Stochastic volatility and the goodness-of-fit of the Heston model

Recently, Drǎgulescu and Yakovenko proposed an analytical formula for computing the probability density function of stock log returns, based on the Heston model, which they tested empirically. Their research design inadvertently favourably biased the fit of the data to the Heston model, thus overstating their empirical results. Furthermore, Drǎgulescu and Yakovenko did not perform any goodness-of-fit statistical tests. This study employs a research design that facilitates statistical tests of the goodness-of-fit of the Heston model to empirical returns. Robustness checks are also performed. In brief, the Heston model outperformed the Gaussian model only at high frequencies and even so does not provide a statistically acceptable fit to the data. The Gaussian model performed (marginally) better at medium and low frequencies, at which points the extra parameters of the Heston model have adverse impacts on the test statistics. © 2005 Taylor & Francis Group Ltd.

The development of functional in vitro toxicity tests

In vitro toxicity tests which detect evidence of the formation of reactive metabolites have previously relied upon cell death as a toxicity end point. Therefore these tests determine cytotoxicity in terms of quantitative changes in specified cell functions. In the studies involving the CaC0-2 cell model, there was no significant change in the transport of [3H] L-proline by the cell after eo-incubation with either dapsone or cyclophosphamide (50µM) and rat liver microsomal metabolite generating system. The pre incubation of the cells with N-ethylmalemide to inhibit Phase II sulphotransferase activity, prior to the microsomal incubations, resulted in cytotoxcity in all incubation groups. Studies involving the L6 cell model showed that there was no significant effect in the cell signalling pathway producing the second messenger cAMP, after incubation with dapsone or cyclophosphamide (50µM) and the rat microsomal metabolite generating system. There was also no significant affect on the vasopressin stimulated production of the second messenger IP3, after incubation with the hydroxylamine metabolite of dapsone, although there were some morphological changes observed with the cells at the highest concentration of dapsone hydroxylamine (100µM). With the test involving the NG115-401 L-C3 cell model, there was no significant changes in DNA synthesis in terms of [3H] thymidine incorporation, after eo-incubation with either phenytoin or cyclophosphamide (50µM) and the rat microsomal metabolite generating system. In the one compartment erythrocyte studies, there were significant decreases in glutathione with cyclophosphamide (50µM) (0.44 ± 0.04 mM), sulphamethoxazole (50µM) (0.43 ± 0.08mM) and carbamazepine (50µM) (0.47 ± 0.034 mM), when eoincubated with the rat microsomal system, compared to the control (0.52 ± 0.07mM). There was no significant depletion in glutathione when the erythrocytes were eoincubated with phenytoin and the rat microsomal system. In the two compartment erythrocyte studies, there was a significant decrease in the erythrocyte glutathione with cyclophosphamide (50µM) (0.953 ± 0110mM) when co-incubated the rat microsomal system, compared to the control (1.124 ± 0.032mM). Differences were considered statistically significant for p<0.05, using the Student's two tailed 't' test with Bonferroni's correction. There was no significant depletion of glutathione with phenytoin, carbamazepine and sulphamethoxazole when co-incubated with the rat microsomalsystem, compared to the control.

Development of a conceptual model of the soil-moisture-plant sub-system of the hydrological cycle

The soil-plant-moisture subsystem is an important component of the hydrological cycle. Over the last 20 or so years a number of computer models of varying complexity have represented this subsystem with differing degrees of success. The aim of this present work has been to improve and extend an existing model. The new model is less site specific thus allowing for the simulation of a wide range of soil types and profiles. Several processes, not included in the original model, are simulated by the inclusion of new algorithms, including: macropore flow; hysteresis and plant growth. Changes have also been made to the infiltration, water uptake and water flow algorithms. Using field data from various sources, regression equations have been derived which relate parameters in the suction-conductivity-moisture content relationships to easily measured soil properties such as particle-size distribution data. Independent tests have been performed on laboratory data produced by Hedges (1989). The parameters found by regression for the suction relationships were then used in equations describing the infiltration and macropore processes. An extensive literature review produced a new model for calculating plant growth from actual transpiration, which was itself partly determined by the root densities and leaf area indices derived by the plant growth model. The new infiltration model uses intensity/duration curves to disaggregate daily rainfall inputs into hourly amounts. The final model has been calibrated and tested against field data, and its performance compared to that of the original model. Simulations have also been carried out to investigate the effects of various parameters on infiltration, macropore flow, actual transpiration and plant growth. Qualitatively comparisons have been made between these results and data given in the literature.

De-industrialisation:Rowthorn and Wells' Model revisited

This paper presents a simple three-sector model that seeks to establish links between structural change in employment and the level of economic development. The model is a modified version of that of Rowthorn - Wells (1987). The theoretical analysis is supplemented with simple econometric tests which illustrate how the modified Rowthorn - Wells model can be used (i) to motivate empirical estimates of the link between the level of development and structures of employment, and (ii) to illustrate structural distortions under command economies.

De-industrialisation and the post-communist transition:Rowthorn and Wells' model revisited

In this paper we present a simple three-sector model explaining the structural change in employment, which is a modified version of Rowthorn-Wells (1987). We supplement the theoretical analysis with simple econometric tests, which illustrate how the modified Rowthorn-Wells model can be used to (i) motivate empirical estimates of the link between the level of development and structures of employment, (ii) illustrate structural distortions under the command economies, and the structural adjustment that happened during the post-Communist transition. We demonstrate that in the case of these economies, the transition process leads to an adjustment to the employment structures predicted by the model.

Is there a global model of learning organizations? An empirical, cross-nation study

This paper develops and tests a learning organization model derived from HRM and dynamic capability literatures in order to ascertain the model's applicability across divergent global contexts. We define a learning organization as one capable of achieving on-going strategic renewal, arguing based on dynamic capability theory that the model has three necessary antecedents: HRM focus, developmental orientation and customer-facing remit. Drawing on a sample comprising nearly 6000 organizations across 15 countries, we show that learning organizations exhibit higher performance than their less learning-inclined counterparts. We also demonstrate that innovation fully mediates the relationship between our conceptualization of the learning organization and organizational performance in 11 of the 15 countries we examined. It is the first time in our knowledge that these questions have been tested in a major, cross-global study, and our work contributes to both HRM and dynamic capability literatures, especially where the focus is the applicability of best practice parameters across national boundaries.

Estimation of productivity in Korean electric power plants:a semiparametric smooth coefficient model

This paper analyzes the impact of load factor, facility and generator types on the productivity of Korean electric power plants. In order to capture important differences in the effect of load policy on power output, we use a semiparametric smooth coefficient (SPSC) model that allows us to model heterogeneous performances across power plants and over time by allowing underlying technologies to be heterogeneous. The SPSC model accommodates both continuous and discrete covariates. Various specification tests are conducted to compare performance of the SPSC model. Using a unique generator level panel dataset spanning the period 1995-2006, we find that the impact of load factor, generator and facility types on power generation varies substantially in terms of magnitude and significance across different plant characteristics. The results have strong implication for generation policy in Korea as outlined in this study.

Technological enhancements to optometric clinical tests

A sizeable amount of the testing in eye care, requires either the identification of targets such as letters to assess functional vision, or the subjective evaluation of imagery by an examiner. Computers can render a variety of different targets on their monitors and can be used to store and analyse ophthalmic images. However, existing computing hardware tends to be large, screen resolutions are often too low, and objective assessments of ophthalmic images unreliable. Recent advances in mobile computing hardware and computer-vision systems can be used to enhance clinical testing in optometry. High resolution touch screens embedded in mobile devices, can render targets at a wide variety of distances and can be used to record and respond to patient responses, automating testing methods. This has opened up new opportunities in computerised near vision testing. Equally, new image processing techniques can be used to increase the validity and reliability of objective computer vision systems. Three novel apps for assessing reading speed, contrast sensitivity and amplitude of accommodation were created by the author to demonstrate the potential of mobile computing to enhance clinical measurement. The reading speed app could present sentences effectively, control illumination and automate the testing procedure for reading speed assessment. Meanwhile the contrast sensitivity app made use of a bit stealing technique and swept frequency target, to rapidly assess a patient’s full contrast sensitivity function at both near and far distances. Finally, customised electronic hardware was created and interfaced to an app on a smartphone device to allow free space amplitude of accommodation measurement. A new geometrical model of the tear film and a ray tracing simulation of a Placido disc topographer were produced to provide insights on the effect of tear film breakdown on ophthalmic images. Furthermore, a new computer vision system, that used a novel eye-lash segmentation technique, was created to demonstrate the potential of computer vision systems for the clinical assessment of tear stability. Studies undertaken by the author to assess the validity and repeatability of the novel apps, found that their repeatability was comparable to, or better, than existing clinical methods for reading speed and contrast sensitivity assessment. Furthermore, the apps offered reduced examination times in comparison to their paper based equivalents. The reading speed and amplitude of accommodation apps correlated highly with existing methods of assessment supporting their validity. Their still remains questions over the validity of using a swept frequency sine-wave target to assess patient’s contrast sensitivity functions as no clinical test provides the range of spatial frequencies and contrasts, nor equivalent assessment at distance and near. A validation study of the new computer vision system found that the authors tear metric correlated better with existing subjective measures of tear film stability than those of a competing computer-vision system. However, repeatability was poor in comparison to the subjective measures due to eye lash interference. The new mobile apps, computer vision system, and studies outlined in this thesis provide further insight into the potential of applying mobile and image processing technology to enhance clinical testing by eye care professionals.

Estimation of productivity in Korean electric power plants:a semiparametric smooth coefficient model

This paper analyzes the impact of load factor, facility and generator types on the productivity of Korean electric power plants. In order to capture important differences in the effect of load policy on power output, we use a semiparametric smooth coefficient (SPSC) model that allows us to model heterogeneous performances across power plants and over time by allowing underlying technologies to be heterogeneous. The SPSC model accommodates both continuous and discrete covariates. Various specification tests are conducted to assess the performance of the SPSC model. Using a unique generator level panel dataset spanning the period 1995-2006, we find that the impact of load factor, generator and facility types on power generation varies substantially in terms of magnitude and significance across different plant characteristics. The results have strong implications for generation policy in Korea as outlined in this study.

Characterizing permanent deformation and fracture of asphalt mixtures by using compressive dynamic modulus tests

Permanent deformation and fracture may develop simultaneously when an asphalt mixture is subjected to a compressive load. The objective of this research is to separate viscoplasticity and viscofracture from viscoelasticity so that the permanent deformation and fracture of the asphalt mixtures can be individually and accurately characterized without the influence of viscoelasticity. The undamaged properties of 16 asphalt mixtures that have two binder types, two air void contents, and two aging conditions are first obtained by conducting nondestructive creep tests and nondestructive dynamic modulus tests. Testing results are analyzed by using the linear viscoelastic theory in which the creep compliance and the relaxation modulus are modeled by the Prony model. The dynamic modulus and phase angle of the undamaged asphalt mixtures remained constant with the load cycles. The undamaged asphalt mixtures are then used to perform the destructive dynamic modulus tests in which the dynamic modulus and phase angle of the damaged asphalt mixtures vary with load cycles. This indicates plastic evolution and crack propagation. The growth of cracks is signaled principally by the increase of the phase angle, which occurs only in the tertiary stage. The measured total strain is successfully decomposed into elastic strain, viscoelastic strain, plastic strain, viscoplastic strain, and viscofracture strain by employing the pseudostrain concept and the extended elastic-viscoelastic correspondence principle. The separated viscoplastic strain uses a predictive model to characterize the permanent deformation. The separated viscofracture strain uses a fracture strain model to characterize the fracture of the asphalt mixtures in which the flow number is determined and a crack speed index is proposed. Comparisons of the 16 samples show that aged asphalt mixtures with a low air void content have a better performance, resisting permanent deformation and fracture. © 2012 American Society of Civil Engineers.

A generalized Drucker–Prager viscoplastic yield surface model for asphalt concrete

A generalized Drucker–Prager (GD–P) viscoplastic yield surface model was developed and validated for asphalt concrete. The GD–P model was formulated based on fabric tensor modified stresses to consider the material inherent anisotropy. A smooth and convex octahedral yield surface function was developed in the GD–P model to characterize the full range of the internal friction angles from 0° to 90°. In contrast, the existing Extended Drucker–Prager (ED–P) was demonstrated to be applicable only for a material that has an internal friction angle less than 22°. Laboratory tests were performed to evaluate the anisotropic effect and to validate the GD–P model. Results indicated that (1) the yield stresses of an isotropic yield surface model are greater in compression and less in extension than that of an anisotropic model, which can result in an under-prediction of the viscoplastic deformation; and (2) the yield stresses predicted by the GD–P model matched well with the experimental results of the octahedral shear strength tests at different normal and confining stresses. By contrast, the ED–P model over-predicted the octahedral yield stresses, which can lead to an under-prediction of the permanent deformation. In summary, the rutting depth of an asphalt pavement would be underestimated without considering anisotropy and convexity of the yield surface for asphalt concrete. The proposed GD–P model was demonstrated to be capable of overcoming these limitations of the existing yield surface models for the asphalt concrete.

Model and performance of a no-reference quality assessment metric for video streaming

Video streaming via Transmission Control Protocol (TCP) networks has become a popular and highly demanded service, but its quality assessment in both objective and subjective terms has not been properly addressed. In this paper, based on statistical analysis a full analytic model of a no-reference objective metric, namely pause intensity (PI), for video quality assessment is presented. The model characterizes the video playout buffer behavior in connection with the network performance (throughput) and the video playout rate. This allows for instant quality measurement and control without requiring a reference video. PI specifically addresses the need for assessing the quality issue in terms of the continuity in the playout of TCP streaming videos, which cannot be properly measured by other objective metrics such as peak signal-to-noise-ratio, structural similarity, and buffer underrun or pause frequency. The performance of the analytical model is rigidly verified by simulation results and subjective tests using a range of video clips. It is demonstrated that PI is closely correlated with viewers' opinion scores regardless of the vastly different composition of individual elements, such as pause duration and pause frequency which jointly constitute this new quality metric. It is also shown that the correlation performance of PI is consistent and content independent. © 2013 IEEE.

The MIMIC model and formative variables:problems and solutions

The use of the multiple indicators, multiple causes model to operationalize formative variables (the formative MIMIC model) is advocated in the methodological literature. Yet, contrary to popular belief, the formative MIMIC model does not provide a valid method of integrating formative variables into empirical studies and we recommend discarding it from formative models. Our arguments rest on the following observations. First, much formative variable literature appears to conceptualize a causal structure between the formative variable and its indicators which can be tested or estimated. We demonstrate that this assumption is illogical, that a formative variable is simply a researcher-defined composite of sub-dimensions, and that such tests and estimates are unnecessary. Second, despite this, researchers often use the formative MIMIC model as a means to include formative variables in their models and to estimate the magnitude of linkages between formative variables and their indicators. However, the formative MIMIC model cannot provide this information since it is simply a model in which a common factor is predicted by some exogenous variables—the model does not integrate within it a formative variable. Empirical results from such studies need reassessing, since their interpretation may lead to inaccurate theoretical insights and the development of untested recommendations to managers. Finally, the use of the formative MIMIC model can foster fuzzy conceptualizations of variables, particularly since it can erroneously encourage the view that a single focal variable is measured with formative and reflective indicators. We explain these interlinked arguments in more detail and provide a set of recommendations for researchers to consider when dealing with formative variables.