Estimating time-varying risk premia in UK long-term government bonds

Simple models of time-varying risk premia are used to measure the risk premia in long-term UK government bonds. The parameters of the models can be estimated using nonlinear seemingly unrelated regression (NL-SUR), which permits efficient use of information across the entire yield curve and facilitates the testing of various cross-sectional restrictions. The estimated time-varying premia are found to be substantially different to those estimated using models that assume constant risk premia. © 2004 Taylor and Francis Ltd.

Early marketing matters:a time-varying parameter approach to persistence modeling

Are persistent marketing effects most likely to appear right after the introduction of a product? The authors give an affirmative answer to this question by developing a model that explicitly reports how persistent and transient marketing effects evolve over time. The proposed model provides managers with a valuable tool to evaluate their allocation of marketing expenditures over time. An application of the model to many pharmaceutical products, estimated through (exact initial) Kalman filtering, indicates that both persistent and transient effects occur predominantly immediately after a brand's introduction. Subsequently, the size of the effects declines. The authors theoretically and empirically compare their methodology with methodology based on unit root testing and demonstrate that the need for unit root tests creates difficulties in applying conventional persistence modeling. The authors recommend that marketing models should either accommodate persistent effects that change over time or be applied to mature brands or limited time windows only.

Benefits of retailer-supplier partnership initiatives under time-varying demand:a comparative analytical study

This paper aims to help supply chain managers to determine the value of retailer-supplier partnership initiatives beyond information sharing (IS) according to their specific business environment under time-varying demand conditions. For this purpose, we use integer linear programming models to quantify the benefits that can be accrued by a retailer, a supplier and system as a whole from shift in inventory ownership and shift in decision-making power with that of IS. The results of a detailed numerical study pertaining to static time horizon reveal that the shift in inventory ownership provides system-wide cost benefits in specific settings. Particularly, when it induces the retailer to order larger quantities and the supplier also prefers such orders due to significantly high setup and shipment costs. We observe that the relative benefits of shift in decision-making power are always higher than the shift in inventory ownership under all the conditions. The value of the shift in decision-making power is greater than IS particularly when the variability of underlying demand is low and time-dependent variation in production cost is high. However, when the shipment cost is negligible and order issuing efficiency of the supplier is low, the cost benefits of shift in decision-making power beyond IS are not significant. © 2012 Taylor & Francis.

Modelling stock volatilities during financial crises:a time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.

On the k-anonymization of time-varying and multi-layer social graphs

The popularity of online social media platforms provides an unprecedented opportunity to study real-world complex networks of interactions. However, releasing this data to researchers and the public comes at the cost of potentially exposing private and sensitive user information. It has been shown that a naive anonymization of a network by removing the identity of the nodes is not sufficient to preserve users’ privacy. In order to deal with malicious attacks, k -anonymity solutions have been proposed to partially obfuscate topological information that can be used to infer nodes’ identity. In this paper, we study the problem of ensuring k anonymity in time-varying graphs, i.e., graphs with a structure that changes over time, and multi-layer graphs, i.e., graphs with multiple types of links. More specifically, we examine the case in which the attacker has access to the degree of the nodes. The goal is to generate a new graph where, given the degree of a node in each (temporal) layer of the graph, such a node remains indistinguishable from other k-1 nodes in the graph. In order to achieve this, we find the optimal partitioning of the graph nodes such that the cost of anonymizing the degree information within each group is minimum. We show that this reduces to a special case of a Generalized Assignment Problem, and we propose a simple yet effective algorithm to solve it. Finally, we introduce an iterated linear programming approach to enforce the realizability of the anonymized degree sequences. The efficacy of the method is assessed through an extensive set of experiments on synthetic and real-world graphs.

Interaction of time-varying airy pulses with a layer

Pulses with an envelope in the form of the Airy function are obtained using Green's functions in 1D and 2D in time domain. Interaction of such pulses with a dielectric layer is investigated and expressions for reflected and transmitted pulses are obtained. © 2012 EUROPEAN MICROWAVE ASSOC.

Time-varying airy pulses

Pulses in the form of the Airy function as solutions to an equation similar to the Schrodinger equation but with opposite roles of the time and space variables are derived. The pulses are generated by an Airy time varying field at a source point and propagate in vacuum preserving their shape and magnitude. The pulse motion is decelerating according to a quadratic law. Its velocity changes from infinity at the source point to zero in infinity. These one dimensional results are extended to the 3D+time case for a similar Airy-Bessel pulse with the same behaviour, the non-diffractive preservation and the deceleration. This pulse is excited by the field at a plane aperture perpendicular to the direction of the pulse propagation. © 2011 IEEE.

A methodology to estimate time varying user responses to travel time and travel time reliability in a road pricing environment

Road pricing has emerged as an effective means of managing road traffic demand while simultaneously raising additional revenues to transportation agencies. Research on the factors that govern travel decisions has shown that user preferences may be a function of the demographic characteristics of the individuals and the perceived trip attributes. However, it is not clear what are the actual trip attributes considered in the travel decision- making process, how these attributes are perceived by travelers, and how the set of trip attributes change as a function of the time of the day or from day to day. In this study, operational Intelligent Transportation Systems (ITS) archives are mined and the aggregated preferences for a priced system are extracted at a fine time aggregation level for an extended number of days. The resulting information is related to corresponding time-varying trip attributes such as travel time, travel time reliability, charged toll, and other parameters. The time-varying user preferences and trip attributes are linked together by means of a binary choice model (Logit) with a linear utility function on trip attributes. The trip attributes weights in the utility function are then dynamically estimated for each time of day by means of an adaptive, limited-memory discrete Kalman filter (ALMF). The relationship between traveler choices and travel time is assessed using different rules to capture the logic that best represents the traveler perception and the effect of the real-time information on the observed preferences. The impact of travel time reliability on traveler choices is investigated considering its multiple definitions. It can be concluded based on the results that using the ALMF algorithm allows a robust estimation of time-varying weights in the utility function at fine time aggregation levels. The high correlations among the trip attributes severely constrain the simultaneous estimation of their weights in the utility function. Despite the data limitations, it is found that, the ALMF algorithm can provide stable estimates of the choice parameters for some periods of the day. Finally, it is found that the daily variation of the user sensitivities for different periods of the day resembles a well-defined normal distribution.

Controller Time and Delay Costs - a Trade-off Analysis

Air traffic controller shortages remain a significant challenge in European ATM. Comparing different rules, we quantify the cost effectiveness of adding controller hours to Area Control Centre regulations to avert the delay cost impact on airlines. Typically, adding controller hours results in a net benefit. Distributions of delay duration and aircraft weight play an important role in determining the total cost of a regulation. Errors are likely to be incurred when analysing performance based on average delay values, particularly at the disaggregate level.

MDP periodically time-varying convolutional codes

In this paper we use some classical ideas from linear systems theory to analyse convolutional codes. In particular, we exploit input-state-output representations of periodic linear systems to study periodically time-varying convolutional codes. In this preliminary work we focus on the column distance of these codes and derive explicit necessary and sufficient conditions for an (n, 2, 1) periodically time-varying convolutional code to have Maximum Distance Profile (MDP).

Control of a Teleoperation System by State Convergence with Variable Time Delay

In this paper, we propose a novel control scheme for bilateral teleoperation of n degree-of-freedom (DOF) nonlinear robotic systems with time-varying communication delay. We consider that the human operator contains a constant force on the local manipulator. The local and remote manipulators are coupled using state convergence control scheme. By choosing a Lyapunov-Krasovskii functional, we show that the local-remote teleoperation system is asymptotically stable. It is also shown that, in the case of reliable communication protocols, the proposed scheme guarantees that the remote manipulator tracks the delayed trajectory of the local manipulator. The time delay of communication channel is assumed to be unknown and randomly time varying, but the upper bounds of the delay interval and the derivative of the delay are assumed to be known.

Stability Analysis of Teleoperation System by State Convergence with Variable Time Delay

We propose a novel control scheme for bilateral teleoperation of n degree-of-freedom (DOF) nonlinear robotic systems with time-varying communication delay. A major contribution from this work lies in the demonstration that the structure of a state convergence algorithm can be also applied to nth-order nonlinear teleoperation systems. By choosing a Lyapunov Krasovskii functional, we show that the local-remote teleoperation system is asymptotically stable. The time delay of communication channel is assumed to be unknown and randomly time varying, but the upper bounds of the delay interval and the derivative of the delay are assumed to be known.

Precoding-Based Network Alignment Using Transform Approach for Acyclic Networks With Delay

The algebraic formulation for linear network coding in acyclic networks with the links having integer delay is well known. Based on this formulation, for a given set of connections over an arbitrary acyclic network with integer delay assumed for the links, the output symbols at the sink nodes, at any given time instant, is a F(p)m-linear combination of the input symbols across different generations, where F(p)m denotes the field over which the network operates (p is prime and m is a positive integer). We use finite-field discrete Fourier transform to convert the output symbols at the sink nodes, at any given time instant, into a F(p)m-linear combination of the input symbols generated during the same generation without making use of memory at the intermediate nodes. We call this as transforming the acyclic network with delay into n-instantaneous networks (n is sufficiently large). We show that under certain conditions, there exists a network code satisfying sink demands in the usual (nontransform) approach if and only if there exists a network code satisfying sink demands in the transform approach. When the zero-interference conditions are not satisfied, we propose three precoding-based network alignment (PBNA) schemes for three-source three-destination multiple unicast network with delays (3-S 3-D MUN-D) termed as PBNA using transform approach and time-invariant local encoding coefficients (LECs), PBNA using time-varying LECs, and PBNA using transform approach and block time-varying LECs. We derive sets of necessary and sufficient conditions under which throughputs close to n' + 1/2n' + 1, n'/2n' + 1, and n'/2n' + 1 are achieved for the three source-destination pairs in a 3-S 3-D MUN-D employing PBNA using transform approach and time-invariant LECs, and PBNA using transform approach and block time-varying LECs, where n' is a positive integer. For PBNA using time-varying LECs, we obtain a sufficient condition under which a throughput demand of n(1)/n, n(2)/n, and n(3)/n can be met for the three source-destination pairs in a 3-S 3-D MUN-D, where n(1), n(2), and n(3) are positive integers less than or equal to the positive integer n. This condition is also necessary when n(1) + n(3) = n(1) + n(2) = n where n(1) >= n(2) >= n(3).

Stability results for impulsive functional differential equations with infinite delay

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)