Long memory in log-range series:do structural breaks matter?

This paper examines whether the observed long memory behavior of log-range series is to some extent spurious and whether it can be explained by the presence of structural breaks. Utilizing stock market data we show that the characterization of log-range series as long memory processes can be a strong assumption. Moreover, we find that all examined series experience a large number of significant breaks. Once the breaks are accounted for, the volatility persistence is eliminated. Overall, the findings suggest that volatility can be adequately represented, at least in-sample, through a multiple breaks process and a short run component.

Risk and structural instability in US house prices

This paper employs a Component GARCH in Mean model to show that house prices across a number of major US cities between 1987 and 2009 have displayed asset market properties in terms of both risk-return relationships and asymmetric adjustment to shocks. In addition, tests for structural breaks in the mean and variance indicate structural instability across the data range. Multiple breaks are identified across all cities, particularly for the early 1990s and during the post-2007 financial crisis as housing has become an increasingly risky asset. Estimating the models over the individual sub-samples suggests that over the last 20 years the financial sector has increasingly failed to account for the levels of risk associated with real estate markets. This result has possible implications for the way in which financial institutions should be regulated in the future.

Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration

We investigate the integration of the European peripheral financial markets with Germany, France, and the UK using a combination of tests for structural breaks and return correlations derived from several multivariate stochastic volatility models. Our findings suggest that financial integration intensified in anticipation of the Euro, further strengthened by the EMU inception, and amplified in response to the 2007/2008 financial crisis. Hence, no evidence is found of decoupling of the equity markets in more troubled European countries from the core. Interestingly, the UK, despite staying outside the EMU, is not worse integrated with the GIPSI than Germany or France. © 2013 Elsevier B.V.

Post-Bretton Woods evidence on PPP under different exchange rate regimes

This article investigates the behaviour of exchange rates across different regimes for a post-Bretton Woods period. The exchange rate regime classification is based on the classification of Frankel et al. (2004) who condensed the 10 categories of exchange rate regimes reported by the International Monetary Fund (IMF) into three categories. Panel unitroot tests and panel cointegration are used to examine the Purchasing Power Parity (PPP) hypothesis. The latter test is used to check for both the weak and strong forms of PPP. The panel unit-root tests show no evidence of PPP and suggest there is no difference in the behaviour of exchange rates across different regimes. However, failure to detect PPP across any of the regimes could be due to structural breaks. This assumption is reinforced by the results of cointegration tests, which suggest that there exists at least a weak form of PPP for the different regimes. The evidence for strong PPP decreases as the exchange rate regime moves away from a flexible exchange rate regime.

Forecasting the UK/US exchange rate with divisia monetary models and neural networks

This paper compares the UK/US exchange rate forecasting performance of linear and nonlinear models based on monetary fundamentals, to a random walk (RW) model. Structural breaks are identified and taken into account. The exchange rate forecasting framework is also used for assessing the relative merits of the official Simple Sum and the weighted Divisia measures of money. Overall, there are four main findings. First, the majority of the models with fundamentals are able to beat the RW model in forecasting the UK/US exchange rate. Second, the most accurate forecasts of the UK/US exchange rate are obtained with a nonlinear model. Third, taking into account structural breaks reveals that the Divisia aggregate performs better than its Simple Sum counterpart. Finally, Divisia-based models provide more accurate forecasts than Simple Sum-based models provided they are constructed within a nonlinear framework.

One date, one break?

This paper demonstrates that the conventional approach of using official liberalisation dates as the only existing breakdates could lead to inaccurate conclusions as to the effect of the underlying liberalisation policies. It also proposes an alternative paradigm for obtaining more robust estimates of volatility changes around official liberalisation dates and/or other important market events. By focusing on five East Asian emerging markets, all of which liberalised their financial markets in the late, and by using recent advances in the econometrics of structural change, it shows that (i) the detected breakdates in the volatility of stock market returns can be dramatically different to official liberalisation dates and (ii) the use of official liberalisation dates as breakdates can readily entail inaccurate inference. In contrast, the use of data-driven techniques for the detection of multiple structural changes leads to a richer and inevitably more accurate pattern of volatility evolution emerges in comparison with focussing on official liberalisation dates.

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

This paper applies the vector AR-DCC-FIAPARCH model to eight national stock market indices' daily returns from 1988 to 2010, taking into account the structural breaks of each time series linked to the Asian and the recent Global financial crisis. We find significant cross effects, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks, and the power of returns that best fits the volatility pattern. One of the main findings of the model analysis is the higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets. The fact that during the crisis the conditional correlations remain on a high level indicates a continuous herding behaviour during these periods of increased market volatility. Finally, during the recent Global financial crisis the correlations remain on a much higher level than during the Asian financial crisis.

Myopia: structural and functional correlates

Ocular dimensions are widely recognised as key variants of refractive error. Previously, accurate depiction of eye shape in vivo was largely restricted by limitations in the imaging techniques available. This thesis describes unique applications of the recently introduced 3-dimensional magnetic resonance imaging (MRI) approach to evaluate human eye shape in a group of young adult subjects (n=76) with a range of ametropia (MSE= -19.76 to +4.38D). Specific MRI derived parameters of ocular shape are then correlated with measures of visual function. Key findings include the significant homogeneity of ocular volume in the anterior eye for a range of refractive errors, whilst significant volume changes occur in the posterior eye as a function of ametropia. Anterior vs. posterior eye differences have also been shown through evaluations of equivalent spherical radius; the posterior 25% cap of the eye was shown to be relatively steeper in myopes compared to emmetropes. Further analyses showed differences in retinal quadrant profiles; assessments of the maximum distance from the retinal surface to the presumed visual axes showed exaggerated growth of the temporal quadrant in myopic eyes. Comparisons of retinal contour values derived from transformation of peripheral refraction data were made with MRI; flatter retinal curvature values were noted when using the MRI technique. A distinctive feature of this work is the evaluation of the relationship between ocular structure and visual function. Multiple aspects of visual function were evaluated through several vehicles: multifocal electroretinogram testing, visual field sensitivity testing, and the use of psychophysical methods to determine ganglion cell density. The results show that many quadrantic structural and functional variations exist. In general, the data could not demonstrate a significant correlation between visual function and associated measures of ocular conformation either within or between myopic and emmetropic groups.

Structural behaviour of glass reinforced plastics

The aim of this research is to promote the use of G.R.P. as a structural material. In the past, the use of G.R.P. has been confined to non-load carrying applications. Such uses are still rapidly increasing but in addition significant changes have been made during the last decade in the development of semi-structural and now even fully structural applications. Glass-reinforced plastic is characterized by a high strength but a relatively low modulus of elasticity. For this reasona G.R.P. structure can expect to show large deformations as a result of which the individual structural members will fail under load due to a loss of stability rather than approaching the ultimate strength of the material. For this reason the selection of the geometrical shapes of G.R.P. structural elements is considered to be an important factor in designing G.R.P. structures. The first chapter of this thesis deals with a general review of the theoretical and experimental methods used to describe the structural properties of G.R.P. The research programme includes five stages dealing with the structural behaviour of G.R.P. The first stage (Chapter 2) begins with selecting and designing an optimum box beam cross-section which gives the maximum flexural and torsional rigidity. The second stage of investigation (Chapter 3) deals with beam to beam connections. A joint was designed and manufactured with different types of fasteners used to connect two beam units. A suitable fastener was selected and the research extended to cover the behaviour of long span beams using multiple joints. The third part of the investigation includes a study of the behaviour of box beams subjected to combined bending, shear and torsion. A special torque rig was developed to perform the tests. Creep deformation of 6 m span G.R.P. was investigated as the fourth stage under a range of loading conditions. As a result of the phenomenon of post buckling behaviour exhibited in the compression flange during testing of box beams during earlier stages of the investigation it was decided to consider this phenomenon in more detail in the final stage of the investigation. G.R.P. plates with different fibre orientation were subjected to uniaxial compression and tested up to failure. In all stages of the investigation theoretical predictions and experimental results were compared and generally good correlation between theory and experimental data was observed.

Reactive processing of polymers: structural characterization of products by 1H and 13C NMR spectroscopy for glycidyl methacrylate grafting onto EPR in the absence and presence of a reactive comonomer

Grafted GMA on EPR samples were prepared in a Thermo-Haake internal mixer by free radical melt grafting reactions in the absence (conventional system; EPR-g-GMA(CONV)) and presence of the reactive comonomer divinyl benzene, DVB (EPR-g-GMA(DVB)). The GMA-homopolymer (poly-GMA), a major side reaction product in the conventional system, was almost completely absent in the DVB-containing system, the latter also resulted in a much higher level of GMA grafting. A comprehensive microstructure analysis of the formed poly-GMA was performed based on one-dimensional H-1 and C-13 NMR spectroscopy and the complete spectral assignments were supported by two-dimensional NMR techniques based on long range two and three bond order carbon-proton couplings from HMBC (Heteronuclear Multiple Bond Coherence) and that of one bond carbon-proton couplings from HSQC (Heteronuclear Single Quantum Coherence), as well as the use of Distortionless Enhancement by Polarization Transfer (DEPT) NMR spectroscopy. The unambiguous analysis of the stereochemical configuration of poly-GMA was further used to help understand the microstructures of the GMA-grafts obtained in the two different free radical melt grafting reactions, the conventional and comonomer-containing systems. In the grafted GMA, in the conventional system (EPR-g-GMA(CONV)), the methylene protons of the GMA were found to be sensitive to tetrad configurational sequences and the results showed that 56% of the GMA sequence in the graft is in atactic configuration and 42% is in syndiotactic configuration whereas the poly-GMA was predominantly syndiotactic. The differences in the microstructures of the graft in the conventional EPR-g-GMA(CONV) and the DVB-containing (EPR-g-GMA(DVB)) systems is also reported (C) 2009 Elsevier Ltd. All rights reserved.

Stabilisation of metallocene ethylene-1-octene copolymers during multiple extrusions

The melt stabilising efficiency of antioxidants with different structures based on hindered phenols, phosphite esters, phosphonite and a lactone was examined during multi-pass extrusions at 265 °C in three metallocene ethylene-1-octene copolymers (m-LLDPE) having different extent of short chain branching (SCB) and one Zeigler copolymer (z-LLDPE) containing the same level of SCB corresponding to one of the m-LLDPE polymers. The effect of the different antioxidants, when used separately and in combination, was investigated by characterising the changes in the polymer's rheological behaviour, colour formation and structural changes based on unsaturated groups and carbonyl content during five multi-pass extrusions. The results showed that all stabilisation systems examined offered higher efficiency in the metallocene polymers compared to the Zeigler. The effect of the extent of SCB in the metallocene polymers on the stabilising efficacy of the antioxidant systems was also examined, and it was shown that it had a significant effect, with both single and combinations of antioxidants giving higher efficiency in the m-LLDPE polymer containing higher extent of SCB. The presence of the lactone HP136 in mixtures containing hindered phenol–phosphite antioxidant systems gave a higher melt stabilisation efficiency than in its absence and this has been attributed to a co-operative antioxidant reaction steps that take place between the antioxidants resulting in the possible regeneration of the lactone antioxidant through a redox reaction. In all the metallocene PE polymers examined, the biologically hindered phenol, Irganox E, was shown to be more effective than the conventionally hindered phenol Irganox 1076, when examined alone or in combination with phosphite esters.

Purchasing power parity and structural instability in the US/UK exchange rate

The aim of this study is to determine if nonlinearities have affected purchasing power parity (PPP) since 1885. Also using recent advances in the econometrics of structural change we segment the sample space according to the identified breaks and look at whether the PPP condition holds in each sub-sample and whether this involves linear or non-linear adjustment. Our results suggest that during some sub-periods, PPP holds, although whether it holds or not and whether the adjustment is linear or non-linear, depends primarily on the type of exchange rate regime in operation at any point in time.

Introduction of structural diversity into oligonucleotides containing 6-thioguanine via on-column conjugation

A method is described for the introduction of structural diversity into the thiocarbonyl group of 6-thioguanine within support-bound, fully protected oligonucleotides via 'on-column′ conjugation. 2′-Deoxy-6-thioguanosine with a chemically-labile trigger at its 6-thio function was incorporated at defined sites into chemically synthesized oligonucleotides. Following selective removal of the thio-protection group the support-immobilized oligonucleotides were conjugated with various groups on-column, and then deprotected and purified to produce a number of oligomers each containing a different modified base. Since the modification is accomplished on-column without affecting other functional and protecting groups in the oligomers this method is compatible with introducing structural diversity at multiple sites in DNA. © 2003 Elsevier Science Ltd. All rights reserved.

Stock market efficiency before and after a financial liberalisation reform:do breaks in volatility dynamics matter?

This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances in the econometrics of structural change, it compares the distribution of the returns of five East Asian emerging markets when breaks in the mean and variance are either (i) imposed using certain official liberalisation dates or (ii) detected non-parametrically using a data-driven procedure. The results suggest that measuring deviations from normality of stock returns with no provision for potentially existing breaks incorporates substantial bias. This is likely to severely affect any inference based on the corresponding descriptive or test statistics.