Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial aspect of constructing optimal dynamic hedging strategies. The paper tests and calculates spillover effects among natural gas spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a result suggests that both natural gas futures and ETF products within and beyond the country might be considered when constructing optimal dynamic hedging strategies for natural gas spot prices.

Dynamic force balances for short-duration hypersonic testing facilities

Two force balance techniques for use in hypersonic impulse facilities are compared by measuring the drag force on a 30° semi-apex-angle blunt cone model in a hypersonic shock tunnel at a free stream Mach number of 5.75. An accelerometer-based balance and a stress-wave force balance were tested simultaneously on the same model to measure the drag force. It was found that drag force measurements could be made using both techniques in a flow with a 450-μ s test period. The measured drag forces compared well with the theoretical values estimated using Newtonian theory.

Static and dynamic mechanical testing of a polymer with potential use as heart valve material

Synthetic tri-leaflet heart valves generally fail in the long-term use (more than 10 years). Tearing and calcification of the leaflets usually cause failure of these valves as a consequence of high tensile and bending stresses borne on the material. The primary purpose of this study was to explore the possibilities of a new polymer composite to be used as synthetic tri-leaflet heart valve material. This composite was comprised of polystyrene-polyisobutylene-polystyrene (Quatromer), a proprietary polymer, embedded with continuous polypropylene (PP) fibers. Quatromer had been found to be less likely to degrade in vivo than polyurethane. Moreover, it was postulated that a decrease in tears and perforations might result from fiber-reinforced leaflets reducing high stresses on the leaflets. The static and dynamic mechanical properties of the Quatromer/PP composite were compared with those of an implant-approved polyurethane (PU) for cardiovascular applications. Results show that the reinforcement of Quatromer with PP fibers improves both its static and dynamic properties as compared to the PU. Hence, this composite has the potential to be a more suitable material for synthetic tri-leaflet heart valves.

Multi-Scale Dynamic Study of Secondary Impact During Drop Testing of Surface Mount Packages

This dissertation focuses on design challenges caused by secondary impacts to printed wiring assemblies (PWAs) within hand-held electronics due to accidental drop or impact loading. The continuing increase of functionality, miniaturization and affordability has resulted in a decrease in the size and weight of handheld electronic products. As a result, PWAs have become thinner and the clearances between surrounding structures have decreased. The resulting increase in flexibility of the PWAs in combination with the reduced clearances requires new design rules to minimize and survive possible internal collisions impacts between PWAs and surrounding structures. Such collisions are being termed ‘secondary impact’ in this study. The effect of secondary impact on board-level drop reliability of printed wiring boards (PWBs) assembled with MEMS microphone components, is investigated using a combination of testing, response and stress analysis, and damage modeling. The response analysis is conducted using a combination of numerical finite element modeling and simplified analytic models for additional parametric sensitivity studies.

Development and testing of a Fourier trasform based experimental system for Dynamic Mechanical Thermal Analysis tests

Altough nowadays DMTA is one of the most used techniques to characterize polymers thermo-mechanical behaviour, it is only effective for small amplitude oscillatory tests and limited to a single frequency analysis (linear regime). In this thesis work a Fourier transform based experimental system has proven to give hint on structural and chemical changes in specimens during large amplitude oscillatory tests exploiting multi frequency spectral analysis turning out in a more sensitive tool than classical linear approach. The test campaign has been focused on three test typologies: Strain sweep tests, Damage investigation and temperature sweep tests.

Dynamic strain measurement using piezoelectric polymer film

Piezoelectric polymers have been used to form the basis of dynamic strain gauges for the detection of stress waves. The linearity of response was tested using a split Hopkinson pressure bar arrangement. The results obtained illustrate the effectiveness of piezoelectric film strain gauges in the measurement of axial stress waves.

Blast loading of masonry infills: testing and simulation

This work intends to present a newly developed test setup for dynamic out-of-plane loading using underWater Blast Wave Generators (WBWG) as loading source. Underwater blasting operations have been, during the last decades, subject of research and development of maritime blasting operations (including torpedo studies), aquarium tests for the measurement of blasting energy of industrial explosives and confined underwater blast wave generators. WBWG allow a wide range for the produced blast impulse and surface area distribution. It also avoids the generation of high velocity fragments and reduces atmospheric sound wave. A first objective of this work is to study the behavior of masonry infill walls subjected to blast loading. Three different masonry walls are to be studied, namely unreinforced masonry infill walls and two different reinforcement solutions. These solutions have been studied previously for seismic action mitigation. Subsequently, the walls will be simulated using an explicit finite element code for validation and parametric studies. Finally, a tool to help designers to make informed decisions on the use of infills under blast loading will be presented.

Exercise testing in hypertensive patients taking different angiotensin-converting enzyme inhibitors

OBJECTIVE: To compare blood pressure response to dynamic exercise in hypertensive patients taking trandolapril or captopril. METHODS: We carried out a prospective, randomized, blinded study with 40 patients with primary hypertension and no other associated disease. The patients were divided into 2 groups (n=20), paired by age, sex, race, and body mass index, and underwent 2 symptom-limited exercise tests on a treadmill before and after 30 days of treatment with captopril (75 to 150 mg/day) or trandolapril (2 to 4 mg/day). RESULTS: The groups were similar prior to treatment (p<0.05), and both drugs reduced blood pressure at rest (p<0.001). During treatment, trandolapril caused a greater increase in functional capacity (+31%) than captopril (+17%; p=0.01) did, and provided better blood pressure control during exercise, observed as a reduction in the variation of systolic blood pressure/MET (trandolapril: 10.7±1.9 mmHg/U vs 7.4±1.2 mmHg/U, p=0.02; captopril: 9.1±1.4 mmHg/U vs 11.4±2.5 mmHg/U, p=0.35), a reduction in peak diastolic blood pressure (trandolapril: 116.8±3.1 mmHg vs 108.1±2.5 mmHg, p=0.003; captopril: 118.2±3.1 mmHg vs 115.8±3.3 mmHg, p=0.35), and a reduction in the interruption of the tests due to excessive elevation in blood pressure (trandolapril: 50% vs 15%, p=0.009; captopril: 50% vs 45%, p=0.32). CONCLUSION: Monotherapy with trandolapril is more effective than that with captopril to control blood pressure during exercise in hypertensive patients.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Application of Molecular Diagnostic Techniques for Viral Testing.

Nucleic acid amplification techniques are commonly used currently to diagnose viral diseases and manage patients with this kind of illnesses. These techniques have had a rapid but unconventional route of development during the last 30 years, with the discovery and introduction of several assays in clinical diagnosis. The increase in the number of commercially available methods has facilitated the use of this technology in the majority of laboratories worldwide. This technology has reduced the use of some other techniques such as viral culture based methods and serological assays in the clinical virology laboratory. Moreover, nucleic acid amplification techniques are now the methods of reference and also the most useful assays for the diagnosis in several diseases. The introduction of these techniques and their automation provides new opportunities for the clinical laboratory to affect patient care. The main objectives in performing nucleic acid tests in this field are to provide timely results useful for high-quality patient care at a reasonable cost, because rapid results are associated with improvements in patients care. The use of amplification techniques such as polymerase chain reaction, real-time polymerase chain reaction or nucleic acid sequence-based amplification for virus detection, genotyping and quantification have some advantages like high sensitivity and reproducibility, as well as a broad dynamic range. This review is an up-to-date of the main nucleic acid techniques and their clinical applications, and special challenges and opportunities that these techniques currently provide for the clinical virology laboratory.

Testing financing constraints on firm investment using variable capital

We consider a dynamic multifactor model of investment with financing imperfections,adjustment costs and fixed and variable capital. We use the model to derive a test offinancing constraints based on a reduced form variable capital equation. Simulation resultsshow that this test correctly identifies financially constrained firms even when the estimationof firms investment opportunities is very noisy. In addition, the test is well specified inthe presence of both concave and convex adjustment costs of fixed capital. We confirmempirically the validity of this test on a sample of small Italian manufacturing companies.

Development of LRFD Procedures for Bridge Pile Foundations in Iowa: Volume II: Field Testing of Steel Piles in Clay, Sand, and Mixed Soils and Data Analysis, September 2011

In response to the mandate on Load and Resistance Factor Design (LRFD) implementations by the Federal Highway Administration (FHWA) on all new bridge projects initiated after October 1, 2007, the Iowa Highway Research Board (IHRB) sponsored these research projects to develop regional LRFD recommendations. The LRFD development was performed using the Iowa Department of Transportation (DOT) Pile Load Test database (PILOT). To increase the data points for LRFD development, develop LRFD recommendations for dynamic methods, and validate the results ofLRFD calibration, 10 full-scale field tests on the most commonly used steel H-piles (e.g., HP 10 x 42) were conducted throughout Iowa. Detailed in situ soil investigations were carried out, push-in pressure cells were installed, and laboratory soil tests were performed. Pile responses during driving, at the end of driving (EOD), and at re-strikes were monitored using the Pile Driving Analyzer (PDA), following with the CAse Pile Wave Analysis Program (CAPWAP) analysis. The hammer blow counts were recorded for Wave Equation Analysis Program (WEAP) and dynamic formulas. Static load tests (SLTs) were performed and the pile capacities were determined based on the Davisson’s criteria. The extensive experimental research studies generated important data for analytical and computational investigations. The SLT measured loaddisplacements were compared with the simulated results obtained using a model of the TZPILE program and using the modified borehole shear test method. Two analytical pile setup quantification methods, in terms of soil properties, were developed and validated. A new calibration procedure was developed to incorporate pile setup into LRFD.

Dynamic Deflections to Determine Roadway Support Ratings, HR-245, 1983

The Benkelman Beam structural test of flexible pavements was replaced in 1976 by dynamic deflection testing with a model 400 Road Rater. The Road Rater is used to determine structural ratings of flexible pavements. New pavement construction in Iowa has decreased with a corresponding increase of restoration and rehabilitation. A method to determine structural ratings of layered systems and rigid pavements is needed to properly design overlay thickness. The objective of this research was to evaluate the feasibility of using the Road Rater to determine support values of layered systems and rigid pavements. This evaluation was accomplished by correlating the Road Rater with the Federal Highway Administration (FHWA) Thumper, a dynamic deflection testing device. Data were obtained with the Road Rater and Thumper at 411 individual test locations on 39 different structural sections ranging from 10" of PCC pavement and 25" of asphalt pavement to a newly graveled unpaved roadway. A high correlation between a 9000 pound Thumper deflection and the 1185 pound Road Rater deflection was obtained. A Road Rater modification has been completed to provide 2000 pound load inputs. The basin, defined by four sensors spaced at 1 foot intervals, resulting from the 2000 pound loading is being used to develop a graph for determining relative subgrade strengths. Road Rater deflections on rigid pavements are sufficient to support the potential for this technique.

Dynamic Pavement Deflection Measurements, Progress Report, HR-178, 1977

The Road Rater is a dynamic deflection measuring appa-ratus for flexible base pavements. The basic operating principle of the Road Rater is to impart a dynamic loading and measure the resultant movement of the pavement with velocity sensors. This data, when properly adjusted for temperature by use of a nomograph included in this report, can be used to determine pavement life expectancy and estimate overlay thickness required. Road Rater testing will be conducted in the spring, when pave-ments are in their weakest condition, until seasonal correction factors can be developed. The Road Rater does not have sufficient ram weight to effectively evaluate load carrying capacity of rigid pavements. All rigid pavements react similarly to Road Rater testing and generally deflect from 0.65 to 1.30 mils. Research will be continued to evaluate rigid pavements with the Road Rater, however. The Road Rater has proven to be a reliable, trouble free pavement evaluation machine. The deflection apparatus was originally front-mounted, but was rear-mounted during the winter of 1977-78. Since that time, van handling has greatly improved, and front suspension parts are no longer overstressed due to improper weight distribution. The Road Rater provides a fast, economical, nondestructive test method to evaluate flexible pavements. Road Rater test data can be used to predict pavement life, set priorities for asphaltic concrete resurfacing, and design asphaltic concrete overlays. Temperature and seasonal variations significantly affect Road Rater deflection readings and must be considered. A nomograph included in this report adjusts for temperature, but does not correct for seasonal effect. Road Rater testing will be conducted in the spring until seasonal correction factors can be developed. The Road Rater has not successfully evaluated rigid pavements, but research will continue in this area. 1. Recommendations for continuing Road Rater research, evaluation and application are as follows:A computer program should be established to reduce Road Rater raw data (Range and Sensor reading) to HR-178 Road Rater Dynamic Deflections For Determining Structural Rating Of Flexible Pavements mean deflection (mils) and/or structural rating. This computer printout would be similar to present friction testing printouts, and would greatly reduce Road Rater data reduction manpower needs and costs. 2. Seasonal variation study should continue to develop seasonal correction factors. Seasonal test roads will be studied concurrently with routine testing during 1979 to develop this relationship. All Road Rater testing will be conducted in the spring until the seasonal relationship is established. 3. An asphaltic concrete overlay design method should be established based on Road Rater de-flection readings. The AASHTO Interim Guide for Design of Pavement Structures 1972 will be used as a base document for this study. 4. AASHTO Structural numbers should be compared to Road Rater Structural Ratings during 1979 on asphaltic concrete overlay projects. This analysis will enable us to refine Road Rater evaluation of flexible pavements. Roads will be tested before resurfacing and several months