Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.

Neoarchean sanukitoid series in the Karelian Province, Finland

Sanukitoid series intrusions can be found throughout the Archean Karelian Province of the Fennoscandian shield. All sanukitoids share the same controversial elemental characteristics: they have high content of incompatible elements such as K, Ba, and Sr as well as high content of the compatible elements Mg, Cr, and Ni, and high Mg#. This composition is explained by an enriched mantle wedge origin in a Neoarchean subduction setting. This study concentrates on sanukitoid intrusions and tonalite-trondhjemite-granodiorite series (TTGs) from Finnish part of the Karelian Province. The collected rock samples have been studied in the field and under microscope as well as for their whole-rock (including isotopes) and mineral compositions. The new data together with previously published analyses help us to better understand the petrogenesis, tectonic setting and reworking of the Archean rock units. TTGs from the Karelian Province form a voluminous series of granitoids and reworked migmatites. This study divides TTG series into two subgroups based on their elemental composition: low-HREE (heavy rare earth element) TTGs and high-HREE TTGs indicating pressure differences in their source. Sanukitoid series is a minor, divergent group of intrusions. These intrusions are variable sized, and the texture varies from even-grained to K-feldspar porphyritic. The elemental composition differentiates sanukitoids from more voluminous TTG groups, the SiO2 in sanukitoids varies to include series of gabbro, diorite, and granodiorite. U Pb age determinations from sanukitoid series show temporally limited emplacement between ~ 2745 2715 Ma after the main crust forming period in the area. Hafnium, neodymium, common lead, and oxygene isotopes indicate well homogenized characteristics. Recycled crust has made a variable, yet minor, contribution to sanukitoids, as evidenced by oxygene isotopes and inherited zircon cores. A proposed tectonic setting for the formation of the sanukitoid series is slab breakoff of oceanic lithosphere in subduction setting, with sanukitoids deriving from an enriched mantle wedge. The proposed setting explains some of the peculiar features of sanukitoids, such as their temporally limited occurrence and controversial elemental composition. Sanukitoids would occur after cessation of the regional growth of Archean crust, and they could be derived from mantle wedge previously enriched by melts and fluids from oceanic crust and sediments. A subsequent event during the Paleoproterozoic Svecofennian orogeny at ~1.9 Ga affected the appearance and microstructures of the rocks as well as caused redistribution of lead between minerals and whole rock. However, the deformation was not able to obliterate the original geochemical characteristics of these sanukitoids.

Shooting from the Wild Zone : A Study of the Chicana Art Photographers Laura Aguilar, Celia Álvarez Muñoz, Delilah Montoya, and Kathy Vargas

The dissertation analyzes and elaborates upon the changing map of U.S. ethno-racial formation from the vantage point of North American Studies, multi-disciplinary cultural studies, and the criticism of visual culture. The focus is on four contemporary Mexican American (Chicana) women photographers, whose art production is discussed, on the one hand, in the context of the Euro-American history of photographic genres and, on the other hand, in the context of so-called decolonizing cultural and academic discourses produced by Mexican Americans themselves. The manuscript consists of two parts. Part I outlines the theoretical and methodological domain of the study, positioning it in the interstices of American studies, European postmodern criticism, postcolonial feminist theory, and the theories of visual culture, particularly of art photography. In addition, the main issues and paradigms of Chicano Studies (Mexican American ethnic studies) are introduced. Part II consists of seven essays, each of which discusses rather independently a particular photographic work or a series of photographs, formulating and defending arguments about their meaning, position in the history of photographic genres, and their cultural and socio-political significance. The study closes with a discussion about ethno-racial identity formation and the role of Chicana photography therein - in embodying and reproducing new subjectivities, alternative categories of knowledge, and open ended historical narratives. It is argued that, symbolically, the "Wild Zone" of gendered and race-specific knowledge becomes associated with the body of the mother, a recurrent image in Chicana art works under discussion. Embedded in this image, the construction of an alternative notion of a family thus articulates the parameters of a matrifocal ethno-racial community unified by the proliferation of differences rather than by conformities typical of nationalistic ideologies. While focusing on art photography, the study as a whole simultaneously constructs, from a European vantage point, a "thick" description of Mexican American history, identities, communities, cultural practices, and self-representations about which very little is known in Finland.

Japanese Video Game Localization : A Case Study of Sony's Sairen Series

This thesis is a comparative case study in Japanese video game localization for the video games Sairen, Sairen 2 and Sairen Nyûtoransurêshon, and English-language localized versions of the same games as published in Scandinavia and Australia/New Zealand. All games are developed by Sony Computer Entertainment Inc. and published exclusively for Playstation2 and Playstation3 consoles. The fictional world of the Sairen games draws much influence from Japanese history, as well as from popular and contemporary culture, and in doing so caters mainly to a Japanese audience. For localization, i.e. the adaptation of a product to make it accessible to users outside the original market it was intended for in the first place, this is a challenging issue. Video games are media of entertainment, and therefore localization practice must preserve the games’ effects on the players’ emotions. Further, video games are digital products that are comprised of a multitude of distinct elements, some of which are part of the game world, while others regulate the connection between the player as part of the real world and the game as digital medium. As a result, video game localization is also a practice that has to cope with the technical restrictions that are inherent to the medium. The main theory used throughout the thesis is Anthony Pym’s framework for localization studies that considers the user of the localized product as a defining part of the localization process. This concept presupposes that localization is an adaptation that is performed to make a product better suited for use during a specific reception situation. Pym also addresses the factor that certain products may resist distribution into certain reception situations because of their content, and that certain aspects of localization aim to reduce this resistance through significant alterations of the original product. While Pym developed his ideas with mainly regular software in mind, they can also be adapted well to study video games from a localization angle. Since modern video games are highly complex entities that often switch between interactive and non-interactive modes, Pym’s ideas are adapted throughout the thesis to suit the particular elements being studied. Instances analyzed in this thesis include menu screens, video clips, in-game action and websites. The main research questions focus on how the games’ rules influence localization, and how the games’ fictional domain influences localization. Because there are so many peculiarities inherent to the medium of the video game, other theories are introduced as well to complement the research at hand. These include Lawrence Venuti’s discussions of foreiginizing and domesticating translation methods for literary translation, and Jesper Juul’s definition of games. Additionally, knowledge gathered from interviews with video game localization professionals in Japan during September and October 2009 is also utilized for this study. Apart from answering the aforementioned research questions, one of this thesis’ aims is to enrich the still rather small field of game localization studies, and the study of Japanese video games in particular, one of Japan’s most successful cultural exports.

Community, Power, and Colonialism: The U.S. Army in Southern Arizona and New Mexico, 1866-1886

Empire is central to U.S. history. When we see the U.S. projecting its influence on a global scale in today s world it is important to understand that U.S. empire has a long history. This dissertation offers a case study of colonialism and U.S. empire by discussing the social worlds, labor regimes, and culture of the U.S. Army during the conquest of southern Arizona and New Mexico (1866-1886). It highlights some of the defining principles, mentalities, and characteristics of U.S. imperialism and shows how U.S. forces have in years past constructed their power and represented themselves, their missions, and the places and peoples that faced U.S. imperialism/colonialism. Using insights from postcolonial studies and whiteness studies, this work balances its attention between discursive representations (army stories) and social experience (army actions), pays attention to silences in the process of historical production, and focuses on collective group mentalities and identities. In the end the army experience reveals an empire in denial constructed on the rule of difference and marked by frustration. White officers, their wives, and the white enlisted men not only wanted the monopoly of violence for the U.S. regime but also colonial (mental/cultural) authority and power, and constructed their identity, authority, and power in discourse and in the social contexts of the everyday through difference. Engaged in warfare against the Apaches, they did not recognize their actions as harmful or acknowledge the U.S. invasion as the bloody colonial conquest it was. White army personnel painted themselves and the army as liberators, represented colonial peoples as racial inferiors, approached colonial terrain in terms of struggle, and claimed that the region was a terrible periphery with little value before the arrival of white civilization. Officers and wives also wanted to place themselves at the top of colonial hierarchies as the refined and respectable class who led the regeneration of the colony by example: they tried to turn army villages into islands of civilization and made journeys, leisure, and domestic life to showcase their class sensibilities and level of sophistication. Often, however, their efforts failed, resulting in frustration and bitterness. Many blamed the colony and its peoples for their failures. The army itself was divided by race and class. All soldiers were treated as laborers unfit for self-government. White enlisted men, frustrated by their failures in colonial warfare and by constant manual labor, constructed worlds of resistance, whereas indigenous soldiers sought to negotiate the effects of colonialism by working in the army. As colonized labor their position was defined by tension between integration and exclusion and between freedom and colonial control.

Methodological and Empirical Advances in the Quantitative Analysis of Spontaneous Responses in Psychophysiological Time Series

The aim of the present study was to advance the methodology and use of time series analysis to quantify dynamic structures in psychophysiological processes and thereby to produce information on spontaneously coupled physiological responses and their behavioral and experiential correlates. Series of analyses using both simulated and empirical cardiac (IBI), electrodermal (EDA), and facial electromyographic (EMG) data indicated that, despite potential autocorrelated structures, smoothing increased the reliability of detecting response coupling from an interindividual distribution of intraindividual measures and that especially the measures of covariance produced accurate information on the extent of coupled responses. This methodology was applied to analyze spontaneously coupled IBI, EDA, and facial EMG responses and vagal activity in their relation to emotional experience and personality characteristics in a group of middle-aged men (n = 37) during the administration of the Rorschach testing protocol. The results revealed new characteristics in the relationship between phasic end-organ synchronization and vagal activity, on the one hand, and individual differences in emotional adjustment to novel situations on the other. Specifically, it appeared that the vagal system is intimately related to emotional and social responsivity. It was also found that the lack of spontaneously synchronized responses is related to decreased energetic arousal (e.g., depression, mood). These findings indicate that the present process analysis approach has many advantages for use in both experimental and applied research, and that it is a useful new paradigm in psychophysiological research. Keywords: Autonomic Nervous System; Emotion; Facial Electromyography; Individual Differences; Spontaneous Responses; Time Series Analysis; Vagal System

Development of analytical techniques for studies on dispersion of actinides in the environment and characterization of environmental radioactive particles

Radioactive particles from three locations were investigated for elemental composition, oxidation states of matrix elements, and origin. Instrumental techniques applied to the task were scanning electron microscopy, X-ray and gamma-ray spectrometry, secondary ion mass spectrometry, and synchrotron radiation based microanalytical techniques comprising X-ray fluorescence spectrometry, X-ray fluorescence tomography, and X-ray absorption near-edge structure spectroscopy. Uranium-containing low activity particles collected from Irish Sea sediments were characterized in terms of composition and distribution of matrix elements and the oxidation states of uranium. Indications of the origin were obtained from the intensity ratios and the presence of thorium, uranium, and plutonium. Uranium in the particles was found to exist mostly as U(IV). Studies on plutonium particles from Runit Island (Marshall Islands) soil indicated that the samples were weapon fuel fragments originating from two separate detonations: a safety test and a low-yield test. The plutonium in the particles was found to be of similar age. The distribution and oxidation states of uranium and plutonium in the matrix of weapon fuel particles from Thule (Greenland) sediments were investigated. The variations in intensity ratios observed with different techniques indicated more than one origin. Uranium in particle matrixes was mostly U(IV), but plutonium existed in some particles mainly as Pu(IV), and in others mainly as oxidized Pu(VI). The results demonstrated that the various techniques were effectively applied in the characterization of environmental radioactive particles. An on-line method was developed for separating americium from environmental samples. The procedure utilizes extraction chromatography to separate americium from light lanthanides, and cation exchange to concentrate americium before the final separation in an ion chromatography column. The separated radiochemically pure americium fraction is measured by alpha spectrometry. The method was tested with certified sediment and soil samples and found to be applicable for the analysis of environmental samples containing a wide range of Am-241 activity. Proceeding from the on-line method developed for americium, a method was also developed for separating plutonium and americium. Plutonium is reduced to Pu(III), and separated together with Am(III) throughout the procedure. Pu(III) and Am(III) are eluted from the ion chromatography column as anionic dipicolinate and oxalate complexes, respectively, and measured by alpha spectrometry.

Paleomagnetic and rock magnetic study with emphasis on the Precambrian intrusions and impact structures in Fennoscandia and South Africa

The importance of supercontinents in our understanding of the geological evolution of the planet Earth has been recently emphasized. The role of paleomagnetism in reconstructing lithospheric blocks in their ancient paleopositions is vital. Paleomagnetism is the only quantitative tool for providing ancient latitudes and azimuthal orientations of continents. It also yields information of content of the geomagnetic field in the past. In order to obtain a continuous record on the positions of continents, dated intrusive rocks are required in temporal progression. This is not always possible due to pulse-like occurrences of dykes. In this work we demonstrate that studies of meteorite impact-related rocks may fill some gaps in the paleomagnetic record. This dissertation is based on paleomagnetic and rock magnetic data obtained from samples of the Jänisjärvi impact structure (Russian Karelia, most recent 40Ar-39Ar age of 682 Ma), the Salla diabase dyke (North Finland, U-Pb 1122 Ma), the Valaam monzodioritic sill (Russian Karelia, U-Pb 1458 Ma), and the Vredefort impact structure (South Africa, 2023 Ma). The paleomagnetic study of Jänisjärvi samples was made in order to obtain a pole for Baltica, which lacks paleomagnetic data from 750 to ca. 600 Ma. The position of Baltica at ca. 700 Ma is relevant in order to verify whether the supercontinent Rodinia was already fragmented. The paleomagnetic study of the Salla dyke was conducted to examine the position of Baltica at the onset of supercontinent Rodinia's formation. The virtual geomagnetic pole (VGP) from Salla dyke provides hints that the Mesoproterozoic Baltica - Laurentia unity in the Hudsonland (Columbia, Nuna) supercontinent assembly may have lasted until 1.12 Ga. Moreover, the new VGP of Salla dyke provides new constraint on the timing of the rotation of Baltica relative to Laurentia (e.g. Gower et al., 1990). A paleomagnetic study of the Valaam sill was carried out in order to shed light into the question of existence of Baltica-Laurentia unity in the supercontinent Hudsonland. Combined with results from dyke complex of the Lake Ladoga region (Schehrbakova et al., 2008) a new robust paleomagnetic pole for Baltica is obtained. This pole places Baltica on a latitude of 10°. This low latitude location is supported also by Mesoproterozoic 1.5 1.3 Ga red-bed sedimentation (for example the Satakunta sandstone). The Vredefort impactite samples provide a well dated (2.02 Ga) pole for the Kaapvaal Craton. Rock magnetic data reveal unusually high Koenigsberger ratios (Q values) in all studied lithologies of the Vredefort dome. The high Q values are now first time also seen in samples from the Johannesburg Dome (ca. 120 km away) where there is no impact evidence. Thus, a direct causative link of high Q values to the Vredefort impact event can be ruled out.

Improving GPS time series for geodynamic studies

Accurate and stable time series of geodetic parameters can be used to help in understanding the dynamic Earth and its response to global change. The Global Positioning System, GPS, has proven to be invaluable in modern geodynamic studies. In Fennoscandia the first GPS networks were set up in 1993. These networks form the basis of the national reference frames in the area, but they also provide long and important time series for crustal deformation studies. These time series can be used, for example, to better constrain the ice history of the last ice age and the Earth s structure, via existing glacial isostatic adjustment models. To improve the accuracy and stability of the GPS time series, the possible nuisance parameters and error sources need to be minimized. We have analysed GPS time series to study two phenomena. First, we study the refraction in the neutral atmosphere of the GPS signal, and, second, we study the surface loading of the crust by environmental factors, namely the non-tidal Baltic Sea, atmospheric load and varying continental water reservoirs. We studied the atmospheric effects on the GPS time series by comparing the standard method to slant delays derived from a regional numerical weather model. We have presented a method for correcting the atmospheric delays at the observational level. The results show that both standard atmosphere modelling and the atmospheric delays derived from a numerical weather model by ray-tracing provide a stable solution. The advantage of the latter is that the number of unknowns used in the computation decreases and thus, the computation may become faster and more robust. The computation can also be done with any processing software that allows the atmospheric correction to be turned off. The crustal deformation due to loading was computed by convolving Green s functions with surface load data, that is to say, global hydrology models, global numerical weather models and a local model for the Baltic Sea. The result was that the loading factors can be seen in the GPS coordinate time series. Reducing the computed deformation from the vertical time series of GPS coordinates reduces the scatter of the time series; however, the long term trends are not influenced. We show that global hydrology models and the local sea surface can explain up to 30% of the GPS time series variation. On the other hand atmospheric loading admittance in the GPS time series is low, and different hydrological surface load models could not be validated in the present study. In order to be used for GPS corrections in the future, both atmospheric loading and hydrological models need further analysis and improvements.

Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.