Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Nonlinear mixture autoregressive model: economic applications

The aim of this dissertation is to model economic variables by a mixture autoregressive (MAR) model. The MAR model is a generalization of linear autoregressive (AR) model. The MAR -model consists of K linear autoregressive components. At any given point of time one of these autoregressive components is randomly selected to generate a new observation for the time series. The mixture probability can be constant over time or a direct function of a some observable variable. Many economic time series contain properties which cannot be described by linear and stationary time series models. A nonlinear autoregressive model such as MAR model can a plausible alternative in the case of these time series. In this dissertation the MAR model is used to model stock market bubbles and a relationship between inflation and the interest rate. In the case of the inflation rate we arrived at the MAR model where inflation process is less mean reverting in the case of high inflation than in the case of normal inflation. The interest rate move one-for-one with expected inflation. We use the data from the Livingston survey as a proxy for inflation expectations. We have found that survey inflation expectations are not perfectly rational. According to our results information stickiness play an important role in the expectation formation. We also found that survey participants have a tendency to underestimate inflation. A MAR model has also used to model stock market bubbles and crashes. This model has two regimes: the bubble regime and the error correction regime. In the error correction regime price depends on a fundamental factor, the price-dividend ratio, and in the bubble regime, price is independent of fundamentals. In this model a stock market crash is usually caused by a regime switch from a bubble regime to an error-correction regime. According to our empirical results bubbles are related to a low inflation. Our model also imply that bubbles have influences investment return distribution in both short and long run.

Dracocephalum moldavica L. and Melissa officinalis L. : Chemistry and Bioactivities Relevant in Alzheimer’s Disease Therapy

Oksidatiivisen stressin eli liiallisen reaktiivisten happiyhdisteiden määrän soluissa on jo pitkään arveltu olevan tärkeä Alzheimerin taudin kehittymiseen ja etenemiseen vaikuttava tekijä. Tämän vuoksi kiinnostus erilaisten antioksidanttien (yhdisteitä, jotka neutraloivat näitä happiradikaaleja soluissa) mahdollisia terapeuttisia ominaisuuksia Alzheimerin taudin hoidossa on tutkittu laajalti. Tähän mennessä ei kuitenkaan ole vielä onnistuttu löytämään antioksidanttia, joka olisi hyödyksi Alzheimerin taudin hoidossa. Tämän vuoksi on tärkeää pyrkiä löytämään uusia antioksidanttien lähteitä sekä tutkia niistä löytyviä aktiivisia yhdisteitä. Kiinnostus luonnon antioksidantteja kohtaan on kasvanut voimakkaasti viime aikoina. Huomio on kiinnittynyt erityisesti aromaattisista sekä lääkekasveista löytyviin antioksidantteihin. Lamiaceae- perheeseen kuuluvia tuoksuampiaisyrttiä (Dracocephalum moldavica L.) ja sitruunamelissaa (Melissa officinalis L.) on käytetty Iranissa pitkään sekä ruoanlaitossa että lääkinnässä, minkä vuoksi näiden kasvien uutteiden antioksidanttisisältöä päätettiin analysoida käyttäen useaa erilaista in vitro- menetelmää. Näissä kokeissa ilmeni, että uutteilla oli useita antioksidanttisia vaikutuksia. Näistä antioksidanttisista vaikutuksista vastaavia yhdisteitä pyrittiin tunnistamaan käyttäen HPLC-PDA- tekniikkaa, minkä seurauksena niiden havaittiin sisältävän erilaisia polyfenoleita, kuten hydroksyloituneita bentsoeeni- ja cinnamamidihapon johdannaisia sekä flavonoideja. Kummankin kasvin uutteissa runsaimmin esiintynyt yhdiste oli rosmariinihappo. Sitruunamelissaa (M. officinalis) on käytetty antiikin ajoista alkaen kognitiivisten toimintojen häiriöiden hoidossa. Perustuen tietoon kasvin käytöstä perinteisessä lääkinnässä, sen tehoa Alzheimerin taudin hoidossa on tutkittu viime aikoina kliinisin kokein. Sitruunamelissan todettiinkin olevan hyödyksi lievää ja keskivaikeaa Alzheimeimerin tautia sairastavien potilaiden hoidossa. Väitöskirjan osanan olevasta kooste-artikkelista käy ilmi, että tutkimalla lääkekasvien ominaisuuksia voidaan saada arvokkaita suuntaa-antavia vihjeitä Alzheimerin taudin lääkehoidon kehittämiseen. Tämän perusteella päätettiinkin testatata myös sitruunamelissauutteen kykyä estää asetyylikoliiniesteraasin (AChE) toimintaa, koska tämän entsyymin toiminna estämisen tiedetään olevan hyödyksi Alzheimerin taudin hoidossa. Uute kykeni estämään AChE:n toimintaa, minkä vuoksi uutteen sisältämiä komponentteja päätettiin tutkia terkemmin. Uute jaettiin erilaisiin fraktioihin käyttäen HPLC-menetelmää, minkä jälkeen testattiin jokaisen fraktion kykyä inhiboida AchE. Suurin osa fraktioista kykeni inhiboimaan AChE:n toimintaa selkeästi tehokkaammin, kuin raakauute. Kaikista tehokkainta fraktiota analysoitiin tarkemmin sen aktiivisten yhdisteiden tunnistamiseksi, minkä seurauksena sen sisältämät yhdisteet tunnistettiin cis ja trans-rosmariinihapoiksi. Tässä tutkimuksessa tunnistettujen yhdisteiden hyödyllisyyttä Alzheimerin taudin hoidossa tulisi seuraavaksi tutkia erilaisissa in vivo-malleissa. Lisäksi jäljellä olevien fraktioiden kemiallinen koostumus tulisi selvittää sekä antioksidanttiaktiivisuuden ja AChE:n toiminnan inhiboinnin välistä mahdollista yhteyttä tulisi tutkia tarkemmin. Tämä tutkimus osoittaa tuoksuampiasyrtin (D. moldavica) sekä sitruunamelissan (M. officinalis) sisältävän monenlaisia aktiivisia antioksidantteja. Lisäksi sitruunamelissan sisältämät yhdisteet kykenivät estämään asetyylikoliiniesteraasin (AchE) toimintaa. Nämä tulokset tukevat osaltaan väitöskirjan osana olevan kooste-artikkelin johtopäätöksiä, joiden mukaan etnofarmakologinen kasvitutkimus voi osoittautua erittäin hyödylliseksi kehitettäessä uutta lääkehoitoa Alzheimerin tautiin. Lisäksi tässä väitöskirjassa kuvattu tutkimus osoittaakin, että perinteisesti lääkekasvina käytettyä sitruunamelissaa voidaan mahdollisesti hyödyntää uusien Alzheimerin taudin hoitoon käytettävien lääkkeiden kehityksessä.

Questions to Artificial Nature: A Philosophical Study of Interdisciplinary Models and their Functions in Scientific Practice

This thesis presents an interdisciplinary analysis of how models and simulations function in the production of scientific knowledge. The work is informed by three scholarly traditions: studies on models and simulations in philosophy of science, so-called micro-sociological laboratory studies within science and technology studies, and cultural-historical activity theory. Methodologically, I adopt a naturalist epistemology and combine philosophical analysis with a qualitative, empirical case study of infectious-disease modelling. This study has a dual perspective throughout the analysis: it specifies the modelling practices and examines the models as objects of research. The research questions addressed in this study are: 1) How are models constructed and what functions do they have in the production of scientific knowledge? 2) What is interdisciplinarity in model construction? 3) How do models become a general research tool and why is this process problematic? The core argument is that the mediating models as investigative instruments (cf. Morgan and Morrison 1999) take questions as a starting point, and hence their construction is intentionally guided. This argument applies the interrogative model of inquiry (e.g., Sintonen 2005; Hintikka 1981), which conceives of all knowledge acquisition as process of seeking answers to questions. The first question addresses simulation models as Artificial Nature, which is manipulated in order to answer questions that initiated the model building. This account develops further the "epistemology of simulation" (cf. Winsberg 2003) by showing the interrelatedness of researchers and their objects in the process of modelling. The second question clarifies why interdisciplinary research collaboration is demanding and difficult to maintain. The nature of the impediments to disciplinary interaction are examined by introducing the idea of object-oriented interdisciplinarity, which provides an analytical framework to study the changes in the degree of interdisciplinarity, the tools and research practices developed to support the collaboration, and the mode of collaboration in relation to the historically mutable object of research. As my interest is in the models as interdisciplinary objects, the third research problem seeks to answer my question of how we might characterise these objects, what is typical for them, and what kind of changes happen in the process of modelling. Here I examine the tension between specified, question-oriented models and more general models, and suggest that the specified models form a group of their own. I call these Tailor-made models, in opposition to the process of building a simulation platform that aims at generalisability and utility for health-policy. This tension also underlines the challenge of applying research results (or methods and tools) to discuss and solve problems in decision-making processes.

Xanthine oxidoreductase in essential hypertension and metabolic syndrome : Experimental studies on rodent models

Hypertension, obesity, dyslipidemia and dysglycemia constitute metabolic syndrome, a major public health concern, which is associated with cardiovascular mortality. High dietary salt (NaCl) is the most important dietary risk factor for elevated blood pressure. The kidney has a major role in salt-sensitive hypertension and is vulnerable to harmful effects of increased blood pressure. Elevated serum urate is a common finding in these disorders. While dysregulation of urate excretion is associated with cardiovascular diseases, present studies aimed to clarify the role of xanthine oxidoreductase (XOR), i.e. xanthine dehydrogenase (XDH) and its post-translational isoform xanthine oxidase (XO), in cardiovascular diseases. XOR yields urate from hypoxanthine and xanthine. Low oxygen levels upregulate XOR in addition to other factors. In present studies higher renal XOR activity was found in hypertension-prone rats than in the controls. Furthermore, NaCl intake increased renal XOR dose-dependently. To clarify whether XOR has any causal role in hypertension, rats were kept on NaCl diets for different periods of time, with or without a XOR inhibitor, allopurinol. While allopurinol did not alleviate hypertension, it prevented left ventricular and renal hypertrophy. Nitric oxide synthases (NOS) produce nitric oxide (NO), which mediates vasodilatation. A paucity of NO, produced by NOS inhibition, aggravated hypertension and induced renal XOR, whereas NO generating drug, alleviated salt-induced hypertension without changes in renal XOR. Zucker fa/fa rat is an animal model of metabolic syndrome. These rats developed substantial obesity and modest hypertension and showed increased hepatic and renal XOR activities. XOR was modified by diet and antihypertensive treatment. Cyclosporine (CsA) is a fungal peptide and one of the first-line immunosuppressive drugs used in the management of organ transplantation. Nephrotoxicity ensue high doses resulting in hypertension and limit CsA use. CsA increased renal XO substantially in salt-sensitive rats on a high NaCl diet, indicating a possible role for this reactive oxygen species generating isoform in CsA nephrotoxicity. Renal hypoxia, common to these rodent models of hypertension and obesity, is one of the plausible XOR inducing factors. Although XOR inhibition did not prevent hypertension, present experimental data indicate that XOR plays a role in the pathology of salt-induced cardiac and renal hypertrophy.

Novel conditional mouse models for targeted kidney research : Emphasis on the analysis of the biological function of nephrin

Nephrin is a transmembrane protein belonging to the immunoglobulin superfamily and is expressed primarily in the podocytes, which are highly differentiated epithelial cells needed for primary urine formation in the kidney. Mutations leading to nephrin loss abrogate podocyte morphology, and result in massive protein loss into urine and consequent early death in humans carrying specific mutations in this gene. The disease phenotype is closely replicated in respective mouse models. The purpose of this thesis was to generate novel inducible mouse-lines, which allow targeted gene deletion in a time and tissue-specific manner. A proof of principle model for succesful gene therapy for this disease was generated, which allowed podocyte specific transgene replacement to rescue gene deficient mice from perinatal lethality. Furthermore, the phenotypic consequences of nephrin restoration in the kidney and nephrin deficiency in the testis, brain and pancreas in rescued mice were investigated. A novel podocyte-specific construct was achieved by using standard cloning techniques to provide an inducible tool for in vitro and in vivo gene targeting. Using modified constructs and microinjection procedures two novel transgenic mouse-lines were generated. First, a mouse-line with doxycycline inducible expression of Cre recombinase that allows podocyte-specific gene deletion was generated. Second, a mouse-line with doxycycline inducible expression of rat nephrin, which allows podocyte-specific nephrin over-expression was made. Furthermore, it was possible to rescue nephrin deficient mice from perinatal lethality by cross-breeding them with a mouse-line with inducible rat nephrin expression that restored the missing endogenous nephrin only in the kidney after doxycycline treatment. The rescued mice were smaller, infertile, showed genital malformations and developed distinct histological abnormalities in the kidney with an altered molecular composition of the podocytes. Histological changes were also found in the testis, cerebellum and pancreas. The expression of another molecule with limited tissue expression, densin, was localized to the plasma membranes of Sertoli cells in the testis by immunofluorescence staining. Densin may be an essential adherens junction protein between Sertoli cells and developing germ cells and these junctions share similar protein assembly with kidney podocytes. This single, binary conditional construct serves as a cost- and time-efficient tool to increase the understanding of podocyte-specific key proteins in health and disease. The results verified a tightly controlled inducible podocyte-specific transgene expression in vitro and in vivo as expected. These novel mouse-lines with doxycycline inducible Cre recombinase and with rat nephrin expression will be useful for conditional gene targeting of essential podocyte proteins and to study in detail their functions in the adult mice. This is important for future diagnostic and pharmacologic development platforms.

Econometric models of Finnish non-industrial private forest owners' timber supply and timber stock

This dissertation examines the short- and long-run impacts of timber prices and other factors affecting NIPF owners' timber harvesting and timber stocking decisions. The utility-based Faustmann model provides testable hypotheses of the exogenous variables retained in the timber supply analysis. The timber stock function, derived from a two-period biomass harvesting model, is estimated using a two-step GMM estimator based on balanced panel data from 1983 to 1991. Timber supply functions are estimated using a Tobit model adjusted for heteroscedasticity and nonnormality of errors based on panel data from 1994 to 1998. Results show that if specification analysis of the Tobit model is ignored, inconsistency and biasedness can have a marked effect on parameter estimates. The empirical results show that owner's age is the single most important factor determining timber stock; timber price is the single most important factor in harvesting decision. The results of the timber supply estimations can be interpreted using utility-based Faustmann model of a forest owner who values a growing timber in situ.

Oxidative stability of phytosterols in food models and foods

An important safety aspect to be considered when foods are enriched with phytosterols and phytostanols is the oxidative stability of these lipid compounds, i.e. their resistance to oxidation and thus to the formation of oxidation products. This study concentrated on producing scientific data to support this safety evaluation process. In the absence of an official method for analyzing of phytosterol/stanol oxidation products, we first developed a new gas chromatographic - mass spectrometric (GC-MS) method. We then investigated factors affecting these compounds' oxidative stability in lipid-based food models in order to identify critical conditions under which significant oxidation reactions may occur. Finally, the oxidative stability of phytosterols and stanols in enriched foods during processing and storage was evaluated. Enriched foods covered a range of commercially available phytosterol/stanol ingredients, different heat treatments during food processing, and different multiphase food structures. The GC-MS method was a powerful tool for measuring the oxidative stability. Data obtained in food model studies revealed that the critical factors for the formation and distribution of the main secondary oxidation products were sterol structure, reaction temperature, reaction time, and lipid matrix composition. Under all conditions studied, phytostanols as saturated compounds were more stable than unsaturated phytosterols. In addition, esterification made phytosterols more reactive than free sterols at low temperatures, while at high temperatures the situation was the reverse. Generally, oxidation reactions were more significant at temperatures above 100°C. At lower temperatures, the significance of these reactions increased with increasing reaction time. The effect of lipid matrix composition was dependent on temperature; at temperatures above 140°C, phytosterols were more stable in an unsaturated lipid matrix, whereas below 140°C they were more stable in a saturated lipid matrix. At 140°C, phytosterols oxidized at the same rate in both matrices. Regardless of temperature, phytostanols oxidized more in an unsaturated lipid matrix. Generally, the distribution of oxidation products seemed to be associated with the phase of overall oxidation. 7-ketophytosterols accumulated when oxidation had not yet reached the dynamic state. Once this state was attained, the major products were 5,6-epoxyphytosterols and 7-hydroxyphytosterols. The changes observed in phytostanol oxidation products were not as informative since all stanol oxides quantified represented hydroxyl compounds. The formation of these secondary oxidation products did not account for all of the phytosterol/stanol losses observed during the heating experiments, indicating the presence of dimeric, oligomeric or other oxidation products, especially when free phytosterols and stanols were heated at high temperatures. Commercially available phytosterol/stanol ingredients were stable during such food processes as spray-drying and ultra high temperature (UHT)-type heating and subsequent long-term storage. Pan-frying, however, induced phytosterol oxidation and was classified as a rather deteriorative process. Overall, the findings indicated that although phytosterols and stanols are stable in normal food processing conditions, attention should be paid to their use in frying. Complex interactions between other food constituents also suggested that when new phytosterol-enriched foods are developed their oxidative stability must first be established. The results presented here will assist in choosing safe conditions for phytosterol/stanol enrichment.

Water-ethanol mixtures by molecular dynamics and x-ray Compton scattering

Water-ethanol mixtures are commonly used in industry and house holds. However, quite surprisingly their molecular-level structure is still not completely understood. In particular, there is evidence that the local intermolecular geometries depend significantly on the concentration. The aim of this study was to gain information on the molecular-level structures of water-ethanol mixtures by two computational methods. The methods are classical molecular dynamics (MD), where the movement of molecules can be studied, and x-ray Compton scattering, in which the scattering cross section is sensitive to the electron momentum density. Firstly, the water-ethanol mixtures were studied with MD simulations, with the mixture concentration ranging from 0 to 100%. For the simulations well-established force fields were used for the water and ethanol molecules (TIP4P and OPLS-AA, respectively). Moreover, two models were used for ethanol, rigid and non-rigid. In the rigid model the intramolecular bond lengths are fixed, whereas in the non-rigid model the lengths are determined by harmonic potentials. Secondly, mixtures with three different concentrations employing both ethanol models were studied by calculating the experimentally observable x-ray quantity, the Compton profile. In the MD simulations a slight underestimation in the density was observed as compared to experiment. Furthermore, a positive excess of hydrogen bonding with water molecules and a negative one with ethanol was quantified. Also, the mixture was found more structured when the ethanol concentration was higher. Negligible differences in the results were found between the two ethanol models. In contrast, in the Compton scattering results a notable difference between the ethanol models was observed. For the rigid model the Compton profiles were similar for all the concentrations, but for the non-rigid model they were distinct. This leads to two possibilities of how the mixing occurs. Either the mixing is similar in all concentrations (as suggested by the rigid model) or the mixing changes for different concentrations (as suggested by the non-rigid model). Either way, this study shows that the choice of the force field is essential in the microscopic structure formation in the MD simulations. When the sources of uncertainty in the calculated Compton profiles were analyzed, it was found that more statistics needs to be collected to reduce the statistical uncertainty in the final results. The obtained Compton scattering results can be considered somewhat preliminary, but clearly indicative of the behaviour of the water-ethanol mixtures when the force field is modified. The next step is to collect more statistics and compare the results with experimental data to decide which ethanol model describes the mixture better. This way, valuable information on the microscopic structure of water-ethanol mixtures can be found. In addition, information on the force fields in the MD simulations and on the ability of the MD simulations to reproduce the microscopic structure of binary liquids is obtained.

Suomen maankuoren kivilajikoostumuksen tulkinta seismisistä aineistoista

Aim of this study is to investigate composition of the crust in Finland using seismic wide-angle velocity models and laboratory measurements on P- and S-wave velocities of different rock types. The velocities adopted from wide-angle velocity models were compared with laboratory velocities of different rock types corrected for the crustal PT conditions in the study area. The wide-angle velocity models indicate that the P-wave velocity does not only increase step-wise at boundaries of major crustal layers, but there is also gradual increase of velocity within the layers. On the other hand, the laboratory measurements of velocities indicate that no single rock type is able to provide the gradual downward increasing trends. Thus, there must be gradual vertical changes in rock composition. The downward increase of velocities indicates that the composition of the crust becomes gradually more mafic with increasing depth. Even though single rock types cannot simulate the wide-angle model velocities, it can be done with a mixture of rock types. There are a large number of rock type mixtures giving the correct P-wave velocities. Therefore, the inverse solution of rock types and their proportions from velocities is a non-unique problem if only P-wave velocities is available. Amount of the possible rock type mixtures can be limitted using S-wave velocities, reflection seismic results and other geological and geophysical results of the study area. Crustal model FINMIX-2 is presented in this study and it suggest that the crustal velocity profiles can be simulated with rock type mixtures, where the upper crust consists of felsic gneisses and granitic-granodioritic rocks with a minor contribution of quartzite, amphibolite and diabase. In the middle crust the amphibolite proportion increases. The lower crust consists of tonalitic gneiss, mafic garnet granulite, hornblendite, pyroxenite and minor mafic eclogite. This composition model is in agreement with deep crustal kimberlite-hosted xenolith data in eastern Finland and reflectivity of the FIRE (Finnish Reflection Experiment). According to FINMIX-2 model the Moho is deeper and the crustal composition is a more mafic than an average global continental model would suggest. Composition models of southern Finland are quite similar than FINMIX-2 model. However, there are minor differencies between the models, which indicates areal differences of composition. Models of northern Finland shows that the crustal thickness is smaller than southern Finland and composition of the upper crust is different. Density profiles calculated from the lithological models suggest that there is practically no density contrast at Moho in areas of the high-velocity lower crust. This implies that crustal thickness in the central Fennoscandian Shield may have been controlled by the densities of the lower crustal and upper mantle rocks.