Semi-parametric forecasting of realized volatility

Forecasts generated by time series models traditionally place greater weight on more recent observations. This paper develops an alternative semi-parametric method for forecasting that does not rely on this convention and applies it to the problem of forecasting asset return volatility. In this approach, a forecast is a weighted average of historical volatility, with the greatest weight given to periods that exhibit similar market conditions to the time at which the forecast is being formed. Weighting is determined by comparing short-term trends in volatility across time (as a measure of market conditions) by means of a multivariate kernel scheme. It is found that the semi-parametric method produces forecasts that are significantly more accurate than a number of competing approaches at both short and long forecast horizons.

A tissue engineering solution for segmental defect regeneration in load-bearing long bones

The reconstruction of large defects (>10 mm) in humans usually relies on bone graft transplantation. Limiting factors include availability of graft material, comorbidity, and insufficient integration into the damaged bone. We compare the gold standard autograft with biodegradable composite scaffolds consisting of medical-grade polycaprolactone and tricalcium phosphate combined with autologous bone marrow-derived mesenchymal stem cells (MSCs) or recombinant human bone morphogenetic protein 7 (rhBMP-7). Critical-sized defects in sheep - a model closely resembling human bone formation and structure - were treated with autograft, rhBMP-7, or MSCs. Bridging was observed within 3 months for both the autograft and the rhBMP-7 treatment. After 12 months, biomechanical analysis and microcomputed tomography imaging showed significantly greater bone formation and superior strength for the biomaterial scaffolds loaded with rhBMP-7 compared to the autograft. Axial bone distribution was greater at the interfaces. With rhBMP-7, at 3 months, the radial bone distribution within the scaffolds was homogeneous. At 12 months, however, significantly more bone was found in the scaffold architecture, indicating bone remodeling. Scaffolds alone or with MSC inclusion did not induce levels of bone formation comparable to those of the autograft and rhBMP-7 groups. Applied clinically, this approach using rhBMP-7 could overcome autograft-associated limitations.

Numerical modelling of load bearing LSF Walls under fire conditions

Abstract. Fire safety of light gauge cold-formed steel frame (LSF) stud walls is significant in the design of buildings. In this research, finite element thermal models of both the traditional LSF wall panels with cavity insulation and the new LSF composite wall panels were developed to simulate their thermal behaviour under standard and real design fire conditions. Suitable thermal properties were proposed for plasterboards and insulations based on laboratory tests and literature review. The developed models were then validated by comparing their results with available fire test results. This paper presents the details of the developed finite element models of load bearing LSF wall panels and the thermal analysis results. It shows that finite element models can be used to simulate the thermal behaviour of load bearing LSF walls with varying configurations of insulations and plasterboards. Failure times of load bearing LSF walls were also predicted based on the results from finite element thermal analyses.

Thermal performance of non-load bearing LSF walls using numerical studies

Fire safety of light gauge cold-formed steel frame (LSF) wall systems is significant to the build-ing design. Gypsum plasterboard is widely used as a fire safety material in the building industry. It contains gypsum (CaSO4.2H2O), Calcium Carbonate (CaCO3) and most importantly free and chemically bound water in its crystal structure. The dehydration of the gypsum and the decomposition of Calcium Carbonate absorb heat, which gives the gypsum plasterboard fire resistant qualities. Recently a new composite panel system was developed, where a thin insulation layer was used externally between two plasterboards to improve the fire performance of LSF walls. In this research, finite element thermal models of both the traditional LSF wall panels with cavity insulation and the new LSF composite wall panels were developed to simulate their thermal behaviour under standard and realistic design fire conditions. Suitable thermal properties of gypsum plaster-board, insulation materials and steel were used. The developed models were then validated by comparing their results with fire test results. This paper presents the details of the developed finite element models of non-load bearing LSF wall panels and the thermal analysis results. It has shown that finite element models can be used to simulate the thermal behaviour of LSF walls with varying configurations of insulations and plasterboards. The results show that the use of cavity insulation was detrimental to the fire rating of LSF walls while the use of external insulation offered superior thermal protection. Effects of real fire conditions are also presented.

Forecasting volatility and correlation : the role of option implied measures

Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of options market participants. While much research has been conducted into the relative merits of these approaches, this thesis extends the literature along several lines through three empirical studies. Firstly, it is demonstrated that there exist statistically significant benefits to taking the volatility risk premium into account for the implied volatility for the purposes of univariate volatility forecasting. Secondly, high-frequency option implied measures are shown to lead to superior forecasts of the intraday stochastic component of intraday volatility and that these then lead on to superior forecasts of intraday total volatility. Finally, the use of realised and option implied measures of equicorrelation are shown to dominate measures based on daily returns.

Integrated health prediction of bridge systems using dynamic object oriented Bayesian networks (DOOBNS)

The serviceability and safety of bridges are crucial to people’s daily lives and to the national economy. Every effort should be taken to make sure that bridges function safely and properly as any damage or fault during the service life can lead to transport paralysis, catastrophic loss of property or even casualties. Nonetheless, aggressive environmental conditions, ever-increasing and changing traffic loads and aging can all contribute to bridge deterioration. With often constrained budget, it is of significance to identify bridges and bridge elements that should be given higher priority for maintenance, rehabilitation or replacement, and to select optimal strategy. Bridge health prediction is an essential underpinning science to bridge maintenance optimization, since the effectiveness of optimal maintenance decision is largely dependent on the forecasting accuracy of bridge health performance. The current approaches for bridge health prediction can be categorised into two groups: condition ratings based and structural reliability based. A comprehensive literature review has revealed the following limitations of the current modelling approaches: (1) it is not evident in literature to date that any integrated approaches exist for modelling both serviceability and safety aspects so that both performance criteria can be evaluated coherently; (2) complex system modelling approaches have not been successfully applied to bridge deterioration modelling though a bridge is a complex system composed of many inter-related bridge elements; (3) multiple bridge deterioration factors, such as deterioration dependencies among different bridge elements, observed information, maintenance actions and environmental effects have not been considered jointly; (4) the existing approaches are lacking in Bayesian updating ability to incorporate a variety of event information; (5) the assumption of series and/or parallel relationship for bridge level reliability is always held in all structural reliability estimation of bridge systems. To address the deficiencies listed above, this research proposes three novel models based on the Dynamic Object Oriented Bayesian Networks (DOOBNs) approach. Model I aims to address bridge deterioration in serviceability using condition ratings as the health index. The bridge deterioration is represented in a hierarchical relationship, in accordance with the physical structure, so that the contribution of each bridge element to bridge deterioration can be tracked. A discrete-time Markov process is employed to model deterioration of bridge elements over time. In Model II, bridge deterioration in terms of safety is addressed. The structural reliability of bridge systems is estimated from bridge elements to the entire bridge. By means of conditional probability tables (CPTs), not only series-parallel relationship but also complex probabilistic relationship in bridge systems can be effectively modelled. The structural reliability of each bridge element is evaluated from its limit state functions, considering the probability distributions of resistance and applied load. Both Models I and II are designed in three steps: modelling consideration, DOOBN development and parameters estimation. Model III integrates Models I and II to address bridge health performance in both serviceability and safety aspects jointly. The modelling of bridge ratings is modified so that every basic modelling unit denotes one physical bridge element. According to the specific materials used, the integration of condition ratings and structural reliability is implemented through critical failure modes. Three case studies have been conducted to validate the proposed models, respectively. Carefully selected data and knowledge from bridge experts, the National Bridge Inventory (NBI) and existing literature were utilised for model validation. In addition, event information was generated using simulation to demonstrate the Bayesian updating ability of the proposed models. The prediction results of condition ratings and structural reliability were presented and interpreted for basic bridge elements and the whole bridge system. The results obtained from Model II were compared with the ones obtained from traditional structural reliability methods. Overall, the prediction results demonstrate the feasibility of the proposed modelling approach for bridge health prediction and underpin the assertion that the three models can be used separately or integrated and are more effective than the current bridge deterioration modelling approaches. The primary contribution of this work is to enhance the knowledge in the field of bridge health prediction, where more comprehensive health performance in both serviceability and safety aspects are addressed jointly. The proposed models, characterised by probabilistic representation of bridge deterioration in hierarchical ways, demonstrated the effectiveness and pledge of DOOBNs approach to bridge health management. Additionally, the proposed models have significant potential for bridge maintenance optimization. Working together with advanced monitoring and inspection techniques, and a comprehensive bridge inventory, the proposed models can be used by bridge practitioners to achieve increased serviceability and safety as well as maintenance cost effectiveness.

Experimental studies of non-load bearing steel wall systems under fire conditions

Fire safety of buildings has been recognised as very important by the building industry and the community at large. Traditionally, increased fire rating is provided by simply adding more plasterboards to light gauge steel frame (LSF) walls, which is inefficient. Many research studies have been undertaken to investigate the thermal behaviour of traditional LSF stud wall systems under standard fire conditions. However, no research has been undertaken on the thermal behaviour of LSF stud walls using the recently proposed composite panel. Extensive fire testing of both non-load bearing and load bearing wall panels was conducted in this research based on the standard time-temperature curve in AS1530.4. Three groups of LSF wall specimens were tested with no insulation, cavity insulation and the new composite panel based on an external insulation layer between plasterboards. This paper presents the details of this experimental study into the thermal performance of non-load bearing walls lined with various configurations of plasterboard and insulation. Extensive descriptive and numerical results of the tested non-load bearing wall panels given in this paper provide a thorough understanding of their thermal behaviour, and valuable time-temperature data that can be used to validate numerical models. Test results showed that the innovative composite stud wall systems outperformed the traditional stud wall systems in terms of their thermal performance, giving a much higher fire rating.

Finite element modelling of load bearing steel stud walls under real building fires

Fire safety has become an important part in structural design due to the ever increasing loss of properties and lives during fires. Conventionally the fire rating of load bearing wall systems made of Light gauge Steel Frames (LSF) is determined using fire tests based on the standard time-temperature curve given in ISO 834 (ISO, 1999). The standard time-temperature curve given in ISO 834 (ISO, 1999) originated from the application of wood burning furnaces in the early 1900s. However, modern commercial and residential buildings make use of thermoplastic materials, which mean considerably high fuel loads. Hence a detailed fire research study into the performance of LSF walls was undertaken using the developed real fire curves based on Eurocode parametric curves (ECS, 2002) and Barnett’s BFD curves (Barnett, 2002) using both full scale fire tests and numerical studies. It included LSF walls without any insulation, and the recently developed externally insulated composite panel system. This paper presents the details of the numerical studies and the results. It also includes brief details of the development of real building fire curves and experimental studies.

Fire tests of load bearing steel stud walls exposed to real building fires

Abstract. Fire resistance has become an important part in structural design due to the ever increasing loss of properties and lives every year. Conventionally the fire rating of load bearing Light gauge Steel Frame (LSF) walls is determined using standard fire tests based on the time-temperature curve given in ISO 834 [1]. Full scale fire testing based on this standard time-temperature curve originated from the application of wood burning furnaces in the early 1900s and it is questionable whether it truly represents the fuel loads in modern buildings. Hence a detailed fire research study into the performance of LSF walls was undertaken using real design fires based on Eurocode parametric curves [2] and Barnett’s ‘BFD’ curves [3]. This paper presents the development of these real fire curves and the results of full scale experimental study into the structural and fire behaviour of load bearing LSF stud wall systems.

Forecasting success on large projects : developing reliable scales to predict multiple perspectives by multiple stakeholders over multiple time frames

Our aim is to develop a set of leading performance indicators to enable managers of large projects to forecast during project execution how various stakeholders will perceive success months or even years into the operation of the output. Large projects have many stakeholders who have different objectives for the project, its output, and the business objectives they will deliver. The output of a large project may have a lifetime that lasts for years, or even decades, and ultimate impacts that go beyond its immediate operation. How different stakeholders perceive success can change with time, and so the project manager needs leading performance indicators that go beyond the traditional triple constraint to forecast how key stakeholders will perceive success months or even years later. In this article, we develop a model for project success that identifies how project stakeholders might perceive success in the months and years following a project. We identify success or failure factors that will facilitate or mitigate against achievement of those success criteria, and a set of potential leading performance indicators that forecast how stakeholders will perceive success during the life of the project's output. We conducted a scale development study with 152 managers of large projects and identified two project success factor scales and seven stakeholder satisfaction scales that can be used by project managers to predict stakeholder satisfaction on projects and so may be used by the managers of large projects for the basis of project control.

The effects of increased endurance training load on biomarkers of heat intolerance during intense exercise in the heat

The effects of increased training (IT) load on plasma concentrations of lipopolysaccharides (LPS), proinflammatory cytokines, and anti-LPS antibodies during exercise in the heat were investigated in 18 male runners, who performed 14 days of normal training (NT) or 14 days of 20% IT load in 2 equal groups. Before (trial 1) and after (trial 2) the training intervention, all subjects ran at 70% maximum oxygen uptake on a treadmill under hot (35 degrees C) and humid (similar to 40%) conditions, until core temperature reached 39.5 degrees C or volitional exhaustion. Venous blood samples were drawn before, after, and 1.5 h after exercise. Plasma LPS concentration after exercise increased by 71% (trial 1, p < 0.05) and 21% (trial 2) in the NT group and by 92% (trial 1, p < 0.01) and 199% (trial 2, p < 0.01) in the IT group. Postintervention plasma LPS concentration was 35% lower before exercise (p < 0.05) and 47% lower during recovery (p < 0.01) in the IT than in the NT group. Anti-LPS IgM concentration during recovery was 35% lower in the IT than in the NT group (p < 0.05). Plasma interleukin (IL)-6 and tumor necrosis factor (TNF)-alpha concentrations after exercise (IL-6, 3-7 times, p < 0.01, and TNF-alpha, 33%, p < 0.01) and during recovery (IL-6, 2-4 times, p < 0.05, and TNF-alpha, 30%, p < 0.01) were higher than at rest within each group. These data suggest that a short-term tolerable increase in training load may protect against developing endotoxemia during exercise in the heat.

Human papillomavirus prevalence, viral load and pre-cancerous lesions of the cervix in women initiating highly active antiretroviral therapy in South Africa : a cross-sectional study

Background Cervical cancer and infection with human immunodeficiency virus (HIV) are both important public health problems in South Africa (SA). The aim of this study was to determine the prevalence of cervical squamous intraepithelial lesions (SILs), high-risk human papillomavirus (HR-HPV), HPV viral load and HPV genotypes in HIV positive women initiating anti-retroviral (ARV) therapy. Methods A cross-sectional survey was conducted at an anti-retroviral (ARV) treatment clinic in Cape Town, SA in 2007. Cervical specimens were taken for cytological analysis and HPV testing. The Digene Hybrid Capture 2 (HC2) test was used to detect HR-HPV. Relative light units (RLU) were used as a measure of HPV viral load. HPV types were determined using the Roche Linear Array HPV Genotyping test. Crude associations with abnormal cytology were tested and multiple logistic regression was used to determine independent risk factors for abnormal cytology. Results The median age of the 109 participants was 31 years, the median CD4 count was 125/mm3, 66.3% had an abnormal Pap smear, the HR-HPV prevalence was 78.9% (Digene), the median HPV viral load was 181.1 RLU (HC2 positive samples only) and 78.4% had multiple genotypes. Among women with abnormal smears the most prevalent HR-HPV types were HPV types 16, 58 and 51, all with a prevalence of 28.5%. On univariate analysis HR-HPV, multiple HPV types and HPV viral load were significantly associated with the presence of low and high-grade SILs (LSIL/HSIL). The multivariate logistic regression showed that HPV viral load was associated with an increased odds of LSIL/HSIL, odds ratio of 10.7 (95% CI 2.0 – 57.7) for those that were HC2 positive and had a viral load of ≤ 181.1 RLU (the median HPV viral load), and 33.8 (95% CI 6.4 – 178.9) for those that were HC2 positive with a HPV viral load > 181.1 RLU. Conclusion Women initiating ARVs have a high prevalence of abnormal Pap smears and HR-HPV. Our results underscore the need for locally relevant, rigorous screening protocols for the increasing numbers of women accessing ARV therapy so that the benefits of ARVs are not partially offset by an excess risk in cervical cancer.