Corporate credit risk prediction under stochastic volatility and jumps

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the commonly used Merton model, and three sources are provided to explain the superiority. The empirical analysis on two real samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model decreases bias in spread prediction from the Merton model, and better explains the time variation in actual CDS spreads. The improvements are found particularly apparent in small firms or when the market is turbulent such as the recent financial crisis.

MIMO and SISO identification of radiation force terms for models of marine structures in waves

This paper presents a discussion on the use of MIMO and SISO techniques for identification of the radiation force terms in models for surface vessels. We compare and discuss two techniques recently proposed in literature for this application: time domain identification and frequency domain identification. We compare the methods in terms of estimates model order, accuracy of the fit, use of the available information, and ease of use and implementation.

Does size matter? An assessment of quota market evolution and performance in the Great Barrier Reef fin-fish fishery

In fisheries managed using individual transferable quotas (ITQs) it is generally assumed that quota markets are well-functioning, allowing quota to flow on either a temporary or permanent basis to those able to make best use of it. However, despite an increasing number of fisheries being managed under ITQs, empirical assessments of the quota markets that have actually evolved in these fisheries remain scarce. The Queensland Coral Reef Fin-Fish Fishery (CRFFF) on the Great Barrier Reef has been managed under a system of ITQs since 2004. Data on individual quota holdings and trades for the period 2004-2012 were used to assess the CRFFF quota market and its evolution through time. Network analysis was applied to assess market structure and the nature of lease-trading relationships. An assessment of market participants’ abilities to balance their quota accounts, i.e., gap analysis, provided insights into market functionality and how this may have changed in the period observed. Trends in ownership and trade were determined, and market participants were identified as belonging to one out of a set of seven generalized types. The emergence of groups such as investors and lease-dependent fishers is clear. In 2011-2012, 41% of coral trout quota was owned by participants that did not fish it, and 64% of total coral trout landings were made by fishers that owned only 10% of the quota. Quota brokers emerged whose influence on the market varied with the bioeconomic conditions of the fishery. Throughout the study period some quota was found to remain inactive, implying potential market inefficiencies. Contribution to this inactivity appeared asymmetrical, with most residing in the hands of smaller quota holders. The importance of transaction costs in the operation of the quota market and the inequalities that may result are discussed in light of these findings

Erityisopetus muutoksen kynnyksellä - tilastollinen kuvaus erityisopetusjärjestelmästä ja sen määrällisestä kehityksestä 1970-luvun lopulta vuoteen 2008

The number of Finnish pupils attending special education has increased for more than a decade (Tilastokeskus 1999, 2000, 2001, 2003, 2004, 2005a, 2006b, 2007b, 2008b, 2008e, 2009b; Virtanen ja Ratilainen 1996). In the year 2007 nearly third of Finnish comprehensive school pupils took part in special needs education. According to the latest statistics, in the autumn of 2008 approximately 47 000 pupils have been admitted or transferred to special education and approximately 126 000 pupils received part-time special education during the 2007 - 2008 academic year. (Tilastokeskus 2008b, 2009b.) The Finnish special education system is currently under review. The Reform, both in legislation and in practice, began nationwide in the year 2008 (e.g. Special education strategy document, November 2007 and the development project Kelpo). The aim of the study was the statistical description of the Finnish special education system and on the other hand to gain a deeper understanding about the Finnish special education system and its quantitative increase, by analysis based on the nationwide statistical information. Earlier studies have shown that the growth in special education is affected by multiple independent variables and cannot be solely explained by the pupil characteristics. The statistical overview and analysis have been carried out in two parts. In the first part, the description and analysis were based on statistical time series from the academic year 1979 -1980 until 2008. While, in the second, more detailed description and analysis, based on comparable time series from 1995 to 2008 and from 2001-2002 to 2007-2008, is presented. Historical perspective was one part of this study. There was an attempt to find reasons explaining the observed growth in the special needs education from late 1960s to 2008. The majority of the research was based on the nationwide statistics information. In addition to this, materials including educational legislation literature, different kind of records of special education and preceding studies were also used to support the research. The main results of the study, are two statistical descriptions and time series analysis of the quantitative increase of the special needs education. Further, a summary of the plausible factors behind the special education system change and its quantitative increase, is presented. The conclusions coming from the study can be summarised as follows: the comparable statistical time series analysis suggests that the growth in special education after the year 1999 could be a consequence of the changes in the structure of special education and that new group of pupils have been directed to special needs education. Keywords: Special education, comprehensive school, description, statistics, change

Levottomat Tuhkimot : Etnografinen tutkimus nuorten tyttöjen suhtautumisesta väkivaltaan Levottomat Tuhkimot -tyttöväkivaltaprojektin keskusteluryhmässä

In recent years girls’ increased violence has been a topical issue. Including the voices of the girls’ themselves engaged to violent offending is therefore essential. The goal for this research was to make sense of girls’ stance toward violence in the project Restless Cinderellas’ discussion group for violent girls. The methodological approach was ethnographic and the data was collected by using the method of participant observation. Girls’ stance toward violence was explored by asking the data following questions: 1. What is the purpose of violent behaviour? 2. Which issues motivate for violence? 3. What alternatives exist for violent behaviour? In a thick description of research material this study also aimed to chart if there was any change in girls’ attitudes due to participation on violence preventative discussion group. The ethnographic data was extensive and consisted of observations, start, - middle, - and end point group discussion records, fieldnotes, self report-questionnaires and feedback documentary. The four girls that participated on this study were 14 -15- years old by the time of research. They came from one elementary school in the capital region. They were chosen to the group based on NFG’s youth workers interview. The girls were allocated to the group by the school’s student welfare group because of their violent behaviour on school time. The analysis was qualitative and the concepts were created through theory triangulation. These concepts were exploited to exam girls’ violent attitudes. The study shows that violence was used to pitch for justice, lesson and respect. The factors that motivated on using violence were experienced insult, betrayal and concatenation of violence. Alternatives for violence were the circle of success and value consciousness. In the dialectics between the research documentaries some changes in girls’ attitudes heaved into sight. However, the study could not show reliable connection between the changes and participation on discussion group.

The effect of temperature on height growth of Scots pine in northern Finland

The effect of temperature on height growth of Scots pine in the northern boreal zone in Lapland was studied in two different time scales. Intra-annual growth was monitored in four stands in up to four growing seasons using an approximately biweekly measurement interval. Inter-annual growth was studied using growth records representing seven stands and five geographical locations. All the stands were growing on a dry to semi-dry heath that is a typical site type for pine stands in Finland. The applied methodology is based on applied time-series analysis and multilevel modelling. Intra-annual elongation of the leader shoot correlated with temperature sum accumulation. Height growth ceased when, on average, 41% of the relative temperature sum of the site was achieved (observed minimum and maximum were 38% and 43%). The relative temperature sum was calculated by dividing the actual temperature sum by the long-term mean of the total annual temperature sum for the site. Our results suggest that annual height growth ceases when a location-specific temperature sum threshold is attained. The positive effect of the mean July temperature of the previous year on annual height increment proved to be very strong at high latitudes. The mean November temperature of the year before the previous had a statistically significantly effect on height increment in the three northernmost stands. The effect of mean monthly precipitation on annual height growth was statistically insignificant. There was a non-linear dependence between length and needle density of annual shoots. Exceptionally low height growth results in high needle-density, but the effect is weaker in years of average or good height growth. Radial growth and next year s height growth are both largely controlled by current July temperature. Nevertheless, their growth variation in terms of minimum and maximum is not necessarily strongly correlated. This is partly because height growth is more sensitive to changes in temperature. In addition, the actual effective temperature period is not exactly the same for these two growth components. Yet, there is a long-term balance that was also statistically distinguishable; radial growth correlated significantly with height growth with a lag of 2 years. Temperature periods shorter than a month are more effective variables than mean monthly values, but the improvement is on the scale of modest to good when applying Julian days or growing-degree-days as pointers.

The white-rot fungi Phlebia radiata and Dichomitus squalens in wood-based cultures: expression of laccases, lignin peroxidases, and oxalate decarboxylase

Basidiomycetous white-rot fungi are the only organisms that can efficiently decompose all the components of wood. Moreover, white-rot fungi possess the ability to mineralize recalcitrant lignin polymer with their extracellular, oxidative lignin-modifying enzymes (LMEs), i.e. laccase, lignin peroxidase (LiP), manganese peroxidase (MnP), and versatile peroxidase (VP). Within one white-rot fungal species LMEs are typically present as several isozymes encoded by multiple genes. This study focused on two effi cient lignin-degrading white-rot fungal species, Phlebia radiata and Dichomitus squalens. Molecular level knowledge of the LMEs of the Finnish isolate P. radiata FBCC43 (79, ATCC 64658) was complemented with cloning and characterization of a new laccase (Pr-lac2), two new LiP-encoding genes (Pr-lip1, Pr-lip4), and Pr-lip3 gene that has been previously described only at cDNAlevel. Also, two laccase-encoding genes (Ds-lac3, Ds-lac4) of D. squalens were cloned and characterized for the first time. Phylogenetic analysis revealed close evolutionary relationships between the P. radiata LiP isozymes. Distinct protein phylogeny for both P. radiata and D. squalens laccases suggested different physiological functions for the corresponding enzymes. Supplementation of P. radiata liquid culture medium with excess Cu2+ notably increased laccase activity and good fungal growth was achieved in complex medium rich with organic nitrogen. Wood is the natural substrate of lignin-degrading white-rot fungi, supporting production of enzymes and metabolites needed for fungal growth and the breakdown of lignocellulose. In this work, emphasis was on solid-state wood or wood-containing cultures that mimic the natural growth conditions of white-rot fungi. Transcript analyses showed that wood promoted expression of all the presently known LME-encoding genes of P. radiata and laccase-encoding genes of D. squalens. Expression of the studied individual LME-encoding genes of P. radiata and D. squalens was unequal in transcript quantities and apparently time-dependent, thus suggesting the importance of several distinct LMEs within one fungal species. In addition to LMEs, white-rot fungi secrete other compounds that are important in decomposition of wood and lignin. One of these compounds is oxalic acid, which is a common metabolite of wood-rotting fungi. Fungi produce also oxalic-acid degrading enzymes of which the most widespread is oxalate decarboxylase (ODC). However, the role of ODC in fungi is still ambiguous with propositions from regulation of intra and extracellular oxalic acid levels to a function in primary growth and concomitant production of ATP. In this study, intracellular ODC activity was detected in four white-rot fungal species, and D. squalens showed the highest ODC activity upon exposure to oxalic acid. Oxalic acid was the most common organic acid secreted by the ODC-positive white-rot fungi and the only organic acid detected in wood cultures. The ODC-encoding gene Ds-odc was cloned from two strains of D. squalens showing the first characterization of an odc-gene from a white-rot polypore species. Biochemical properties of the D. squalens ODC resembled those described for other basidiomycete ODCs. However, the translated amino acid sequence of Ds-odc has a novel N-terminal primary structure with a repetitive Ala-Ser-rich region of ca 60 amino acid residues in length. Expression of the Ds-odc transcripts suggested a constitutive metabolic role for the corresponding ODC enzyme. According to the results, it is proposed that ODC may have an essential implication for the growth and basic metabolism of wood-decaying fungi.

Cointegration and causal relationships between energy consumption and output: Assessing the evidence from Australia

In this paper, we describe our investigation of the cointegration and causal relationships between energy consumption and economic output in Australia over a period of five decades. The framework used in this paper is the single-sector aggregate production function, which is the first comprehensive approach used in an Australian study of this type to include energy, capital and labour as separate inputs of production. The empirical evidence points to a cointegration relationship between energy and output and implies that energy is an important variable in the cointegration space, as are conventional inputs capital and labour. We also find some evidence of bidirectional causality between GDP and energy use. Although the evidence of causality from energy use to GDP was relatively weak when using the thermal aggregate of energy use, once energy consumption was adjusted for energy quality, we found strong evidence of Granger causality from energy use to GDP in Australia over the investigated period. The results are robust, irrespective of the assumptions of linear trends in the cointegration models, and are applicable for different econometric approaches.

Can technology provide a glimmer of hope for economic growth in the midst of chaos? A case of Zimbabwe

In this paper we examine the effect of technology on economic growth in Zimbabwe over the period 1975–2014 whilst accounting for structural breaks. We use the extended Cobb–Douglas type Solow (Q J Econ 70(1):65–94, 1956) framework and the ARDL bounds procedure to examine cointegration and short run and long run effects. Using unit root tests, we note that structural changes in Zimbabwe are generally marked by the period 1982 onwards. We find that mobile technology has a positive short-run (0.09 %) and long-run (0.08 %) impact on the output per capita. The structural changes post-1982 periods show positive impact in the short-run (0.06) and the long-run (0.09), whereas the coefficient of trend in the short-run (−0.03) and the long-run (−0.04) is negative. The Granger non-causality test shows a unidirectional causality from capital stock (investment) per capita to output per capita and a bi-directional causality between mobile cellular technology and output per capita. The plausible reasons for estimated magnitude effects and the direction of causality are explained for policy deliberation.

8-13 Hz fluctuations in rectal pressure are an objective marker of clitorally-induced orgasm in women

Orgasm is a subjective experience accompanied by involuntary muscle contractions. We hypothesized that orgasm in women would be distinguishable by frequency analysis of a perineal muscle-derived signal. Rectal pressure, an index of perineal muscle activity, was measured continuously in 23 healthy women during different sexual tasks: receiving clitoral stimulation, imitation of orgasm, and attempt to reach orgasm, in which case the women were asked to report whether orgasm had been reached ("orgasm") or not ("failed orgasm attempt"). We performed spectral analysis on the rectal pressure data and calculated the spectral power in the frequency bands delta (0.5-4 Hz), theta (4-8 Hz), alpha (8-13 Hz), and beta (13-25 Hz). The most significant and most important difference in spectral power between orgasm and both control motor tasks (imitation of orgasm and failed orgasm attempt) was found in the alpha band. An objective rule based on spectral power in the alpha band recognized 94% (29/31) of orgasms and correctly labeled 69% (44/64) of all orgasm attempts as either successful or failed. Because outbursts of alpha fluctuations in rectal pressure only occurred during orgasm and not during voluntary imitation of orgasm or failed attempts, we propose that they represent involuntary contractions of muscles in the rectal vicinity. This is the first objective and quantitative measure that has a strong correspondence with the subjective experience of orgasm.

Thermal decomposition of methylammonium perchlorate

The thermal decomposition of methylammonium perchlorate (MAP) has been studied under isothermal and non-isothermal conditions. Differential thermal analysis of MAP showed, in addition to the exotherm due to decomposition, another exotherm at 408° which was observed for the first time. Chemical analysis and the infrared spectrum of the residue left behind after the decomposition proved it to contain NH4ClO4. The results have been explained on the basis of a methyl group transfer in addition to proton transfer in the decomposition process.

Dynamics of inflation expectations in the euro area

The present study examines empirically the inflation dynamics of the euro area. The focus of the analysis is on the role of expectations in the inflation process. In six articles we relax rationality assumption and proxy expectations directly using OECD forecasts or Consensus Economics survey data. In the first four articles we estimate alternative Phillips curve specifications and find evidence that inflation cannot instantaneously adjust to changes in expectations. A possible departure of expectations from rationality seems not to be powerful enough to totally explain the persistence of euro area inflation in the New Keynesian framework. When expectations are measured directly, the purely forward-looking New Keynesian Phillips curve is outperformed by the hybrid Phillips curve with an additional lagged inflation term and the New Classical Phillips curve with a lagged expectations term. The results suggest that the euro area inflation process has become more forward-looking in the recent years of low and stable inflation. Moreover, in low inflation countries, the inflation dynamics have been more forward-looking already since the late 1970s. We find evidence of substantial heterogeneity of inflation dynamics across the euro area countries. Real time data analysis suggests that in the euro area real time information matters most in the expectations term in the Phillips curve and that the balance of expectations formation is more forward- than backward-looking. Vector autoregressive (VAR) models of actual inflation, inflation expectations and the output gap are estimated in the last two articles.The VAR analysis indicates that inflation expectations, which are relatively persistent, have a significant effect on output. However,expectations seem to react to changes in both output and actual inflation, especially in the medium term. Overall, this study suggests that expectations play a central role in inflation dynamics, which should be taken into account in conducting monetary policy.

Low-delay, high-rate, non-square STBCs from scaled complex orthogonal designs

Space-time block codes (STBCs) obtained from non-square complex orthogonal designs are bandwidth efficient compared to those from square real/complex orthogonal designs for colocated coherent MIMO systems and has other applications in (i) non-coherent MIMO systems with non-differential detection, (ii) Space-Time-Frequency codes for MIMO-OFDM systems and (iii) distributed space-time coding for relay channels. Liang (IEEE Trans. Inform. Theory, 2003) has constructed maximal rate non-square designs for any number of antennas, with rates given by [(a+1)/(2a)] when number of transmit antennas is 2a-1 or 2a. However, these designs have large delays. When large number of antennas are considered this rate is close to 1/2. Tarokh et al (IEEE Trans. Inform. Theory, 1999) have constructed rate 1/2 non-square CODs using the rate-1 real orthogonal designs for any number of antennas, where the decoding delay of these codes is less compared to the codes constructed by Liang for number of transmit antennas more than 5. In this paper, we construct a class of rate-1/2 codes for arbitrary number of antennas where the decoding delay is reduced by 50% when compared with the rate-1/2 codes given by Tarokh et al. It is also shown that even though scaling the variables helps to lower the delay it can not be used to increase the rate.

A Historical Approach to Children s Physics Education : Modelling of DC-circuit Phenomena in a Small Group

This three-phase design research describes the modelling processes for DC-circuit phenomena. The first phase presents an analysis of the development of the DC-circuit historical models in the context of constructing Volta s pile at the turn of the 18th century. The second phase involves the designing of a teaching experiment for comprehensive school third graders. Among other considerations, the design work utilises the results of the first phase and research literature of pupils mental models for DC-circuit phenomena. The third phase of the research was concerned with the realisation of the planned teaching experiment. The aim of this phase was to study the development of the external representations of DC-circuit phenomena in a small group of third graders. The aim of the study has been to search for new ways to guide pupils to learn DC-circuit phenomena while emphasing understanding at the qualitative level. Thus, electricity, which has been perceived as a difficult and abstract subject, could be learnt more comprehensively. Especially, the research of younger pupils learning of electricity concepts has not been of great interest at the international level, although DC-circuit phenomena are also taught in the lower classes of comprehensive schools. The results of this study are important, because there has tended to be more teaching of natural sciences in the lower classes of comprehensive schools, and attempts are being made to develop this trend in Finland. In the theoretical part of the research an Experimental-centred representation approach, which emphasises the role of experimentalism in the development of pupil s representations, is created. According to this approach learning at the qualitative level consists of empirical operations like experimenting, observations, perception, and prequantification of nature phenomena, and modelling operations like explaining and reasoning. Besides planning teaching, the new approach can be used as an analysis tool in describing both historical modelling and the development of pupils representations. In the first phase of the study, the research question was: How did the historical models of DC-circuit phenomena develop in Volta s time? The analysis uncovered three qualitative historical models associated with the historical concept formation process. The models include conceptions of the electric circuit as a scene in the DC-circuit phenomena, the comparative electric-current phenomenon as a cause of different observable effect phenomena, and the strength of the battery as a cause of the electric-current phenomenon. These models describe the concept formation process and its phases in Volta s time. The models are portrayed in the analysis using fragments of the models, where observation-based fragments and theoretical fragements are distinguished from each other. The results emphasise the significance of the qualitative concept formation and the meaning of language in the historical modelling of DC-circuit phenomena. For this reason these viewpoints are stressed in planning the teaching experiment in the second phase of the research. In addition, the design process utilised the experimentation behind the historical models of DC-circuit phenomena In the third phase of the study the research question is as follows: How will the small group s external representations of DC-circuit phenomena develop during the teaching experiment? The main question is divided into the following two sub questions: What kind of talk exists in the small group s learning? What kinds of external representations for DC-circuit phenomena exist in the small group discourse during the teaching experiment? The analysis revealed that the teaching experiment of the small group succeeded in its aim to activate talk in the small group. The designed connection cards proved especially successful in activating talk. The connection cards are cards that represent the components of the electric circuit. In the teaching experiment the pupils constructed different connections with the connection cards and discussed, what kinds of DC-circuit phenomena would take place in the corresponding real connections. The talk of the small group was analysed by comparing two situations, firstly, when the small group discussed using connections made with the connection cards and secondly with the same connections using real components. According to the results the talk of the small group included more higher-order thinking when using the connection cards than with similar real components. In order to answer the second sub question concerning the small group s external representations that appeared in the talk during the teaching experiment; student talk was visualised by the fragment maps which incorporate the electric circuit, the electric current and the source voltage. The fragment maps represent the gradual development of the external representations of DC-circuit phenomena in the small group during the teaching experiment. The results of the study challenge the results of previous research into the abstractness and difficulty of electricity concepts. According to this research, the external representations of DC-circuit phenomena clearly developed in the small group of third graders. Furthermore, the fragment maps uncover that although the theoretical explanations of DC-circuit phenomena, which have been obtained as results of typical mental model studies, remain undeveloped, learning at the qualitative level of understanding does take place.