymmetry results mainly from structural differences between the two economies, such as size, openness, share of nontradable sector and foreign trade elasticities. The difference of this size would have been short-lived (3‒4 quarters), and the difference of the nontradable output would have been of much lower magnitude.
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on high-frequency price patterns that have become available in foreign markets overnight. Generally speaking, out-of-sample forecast performance depends on the forecast method as well as the information that the forecasts are based on. In this paper both aspects are considered. The fact that the close-to-open gap is a scalar response variable to a functional variable, namely an overnight foreign price pattern, brings the prediction exercise in the realm of functional data analysis. Both parametric and non-parametric functional data analysis are considered, and compared with a simple linear benchmark model. The information set is varied by dividing global markets into three clusters, Asia-Pacific, Europe and North-America, and including or excluding price patterns on a per-cluster basis. The overall best performing forecast is nonparametric using all available information, suggesting the presence of nonlinear relations between the overnight price patterns and the opening gaps.
This paper describes the analyses of the fatigue life of the asphalt pavement reinforced with geogrid interlayer under traffic loading. Finite Element ANSYS package with using nCode applications, as well as macros specially designed in APDL programming script and VBA were used to model the considered problem. Our analysis included computation of stress, fatigue life, damage matrix and rainflow matrix. The method applied was the one of fatigue calculation: stress – number of cycles in short S-N. On the basis of the performed high cycle fatigue analysis, the influence of the location of the used geogrid and of its bond with asphalt layers on the fatigue life and the work of the asphalt pavement structure were determined. The study was carried out for three temperature seasons i.e. spring and fall (assumed as one season), winter and summer. The variability of the traffic conditions were taken into account by assuming weekly blocks of traffic loading. The calculations were made using the real values of loading measured in field tests on the German highways by means of HS-WIM weighing system. As a result of the performed tests, it was proved that the use of geogrid-reinforcement may prolong the fatigue life of the asphalt pavement. However, it is required that: the geogrid should be located in the tension zone as low as possible in the structure of the asphalt layers. Moreover, it is necessary to provide high stiffness of the bond between the geogrid and the asphalt layers.
The article presents numerical analysis of the portion of concrete airport pavement that consists of two concrete panels connected with dowels, subjected to thermal and service loads, in terms of changes in base rigidity, plate thickness and diameters, and spacing of dowels. Modifications of the thickness of the plates, diameter and spacing of dowels, and base rigidity were considered by assessing the level of stress and displacement in the analysed concrete plate, as well as normal and tangential stresses in dowels by using finite element method. On the basis of an analysis of examples, an optimal solution of dowelling connections in concrete plates with established loads was proposed. The results of the calculations were presented as a contour level distributions and comparison tables.
A continuous contact layer exists between the top and bottom layer of concrete composite reinforced floors. The contact layer is characterised by linear elasticity and frictional properties. In this paper a model of single degree of freedom of composite floor is determined. The model assumes that the restoring forces and the non-conservative internal friction forces dissipating energy are produced within the contact layer. A hysteresis loop is created in the process of static loading and unloading of the model, with the energy absorption coefficient being defined on this basis. The value of the coefficient is rising along with the growing stiffness of the composite. A critical damping ratio is a parameter describing free decaying vibration caused by non-conservative internal friction forces in the contact layer and in the bottom and top layer. The value of the ratio in the defined model is rising along with the lowering stiffness of the element representing contact layer. The findings resulting from the theoretical analyses carried out, including the experimental tests, are the basis for the established methods of determining the concrete layer state for reinforced concrete floors. The method is based on energy dissipation in the contact layer.
The use of fly ash as a material for earth structures involves its proper compaction. Fly ash compaction tests have to be conducted on separately prepared virgin samples because spherical ash grains are crushed during compaction, so the laboratory compaction procedure is time-consuming and laborious. The aim of the study was to determine the neural models for prediction of fly ash compaction curve shapes. The attempt of applying the artificial neural networks type MLP was made. ANN inputs were new-created variables – principal components dependent on grain-size distribution (as D₁₀–D₉₀ and uniformity and curvature coefficients), compaction method, and fly ash specific density. The output vectors were presented by co-ordinates of generated compaction curve points. Each point (wᵢ, ρdi) was described by two independent ANNs. Using ANN-based modelling method, models which enable establishing the approximate compaction curve shape were obtained.
The objective of this investigation was comparing the penetration of chloride ions in ordinary and air-entrained concretes containing a waste material Fluidized Bed Combustion Fly Ash (FBCFA). All concretes were tested with 15% and 30% cement replacement by FBCFA, with the same water-binder ratio of 0.45. Two kinds of fly ash coming from fluid bed combustion in two power plants in Poland have been used. In this study the rapid chloride permeability test – Nordtest Method BUILD 492 method – was used. The microstructure of the concrete was analyzed on thin polished sections and the measurement of air voids sizes and their distribution, using digital image analysis, was carried on according to PN-EN 480-11:2008. Obtained results have shown a significant influence of partial cement replacement by FBCFA on the chloride ions movements in concrete. It has been found that this kind of addition reduced considerably the chloride ion penetration. The influence of air entrainment on the chloride diffusion coefficients was also measured and it was shown that application of air-entraining admixture for concretes with FBCFA reduce the chloride diffusion coefficient but it should be used with caution.
The paper presents a dynamic analysis of the damaged masonry building repaired with the Flexible Joint Method. Numerical analysis helped to determine the effect of the applied repairing method on natural frequencies as well as values of stresses and accelerations in the analyzed variants of numerical model. They confirmed efficiency of the proposed repair method.
A computational approach to analysis of wave propagation in plane stress problems is presented. The initial-boundary value problem is spatially approximated by the multi-node C⁰ displacement-based isoparametric quadrilateral finite elements. To integrate the element matrices the multi-node Gauss-Legendre-Lobatto quadrature rule is employed. The temporal discretization is carried out by the Newmark type algorithm reformulated to accommodate the structure of local element matrices. Numerical simulations are conducted for a T-shaped steel panel for different cases of initial excitation. For diagnostic purposes, the uniformly distributed loads subjected to an edge of the T-joint are found to be the most appropriate for design of ultrasonic devices for monitoring the structural element integrity.