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.

A maximal operator, Carleson's embedding, and tent spaces for vector-valued functions

This thesis is concerned with the area of vector-valued Harmonic Analysis, where the central theme is to determine how results from classical Harmonic Analysis generalize to functions with values in an infinite dimensional Banach space. The work consists of three articles and an introduction. The first article studies the Rademacher maximal function that was originally defined by T. Hytönen, A. McIntosh and P. Portal in 2008 in order to prove a vector-valued version of Carleson's embedding theorem. The boundedness of the corresponding maximal operator on Lebesgue-(Bochner) -spaces defines the RMF-property of the range space. It is shown that the RMF-property is equivalent to a weak type inequality, which does not depend for instance on the integrability exponent, hence providing more flexibility for the RMF-property. The second article, which is written in collaboration with T. Hytönen, studies a vector-valued Carleson's embedding theorem with respect to filtrations. An earlier proof of the dyadic version assumed that the range space satisfies a certain geometric type condition, which this article shows to be also necessary. The third article deals with a vector-valued generalizations of tent spaces, originally defined by R. R. Coifman, Y. Meyer and E. M. Stein in the 80's, and concerns especially the ones related to square functions. A natural assumption on the range space is then the UMD-property. The main result is an atomic decomposition for tent spaces with integrability exponent one. In order to suit the stochastic integrals appearing in the vector-valued formulation, the proof is based on a geometric lemma for cones and differs essentially from the classical proof. Vector-valued tent spaces have also found applications in functional calculi for bisectorial operators. In the introduction these three themes come together when studying paraproduct operators for vector-valued functions. The Rademacher maximal function and Carleson's embedding theorem were applied already by Hytönen, McIntosh and Portal in order to prove boundedness for the dyadic paraproduct operator on Lebesgue-Bochner -spaces assuming that the range space satisfies both UMD- and RMF-properties. Whether UMD implies RMF is thus an interesting question. Tent spaces, on the other hand, provide a method to study continuous time paraproduct operators, although the RMF-property is not yet understood in the framework of tent spaces.

Luonnollisten lukujen joukon määriteltävyys funktioalgebroissa

Let X be a topological space and K the real algebra of the reals, the complex numbers, the quaternions, or the octonions. The functions form X to K form an algebra T(X,K) with pointwise addition and multiplication. We study first-order definability of the constant function set N' corresponding to the set of the naturals in certain subalgebras of T(X,K). In the vocabulary the symbols Constant, +, *, 0', and 1' are used, where Constant denotes the predicate defining the constants, and 0' and 1' denote the constant functions with values 0 and 1 respectively. The most important result is the following. Let X be a topological space, K the real algebra of the reals, the compelex numbers, the quaternions, or the octonions, and R a subalgebra of the algebra of all functions from X to K containing all constants. Then N' is definable in , if at least one of the following conditions is true. (1) The algebra R is a subalgebra of the algebra of all continuous functions containing a piecewise open mapping from X to K. (2) The space X is sigma-compact, and R is a subalgebra of the algebra of all continuous functions containing a function whose range contains a nonempty open set of K. (3) The algebra K is the set of reals or the complex numbers, and R contains a piecewise open mapping from X to K and does not contain an everywhere unbounded function. (4) The algebra R contains a piecewise open mapping from X to the set of the reals and function whose range contains a nonempty open subset of K. Furthermore R does not contain an everywhere unbounded function.

Short-term effects of variable retention on epigaeic spiders and carabid beetles in Finland

Forestry has influenced forest dwelling organisms for centuries in Fennoscandia. For example, in Finland ca. 30% of the threatened species are threatened because of forestry. Nowadays forest management recommendations include practices aimed at maintaining biodiversity in harvesting, such as green-tree retention. However, the effects of these practices have been little studied. In variable retention, different numbers of trees are retained, varying from green-tree retention (at least a few live standing trees in clear-cuts) to thinning (only individual trees removed). I examined the responses of ground-dwelling spiders and carabid beetles to green-tree retention (with small and large tree groups), gap felling and thinning aimed at an uneven age structure of trees. The impacts of these harvesting methods were compared to those of clear-cutting and uncut controls. I aimed to test the hypothesis that retaining more trees positively affects populations of those species of spiders and carabids that were present before harvesting. The data come from two studies. First, spiders were collected with pitfall traps in south-central Finland in 1995 (pre-treatment) and 1998 (after-treatment) in order to examine the effects of clear-cutting, green-tree retention (with 0.01-0.02-ha sized tree groups), gap felling (with three 0.16-ha sized openings in a 1-ha stand), thinning aiming at an uneven age structure of trees and uncut control. Second, spiders and carabids were caught with pitfall traps in eastern Finland in 1998-2001 (pre-treatment and three post-treatment years) in eleven 0.09-0.55-ha sized retention-tree groups and clear-cuts adjacent to them. Original spider and carabid assemblages were better maintained after harvests that retained more trees. Thinning maintained forest spiders well. However, gap felling and large retention-tree groups maintained some forest spider and carabid species in the short-term, but negatively affected some species over time. However, use of small retention-tree groups was associated with negative effects on forest spider populations. Studies are needed on the long-term effects of variable retention on terrestrial invertebrates; especially those directed at defining appropriate retention patch size and on the importance of structural diversity provided by variable retention for invertebrate populations. However, the aims of variable retention should be specified first. For example, are retention-tree groups planned to constitute life-boats , stepping-stones or to create structural diversity? Does it suffice that some species are maintained, or do we want to preserve the most sensitive ones, and how are these best defined? Moreover, the ecological benefits and economic costs of modified logging methods should be compared to other approaches aimed at maintaining biodiversity.

Microbial diversity in the municipal composting process and development of detection methods

Composting refers to aerobic degradation of organic material and is one of the main waste treatment methods used in Finland for treating separated organic waste. The composting process allows converting organic waste to a humus-like end product which can be used to increase the organic matter in agricultural soils, in gardening, or in landscaping. Microbes play a key role as degraders during the composting-process, and the microbiology of composting has been studied for decades, but there are still open questions regarding the microbiota in industrial composting processes. It is known that with the traditional, culturing-based methods only a small fraction, below 1%, of the species in a sample is normally detected. In recent years an immense diversity of bacteria, fungi and archaea has been found to occupy many different environments. Therefore the methods of characterising microbes constantly need to be developed further. In this thesis the presence of fungi and bacteria in full-scale and pilot-scale composting processes was characterised with cloning and sequencing. Several clone libraries were constructed and altogether nearly 6000 clones were sequenced. The microbial communities detected in this study were found to differ from the compost microbes observed in previous research with cultivation based methods or with molecular methods from processes of smaller scale, although there were similarities as well. The bacterial diversity was high. Based on the non-parametric coverage estimations, the number of bacterial operational taxonomic units (OTU) in certain stages of composting was over 500. Sequences similar to Lactobacillus and Acetobacteria were frequently detected in the early stages of drum composting. In tunnel stages of composting the bacterial community comprised of Bacillus, Thermoactinomyces, Actinobacteria and Lactobacillus. The fungal diversity was found to be high and phylotypes similar to yeasts were abundantly found in the full-scale drum and tunnel processes. In addition to phylotypes similar to Candida, Pichia and Geotrichum moulds from genus Thermomyces and Penicillium were observed in tunnel stages of composting. Zygomycetes were detected in the pilot-scale composting processes and in the compost piles. In some of the samples there were a few abundant phylotypes present in the clone libraries that masked the rare ones. The rare phylotypes were of interest and a method for collecting them from clone libraries for sequencing was developed. With negative selection of the abundant phylotyps the rare ones were picked from the clone libraries. Thus 41% of the clones in the studied clone libraries were sequenced. Since microbes play a central role in composting and in many other biotechnological processes, rapid methods for characterization of microbial diversity would be of value, both scientifically and commercially. Current methods, however, lack sensitivity and specificity and are therefore under development. Microarrays have been used in microbial ecology for a decade to study the presence or absence of certain microbes of interest in a multiplex manner. The sequence database collected in this thesis was used as basis for probe design and microarray development. The enzyme assisted detection method, ligation-detection-reaction (LDR) based microarray, was adapted for species-level detection of microbes characteristic of each stage of the composting process. With the use of a specially designed control probe it was established that a species specific probe can detect target DNA representing as little as 0.04% of total DNA in a sample. The developed microarray can be used to monitor composting processes or the hygienisation of the compost end product. A large compost microbe sequence dataset was collected and analysed in this thesis. The results provide valuable information on microbial community composition during industrial scale composting processes. The microarray method was developed based on the sequence database collected in this study. The method can be utilised in following the fate of interesting microbes during composting process in an extremely sensitive and specific manner. The platform for the microarray is universal and the method can easily be adapted for studying microbes from environments other than compost.

Mitä hyötyä tehohoidosta? : Tehohoitoa sisältäneiden hoitojaksojen vaikuttavuuden arviointi

Intensive care is to be provided to patients benefiting from it, in an ethical, efficient, effective and cost-effective manner. This implies a long-term qualitative and quantitative analysis of intensive care procedures and related resources. The study population consists of 2709 patients treated in the general intensive care unit (ICU) of Helsinki University Hospital. Study sectors investigate intensive care patients mortality, quality of life (QOL), Quality-Adjusted Life-Years (QALY units) and factors related to severity of illness, length of stay (LOS), patient s age, evaluation period as well as experiences and memories connected with the ICU episode. In addition, the study examines the qualities of two QOL measures, the RAND 36 Item Health Survey 1.0 (RAND-36) and the 5 Item EuroQol-5D (EQ-5D) and assesses the correlation of the test results. Patients treated in 1995 responded to the RAND-36 questionnaire in 1996. All patients, treated from 1995-2000, received a QOL questionnaires in 2001, when 1 7 years had lapsed from the intensive treatment. Response rate was 79.5 %. Main Results 1) Of the patients who died within the first year (n = 1047) 66 % died during the intensive care period or within the following month. The non-survivors were more aged than the surviving patients, had generally a higher than average APACHE II and SOFA score depicting the severity of illness, their ICU LOS was longer and hospital stay shorter than of the surviving patients (p < 0.001). Mortality of patients receiving conservative treatment was higher than of those receiving surgical treatment. Patients replying to the QOL survey in 2001 (n = 1099) had recovered well: 97 % of those lived at home. More than half considered their QOL as good or extremely good, 40 % as satisfactory and 7 % as bad. All QOL indexes of those of working-age were considerably lower (p < 0.001) than comparable figures of the age- and gender-adjusted Finnish population. The 5-year monitoring period made evident that mental recovery was slower than physical recovery. 2) The results of RAND-36 and EQ-5D correlated well (p < 0.01). The RAND-36 profile measure distinguished more clearly between the different categories of QOL and their levels. EQ-5D measured well the patient groups general QOL and the sum index was used to calculate QALY units. 3) QALY units were calculated by multiplying the time the patient survived after ICU stay or expected life-years by the EQ-5D sum index. Aging automatically lowers the number of QALY units. Patients under the age of 65 receiving conservative treatment benefited from treatment to a greater extent measured in QALY units than their peers receiving surgical treatment, but in the age group 65 and over patients with surgical treatment received higher QALY ratings than recipients of conservative treatment. 4) The intensive care experience and QOL ratings were connected. The QOL indices were statistically highest for those recipients with memories of intensive care as a positive experience, albeit their illness requiring intensive care treatment was less serious than average. No statistically significant differences were found in the QOL indices of those with negative memories, no memories or those who did not express the quality of their experiences.

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.

Sosiaalipalveluja kaikille ja kaiken ikää? : Tutkimus suomalaisten mielipiteistä ja kokemuksista sosiaalipalveluista sekä niiden suhteesta legitimiteettiin

This research analyses opinions on the system of social welfare services from the point of view of clients and the public in general in Finland. The approach is quantitative, drawing on theories of the welfare-state tradition. The data used comes from the comprehensive Welfare and Services in Finland survey compiled by STAKES. While previous research on the welfare state has predominantly focused on surveying public opinion on social protection, this research focuses on social welfare services. The main focus of this research is on publicly funded care provided by municipal social welfare services. In this research, social welfare services include child day care, services for people with disabilities, home-help services, counselling by social workers and social assistance. The research considered in particular whether the clients or the population has different opinions towards social welfare services or social benefits. In addition, the research partly covers areas of informal care provided by family and friends. The research material consisted of the STAKES Welfare and Services in Finland survey. The data was compiled in 2004 and 2006 by Statistics Finland. The research comprises five articles. Additional data have been extracted from social welfare statistics and registers. Multiple approaches were applied in the survey on welfare and services the methods in this research included interviews by phone and mail, and register data. The sample size was 5 810 people in 2004 and 5 798 in 2006. The response rates were 82.7% and 83.7%, respectively. The results indicate that a large majority (90%) of the Finnish population is of the opinion that the public sector should bear the main responsibility for organising social and health services. The system of social welfare services and its personnel have strong public support 73% and 80% respectively. However, new and even negative tones have emerged in the Finnish debate on social welfare services. Women are increasingly critical of the performance of social welfare services and the level of social protection. Furthermore, this study shows that women more often than men wish to see an increase in the amount of privately organised social welfare services. Another group critical of the performance of social welfare services are pensioners. People who had used social welfare services were more critical than those who had not used them. Thus, the severest criticism was received from the groups who use and gain most from public services and benefits. However, the education and income variables identified in earlier studies no longer formed a significant dividing line, although people with higher education tend to foster a more positive view of the performance of social welfare services as well as the level of social protection. Income differences did not bear any significance, that is, belonging to a high or low income group was not a determining factor in the attitude towards social welfare services or social benefits. According to the research, family and friends still form an informal yet significant support network in people's everyday lives, and its importance has not been diminished by services provided by the welfare state. The Finnish public considers child day care the most reliable form of social welfare services. Indeed, child day care has become the most universal sector of our system of social welfare services. Other services that instil confidence included counselling by social workers and services for people with disabilities. On the other hand, social assistance and home-help services received negative feedback. The negative views were based on a number of arguments. One argument contends that the home-help service system, which was originally intended for universal use, is crumbling. The preventive role of home-help services has been reduced. These results mirror the increasingly popular opinion that social welfare services are not produced for all those who need them, but to an increasing extent for a select few of them. Municipalities are struggling with their finances and this, combined with negative publicity, has damaged the public's trust in some municipal social welfare services. A welfare state never achieves a stable condition, but must develop over time, as the world around it changes. Following the 1990's recession, we are now in a position where we can start to develop a system that responds to the needs of the next generation. Study results indicating new areas of dissatisfaction reflect the need to develop and improve the services provided. It is also increasingly essential that social welfare services pay attention to the opinions of clients and the public. Should the gap between opinions and actual activities increase, the legitimacy of the whole system would be questioned. Currently, the vast majority of Finns consider the system of social welfare services adequate, which provides us with the continuity required to maintain and improve client-oriented and reasonably priced social welfare services. Paying attention to the signals given by clients and the general public, and reacting to them accordingly, will also secure the development and legitimacy of the system in the future.

Kesämökkikäynnin virkistysarvon määrittäminen matkakustannusmenetelmällä

Tämän tutkielman tarkoituksena on määrittää kesämökkikäynnin virkistysarvo. Aihetta ei ole aikaisemmin tutkittu, vaikka kesämökkeily on merkittävä osa suomalaista elämää. Kesämökkikäynnin virkistysarvo tarkoittaa hyötyä, jonka yksilö saa kesämökillä virkistäytymisestä. Virkistäytyminen kesämökillä pitää sisällään kaiken kesämökillä ja sen ympäristössä tapahtuvan harrastamisen ja rentoutumisen. Koska ympäristö on tärkeässä osassa mökillä virkistäytymisessä, tässä tutkielmassa on lisäksi tarkoitus tutkia, kuinka mökkiympäristön ominaisuudet vaikuttavat virkistysarvoon. Tarkasteltavina ympäristön ominaisuuksina ovat virkistäytymisen estävät leväkukinnot ja mökin rannattomuus. Koska mökkeily toisaalta myös kuormittaa ympäristöä, tutkielmassa tutkitaan myös, kuinka sähköistys, ympäristöä kuormittava kesämökin ominaisuus, vaikuttaa virkistysarvoon. Virkistysarvo on markkinaton hyöty, joten sen määrittämiseen on käytettävä jotain markkinattomien hyödykkeiden arvottamismenetelmää. Tässä työssä arvottaminen tapahtuu matkakustannusmenetelmällä, jota käytetään yleisesti ympäristön tarjoamien virkistyspalveluiden taloudelliseen arvottamiseen. Kesämökkikäyntien kysyntää kuvaava matkakustannusmallin ekonometrinen mallintaminen suoritetaan negatiivisella binomimallilla. Tutkielman tulosten mukaan noin neljän päivän pituinen käynti sähköistetyllä kesämökillä, jossa on ranta eivätkä levät häiritse virkistäytymistä, tuottaa 167-205 euron suuruisen virkistyshyödyn. Virkistäytymisen estävät leväkukinnot laskevat arvoa 40 prosentilla ja mökin rannattomuus 45 prosentilla. Käynti sähköistetyllä mökillä tuottaa 3-5 prosenttia korkeamman virkistyshyödyn kuin käynti sähköistämättömällä mökillä. Suomessa kesän aikana tehtävien mökkikäyntien yhteenlaskettu virkistyshyöty on 430-530 miljoonaa, jos mökillä on ranta, jossa levistä ei ole haittaa. Häiritsevät leväkukinnot laskevat yhteenlaskettua virkistyshyötyä 30 miljoonalla ja rannattomuus 10-20 miljoonalla. Sähköistys nostaa yhteenlaskettua virkistyshyötyä 20-30 miljoonalla eurolla.

Vieraan aksentin arviointi ja mittaaminen suomessa

In the field of second language (L2) acquisition, the term `foreign accent´ is often used to refer to speech characteristics that differ from the pronunciation of native speakers. Foreign accent may affect the intelligibility and perceived comprehensibility of speech and it is also sometimes associated with negative attitudes. The degree of L2 learners foreign accent and the speech characteristics that account for it have previously been studied through speech perception experiments and acoustic measurements. Perception experiments have shown that native listeners are easily able to identify foreign accent in speech. However to date, no studies have been done on the assessment of foreign accent in the speech of non-native speakers of Finnish. The aim of this study is to examine how native speakers of Finnish rate the degree of foreign accentedness in the speech of Russian L2 learners of Finnish. Furthermore, phonetic analysis is used to study the characteristics of speech that affect the perceived strength of foreign accent. Altogether 96 native speakers of Finnish listened to excerpts of read-aloud and spontaneous Finnish speech from ten Russian and six Finnish female speakers. The Russian speakers were intermediate and advanced learners of Finnish and had all immigrated to Finland as adults. Among the listeners, was a group of teachers of Finnish as an L2, and it was presumed that these teachers had been exposed to foreign accent in Finnish and were used to hearing it. The temporal aspects and segmental properties of speech were phonetically analysed in the speech of the Russian speakers in order to measure their effect on the perceived degree of accent. Although wide differences were observed in the use of the rating scale among the listeners, they were still quite unanimous on which speakers had the strongest foreign accent and which had the mildest. The listeners background factors had little effect on their ratings, and the ratings of the teachers of Finnish as an L2 did not differ from those of the other listeners. However, a clear difference was noted in the ratings of the two types of stimuli used in the perception experiment: the read-aloud speech was rated as more strongly accented than the spontaneous speech. It is important to note that the assessment of foreign accent is affected by many factors and their complex interactions in the experimental setting. Futher the study found that, both the temporal aspects of speech, often associated with fluency, and the number of single deviant phonetic segments contributed to the perceived degree of accentedness in the speech of the native Russian speakers.