3 resultados para Community of interest

em Glasgow Theses Service


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This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

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This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed time-varying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible real-time term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

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New psychoactive substances (NPSs) have appeared on the recreational drug market at an unprecedented rate in recent years. Many are not new drugs but failed products of the pharmaceutical industry. The speed and variety of drugs entering the market poses a new complex challenge for the forensic toxicology community. The detection of these substances in biological matrices can be difficult as the exact compounds of interest may not be known. Many NPS are sold under the same brand name and therefore users themselves may not know what substances they have ingested. The majority of analytical methods for the detection of NPSs tend to focus on a specific class of compounds rather than a wide variety. In response to this, a robust and sensitive method was developed for the analysis of various NPS by solid phase extraction (SPE) with gas chromatography mass spectrometry (GCMS). Sample preparation and derivatisation were optimised testing a range of SPE cartridges and derivatising agents, as well as derivatisation incubation time and temperature. The final gas chromatography mass spectrometry method was validated in accordance with SWGTOX 2013 guidelines over a wide concentration range for both blood and urine for 23 and 25 analytes respectively. This included the validation of 8 NBOMe compounds in blood and 10 NBOMe compounds in urine. This GC-MS method was then applied to 8 authentic samples with concentrations compared to those originally identified by NMS laboratories. The rapid influx of NPSs has resulted in the re-analysis of samples and thus, the stability of these substances is crucial information. The stability of mephedrone was investigated, examining the effect that storage temperatures and preservatives had on analyte stability daily for 1 week and then weekly for 10 weeks. Several laboratories identified NPSs use through the cross-reactivity of these substances with existing screening protocols such as ELISA. The application of Immunalysis ketamine, methamphetamine and amphetamine ELISA kits for the detection of NPS was evaluated. The aim of this work was to determine if any cross-reactivity from NPS substances was observed, and to determine whether these existing kits would identify NPS use within biological samples. The cross- reactivity of methoxetamine, 3-MeO-PCE and 3-MeO-PCP for different commercially point of care test (POCT) was also assessed for urine. One of the newest groups of compounds to appear on the NPS market is the NBOMe series. These drugs pose a serious threat to public health due to their high potency, with fatalities already reported in the literature. These compounds are falsely marketed as LSD which increases the chance of adverse effects due to the potency differences between these 2 substances. A liquid chromatography tandem mass spectrometry (LC-MS/MS) method was validated in accordance with SWGTOX 2013 guidelines for the detection for 25B, 25C and 25I-NBOMe in urine and hair. Long-Evans rats were administered 25B-, 25C- and 25I-NBOMe at doses ranging from 30-300 µg/kg over a period of 10 days. Tail flick tests were then carried out on the rats in order to determine whether any analgesic effects were observed as a result of dosing. Rats were also shaved prior to their first dose and reshaved after the 10-day period. Hair was separated by colour (black and white) and analysed using the validated LC-MS/MS method, assessing the impact hair colour has on the incorporation of these drugs. Urine was collected from the rats, analysed using the validated LC-MS/MS method and screened for potential metabolites using both LC-MS/MS and quadrupole time of flight (QToF) instrumentation.