Parameterizing Unconditional Skewness in Models for Financial Time Series

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution exhibits skewness and nonzero third-order autocovariance structure. In this respect, an asymmetric or nonlinear specification of the conditional mean is found to be of greater importance than the properties of the conditional variance. Several examples are discussed and, whenever possible, explicit analytical expressions provided for all third-order moments and cross-moments. Finally, we introduce a new tool, the shock impact curve, for investigating the impact of shocks on the conditional mean squared error of return series.

Adiabatic compression testing - part I : historical development and evaluation of fluid dynamic processes including shock-wave considerations

Adiabatic compression testing of components in gaseous oxygen is a test method that is utilized worldwide and is commonly required to qualify a component for ignition tolerance under its intended service. This testing is required by many industry standards organizations and government agencies. This paper traces the background of adiabatic compression testing in the oxygen community and discusses the thermodynamic and fluid dynamic processes that occur during rapid pressure surges. This paper is the first of several papers by the authors on the subject of adiabatic compression testing and is presented as a non-comprehensive background and introduction.

A comparative study on the mineralogy, chemistry and chronology of the Apollo 16 crystalline impact melt breccias. Part II: Chronology.

The controversy on how to interpret the ages of lunar highland breccias has recently been discussed by James [1]. Are the measured ages testimony of true events in lunar history; do they represent the age of the ancient crustal rocks, mixed ages of unequilibrated matrix-phenocryst relationships, or merely thermal events subsequent to the formational event ? It is certain from analyses of terrestrial impact melt breccias that the melt matrix of whole impact melt sheets is isotopically equilibrated due to the extensive mixing process of the early cratering stage [2,3]. It has been shown that isotopic equilibration takes place between impact melt matrix and target rock clasts therein, with the intensity of isotopic exchange depending on the degree of shock metamorphism, thermal metamorphism and the size of the clasts [4]. Therefore, impact melt breccias - if they are relatively clast-poor and mineralogically well studied - can be considered to be the most reliable source for information on the impact history of the lunar highland.

The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market

Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2 weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market. We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms.

Analysis of complex molecular systems: The impact of multivariate analysis for resolving the interactions of small molecules with biopolymers - a review

This review is focused on the impact of chemometrics for resolving data sets collected from investigations of the interactions of small molecules with biopolymers. These samples have been analyzed with various instrumental techniques, such as fluorescence, ultraviolet–visible spectroscopy, and voltammetry. The impact of two powerful and demonstrably useful multivariate methods for resolution of complex data—multivariate curve resolution–alternating least squares (MCR–ALS) and parallel factor analysis (PARAFAC)—is highlighted through analysis of applications involving the interactions of small molecules with the biopolymers, serum albumin, and deoxyribonucleic acid. The outcomes illustrated that significant information extracted by the chemometric methods was unattainable by simple, univariate data analysis. In addition, although the techniques used to collect data were confined to ultraviolet–visible spectroscopy, fluorescence spectroscopy, circular dichroism, and voltammetry, data profiles produced by other techniques may also be processed. Topics considered including binding sites and modes, cooperative and competitive small molecule binding, kinetics, and thermodynamics of ligand binding, and the folding and unfolding of biopolymers. Applications of the MCR–ALS and PARAFAC methods reviewed were primarily published between 2008 and 2013.

The dependence of computed tomography number to relative electron density conversion on phantom geometry and its impact on planned dose

A computed tomography number to relative electron density (CT-RED) calibration is performed when commissioning a radiotherapy CT scanner by imaging a calibration phantom with inserts of specified RED and recording the CT number displayed. In this work, CT-RED calibrations were generated using several commercially available phantoms to observe the effect of phantom geometry on conversion to electron density and, ultimately, the dose calculation in a treatment planning system. Using an anthropomorphic phantom as a gold standard, the CT number of a material was found to depend strongly on the amount and type of scattering material surrounding the volume of interest, with the largest variation observed for the highest density material tested, cortical bone. Cortical bone gave a maximum CT number difference of 1,110 when a cylindrical insert of diameter 28 mm scanned free in air was compared to that in the form of a 30 × 30 cm2 slab. The effect of using each CT-RED calibration on planned dose to a patient was quantified using a commercially available treatment planning system. When all calibrations were compared to the anthropomorphic calibration, the largest percentage dose difference was 4.2 % which occurred when the CT-RED calibration curve was acquired with heterogeneity inserts removed from the phantom and scanned free in air. The maximum dose difference observed between two dedicated CT-RED phantoms was ±2.1 %. A phantom that is to be used for CT-RED calibrations must have sufficient water equivalent scattering material surrounding the heterogeneous objects that are to be used for calibration.