5 resultados para equilibrium asset pricing models with latent variables

em Universitätsbibliothek Kassel, Universität Kassel, Germany


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To study the behaviour of beam-to-column composite connection more sophisticated finite element models is required, since component model has some severe limitations. In this research a generic finite element model for composite beam-to-column joint with welded connections is developed using current state of the art local modelling. Applying mechanically consistent scaling method, it can provide the constitutive relationship for a plane rectangular macro element with beam-type boundaries. Then, this defined macro element, which preserves local behaviour and allows for the transfer of five independent states between local and global models, can be implemented in high-accuracy frame analysis with the possibility of limit state checks. In order that macro element for scaling method can be used in practical manner, a generic geometry program as a new idea proposed in this study is also developed for this finite element model. With generic programming a set of global geometric variables can be input to generate a specific instance of the connection without much effort. The proposed finite element model generated by this generic programming is validated against testing results from University of Kaiserslautern. Finally, two illustrative examples for applying this macro element approach are presented. In the first example how to obtain the constitutive relationships of macro element is demonstrated. With certain assumptions for typical composite frame the constitutive relationships can be represented by bilinear laws for the macro bending and shear states that are then coupled by a two-dimensional surface law with yield and failure surfaces. In second example a scaling concept that combines sophisticated local models with a frame analysis using a macro element approach is presented as a practical application of this numerical model.

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This study focuses on multiple linear regression models relating six climate indices (temperature humidity THI, environmental stress ESI, equivalent temperature index ETI, heat load HLI, modified HLI (HLI new), and respiratory rate predictor RRP) with three main components of cow’s milk (yield, fat, and protein) for cows in Iran. The least absolute shrinkage selection operator (LASSO) and the Akaike information criterion (AIC) techniques are applied to select the best model for milk predictands with the smallest number of climate predictors. Uncertainty estimation is employed by applying bootstrapping through resampling. Cross validation is used to avoid over-fitting. Climatic parameters are calculated from the NASA-MERRA global atmospheric reanalysis. Milk data for the months from April to September, 2002 to 2010 are used. The best linear regression models are found in spring between milk yield as the predictand and THI, ESI, ETI, HLI, and RRP as predictors with p-value < 0.001 and R2 (0.50, 0.49) respectively. In summer, milk yield with independent variables of THI, ETI, and ESI show the highest relation (p-value < 0.001) with R2 (0.69). For fat and protein the results are only marginal. This method is suggested for the impact studies of climate variability/change on agriculture and food science fields when short-time series or data with large uncertainty are available.

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Seit Etablierung der ersten Börsen als Marktplatz für fungible Güter sind Marktteilnehmer und die Wissenschaft bemüht, Erklärungen für das Zustandekommen von Marktpreisen zu finden. Im Laufe der Zeit wurden diverse Modelle entwickelt. Allen voran ist das neoklassische Capital Asset Pricing Modell (CAPM) zu nennen. Die Neoklassik sieht den Akteur an den Finanzmärkten als emotionslosen und streng rationalen Entscheider, dem sog. homo oeconomicus. Psychologische Einflussfaktoren bei der Preisbildung bleiben unbeachtet. Mit der Behavioral Finance hat sich ein neuer Zweig zur Erklärung von Börsenkursen und deren Bewegungen entwickelt. Die Behavioral Finance sprengt die enge Sichtweise der Neoklassik und geht davon aus, dass psychologische Effekte die Entscheidung der Finanzakteure beeinflussen und dabei zu teilweise irrational und emotional geprägten Kursänderungen führen. Eines der Hauptprobleme der Behavioral Finance liegt allerdings in der fehlenden formellen Ermittelbarkeit und Testbarkeit der einzelnen psychologischen Effekte. Anders als beim CAPM, wo die einzelnen Parameter klar mathematisch bestimmbar sind, besteht die Behavioral Finance im Wesentlichen aus psychologischen Definitionen von kursbeeinflussenden Effekten. Die genaue Wirkrichtung und Intensität der Effekte kann, mangels geeigneter Modelle, nicht ermittelt werden. Ziel der Arbeit ist es, eine Abwandlung des CAPM zu ermitteln, die es ermöglicht, neoklassische Annahmen durch die Erkenntnisse des Behavioral Finance zu ergänzen. Mittels der technischen Analyse von Marktpreisen wird versucht die Effekte der Behavioral Finance formell darstellbar und berechenbar zu machen. Von Praktikern wird die technische Analyse dazu verwendet, aus Kursverläufen die Stimmungen und Intentionen der Marktteilnehmer abzuleiten. Eine wissenschaftliche Fundierung ist bislang unterblieben. Ausgehend von den Erkenntnissen der Behavioral Finance und der technischen Analyse wird das klassische CAPM um psychologische Faktoren ergänzt, indem ein Multi-Beta-CAPM (Behavioral-Finance-CAPM) definiert wird, in das psychologisch fundierte Parameter der technischen Analyse einfließen. In Anlehnung an den CAPM-Test von FAMA und FRENCH (1992) werden das klassische CAPM und das Behavioral-Finance-CAPM getestet und der psychologische Erklärungsgehalt der technischen Analyse untersucht. Im Untersuchungszeitraum kann dem Behavioral-Finance-CAPM ein deutlich höherer Erklärungsgehalt gegenüber dem klassischen CAPM zugesprochen werden.

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This study investigated the relationship between higher education and the requirement of the world of work with an emphasis on the effect of problem-based learning (PBL) on graduates' competencies. The implementation of full PBL method is costly (Albanese & Mitchell, 1993; Berkson, 1993; Finucane, Shannon, & McGrath, 2009). However, the implementation of PBL in a less than curriculum-wide mode is more achievable in a broader context (Albanese, 2000). This means higher education institutions implement only a few PBL components in the curriculum. Or a teacher implements a few PBL components at the courses level. For this kind of implementation there is a need to identify PBL components and their effects on particular educational outputs (Hmelo-Silver, 2004; Newman, 2003). So far, however there has been little research about this topic. The main aims of this study were: (1) to identify each of PBL components which were manifested in the development of a valid and reliable PBL implementation questionnaire and (2) to determine the effect of each identified PBL component to specific graduates' competencies. The analysis was based on quantitative data collected in the survey of medicine graduates of Gadjah Mada University, Indonesia. A total of 225 graduates responded to the survey. The result of confirmatory factor analysis (CFA) showed that all individual constructs of PBL and graduates' competencies had acceptable GOFs (Goodness-of-fit). Additionally, the values of the factor loadings (standardize loading estimates), the AVEs (average variance extracted), CRs (construct reliability), and ASVs (average shared squared variance) showed the proof of convergent and discriminant validity. All values indicated valid and reliable measurements. The investigation of the effects of PBL showed that each PBL component had specific effects on graduates' competencies. Interpersonal competencies were affected by Student-centred learning (β = .137; p < .05) and Small group components (β = .078; p < .05). Problem as stimulus affected Leadership (β = .182; p < .01). Real-world problems affected Personal and organisational competencies (β = .140; p < .01) and Interpersonal competencies (β = .114; p < .05). Teacher as facilitator affected Leadership (β = 142; p < .05). Self-directed learning affected Field-related competencies (β = .080; p < .05). These results can help higher education institution and educator to have informed choice about the implementation of PBL components. With this information higher education institutions and educators could fulfil their educational goals and in the same time meet their limited resources. This study seeks to improve prior studies' research method in four major ways: (1) by indentifying PBL components based on theory and empirical data; (2) by using latent variables in the structural equation modelling instead of using a variable as a proxy of a construct; (3) by using CFA to validate the latent structure of the measurement, thus providing better evidence of validity; and (4) by using graduate survey data which is suitable for analysing PBL effects in the frame work of the relationship between higher education and the world of work.