Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

Exploring health behaviour determinants of ageing Australians with chronic diseases

Background: Chronic disease presents overwhelming challenges to elderly patients, their families, health care providers and the health care system. The aim of this study was to explore a theoretical model for effective management of chronic diseases, especially type 2 diabetes mellitus and/or cardiovascular disease. The assumed theoretical model considered the connections between physical function, mental health, social support and health behaviours. The study effort was to improve the quality of life for people with chronic diseases, especially type 2 diabetes and/or cardiovascular disease and to reduce health costs. Methods: A cross-sectional post questionnaire survey was conducted in early 2009 from a randomised sample of Australians aged 50 to 80 years. A total of 732 subjects were eligible for analysis. Firstly, factors influencing respondents‘ quality of life were investigated through bivariate and multivariate regression analysis. Secondly, the Theory of Planned Behaviour (TPB) model for regular physical activity, healthy eating and medication adherence behaviours was tested for all relevant respondents using regression analysis. Thirdly, TPB variable differences between respondents who have diabetes and/or cardiovascular disease and those without these diseases were compared. Finally, the TPB model for three behaviours including regular physical activity, healthy eating and medication adherence were tested in respondents with diabetes and/or cardiovascular diseases using Structure Equation Modelling (SEM). Results: This was the first study combining the three behaviours using a TPB model, while testing the influence of extra variables on the TPB model in one study. The results of this study provided evidence that the ageing process was a cumulative effect of biological change, socio-economic environment and lifelong behaviours. Health behaviours, especially physical activity and healthy eating were important modifiable factors influencing respondents‘ quality of life. Since over 80% of the respondents had at least one chronic disease, it was important to consider supporting older people‘s chronic disease self-management skills such as healthy diet, regular physical activity and medication adherence to improve their quality of life. Direct measurement of the TPB model was helpful in understanding respondents‘ intention and behaviour toward physical activity, healthy eating and medication adherence. In respondents with diabetes and/or cardiovascular disease, the TPB model predicted different proportions of intention toward three different health behaviours with 39% intending to engage in physical activity, 49% intending to engage in healthy eating and 47% intending to comply with medication adherence. Perceived behavioural control, which was proven to be the same as self-efficacy in measurement in this study, played an important role in predicting intention towards the three health behaviours. Also social norms played a slightly more important role than attitude for physical activity and medication adherence, while attitude and social norms had similar effects on healthy eating in respondents with diabetes and/or cardiovascular disease. Both perceived behavioural control and intention directly predicted recent actual behaviours. Physical activity was more a volitional control behaviour than healthy eating and medication adherence. Step by step goal setting and motivation was more important for physical activity, while accessibility, resources and other social environmental factors were necessary for improving healthy eating and medication adherence. The extra variables of age, waist circumference, health related quality of life and depression indirectly influenced intention towards the three behaviours mainly mediated through attitude and perceived behavioural control. Depression was a serious health problem that reduced the three health behaviours‘ motivation, mediated through decreased self-efficacy and negative attitude. This research provided evidence that self-efficacy is similar to perceived behavioural control in the TPB model and intention is a proximal goal toward a particular behaviour. Combining four sources of information in the self-efficacy model with the TPB model would improve chronic disease patients‘ self management behaviour and reach an improved long-term treatment outcome. Conclusion: Health intervention programs that target chronic disease management should focus on patients‘ self-efficacy. A holistic approach which is patient-centred and involves a multidisciplinary collaboration strategy would be effective. Supporting the socio-economic environment and the mental/ emotional environment for older people needs to be considered within an integrated health care system.

The structure of the mineral leogangite Cu10(OH)6(SO4)(AsO4)4•8H2O–implications for arsenic accumulation and removal

The objective of this research is to determine the molecular structure of the mineral leogangite. The formation of the types of arsenosulphate minerals offers a mechanism for arsenate removal from soils and mine dumps. Raman and infrared spectroscopy have been used to characterise the mineral. Observed bands are assigned to the stretching and bending vibrations of (SO4)2- and (AsO4)3- units, stretching and bending vibrations of hydrogen bonded (OH)- ions and Cu2+-(O,OH) units. The approximate range of O-H...O hydrogen bond lengths is inferred from the Raman spectra. Raman spectra of leogangite from different origins differ in that some spectra are more complex, where bands are sharp and the degenerate bands of (SO4)2- and (AsO4)3- are split and more intense. Lower wavenumbers of  H2O bending vibration in the spectrum may indicate the presence of weaker hydrogen bonds compared with those in a different leogangite samples. The formation of leogangite offers a mechanism for the removal of arsenic from the environment.

Population genetic structure and patterns of dispersal in the Giant Long-Armed Prawn, Macrobrachium lar (Fabricius, 1798) (Decapoda : Palaemonidae)

The Giant Long-Armed Prawn, Macrobrachium lar is a freshwater species native to the Indo-Pacific. M. lar has a long-lived, passive, pelagic marine larval stage where larvae need to colonise freshwater within three months to complete their development. Dispersal is likely to be influenced by the extensive distances larvae must transit between small oceanic islands to find suitable freshwater habitat, and by prevailing east to west wind and ocean currents in the southern Pacific Ocean. Thus, both intrinsic and extrinsic factors are likely to influence wild population structure in this species. The present study sought to define the contemporary broad and fine-scale population genetic structure of Macrobrachium lar in the south-western Pacific Ocean. Three polymorphic microsatellite loci were used to assess patterns of genetic variation within and among 19 wild adult sample sites. Statistical procedures that partition variation implied that at both spatial scales, essentially all variation was present within sample sites and differentiation among sites was low. Any differentiation observed also was not correlated with geographical distance. Statistical approaches that measure genetic distance, at the broad-scale, showed that all south-western Pacific Islands were essentially homogeneous, with the exception of a well supported divergent Cook Islands group. These findings are likely the result of some combination of factors that may include the potential for allelic homoplasy, through to the effects of sampling regime. Based on the findings, there is most likely a divergent M. lar Cook Islands clade in the south-western Pacific Ocean, resulting from prevailing ocean currents. Confirmation of this pattern will require a more detailed analysis of nDNA variation using a larger number of loci and, where possible, use of larger population sizes.

Implementing design build project delivery system in Indonesian road infrastructure projects

Design-Build (DB) project delivery systems have increasingly been adopted by many private and public sector organizations worldwide due to its many advantages. However, many Indonesian road infrastructure projects are still delivered using the traditional design-bid-build (DBB) project delivery system. This paper reviews the existing literature to explore factors that can influence the successful implementation of DB project delivery system in Indonesian road infrastructure projects. It founds the lack of clarification in existing legislations as well as the lack of experiences, knowledge and skill as the main obstacles in implementing DB systems in Indonesia. To overcome these obstacles, this paper proposes (1) A relook at existing legislation in term of providing more guidance on determining projects appropriate for the DB, procedures for implementing DB, and the structure of builder entity; (2) To develop the skills and knowledge of DB to all stakeholders through communications, knowledge sharing and training. The outcome of this review can serve as a guide to development a framework for the implementation of the design-build project delivery system in Indonesian road infrastructure projects.

Assessment of retinal structure and visual function in association with diabetic peripheral neuropathy

Diabetes is an increasingly prevalent disease worldwide. Providing early management of the complications can prevent morbidity and mortality in this population. Peripheral neuropathy, a significant complication of diabetes, is the major cause of foot ulceration and amputation in diabetes. Delay in attending to complication of the disease contributes to significant medical expenses for diabetic patients and the community. Early structural changes to the neural components of the retina have been demonstrated to occur prior to the clinically visible retinal vasculature complication of diabetic retinopathy. Additionally visual functionloss has been shown to exist before the ophthalmoscopic manifestations of vasculature damage. The purpose of this thesis was to evaluate the relationship between diabetic peripheral neuropathy and both retinal structure and visual function. The key question was whether diabetic peripheral neuropathy is the potential underlying factor responsible for retinal anatomical change and visual functional loss in people with diabetes. This study was conducted on a cohort with type 2 diabetes. Retinal nerve fibre layer thickness was assessed by means of Optical Coherence Tomography (OCT). Visual function was assessed using two different methods; Standard Automated Perimetry (SAP) and flicker perimetry were performed within the central 30 degrees of fixation. The level of diabetic peripheral neuropathy (DPN) was assessed using two techniques - Quantitative Sensory Testing and Neuropathy Disability Score (NDS). These techniques are known to be capable of detecting DPN at very early stages. NDS has also been shown as a gold standard for detecting 'risk of foot ulceration'. Findings reported in this thesis showed that RNFL thickness, particularly in the inferior quadrant, has a significant association with severity of DPN when the condition has been assessed using NDS. More specifically it was observed that inferior RNFL thickness has the ability to differentiate individuals who are at higher risk of foot ulceration from those who are at lower risk, indicating that RNFL thickness can predict late-staged DPN. Investigating the association between RNFL and QST did not show any meaningful interaction, which indicates that RNFL thickness for this cohort was not as predictive of neuropathy status as NDS. In both of these studies, control participants did not have different results from the type 2 cohort who did not DPN suggesting that RNFL thickness is not a marker for diagnosing DPN at early stages. The latter finding also indicated that diabetes per se, is unlikely to affect the RNFL thickness. Visual function as measured by SAP and flicker perimetry was found to be associated with severity of peripheral neuropathy as measured by NDS. These findings were also capable of differentiating individuals at higher risk of foot ulceration; however, visual function also proved not to be a maker for early diagnosis of DPN. It was found that neither SAP, nor flicker sensitivity have meaningful associations with DPN when neuropathy status was measured using QST. Importantly diabetic retinopathy did not explain any of the findings in these experiments. The work described here is valuable as no other research to date has investigated the association between diabetic peripheral neuropathy and either retinal structure or visual function.

The molecular structure of the mineral sarmientite Fe2(AsO4,SO4)2(OH)6•5H2O : implications for arsenic accumulation and removal

Sarmientite is an environmental mineral; its formation in soils enables the entrapment and immobilisation of arsenic. The mineral sarmientite is often amorphous making the application of X-ray diffraction difficult. Vibrational spectroscopy has been applied to the study of sarmientite. Bands are attributed to the vibrational units of arsenate, sulphate, hydroxyl and water. Raman bands at 794, 814 and 831 cm−1 are assigned to the ν3 (AsO4)3− antisymmetric stretching modes and the ν1 symmetric stretching mode is observed at 891 cm−1. Raman bands at 1003 and 1106 cm−1 are attributed to vibrations. The Raman band at 484 cm−1 is assigned to the triply degenerate (AsO4)3− bending vibration. The high intensity Raman band observed at 355 cm−1 (both lower and upper) is considered to be due to the (AsO4)3−ν2 bending vibration. Bands attributed to water and OH stretching vibrations are observed.

The Long-Term Irrelevance of Trust in Outsourcing Decisions for New Technologies: Insights from an Agent-Based Model

Significant empirical data from the fields of management and business strategy suggest that it is a good idea for a company to make in-house the components and processes underpinning a new technology. Other evidence suggests exactly the opposite, saying that firms would be better off buying components and processes from outside suppliers. One possible explanation for this lack of convergence is that earlier research in this area has overlooked two important aspects of the problem: reputation and trust. To gain insight into how these variables may impact make-buy decisions throughout the innovation process, the Sporas algorithm for measuring reputation was added to an existing agent-based model of how firms interact with each other throughout the development of new technologies. The model�s results suggest that reputation and trust do not play a significant role in the long-term fortunes of an individual firm as it contends with technological change in the marketplace. Accordingly, this model serves as a cue for management researchers to investigate more thoroughly the temporal limitations and contingencies that determine how the trust between firms may affect the R&D process.