Study of bond stress-slip relationship and radial dilation in prestressed concrete

This paper presents two test procedures for evaluating the bond stress–slip and the slip–radial dilation relationships when the prestressing force is transmitted by releasing the steel (wire or strand) in precast prestressed elements. The bond stress–slip relationship is obtained with short length specimens, to guarantee uniform bond stress, for three depths of the wire indentation (shallow, medium and deep). An analytical model for bond stress–slip relationship is proposed and compared with the experimental results. The model is also compared with the experimental results of other researchers. Since numerical models for studying bond-splitting problems in prestressed concrete require experimental data about dilatancy angle (radial dilation), a test procedure is proposed to evaluate these parameters. The obtained values of the radial dilation are compared with the prior estimated by numerical modelling and good agreement is reached

Slip complexity in dynamic models of earthquake faults.

We summarize recent evidence that models of earthquake faults with dynamically unstable friction laws but no externally imposed heterogeneities can exhibit slip complexity. Two models are described here. The first is a one-dimensional model with velocity-weakening stick-slip friction; the second is a two-dimensional elastodynamic model with slip-weakening friction. Both exhibit small-event complexity and chaotic sequences of large characteristic events. The large events in both models are composed of Heaton pulses. We argue that the key ingredients of these models are reasonably accurate representations of the properties of real faults.

A Fractional Perspective to the Bond Graph Modelling of World Economies

Inspired in dynamic systems theory and Brewer’s contributions to apply it to economics, this paper establishes a bond graph model. Two main variables, a set of inter-connectivities based on nodes and links (bonds) and a fractional order dynamical perspective, prove to be a good macro-economic representation of countries’ potential performance in nowadays globalization. The estimations based on time series for 50 countries throughout the last 50 decades confirm the accuracy of the model and the importance of scale for economic performance.

Government bond yield spreads in EMU countries: The story of an ephemeral convergence

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Bond of NSM FRP strengthened concrete: round robin test initiative

Despite the extensive research that has been conducted on the debonding behaviour of FRP strengthening systems, no standard methodology has been yet established on its experimental characterization. In this context, to assess the performance and reliability of small scale testing on NSM (near surface mounted) FRP strengthening systems, an experimental program was carried out on a series of nine NSM FRP strengthening systems, in the framework of an international Round Robin Testing (RRT). Eleven laboratories and seven manufacturers and suppliers participated in this extensive international exercise, which regarded both NSM and EBR FRP strengthening systems. Test results obtained for the NSM systems by the participating laboratories are discussed and compared in this paper to investigate the feasibility of the adopted single/double pulling shear test method, to investigate the mechanism of bond between NSM FRP reinforcement and concrete, and to investigate the level of variability obtained between the participating laboratories testing the same material batches. It is concluded that the tested variants in the adopted single/double shear pulling test have a significant influence, stressing the importance of the level of detail of standardized test protocols for bond verification. On overall, given the variants included in this study, the obtained variation in bond stress-slip behaviour between the laboratories remained fairly limited.

Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1)

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS). The latter allows investors in the mortgage market to account for both prepayment risk and changes of the yield curve.

Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2)

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS), which allows investors in the mortgage market to account for both prepayment risk and changes of the yield curve.

Field-induced coordinates for the determination of dynamic vibrational nonlinear optical properties

Three conjugated organic molecules that span a range of polarity and valence-bond/charge transfer characteristics were studied. It was found that dispersion can be insignificant, and that adequate treatment can be achieved with frequency-dependent field-induced vibrational coordinates (FD-FICs)

Therapist interventions using the Psychodynamic Interventions Rating Scale (PIRS) in dynamic therapy, psychoanalysis and CBT.

Abstract One requirement for psychotherapy research is an accurate assessment of therapeutic interventions across studies. This study compared frequency and depth of therapist interventions from a dynamic perspective across four studies, conducted in four countries, including three treatment arms of psychodynamic psychotherapy, and one each of psychoanalysis and CBT. All studies used the Psychodynamic Intervention Rating Scales (PIRS) to identify 10 interventions from transcribed whole sessions early and later in treatment. The PIRS adequately categorized all interventions, except in CBT (only 91-93% categorized). As hypothesized, interpretations were present in all dynamic therapies and relatively absent in CBT. Proportions of interpretations increased over time. Defense interpretations were more common than transference interpretations, which were most prevalent in psychoanalysis. Depth of interpretations also increased over time. These data can serve as norms for measuring where on the supportive-interpretive continuum a dynamic treatment lies, as well as identify potentially mutative interventions for further process and outcome study.

Investigation of Field Corrosion Performance and Bond/Development Length of Galvanized Reinforcing Steel, TR-666, 2014

In reinforced concrete systems, ensuring that a good bond between the concrete and the embedded reinforcing steel is critical to long-term structural performance. Without good bond between the two, the system simply cannot behave as intended. The bond strength of reinforcing bars is a complex interaction between localized deformations, chemical adhesion, and other factors. Coating of reinforcing bars, although sometimes debated, has been commonly found to be an effective way to delay the initiation of corrosion in reinforced concrete systems. For many years, the standard practice has been to coat reinforcing steel with an epoxy coating, which provides a barrier between the steel and the corrosive elements of water, air, and chloride ions. Recently, there has been an industry-led effort to use galvanizing to provide the protective barrier commonly provided by traditional epoxy coatings. However, as with any new structural product, questions exist regarding both the structural performance and corrosion resistance of the system. In the fall of 2013, Buchanan County, Iowa constructed a demonstration bridge in which the steel girders and all internal reinforcing steel were galvanized. The work completed in this project sought to understand the structural performance of galvanized reinforcing steel as compared to epoxy-coated steel and to initiate a long-term corrosion monitoring program. This work consisted of a series of controlled laboratory tests and the installation of a corrosion monitoring system that can be observed for years in the future. The results of this work indicate there is no appreciable difference between the bond strength of epoxy-coated reinforcing steel and galvanized reinforcing steel. Although some differences were observed, no notable difference in either peak load, slip, or failure mode could be identified. Additionally, a long-term monitoring system was installed in this Buchanan County bridge and, to date, no corrosion activity has been identified.

Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis

This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, to gain further insights, we examine the timevarying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.

Volatility spillovers in EMU sovereign bond markets

We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.

Dynamic Hedging with Credit Default Swaps: Empirical Evidence from the European Monetary Union

This thesis investigates the effectiveness of time-varying hedging during the financial crisis of 2007 and the European Debt Crisis of 2010. In addition, the seven test economies are part of the European Monetary Union and these countries are in different economical states. Time-varying hedge ratio was constructed using conditional variances and correlations, which were created by using multivariate GARCH models. Here we have used three different underlying portfolios: national equity markets, government bond markets and the combination of these two. These underlying portfolios were hedged by using credit default swaps. Empirical part includes the in-sample and out-of-sample analysis, which are constructed by using constant and dynamic models. Moreover, almost in every case dynamic models outperform the constant ones in the determination of the hedge ratio. We could not find any statistically significant evidence to support the use of asymmetric dynamic conditional correlation model. In addition, our findings are in line with prior literature and support the use of time-varying hedge ratio. Finally, we found that in some cases credit default swaps are not suitable instruments for hedging and they act more as a speculative instrument.

Time Varying Conditional Correlation Between Stock And Bond Returns: Evidence From CIVETS Nations

This thesis estimates long-run time variant conditional correlation between stock and bond returns of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) nations. Further, aims to analyse the presence of asymmetric volatility effect in both asset returns, as well as, obverses increment or decrement in conditional correlation during pre-crisis and crisis period, which lead to make a reliable diversification decision. The Constant Conditional Correlation (CCC) GARCH model of Bollerslev (1990), the Dynamic Conditional Correlation (DCC) GARCH model (Engle 2002), and the Asymmetric Dynamic Conditional Correlation (ADCC) GARCH model of Cappiello, Engle, and Sheppard (2006) were implemented in the study. The analyses present strong evidence of time-varying conditional correlation in CIVETS markets, excluding Vietnam, during 2005-2013. In addition, negative innovation effects were found in both conditional variance and correlation of the asset returns. The results of this study recommend investors to include financial assets from these markets in portfolios, in order to obtain better stock-bond diversification benefits, especially during high volatility periods.

Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.