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This study aims to investigate the dynamic relationship between Oil price Shocks and stock markets returns in Egypt, Morocco, and Jordan as oil-importing countries in the MENA region, over the period (2005-2018). Vector auto regressive regressions (VAR), Granger causality tests, and Impulse Response technique are employed to achieve the objectives of the study. Using weekly data, the results point to a causal relation flowing from oil prices to stock market returns in all the three countries under investigation although with different lags and different patterns of the response according to the impulse response function outcomes. These findings have important implications for academics, domestic and international investor, investment manager and policy makers.

The massive stock of Non-Performing Loans (NPLs) in Europe has forced regulatory and supervisory authorities to promote debate on their management and timely disposal. Simultaneously, the transition to IFRS 9 created the need for higher provisioning and for weighting sale scenarios in the assessment of NPLs. This study, using a scenario analysis based on the Italian experience of the NPL resolution process, focuses on the cost of deleveraging by comparing the alternative strategies of direct sale and securitization. The study highlights the impact of the assumptions derived from the portfolio assessment and the additional cost arising from the uncertainties surrounding the appropriate recovery procedure. It demonstrates that securitization minimises this cost, while estimating the benefit derived from the support of State-backed guarantees. These findings provide useful insights for policy makers, suggesting the promotion of further measures that aim to reduce the transfer of value from banks to third parties.

Purpose The purpose of this paper is to investigate whether guarantees characterised by different degrees of relationship lending (particularly referring to collateral and guarantees provided by Mutual Loan Guarantee Institutions) are able to convey some entrepreneurial orientation (EO) dimensions from firms to banks. Design/methodology/approach Exploiting data from a survey of Austrian and Italian SMEs, the empirical analysis is based on a sample of 328 small business firms. To test the signalling hypothesis, the authors used logistic regressions to assess the explanatory power of EO dimensions on the presence of several types of guarantees. Findings The analyses suggest that collateral cannot signal any EO dimension, even when controlling for the strength of the bank – firm relationship. Furthermore, SMEs are able to mitigate their financial risk through collateral only in a multiple bank – firm relationship. Lastly, innovativeness, competitive energy and aggressiveness allow SMEs to obtain external guarantees (mutual guarantees, bank guarantees and public guarantees, respectively), helpful in order to promote credit access. Research limitations/implications The mediation role of collateral and external guarantees on EO – credit access relation should be analysed in future research. Since the role of guarantees can change among different bank lending technologies, further studies should carefully consider lender’s characteristics. Lastly, the use of loan data in respect of the firm data can help to better separate the effect of loan and firm attributes on the collateral. Practical implications The study suggests how managers and entrepreneurs should manage the financial risk through collateral in different situations (one–to–one and multiple bank – firm relationship). Furthermore, depending on the level of innovativeness, competitive energy and aggressiveness, a firm should request a specific type of external guarantees in order to increment the credit availability, to maximise the possibility of success and to improve its performance. Originality/value To the authors’ knowledge, this paper is the first attempt to analyse whether EO affects the request for guarantees instead of credit access. This can be helpful especially when the banks involved in the relation apply a transaction lending technology.

Biogas is a versatile carrier of renewable energy produced by means of the digestion of crops, residues, or other wastes, and storage of the gas in dedicated plants. Safety regulations impose operational and technical restrictions to areas interested by the presence of the biogas in order to limit the explosion risk. Conversely, other areas of the plant are not subject to strict safety requirements. Nevertheless, explosions can be triggered in these areas as well, as the present investigation confirms. In the specific case, the production of biogas by anaerobic digestion in a storm‐water tank and its infiltration and accumulation into a technical building through a pipe connection caused the explosion of the building itself. The authors describe the procedures adopted for the enquiry and suggest possible improvements to the safety regulations for biogas plants.

This paper explores the interrelations between bank capital and liquidity and their impact on the market probability of default. We employ an unbalanced panel of large European banks with listed credit default swap (CDS) contracts during the period 2005–2015, which allow us to consider the impact of the recent financial crisis. Our evidence suggests that bank capital and funding liquidity risk as defined in Basel III have an economically meaningful bidirectional relationship. However, the effect on CDS spread is ambiguous. While capital appears to have a relatively large impact on CDS spread changes, liquidity risk is priced only when it falls below the regulatory threshold.

Accurate modelling of robotic links may lead to fractional–order descriptions that complicate controller synthesis. This paper explores whether an LQG controller derived for an integer–order approximation can be applied to the original fractional–order model without appreciably degrading the system performance. Simulations show that this is the case for a fairly large range of orders of fractional derivatives and related combination coefficients.

International audience; — To detect faults in a system we can adopt an observer, designed for the healthy system, and monitor the discrepancy between actual and expected behaviour of the residual (difference between the system output and its estimate). To isolate faults, we can compute the invariant sets associated with each fault, and their projection in the residual space (limit set): faults can be isolated if the associated limit sets are separated when a (constant) test input is applied. However, the explicit computation of limit sets can be hard even for low-dimensional systems. As a main contribution, we show that, by adopting an implicit representation of limit sets, very efficient procedures can be used to solve the problem, based on convex quadratic programming or linear programming. Simulations show that the approach is effective in solving even large dimensional problems, which makes it suitable for large-scale networked systems.

This paper presents a continuous time solution to the problem of designing a relatively optimal control, precisely, a dynamic control which is optimal with respect to a given initial condition and is stabilizing for any other initial state. This technique provides a drastic reduction of the complexity of the controller and successfully applies to systems in which (constrained) optimality is necessary for some "nominal operation" only. The technique is combined with a pole assignment procedure. It is shown that once the closed-loop poles have been fixed and an optimal trajectory originating from the nominal initial state compatible with these poles is computed, a stabilizing compensator which drives the system along this trajectory can be derived in closed form. There is no restriction on the optimality criterion and the constraints. The optimization is carried out over a finite-dimensional parameterization of the trajectories. The technique has been presented for state feedback. We propose here a technique based on the Youla-Kucera parameterization which works for output feedback. The main result is that we provide conditions for solvability in terms of a set of linear algebraic equations. (C) 2015 Elsevier B.V. All rights reserved.

This paper deals with set invariance for time delay systems. The first goal of the paper is to review the known necessary or sufficient conditions for the existence of invariant sets with respect to dynamical systems described by discrete-time delay difference equations (dDDEs). Secondly, we address the construction of invariant sets in the original state space (also called D-invariant sets) by exploiting the forward mappings. As novelties, the present paper contains a sufficient condition for the existence of ellipsoidal D-contractive sets for dDDEs, and a necessary and sufficient condition for the existence of 22-invariant sets in relation to time-varying dDDE stability. Another contribution is the clarification of the relationship between convexity (convex hull operation) and D-invariance. In short, it is shown that the convex hull of two D-invariant sets is not D-invariant but the convex hull of a non-convex D-invariant, set is D-invariant,. (Less)

International audience; This paper presents the mathematical conditions and the associated design methodology of an active fault diagnosis technique for continuous-time linear systems. Given a set of faults known a priori, the system is modeled by a finite family of linear time-invariant systems, accounting for one healthy and several faulty configurations. By assuming bounded disturbances and using a residual generator, an invariant set and its projection in the residual space (i.e., its limit set) are computed for each system configuration. Each limit set, related to a single system configuration, is parameterized with respect to the system input. Thanks to this design, active fault isolation can be guaranteed by the computation of a test input, either constant or periodic, such that the limit sets associated with different system configurations are separated, and the residual converges toward one limit set only. In order to alleviate the complexity of the explicit computation of the limit set, an implicit dual representation is adopted, leading to efficient procedures, based on quadratic programming , for computing the test input. The developed methodology offers a competent continuous-time solution to the optimization-based computation of the test input via Hahn–Banach duality. Simulation examples illustrate the application of the proposed active fault diagnosis methods and its efficiency in providing a solution, even in relatively large state-dimensional problems.

This paper adopts a multivariate GARCH framework to examine conditional correlations and volatility linkages between sukuk (Islamic bonds) and conventional bond markets in Europe, the United States, and emerging markets. We find that sukuk and conventional investment-grade bonds have a lower reaction of conditional volatility to market shocks and higher persistence; we also find that sukuk returns are much less volatile than U.S. and EU investment-grade bonds. Further, we find a time-varying, positive, conditional correlation between sukuk returns and leading bond markets, which is driven by changing macroeconomic and market conditions. We observe that during recessions, the dynamic correlation between sukuk and bond markets tends to increase. Moreover, we unveil structural breakpoints in paths of dynamic correlations corresponding to external shocks, such as the sovereign debt crisis and the Federal Reserve’s tapering announcements. Finally, we examine how market-wide factors affect correlations. We find significant behavioral shifts in the sukuk-bonds relationship, which are explained by market liquidity, crude oil prices, U.S. credit information, and stock market uncertainty. Our results have useful implications for sukuk issuers, portfolio managers, and risk managers in both emerging and developed markets.

We investigate cross-sector financial contagion over the period 2006–2014 for a sample of large European banks and insurers. We use CDS spreads and define contagion as correlation over and above what is explained by fundamental factors. Moreover, we assess the impact of different business models on contagion and the channels through which it spreads. We find that, for insurers, size and investment income raise contagion, while for banks capital adequacy, funding and income diversification are the most relevant factors. Furthermore, leverage is crucial in both sectors. We also provide evidence of the main risk transmission channels: the asset-holding and the guarantee channel for insurers and the additional collateral channel for banks. Our results offer new insight on how credit risk spillovers spread across sectors and call for further regulatory and supervisory effort in understanding if and where cross-industry similarities increase contagion risks.

Gain switching is proven to be an effective technique for semiactive damping of vibrating structures. Typically, switching control is based on convex, in particular quadratic, Lyapunov functions, which impose conservative solutions. In this brief we propose a switching technique based on ad hoc nonconvex Lyapunov functions, recently introduced in the literature. Remarkable advantages can be shown by considering well-known criteria such as L2 and H∞. We propose a switching strategy based on the minimum of quadratic Lyapunov functions and we show that such a strategy outperforms the effect achieved with the optimal constant gain. Explicit bounds can be assured. The scheme is amenable for implementation as very simple tools such as Lyapunov and Riccati equations are involved. Results are also validated by simulations of a realistic building structure under seismic action, based on the recorded data of the El Centro earthquake.

An understanding of volatility and co-movements in financial markets is important for portfolio allocation and risk management practices. The current financial crisis caused a shrinkage in values of most assets, an increased volatility and a threat to the survival of several institutional investors. Managing risks and returns within the classic portfolio theory, when correlations across securities soar, is increasingly challenging. In this paper, we investigate the volatility behavior and the co-movements between sukuk and international stock indexes. Symmetric multivariate GARCH models with dynamic conditional correlations (DCC) were estimated under Student- t distribution. We provide evidence of high correlations between sukuk and US and EU stock markets, without finding the well-known flight to quality behavior affecting Islamic bonds. We also show that volatility linkages between sukuk and regional market indexes are higher during financial crisis. We argue that investors could obtain diversification benefits including sukuk in a well-diversified equity portfolio, given their lower volatility compared to equity. But higher volatility linkages and dynamic correlations during financial crises show that they are hybrid instruments between bonds and equity. Our findings are relevant for institutional investors and asset managers that include Islamic bonds in a diversified portfolio.

In this paper, we investigate the volatility behavior and the co-movements between sukuk and international stock indexes. Asymmetric multivariate GARCH models with dynamic conditional correlations (DCC) were estimated under student-t distribution. We provide evidence of lower correlations between sukuk and US and EU stock markets. We also show that volatility linkages between sukuk and regional market indexes are higher during financial crisis. We argue that investors could obtain diversification benefits including sukuk in a well-diversified portfolio, given their lower volatility compared to equity. But higher volatility linkages and dynamic correlations during financial crises show that they are hybrid instruments between bonds and equity. Our findings are relevant for institutional investors and asset managers that include Islamic bonds in a diversified portfolio.

This paper addresses set invariance properties for linear time-delay systems. More precisely, the first goal of the article is to review known necessary and/or sufficient conditions for the existence of invariant sets with respect to dynamical systems described by linear discrete time-delay difference equations (dDDEs). Secondly, we address the construction of invariant sets in the original state space (also called D -invariant sets) by exploiting the forward mappings. The notion of D -invariance is appealing since it provides a region of attraction, which is difficult to obtain for delay systems without taking into account the delayed states in some appropriate extended state space model. The present paper contains a sufficient condition for the existence of ellipsoidal D -contractive sets for dDDEs, and a necessary and sufficient condition for the existence of D -invariant sets in relation to linear time-varying dDDE stability. Another contribution is the clarification of the relationship between convexity (convex hull operation) and D -invariance of linear dDDEs. In short, it is shown that the convex hull of the union of two or more D -invariant sets is not necessarily D -invariant, while the convex hull of a non-convex D -invariant set is D -invariant.

In this chapter, a control design approach based on linear parameter-varying (LPV) systems, which can be exploited to solve several problems typically encountered in control engineering, is presented. By means of recent techniques based on Youla–Kucera parametrization , it is shown how it is possible not only to design and optimize stabilizing controllers, but also to exploit the structure of the Youla–Kucera parametrized controller to face and solve side problems, including: (a) dealing with nonlinearities; (b) taking into account control input constraints; (c) performing controller commutation or online adaptation, e.g., in the presence of faults; and (d) dealing with delays in the system. The control scheme is observer-based, namely a prestabilizing observer-based precompensator is applied. Consequently, a Youla–Kucera parameter is applied to produce a supplementary input ignition, which is a function of the residual value (the difference between the output and the estimated output). Based on the fact that any stable operator which maps the residual to the supplementary input preserves stability, several additional features can be added to the compensator, without compromising the loop stability.

Based on a sample of 300 small and medium enterprises (SMEs) located in the Province of Udine (north East of Italy) and the Kartner Region (South of Austria) we perform an analysis of the impact of Entrepreneurial Orientation (EO) on SMEs’ subjective performances. We develop a model in which EO dimensions are moderated by the role of financial leverage The present work is part of a research project on an interregional co-operation programme Italy-Austria (INTERREG IV) financed by the European Regional Development Fund whose program areas include the Province of Udine and the Kartner Region. Subjective performances has been widely investigated in academic literature where various streams of research have been developed. A prominent field of research focuses on the constructs of EO orientation and their ability to prompt performances through innovative attitude, risk taking behaviour, aggressiveness, autonomy and competitive energy. Another established field of research focuses on the impact of financial structure (i.e. leverage) on performances, although with ambiguous results.. We find support to the hypothesis that competitive energy might have a significant and positive impact in driving performance, which has obvious implications for managers and theoreticians. We also find that leverage might have a significant moderating role through interactions with EO dimensions.

This note deals with the problem of characterizing a class of second-order three-parameter controllers [including proportional-integral-derivative (PID) and lead/lag compensators] satisfying given H/sub /spl infin// closed-loop specifications. Design characterizations of similar form as in the recent work on PID control, are derived for a larger class of compensators using simple geometric considerations. Specifically it is shown that, given the value of one parameter: i) the region of the plane defined by the other two parameters where the considered H/sub /spl infin// constraint is satisfied, consists of the union of disjoint convex sets whose number can be bounded by means of the pancake-cutting formula, and ii) the closed-loop pole distribution can be related to them. An example illustrates how the method can be applied to design a PID controller in the case of bounded sensitivity.

In the steel industry, the steel bars coming out from the last stand of the rolling train must be conveyed to the cooling bed. For this purpose, various types of devices are used in the different steel factories. In this paper, the rotating channel used in a single steel company is described and investigated. The problem of deriving an adequate dynamic model for the rotating channel is tackled; the model is then exploited to design a controller which can be employed in the real application of the rotating channel. A lumped parameter model of the rotating channel has been designed and used in this work. Moreover, a distributed parameter model has also been implemented, so as to be able to compare the two models and to evaluate the error made by using the lumped parameter model instead of the distributed parameter model. The lumped parameter model has then been used as a basis for the implementation of a time-varying control scheme, which is also presented in the paper. The control has then been successfully tested on an accurate simulator of the plant. The results obtained from the tests have been very encouraging.

In recent years sovereign wealth funds (SWFs) have become increasingly important as institutional investors, both in numerical terms and in terms of assets under management (Aizenman and Glick, 2007; Jen, 2007; Kern, 2007, 2008). In particular, since 2007, when many banks needed to recapitalize because of the subprime financial crisis, the number of SWFs has continuously increased to reach 65 investment vehicles in December 2012, with total assets under management equal to more than $5 trillion (Sovereign Wealth Fund Institute, 2013).

The authors analyze the problem of synthesizing a state feedback control for the class of uncertain continuous-time linear systems affected by time-varying memoryless parametric uncertainties. They consider as candidate Lyapunov functions the elements of the class /spl Sigma//sub p//sup z/ which is formed by special homogeneous positive definite functions. They show that this class is universal in the sense that a Lyapunov function exists if and only if there exists a Lyapunov function in /spl Sigma//sub p//sup z/. They prove this result in a constructive way, showing that such a Lyapunov function can always be obtained by "smoothing" a polyhedral function for which construction algorithms are available. The authors show that unlike the polyhedral Lyapunov functions, these functions allow us to derive explicit formulas for the stabilizing controller.

The regulation of cross-border and cross-sector financial activities is currently facing several issues and challenges, most of which are the result of the lack of a thorough cross-national harmonisation of business and supervisory practices. The European legislator is expending substantial energy on its forthcoming Solvency 2 framework which, despite its scheduled implementation in 2012, is still struggling to achieve a standard approach for the financial requirements, supervisory review process and market conduct of European insurers and reinsurers.

We consider a plant the dynamics of which switch among a family of systems. Each of these systems has a single stable equilibrium point. We assume that a constraint region for the state is assigned and we consider the problem of finding suitable limitations on the commutation speed in order to avoid constraints violations, even in the absence of state measurements. We introduce the concepts of modal and transition dwell times which lead to the definition of dwell time vector and dwell time graph (represented by a proper matrix), respectively. The former imposes a minimum permanence time on a discrete mode before commuting, the latter imposes the minimum permanence time on the current mode before switching to a specific new one. Both dwell time vector and dwell time graph can be computed via set-theoretic techniques. When the systems share a single equilibrium state, stability can be assured as a special case. Finally, under the assumption of affine dynamics, non-conservative values are achieved.

The paper considers a novel technique for manipulator motion in a constrained environment due to the presence of obstacles. The basic problem is that of avoiding collisions of the manipulator with the obstacles. The main idea is to cover the free space (i.e. the points of the configurations space in which no collisions are possible) by a connected family of polyhedral sets which are controlled-invariant. Each of these polyhedral regions includes some crossing points to the confining regions. The tracking control is hierarchically structured. A high-level controller establishes a connected chain of regions to be crossed to reach the one in which the reference is included. A low-level control solves the problem of tracking, within a region, the crossing point to the next confining region and, eventually, tracking the reference whenever it is included in the current one. The scheme assures that the reference is asymptotically tracked and that the transient trajectory is completely included in the admissible configuration space. A connection graph associated with the cluster of regions, and the high-level control is achieved by solving a minimum-path problem. As far as the low-level control is concerned, we consider both speed-control and torque-control. We propose two types of controllers. The first type is based on a linear stabilizing feedback which is suitably adapted to achieve a local tracking controller. Such a controller is computed by the plane representation of the sets which is more natural and useful then the vertex representation considered in previous work. The second is a speed-saturated type of controller which considerably improves the performance of linear-based control laws. Both these controllers have a speed-control and torque-control version. Experimental results on a laboratory Cartesian robot are provided.

Solving a continuous-time optimal control problem under state and control constraints is known to be a very hard task. In this note, we propose a suboptimal solution based on the Euler auxiliary system (EAS). We show that we can determine a continuous-time stabilizing control whose cost not only converges to the optimal as the EAS time parameter vanishes, but it is also upper bounded by the discrete-time cost, no matter how such a parameter is chosen. In particular, continuous-time linear problems with convex cost can be solved by considering a fictitious receding-horizon scheme. Both stability and constraints satisfaction are guaranteed for the continuous-time system. This scheme turns out to be very useful when, due to unstable or poorly damped dynamics, the digital implementation of the control requires a very small (virtually zero) sampling time, since the "time parameter" of the EAS can be much greater than the sampling time, without compromising stability, with a strongly reduced computational burden.

We consider production-distribution systems with buffer and capacity constraints in the presence of uncertain inputs. We deal with the problem of finding a control which drives the buffer levels to a prescribed value. We consider a continuous-time model and show that some important properties hold, which fail in general in the discrete-time case. In particular we show the case in which the operator knows the external input is "equivalent" to the case when such information is not available. Furthermore, a decentralized strategy can be determined. We also show that in the case of network failures the operator does not need to know the current network configuration in order to guarantee the tracking goal as long as a certain necessary and sufficient condition is satisfied.