Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.

Structure and optical properties of Cd-substituted ZnO (Zn1-xCdxO) nanostructures synthesized by the high-pressure solution route

We report the synthesis of Cd-substituted ZnO nanostructures (Zn1-xCdxO with x up to approximate to 0.09) by the high-pressure solution growth method. The synthesized nanostructures comprise nanocrystals that are both particles (similar to 10-15 nm) and rods which grow along the [002] direction as established by transmission electron microscope (TEM) and x-ray diffraction (XRD) analysis. Rietveld analysis of the XRD data shows a monotonic increase of the unit cell volume with the increase of Cd concentration. The optical absorption, as well as the photoluminescence (PL), shows a red shift on Cd substitution. The line width of the PL spectrum is related to the strain inhomogeneity and it peaks in the region where the CdO phase separates from the Zn1-xCdxO nanostructures. The time-resolved photoemission showed a long-lived (similar to 10 ns) component. We propose that the PL behaviour of the Zn1-xCdxO is dominated by strain in the sample with the red shift of the PL linked to the expansion of the unit cell volume on Cd substitution.

Search for the Higgs boson produced in association with Z→ℓ+ℓ- using the matrix element method at CDF II

We present a search for associated production of the standard model (SM) Higgs boson and a $Z$ boson where the $Z$ boson decays to two leptons and the Higgs decays to a pair of $b$ quarks in $p\bar{p}$ collisions at the Fermilab Tevatron. We use event probabilities based on SM matrix elements to construct a likelihood function of the Higgs content of the data sample. In a CDF data sample corresponding to an integrated luminosity of 2.7 fb$^{-1}$ we see no evidence of a Higgs boson with a mass between 100 GeV$/c^2$ and 150 GeV$/c^2$. We set 95% confidence level (C.L.) upper limits on the cross-section for $ZH$ production as a function of the Higgs boson mass $m_H$; the limit is 8.2 times the SM prediction at $m_H = 115$ GeV$/c^2$.

Measurement of the WW+WZ production cross section using a matrix element technique in lepton+jets events

We present a measurement of the $WW+WZ$ production cross section observed in a final state consisting of an identified electron or muon, two jets, and missing transverse energy. The measurement is carried out in a data sample corresponding to up to 4.6~fb$^{-1}$ of integrated luminosity at $\sqrt{s} = 1.96$ TeV collected by the CDF II detector. Matrix element calculations are used to separate the diboson signal from the large backgrounds. The $WW+WZ$ cross section is measured to be $17.4\pm3.3$~pb, in agreement with standard model predictions. A fit to the dijet invariant mass spectrum yields a compatible cross section measurement.

Optical, Field-Emission, and Antimicrobial Properties of ZnO Nanostructured Films Deposited at Room Temperature by Activated Reactive Evaporation

ZnO nanostructures were deposited on flexible polymer sheet and cotton fabrics at room temperature by activated reactive evaporation. Room-temperature photoluminescence spectrum of ZnO nanostructured film exhibited a week intrinsic UV emission and a strong broad yellow-orange visible emission. TEM and HRTEM studies show that the grown nanostructures are crystalline in nature and their growth direction was indentified to be along [002]. ZnO nanostructures grown on the copper-coated flexible polymer sheets exhibited stable field-emissio characteristics with a threshold voltage of 2.74 V/mu m (250 mu A) and a very large field enhancement factor (beta) of 23,213. Cotton fabric coated with ZnO nanostructures show an excellent antimicrobial activity against Staphylococcus aureus bacteria (Gram positive), and similar to 73% reduction in the bacterial population is achieved compared to uncoated fabrics after 4 h in viability. Using a shadow mask technique, we also selectively deposited the nanostructures at room temperature on polymer substrates.

ESR study of dibarium copper formate tetrahydrate Part II. Optical absorption and temperature dependence of spin-hamiltonian parameters

The variations in certain spin-Hamiltonian parameters of the Cu++ ion in dibarium copper formate tetrahydrate with temperature have been studied. Optical absorption investigations on single crystals of the salt at room temperature and 90° K. are reported. The results are discussed in terms of a model in which vibronic mixing of certain electron levels of the Cu++ ion play an important role.

Trace element nutrition of the silkwormBombyx mori L. I. Effect of trace elements

Trace elements zinc, copper, manganese, molybdenum and cobalt have been shown to have varying effects on growth and trace element composition of the silkworm. Results indicate the important role of manganese in the normal metabolism of the insect. Cobalt has been shown to exert a very favourable effect on growth and silk yield.

Trace element nutrition of the silkwormBombyx mori L. II. Relationship between cobalt, vitamin B12, benzimidazole and purines

Benzimidazole is toxic to silkworms due to its antagonistic action to purines. Cobalt and copper possess the capacity to reverse its toxicity because of their ability to form complexes with benzimidazole. For reasons unknown cobalt exerts a favourable effect in its free form rather than in the vitamin form on the insect growth.

ESR and optical absorption studies in copper diethyldithiocarbamate

ESR investigations at X band and optical-absorption measurements have been reported in single crystals of copper (n) diethyldithiocarbamate Cu[S 2CN(C2H5)2]2 diluted to 0.2% with the corresponding zinc complex. The measurements have been made both at room and liquid-oxygen temperatures. ESR measurements gave the following values for the parameters in spin Hamiltonian g11=2.1085, g=2.023(6), A63= 142.4×10-4 cm-1, A65 = 152.0×10-4 cm-1, B = 22.4×10-4 cm-1, Q~3×10-4 cm-1. Polarized optical absorption study has made possible a proper assignment of the absorption bands to their corresponding transitions. This has led to information regarding the ordering of the MO levels of the complex. The coefficients used in the MO description of the complex have been calculated from the observed parameters. The results show that the metal ligand BIσ bond is purely covalent and that the out-of-plane w bonding is appreciably covalent whereas the in-plane Π bonding is ionic. Further, it is noted that the metal ligand binding is more covalent with sulfur as ligand than with oxygen or nitrogen.

The elastic properties of a group of optical glasses by the pulse echo set-up

The pulse-echo apparatus, designed and constructed by the author, has been used to reinvestigate the elastic properties of the eighteen optical glasses. The elastic constants are correct to 0·5%. The results are compared with the earlier investigation which utilised the optical method. The possible causes for large discrepancies observed are critically and briefly discussed. A qualitative interpretation of the results has been successfully attempted. The acoustic velocity increases with the decrease in lead and barium oxides and with increase in calcium oxide and boron trioxide components.

Att skapa en helhet av fragment Om översättningen av kohesiva element i Sjóns Stålnatt

Abstract (Creating a whole from fragments. On the translation of cohesive elements in Sjón's Steelnight): In this paper, I discuss the Swedish translation of the Icelandic writer Sjón’s debut novel Steelnight: a story (in Swedish Stålnatt – en berättelse). Steelnight is a fragmented novel which is located at the border between poetry and prose. At the beginning of the story, the writer introduces two main plots (with subplots). At first glance, it may seem as though the plots do not share much in common. However, a closer analysis of the text reveals that there are striking parallels between the plots which are created partly by the writer’s use of cohesive elements. Thus, despite the fragmented style, the writer creates cohesion in the text by using stylistic means such as repetition of certain nouns and adjectives and by a frequent use of personal and demonstrative pronouns. This use of cohesive elements creates a challenge for the translator.

Top Quark Mass Measurement in the lepton+jets Channel Using a Matrix Element Method and in situ Jet Energy Calibration

A precision measurement of the top quark mass m_t is obtained using a sample of ttbar events from ppbar collisions at the Fermilab Tevatron with the CDF II detector. Selected events require an electron or muon, large missing transverse energy, and exactly four high-energy jets, at least one of which is tagged as coming from a b quark. A likelihood is calculated using a matrix element method with quasi-Monte Carlo integration taking into account finite detector resolution and jet mass effects. The event likelihood is a function of m_t and a parameter DJES to calibrate the jet energy scale /in situ/. Using a total of 1087 events, a value of m_t = 173.0 +/- 1.2 GeV/c^2 is measured.