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Abstract

In empirical research on financial market microstructure and in testing some predictions from the market microstructure literature, the behavior of some characteristics of trading process can be very important and useful. Among all characteristics associated with tick-by-tick data, the trading time and the price seem the most important. The very first joint model for prices and durations, the so-called UHF-GARCH, has been introduced by Engle (2000). The main aim of this paper is to propose a simple, novel extension of Engle’s specification based on trade-to-trade data and to develop and apply the Bayesian approach to estimation of this model. The intraday dynamics of the return volatility is modelled by an EGARCH-type specification adapted to irregularly time-spaced data. In the analysis of price durations, the Box-Cox ACD model with the generalized gamma distribution for the error term is considered. To the best of our knowledge, the UHF-GARCH model with such a combination of the EGARCH and the Box-Cox ACD structures has not been studied in the literature so far. To estimate the model, the Bayesian approach is adopted. Finally, the methodology developed in the paper is employed to analyze transaction data from the Polish Stock Market.

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Authors and Affiliations

Roman Huptas
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Abstract

The radiolarian biostratigraphy of the Middle–Upper Jurassic pelagic siliceous sediments (Czajakowa Radiolarite

Formation) in the Niedzica succession of the Pieniny Klippen Belt (Carpathians) is interpreted in terms of their

age in a stratotype section, and facies equivalents in other tectonic-facies units of this region. The siliceous sediments

are represented by radiolarian cherts and silicified limestones which are underlain and overlain by red nodular

limestones, equivalents of the Rosso Ammonitico facies. The radiolarian association includes thirty-seven

taxa belonging to twenty one genera which represent the Northern Tethyan Palaeogeographic Province. Key radiolarians

recorded provide a means of correlation with zonation schemes based on Unitary Associations defined

for the Jurassic Tethyan sediments. The age of the Czajakowa Radiolarite Formation in the stratotype section

is determined as U.A.Z.9 to U.A.Z.11 corresponding to middle Oxfordian up to Kimmeridgian. Comparison of

radiolarian biozones from the stratotype section with other facial equivalent sections in the Pieniny Klippen Belt

reveals a significant diachronism for both the lower and the upper limits of the Jurassic pelagic siliceous facies.

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Authors and Affiliations

Marta Bąk
Sylwia Chodacka
Krzysztof Bąk
Szymon Okoński
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Abstract

In the Central Caucasus region, the intense process of deglaciation is identified as caused by cryoconite formation and accumulation. The fine earth materials were collected on the surfaces of Skhelda and Garabashi glaciers as well as from zonal soils of Baksan Gorge and were studied in terms of chemical, particle-size, and micromorpholo-gical features. Supraglacial sediments are located at the glacial drift area of material and, thus, due to transfer of these sediments to the foothill area, their fine earth material can affect micromorphological and chemical characteristics of adjacent zonal soils. Thin sections of mineral and organo-mineral micromonoliths were analyzed by classic micromorphological methods. Data obtained showed that the weathering rates of cryoconite and soil minerals are different. The cryoconite material on the debris-covered Skhelda Glacier originated from local massive crystalline rocks and moraines, while for Garabashi Glacier the volcanic origin of cryoconite is more typical. Soils of Baksan Gorge are characterized by more developed microfabric and porous media, but their mineralogical composition is essentially inherited from sediments of glacial and periglacial soils. These new data could be useful for understanding the process of evolution of the mineral matrix of cryoconite to the soil matrix formed at the foot of the mountain.
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Authors and Affiliations

Evgeny Abakumov
1
ORCID: ORCID
Rustam Tembotov
2
Ivan Kushnov
1
Vyacheslav Polyakov
1

  1. Saint-Petersburg State University, 7/9 University Embankment, St. Petersburg, 199034, Russia
  2. Tembotov Institute of Ecology of Mountain Territories, Russian Academy of Sciences, 37a, I. Armand Street, Nalchik, 360051, Russia
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Abstract

The main aim of this study was to determine the morphology, physical and chemical properties of permafrost-affected soils under different types of tundra in the central part of Spitsbergen. This is a preliminary part of detailed studies focused on the relationship between tundra vegetation and permafrost-affected soils in the Spitsbergen. The obtained results indicate that all the studied soils represent an early stage of formation and the main soil-forming process present in these soils is cryoturbation. Most of the studied soils are shallow and contain a high content of coarse rock fragments. Tundra vegetation type plays controlling role in the development and structure of surface soil horizons. All the studied soils are characterized by loamy texture and acidic or slightly acidic reaction, and these properties are not very different under various tundra vegetation types. The contents of soil organic matter are strongly dependent on the type of tundra vegetation. The highest soil organic matter content occurs at sites with well-developed vegetation such as heath and wet moss tundra. The high carbon-to-nitrogen ratio for the surface soil horizons of the majority of the studied soils indicates that organic matter is poorly decomposed under all the studied tundra vegetation types. This is most likely related to low activity of soil microorganisms in the harsh High Arctic environment. However, the lowest carbon-to-nitrogen ratio was noted for surface soil horizons at sites covered with Arctic meadow, and this indicates that there occur the optimum conditions for soil organic matter decomposition.
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Authors and Affiliations

Anna Bartos
1
Wojciech Szymański
1
ORCID: ORCID
Magdalena Gus-Stolarczyk
1

  1. Institute of Geography and Spatial Management, Faculty of Geography and Geology, Jagiellonian University, ul. Gronostajowa 7, 30-387 Kraków, Poland

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