A study of stock market linkages between the US and frontier countries

My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

Endothelin 3 induces skin pigmentation in a keratin-driven inducible mouse model

Endothelin 3 (Edn3) is a ligand important to developing neural crest cells (NCC). Some NCC eventually migrate into the skin and give rise to the pigment-forming melanocytes found in hair follicles. Edn3's effects on NCC have been largely explored through spontaneous mutants and cell culture experiments. These studies have shown the Endothelin receptor B/Edn3 signaling pathway to be important in the proliferation/survival and differentiation of developing melanocytes. To supplement these investigations I have created doxycycline-responsive transgenic mice which conditionally over-express Edn3. These mice will help us clarify Edn3's role during the development of early embryonic melanoblasts, differentiating melanocyte precursors in the skin, and fully differentiated melanocytes in the hair follicle. The transgene mediated expression of Edn3 was predominantly confined to the roof plate of the neural tube and surface ectoderm in embryos and postnatally in the epidermal keratinocytes of the skin. Relative to littermate controls, transgenics develop increased pigmentation on most areas of the skin. My doxycycline-based temporal studies have shown that both embryonic and postnatal events are important for establishing and maintaining pigmented skin. The study of my Edn3 transgenic mice may offer some insight into the genetics behind benign dermal pigmentation and offer clues about the time periods important in establishing these conditions. This apparently abnormal development is echoed in a benign condition of human skin. Cases of dermal melanocytosis, such as common freckles, Mongolian spotting, and nevus of Ito demonstrate histological and etiological characteristics similar to those of the transgenic mice generated in this study.

Reduced-parameter model of head-related transfer functions for synthesized spatial audio

Digital systems can generate left and right audio channels that create the effect of virtual sound source placement (spatialization) by processing an audio signal through pairs of Head-Related Transfer Functions (HRTFs) or, equivalently, Head-Related Impulse Responses (HRIRs). The spatialization effect is better when individually-measured HRTFs or HRIRs are used than when generic ones (e.g., from a mannequin) are used. However, the measurement process is not available to the majority of users. There is ongoing interest to find mechanisms to customize HRTFs or HRIRs to a specific user, in order to achieve an improved spatialization effect for that subject. Unfortunately, the current models used for HRTFs and HRIRs contain over a hundred parameters and none of those parameters can be easily related to the characteristics of the subject. This dissertation proposes an alternative model for the representation of HRTFs, which contains at most 30 parameters, all of which have a defined functional significance. It also presents methods to obtain the value of parameters in the model to make it approximately equivalent to an individually-measured HRTF. This conversion is achieved by the systematic deconstruction of HRIR sequences through an augmented version of the Hankel Total Least Squares (HTLS) decomposition approach. An average 95% match (fit) was observed between the original HRIRs and those re-constructed from the Damped and Delayed Sinusoids (DDSs) found by the decomposition process, for ipsilateral source locations. The dissertation also introduces and evaluates an HRIR customization procedure, based on a multilinear model implemented through a 3-mode tensor, for mapping of anatomical data from the subjects to the HRIR sequences at different sound source locations. This model uses the Higher-Order Singular Value Decomposition (HOSVD) method to represent the HRIRs and is capable of generating customized HRIRs from easily attainable anatomical measurements of a new intended user of the system. Listening tests were performed to compare the spatialization performance of customized, generic and individually-measured HRIRs when they are used for synthesized spatial audio. Statistical analysis of the results confirms that the type of HRIRs used for spatialization is a significant factor in the spatialization success, with the customized HRIRs yielding better results than generic HRIRs.

Development of test-based wind-driven rain intrusion model for hurricane-induced building interior and contents damage

Major portion of hurricane-induced economic loss originates from damages to building structures. The damages on building structures are typically grouped into three main categories: exterior, interior, and contents damage. Although the latter two types of damages, in most cases, cause more than 50% of the total loss, little has been done to investigate the physical damage process and unveil the interdependence of interior damage parameters. Building interior and contents damages are mainly due to wind-driven rain (WDR) intrusion through building envelope defects, breaches, and other functional openings. The limitation of research works and subsequent knowledge gaps, are in most part due to the complexity of damage phenomena during hurricanes and lack of established measurement methodologies to quantify rainwater intrusion. This dissertation focuses on devising methodologies for large-scale experimental simulation of tropical cyclone WDR and measurements of rainwater intrusion to acquire benchmark test-based data for the development of hurricane-induced building interior and contents damage model. Target WDR parameters derived from tropical cyclone rainfall data were used to simulate the WDR characteristics at the Wall of Wind (WOW) facility. The proposed WDR simulation methodology presents detailed procedures for selection of type and number of nozzles formulated based on tropical cyclone WDR study. The simulated WDR was later used to experimentally investigate the mechanisms of rainwater deposition/intrusion in buildings. Test-based dataset of two rainwater intrusion parameters that quantify the distribution of direct impinging raindrops and surface runoff rainwater over building surface — rain admittance factor (RAF) and surface runoff coefficient (SRC), respectively —were developed using common shapes of low-rise buildings. The dataset was applied to a newly formulated WDR estimation model to predict the volume of rainwater ingress through envelope openings such as wall and roof deck breaches and window sill cracks. The validation of the new model using experimental data indicated reasonable estimation of rainwater ingress through envelope defects and breaches during tropical cyclones. The WDR estimation model and experimental dataset of WDR parameters developed in this dissertation work can be used to enhance the prediction capabilities of existing interior damage models such as the Florida Public Hurricane Loss Model (FPHLM).^