Modeling conditional correlations of asset returns : a smooth transition approach

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM–test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in the S&P 500 stock index completes the paper.

Can’t we all just get along? A qualitative investigation of the cognitive processes motivating driver aggression.

Although driver aggression has been identified as contributing to crashes, current understanding of the fundamental causes of the behaviour is poor. Two key reasons for this are evident. Firstly, existing research has been largely atheoretical, with no unifying conceptual framework guiding investigation. Secondly, emphasis on observable behaviours has resulted in limited knowledge of the underlying thought processes that motivate behaviour. Since driving is fundamentally a social situation, requiring drivers to interpret on-road events, insight regarding these perception and appraisal processes is paramount in advancing understanding of the underlying causes. Thus, the current study aimed to explore the cognitive appraisal processes involved in driver aggression, using a conceptual model founded on the General Aggression Model (Anderson & Bushman, 2002). The present results reflect the first of several studies testing this model. Participants completed 3 structured driving diaries to explore perceptions and cognitions. Thematic analysis of diaries identified several cognitive themes. The first, ‘driving etiquette’ concerned an implied code of awareness and consideration for other motorists, breaches of which were strongly associated with reports of anger and frustration. Such breaches were considered intentional; attributed to dispositional traits of another driver, and precipitated the second theme, ‘justified retaliation’. This theme showed that drivers view their aggressive behaviour as warranted, to convey criticism towards another motorist’s etiquette violation. However, the third theme, ‘superiority’ suggested that those refraining from an aggressive response were motivated by a desire to perceive themselves as ‘better’ than the offending motorists. Collectively, the themes indicate deep-seated and complex thought patterns underlying driver aggression, and suggest the behaviour will be challenging to modify. Implications of these themes in relation to the proposed model will be discussed, and continued research will explore these cognitive processes further, to examine their interaction with person-related factors.

Phenotyping cotton ovule fibre initiation with spatial statistics

Yield in cultivated cotton (Gossypium spp.) is affected by the number and distribution of fibres initiated on the seed surface but, apart from simple statistical summaries, little has been done to assess this phenotype quantitatively. Here we use two types of spatial statistics to describe and quantify differences in patterning of cotton ovule fibre initials (FI). The following five different species of Gossypium were analysed: G. hirsutum L., G. barbadense L., G. arboreum, G. raimondii Ulbrich. and G. trilobum (DC.) Skovsted. Scanning electron micrographs of FIs were taken on the day of anthesis. Cell centres for fibre and epidermal cells were digitised and analysed by spatial statistics methods appropriate for marked point processes and tessellations. Results were consistent with previously published reports of fibre number and spacing. However, it was shown that the spatial distributions of FIs in all of species examined exhibit regularity, and are not completely random as previously implied. The regular arrangement indicates FIs do not appear independently of each other and we surmise there may be some form of mutual inhibition specifying fibre-initial development. It is concluded that genetic control of FIs differs from that of stomata, another well studied plant idioblast. Since spatial statistics show clear species differences in the distribution of FIs within this genus, they provide a useful method for phenotyping cotton. © CSIRO 2007.

Intermediate Status Report

This report was produced in partial fulfillment of contract ICT-2007-216676 (ECRYPT II), sponsored by the European Commission through the ICT Programme. The information in this paper is provided as is, and no warranty is given or implied that the information is fit for any particular purpose. The user thereof uses the information at its sole risk and liability. We present a short overview of the recent results on the five finalists for NIST's SHA-3 competition. The next five chapters treat each one of the finalists.

Ethical screening and financial performance : the case of Islamic equity funds

Whether ethical screening affects portfolio performance is an important question that is yet to be settled in the literature. This paper aims to shed further light on this question by examining the performance of a large global sample of Islamic equity funds (IEFs) from 1984 to 2010. We find that IEFs underperform conventional funds by an average of 40 basis points per month, consistent with the underperformance hypothesis. In line with popular media claims that Islamic funds are a safer investment, IEFs outperformed conventional funds during the recent banking crisis. However, we find no such outperformance for other crises or high volatility periods. Based on fund holdings-based data, we provide evidence of a negative curvilinear relation between fund performance and ethical screening intensity, consistent with a return trade-off to being more ethical.

Why sustainable construction? Why not? An owner's perspective

Rapid urbanization in developing countries such as China has been creating unprecedented opportunities for the adoption of sustainable construction (SC). Owner, as a key driver of urbanization, plays an influential role for other stakeholders to undertake SC practices. However, lacking their demands and requirements of owners were regarded as the main barriers for the adoption of SC. Notwithstanding the diversity of previous studies on the barriers to SC, there is a dearth of research from the owner’s perspective. This paper presents an empirical study identifying the critical factors impeding the adoption of SC from the owners’ point of view. A list of 25 factors was preliminarily identified through extensive literature review and interviews with industry professionals. This was followed by a questionnaire survey to collect owners’ opinions on the relative importance of these factors. Using factor analysis, seven most critical factors are identified, namely, economic feasibility, awareness, support from project stakeholders, legislation and regulation, operability of SC, resource risk, and project management model. The research findings show that economic feasibility, awareness, legislation and regulation are the most important factors impeding owners in adopting SC practices. This implied that the government plays a vital role in removing the barriers impeding the greater adoption of SC by building owners in China. This is helpful for a transition to the low carbon urbanization.

Mini-Orb : A personal indoor climate preference feedback interface

The control of environmental factors in open-office environments, such as lighting and temperature is becoming increasingly automated. This development means that office inhabitants are losing the ability to manually adjust environmental conditions according to their needs. In this paper we describe the design, use and evaluation of MiniOrb, a system that employs ambient and tangible interaction mechanisms to allow inhabitants of office environments to maintain awareness of environmental factors, report on their own subjectively perceived office comfort levels and see how these compare to group average preferences. The system is complemented by a mobile application, which enables users to see and set the same sensor values and preferences, but using a screen-based interface. We give an account of the system’s design and outline the results of an in-situ trial and user study. Our results show that devices that combine ambient and tangible interaction approaches are well suited to the task of recording indoor climate preferences and afford a rich set of possible interactions that can complement those enabled by more conventional screen-based interfaces.

MATLAB/Simulink simulation and C2000 code generation model for a grid-interactive 3-phase 4-wire inverter

This work is a MATLAB/Simulink model of a controller for a three-phase, four-wire, grid-interactive inverter. The model provides capacity for simulating the performance of power electroinic hardware, as well as code generation for an embedded controller. The implemented hardware topology is a three-leg bridge with a neutral connection to the centre-tap of the DC bus. An LQR-based current controller and MAF-based phase detector are implemented. The model is configured for code generation for a Texas Instruments TMS320F28335 Digital Signal Processor (DSP).

On the benefits of equicorrelation for portfolio allocation

The importance of modelling correlation has long been recognised in the field of portfolio management, with largedimensional multivariate problems increasingly becoming the focus of research. This paper provides a straightforward and commonsense approach toward investigating a number of models used to generate forecasts of the correlation matrix for large-dimensional problems.We find evidence in favour of assuming equicorrelation across various portfolio sizes, particularly during times of crisis. During periods of market calm, however, the suitability of the constant conditional correlation model cannot be discounted, especially for large portfolios. A portfolio allocation problem is used to compare forecasting methods. The global minimum variance portfolio and Model Confidence Set are used to compare methods, while portfolio weight stability and relative economic value are also considered.

Forecasting outcomes in tennis matches using within-match betting markets

Klaassen and Magnus (2003) provide a model of the probability of a given player winning a tennis match, with the prediction updated on a point-by-point basis. This paper provides a point-by-point comparison of that model with the probability of a given player winning the match, as implied by betting odds. The predictions implied by the betting odds match the model predictions closely, with an extremely high correlation being found between the model and the betting market. The results for both men’s and women’s matches also suggest that there is a high level of efficiency in the betting market, demonstrating that betting markets are a good predictor of the outcomes of tennis matches. The significance of service breaks and service being held is anticipated up to four points prior to the end of the game. However, the tendency of players to lose more points than would be expected after conceding a break of service is not captured instantaneously in betting odds. In contrast, there is no evidence of a biased reaction to a player winning a game on service.

Effects of biodiesel chemical composition on the chemical and physical properties of the primary and secondary diesel particulate matter

This thesis improves our insight towards the effects of using biodiesels on the particulate matter emission of diesel engines and contributes to our understanding of their potential adverse health effects. The novelty of this project is the use of biodiesel fuel with controlled chemical composition that enables us to relate changes of physiochemical properties of particles to specific properties of the biodiesel. For the first time, the possibility of a correlation of the volatility and the Reactive Oxygen Species concentration of the particles is investigated versus the saturation, oxygen content and carbon chain length of the fuel.

An ethical approach to sharing school successes in times of high-stakes accountability

High-stakes testing has become an important element of the Australian educational landscape. As one part of the neo-liberal paradigm where beliefs in the individual and the free market are paramount, it is of concern how school leaders can respond to this phenomenon in an ethical manner. Ethics and ethical leadership have increased in prominence both in the educational administration literature and in the media (Cranston, Ehrich, & Kimber, 2006). In this paper we consider ethical theories on which school principals can draw, not only in the leadership of their own schools but in their relationships with other schools. We provide an example of a school leader sharing a successful intervention with other schools, illustrating that school leaders can create spaces for promoting the public good within the context of high-stakes testing.

What happens on the field stays on the field? – Battery in sport

This article provides an overview of battery, with a particular focus on the role that consent plays in contact sports. The limits of implied consent in sport will also be discussed, followed by a brief overview of other relevant defences. Finally, issues of damages and vicarious liability will be addressed.

Prototyping the self-authored video interview : Challenges and opportunities

Self-authored video- where participants are in control of the creation of their own footage- is a means of creating innovative design material and including all members of a family in design activities. This paper describes our adaptation to this process called Self Authored Video Interviews (SAVIs) that we created and prototyped to better understand how families engage with situated technology in the home. We find the methodology produces unique insights into family dynamics in the home, uncovering assumptions and tensions unlikely to be discovered using more conventional methods. The paper outlines a number of challenges and opportunities associated with the methodology, specifically, maximising the value of the insights gathered by appealing to children to champion the cause, and how to counter perceptions of the lingering presence of researchers.

Mapping the arts: Industry concentrations, distribution, and change in the US, 1980-2010

This paper studies arts industries in all 366 US metropolitan statistical areas between 1980 and 2010. Our analysis provides evidence that the arts are an important component of many regional economies, but also highlights their volatility. After radical growth and diffusion between 1980 and 2000, in the last decade, the arts industries are defined more by shrinkage and reconcentration in fewer metropolitan areas. Further, we find that the vast majority of metros have strengths in particular sets of arts industries. As we discuss in the conclusion, these conditions present challenges and opportunities for urban cultural policy that goes beyond the current focus on the arts as consumption amenities.