Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Evidence for the involvement of a rapidly turning over protease in the degradation of cytochrome oxidase in Neurospora crassa

Treatment of N. crassa cultures with cycloheximide followed by washing and incubation in drug-free fresh medium results in a rapid decline in cytochrome oxidase activity. This is associated with the degradation of higher molecular weight subunits of cytochrome oxidase under these conditions. The protease activity associated with the mitochondrial preparation decreases during cycloheximide treatment and rapidly returns to normal levels on subsequent washing and transfer to drug-free fresh medium. It is suggested that the steady-state level of cytochrome oxidase is governed by a rapidly turning over cytoplasmically synthesized mitochondrial protease.

Viscoelastic Properties of Nanocrystalline Films of Semiconducting Chalcogenides at Liquid/Liquid Interface

The interfacial shear rheological properties of a continuous single-crystalline film of CuS and a 3D particulate gel of CdS nanoparticles (3−5 nm in diameter) formed at toluene−water interfaces have been studied. The ultrathin films (50 nm in thickness) are formed in situ in the shear cell through a reaction at the toluene−water interface between a metal−organic compound in the organic layer and an appropriate reagent for sulfidation in the aqueous layer. Linear viscoelastic spectra of the nanofilms reveal solid-like rheological behavior with the storage modulus higher than the loss modulus over the range of angular frequencies probed. Large strain amplitude sweep measurements on the CdS nanofilms formed at different reactant concentrations suggest that they form a weakly flocculated gel. Under steady shear, the films exhibit a yield stress, followed by a steady shear thinning at high shear rates. The viscoelastic and flow behavior of these films that are in common with those of many 3D “soft” materials like gels, foams, and concentrated colloidal suspensions can be described by the “soft” glassy rheology model.

Modeling Efficient Classification as a Process of Confidence Assessment and Delegation

In visual object detection and recognition, classifiers have two interesting characteristics: accuracy and speed. Accuracy depends on the complexity of the image features and classifier decision surfaces. Speed depends on the hardware and the computational effort required to use the features and decision surfaces. When attempts to increase accuracy lead to increases in complexity and effort, it is necessary to ask how much are we willing to pay for increased accuracy. For example, if increased computational effort implies quickly diminishing returns in accuracy, then those designing inexpensive surveillance applications cannot aim for maximum accuracy at any cost. It becomes necessary to find trade-offs between accuracy and effort. We study efficient classification of images depicting real-world objects and scenes. Classification is efficient when a classifier can be controlled so that the desired trade-off between accuracy and effort (speed) is achieved and unnecessary computations are avoided on a per input basis. A framework is proposed for understanding and modeling efficient classification of images. Classification is modeled as a tree-like process. In designing the framework, it is important to recognize what is essential and to avoid structures that are narrow in applicability. Earlier frameworks are lacking in this regard. The overall contribution is two-fold. First, the framework is presented, subjected to experiments, and shown to be satisfactory. Second, certain unconventional approaches are experimented with. This allows the separation of the essential from the conventional. To determine if the framework is satisfactory, three categories of questions are identified: trade-off optimization, classifier tree organization, and rules for delegation and confidence modeling. Questions and problems related to each category are addressed and empirical results are presented. For example, related to trade-off optimization, we address the problem of computational bottlenecks that limit the range of trade-offs. We also ask if accuracy versus effort trade-offs can be controlled after training. For another example, regarding classifier tree organization, we first consider the task of organizing a tree in a problem-specific manner. We then ask if problem-specific organization is necessary.

Use of phosphorus fertiliser for increased productivity of legume-based sown pastures in the Brigalow Belt region – a review

The Brigalow Belt bioregion of southern and central Queensland supports a large percentage of northern Australia's sown pastures and beef herd. The Brigalow soils were widely thought to have adequate phosphorus (P) for cropping, sown pastures and grazing animals, which has led to almost no use of P fertiliser on sown pastures. The majority of pastures established in the region were sown with tropical grasses only (i.e. no legumes were sown). Under grass-only pastures, nitrogen (N) mineralisation rates decline with time since establishment as N is 'tied-up' in soil organic matter. This process leads to a significant decline in pasture and animal productivity and is commonly called 'pasture rundown'. Incorporating pasture legumes has been identified as the best long-term solution to improve the productivity of rundown sown grass pastures. Pasture legumes require adequate P to grow well and fix large amounts of N to increase the productivity of rundown sown grass pastures. Producers and farm advisors have traditionally thought that P fertiliser is not cost-effective for legume-based improved pastures growing on inland areas of Queensland despite there being little, if any, data on production responses or their economic outcomes. Recent studies show large and increasing areas of low plant available soil P and large responses by pasture legumes to P fertiliser on Brigalow soils. The economic analysis in this scoping study indicates potential returns of 9–15% on extra funds invested from the application of P fertiliser, when establishing legumes into grass pastures on low P soils (i.e. lower than the critical P requirement of the legume grown). Higher returns of 12–24% may be possible when adding P fertiliser to already established grass/legume pastures on such soils. As these results suggest potential for significant returns from applying P fertiliser on legume pastures, it is recommended that research be conducted to better quantify the impacts of P fertiliser on productivity and profit. Research priorities include: quantifying the animal production and economic impact of fertilising legume-based pastures in the sub-tropics for currently used legumes; quantifying the comparative P requirements and responses of available legume varieties; understanding clay soil responses to applied P fertiliser; testing the P status of herds grazing in the Brigalow Belt; and quantifying the extent of other nutrient deficiencies (e.g. sulphur and potassium) for legume based pastures. Development and extension activities are required to demonstrate the commercial impacts of applying P fertiliser to legume based pastures.

Improving cost-effectiveness of supplementation systems for breeder herds in northern Australia

Low level strategic supplements constitute one of the few options for northern beef producers to increase breeder productivity and profitability. Objectives of the project were to improve the cost-effectiveness of using such supplements and to improve supplement delivery systems. Urea-based supplements fed during the dry season can substantially reduce breeder liveweight loss and increase fertility during severe dry seasons. Also when fed during the late wet season these supplements increased breeder body liveweight and increased fertility of breeders in low body condition. Intake of dry lick supplements fed free choice is apparently determined primarily by the palatability of supplements relative to pasture, and training of cattle appears to be of limited importance. Siting of supplementation points has some effect on supplement intake, but little effect on grazing behaviour. Economic analysis of supplementation (urea, phosphorus or molasses) and weaning strategies was based on the relative efficacy of these strategies to maintain breeder body condition late in the dry season. Adequate body condition of breeders at this time of the year is needed to avoid mortality from under-nutrition and achieve satisfactory fertility of breeders during the following wet season. Supplements were highly cost-effective when they reduced mortality, but economic returns were generally low if the only benefit was increased fertility.

Glutamatergic Modulation of Cue-Induced Drug-Seeking Behavior in the Rat

The characteristics of drug addiction include compulsive drug use despite negative consequences and re-occurring relapses, returns to drug use after a period of abstinence. Therefore, relapse prevention is one of the major challenges for the treatment of drug addiction. There are three main factors capable of inducing craving for drugs and triggering relapse long after cessation of drug use and dissipation of physical withdrawal signs: stress, re-exposure to the drug, and environmental stimuli (cues) that have been previously associated with drug use. The neurotransmitters dopamine and glutamate have been implicated in the modulation of drug-seeking behavior. The aim of this project was to examine the role of glutamatergic neurotransmission in relapse triggered by conditioned drug-associated stimuli. The focus was on clarifying whether relapse to drug seeking can be attenuated by blockade of glutamate receptors. In addition, as the nucleus accumbens has been proposed to participate in the modulation of drug-seeking behavior, the effects of glutamate receptor blockade in this brain structure on cue-induced relapse were investigated. The studies employed animals models in which rats were trained to press a lever in a test cage to obtain alcohol or intravenous cocaine. Drug availability was paired with distinct olfactory, auditory, or visual stimuli. This phase was followed by extinction training, during which lever presses did not result in the presentation of the drug or the drug-associated stimuli. Extinction training led to a gradual decrease in the number of lever presses during test sessions. Relapse was triggered by presenting the rats with the drug-associated stimuli in the absence of alcohol or cocaine. The drug-associated stimuli were alone capable of inducing resumption of lever pressing and maintaining this behavior during repeated testing. The number of lever presses during a session represented the intensity of drug-seeking and relapse behavior. The results suggest that glutamatergic neurotransmission is involved in the modulation of drug-seeking behavior. Both alcohol and cocaine relapse were attenuated by systemic pretreatment with glutamate receptor antagonists. However, differences were found in the ability of ionotropic AMPA/kainate and NMDA receptor antagonists to regulate drug-seeking behavior. The AMPA/kainate antagonists CNQX and NBQX, and L-701,324, an antagonist with affinity for the glycine site of the NMDA receptor, attenuated cue-induced drug seeking, whereas the competitive NMDA antagonist CGP39551 and the NMDA channel blocker MK-801 were without effect. MPEP, an antagonist at metabotropic mGlu5 glutamate receptors, also decreased drug seeking, but its administration was found to lead to conditioned suppression of behavior during subsequent treatment sessions, suggesting that MPEP may have undesirable side effects. The mGluR2/3 agonist LY379268 and the mGluR8 agonist (S)-3,4-DCPG decreased both cue-induced relapse to alcohol drinking and alcohol consumption. Control experiments showed however that administration of the agonists was accompanied by motor suppression limiting their usefulness. Administration of the AMPA/kainate antagonist CNQX, the NMDA antagonist D-AP5, and the mGluR5 antagonist MPEP into the nucleus accumbens resulted also in a decrease in drug-seeking behavior, suggesting that the nucleus accumbens is at least one of the anatomical sites regulating drug seeking and mediating the effects of glutamate receptor antagonists on this behavior.

Cooperation and conflict in conspecific brood parasitism : an alternative reproductive tactic

Interactions among individuals give rise to both cooperation and conflict. Individuals will behave selfishly or altruistically depending on which gives the higher payoff. The reproductive strategies of many animals are flexible and several alternative tactics may be present from which the most suitable one is applied. Generally, alternative reproductive tactics may be defined as a response to competition from individuals of the same sex. These alternative reproductive tactics are means by which individuals may fine-tune their fitness to the reigning circumstances and which are shaped by the environment individuals are occupying as well as by the behaviour of other individuals sharing the environment. By employing such alternative ways of achieving reproductive output, individuals may alleviate competition from others. Conspecific brood parasitism (CBP) is an alternative reproductive strategy found in several egg laying animal groups, and it is especially common among waterfowl. Within this alternative reproductive strategy, four reproductive options can be identified. These four options represent a continuum from low reproductive effort coupled with low fitness returns, to high reproductive effort and consequently high benefits. It may not be evident how individuals should allocate reproductive effort between eggs laid in their own nest vs. in nests of others, however. Limited fecundity will constrain the number of eggs donated by a parasite, but also the tendency for hosts to accept parasitic eggs may affect the allocation decision. Furthermore, kinship, individual quality and the costs of breeding may play a role in complicating the allocation decision. In this thesis, I view the seemingly paradoxical effects of kinship on conflict resolution in the context of alternative reproductive tactics, examining the resulting features of cooperation and conflict. Conspecific brood parasitism sets the stage for investigating these questions. By using both empirical and theoretical approaches, I examine the nature of CBP in a brood parasitic duck, the Barrow's goldeneye (Bucephala islandica). The theoretical chapter of this thesis gives rise to four main conclusions. Firstly, variation in individual quality plays a central role in shaping breeding strategies. Secondly, kinship plays a central role in the evolution of CBP. Thirdly, egg recognition ability may affect the prevalence of parasitism. If egg recognition is perfect, higher relatedness between host and parasite facilitates CBP. Finally, I show that the relative costs of egg laying and post-laying care play a so far underestimated role in determining the prevalence of parasitism. The costs of breeding may outweigh possible inclusive fitness benefits accrued from receiving eggs from relatives. Several of the patterns brought out by the theoretical work are then confirmed empirically in the following chapters. Findings include confirmation of the central role of relatedness in determining the extent of parasitism as well as inducing a counterintuitive host clutch reduction. Furthermore, I demonstrate a cost of CBP inflicted on hosts, as well as results suggesting that host age reflects individual quality, affecting the ability to overcome costs inflicted by CBP. In summary, I demonstrate both theoretically and empirically the presence of cooperation and conflict in the interactions between conspecific parasites and their hosts. The field of CBP research has traditionally been divided, but the first steps have now been taken toward the acceptance of the opposite side of the divide. Especially the theoretical findings of chapter 1 offer the possibility to view seemingly contrasting results of various studies within the same framework, and may direct future research toward more general features underlying differences in the patterns of CBP between populations or species.

Population structure and evolution in the ant Plagiolepis pygmaea and its two social parasites Plagiolepis xene and Plagiolepis grassei

Social behaviour affects dispersal of animals and is an important modifier of genetic population structures. The female sex is often philopatric, which maintains coancestry within the breeding groups and promotes cooperative behaviours. This enables also inclusive fitness returns from altruism and explains why some individuals sacrifice personal reproduction for the good of others in social insects such as ants. However, reduced dispersal and population substructuring at the level of colonies may also entail inbreeding, loss of genetic diversity, and vulnerability. In addition, the most vulnerable ants are species that are evolved to parasitize colonies of other ants, and which compromise between abilities to disperse and the efficiency to parasitize the host. On the other hand, certain social organisations of ant colonies may facilitate a species to disperse outside its natural range and become a pest. Altogether, knowledge on genetic structuring of ant populations, as well as the evolution of their life histories can contribute to conservation biology and population management. The aim of this thesis was to investigate population structures and phylogenetic evolution of the ant Plagiolepis pygmaea and its two obligatory, workerless social parasites (inquilines) P. xene and P. grassei with genetic markers and DNA sequence data. The results support the general assumption that populations of inquiline parasites are highly fragmented and genetically vulnerable. Comparison of the two parasites suggests that differences in their relative abundance may follow from their interaction with the host, i.e. how well the species is adapted to reproduce in the host colonies. The results also indicate that the most recent free living ancestor to these two parasite species is their common host. This is considered to provide evidence for the controversial issue of sympatric speciation. Further, given that the level of adaptations to parasitic life history depends on the evolutionary time since the free-living ancestor, the results establish a link between species rarity and its evolutionary age. The populations of the host species P. pygmaea displayed significantly reduced dispersal both among the females (queens) and males, and high levels of inbreeding which may enhance worker altruism. In addition, the queens were found to mate with multiple males. Given the high relatedness between the queens and their mates, this occurs probably for non-genetic reasons, e.g. without benefits associated in genetically more diverse offspring. The results hence caution that the contribution of non-genetic factors to the prevailing mating patterns and genetic population structures should not be underestimated.

Thermoelectric power in ultrathin films, quantum wires and carbon nanotubes under classically large magnetic field: Simplified theory and relative comparison

We study the thermoelectric power under classically large magnetic field (TPM) in ultrathin films (UFs), quantum wires (QWs) of non-linear optical materials on the basis of a newly formulated electron dispersion law considering the anisotropies of the effective electron masses, the spin-orbit splitting constants and the presence of the crystal field splitting within the framework of k.p formalism. The results of quantum confined III-V compounds form the special cases of our generalized analysis. The TPM has also been studied for quantum confined II-VI, stressed materials, bismuth and carbon nanotubes (CNs) on the basis of respective dispersion relations. It is found taking quantum confined CdGeAs2, InAs, InSb, CdS, stressed n-InSb and Bi that the TPM increases with increasing film thickness and decreasing electron statistics exhibiting quantized nature for all types of quantum confinement. The TPM in CNs exhibits oscillatory dependence with increasing carrier concentration and the signature of the entirely different types of quantum systems are evident from the plots. Besides, under certain special conditions, all the results for all the materials gets simplified to the well-known expression of the TPM for non-degenerate materials having parabolic energy bands, leading to the compatibility test. (C) 2009 Elsevier B.V. All rights reserved.

Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country’s Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.

Do inventory management practices affect economic performance? An empirical evaluation of the machine tool SMEs in Bangalore

Inventory management (IM) has a decisive role in the enhancement of manufacturing industry's competitiveness. Therefore, major manufacturing industries are following IM practices with the intention of improving their performance. However, the effort to introduce IM in SMEs is very limited due to lack of initiation, expertise, and financial constraints. This paper aims to provide a guideline for entrepreneurs in enhancing their IM performance, as it presents the results of a survey based study carried out for machine tool Small and Medium Enterprises (SMEs) in Bangalore. Having established the significance of inventory as an input, we probed the relationship between IM performance and economic performance of these SMEs. To the extent possible all the factors of production and performance indicators were deliberately considered in pure economic terms. All economic performance indicators adopted seem to have a positive and significant association with IM performance in SMEs. On the whole, we found that SMEs which are IM efficient are likely to perform better on the economic front also and experience higher returns to scale.

Chemically Programmed Ultrahigh Density Two-Dimensional Semiconductor Superlattice Array

Designing an ultrahigh density linear superlattice array consisting of periodic blocks of different semiconductors in the strong confinement regime via a direct synthetic route remains an unachieved challenge in nanotechnology. We report a general synthesis route for the formulation of a large-area ultrahigh density superlattice array that involves adjoining multiple units of ZnS rods by prolate US particles at the tips. A single one-dimensional wire is 300-500 nm long and consists of periodic quantum wells with a barrier width of 5 nm provided by ZnS and a well width of 1-2 nm provided by CdS, defining a superlattice structure. The synthesis route allows for tailoring of ultranarrow laserlike emissions (fwhm approximate to 125 meV) originating from strong interwell energy dispersion along with control of the width, pitch, and registry of the superlattice assembly. Such an exceptional high-density superlattice array could form the basis of ultrahigh density memories in addition to offering opportunities for technological advancement in conventional heterojunction-based device applications.

The Photoemission from Quantum Wells, Wires and Carbon Nanotubes:Simplified Theory and Relative Comparison

We investigate the photoemission from quantum wells (QWs) in ultrathin films (UFs) and quantum well wires (QWWs) of non-linear optical materials on the basis of a newly formulated electron dispersion law considering the anisotropies of the effective electron masses, the spin-orbit splitting constants and the presence of the crystal field splitting within the framework of k.p formalism. The results of quantum confined Ill-V compounds form the special cases of our generalized analysis. The photoemission has also been studied for quantum confined II-VI, n-GaP, n-Ge, PtSb2, stressed materials and Bismuth on the basis of respective dispersion relations. It has been found taking quantum confined CdGeAS(2), InAs, InSb, CdS, GaP, Ge, PtSb2, stressed n-InSb and B1 that the photoemission exhibits quantized variations with the incident photon energy, changing electron concentration and film thickness, respectively, for all types of quantum confinement. The photoemission from CNs exhibits oscillatory dependence with increasing normalized electron degeneracy and the signature of the entirely different types of quantum systems are evident from the plots. Besides, under certain special conditions, all the results for all the materials gets simplified to the well-known expression of photoemission from non-degenerate semiconductors and parabolic energy bands, leading to the compatibility test.

The channels of monetary policy triggered by central bank actions and statements in the Australian equity market

Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by central bank actions (monetary policy announcements) and statements (explanatory minutes releases), in the Australian equity market. Both monetary policy announcements and explanatory minutes releases are shown to have a significant and comparable impact on the returns and volatility of the Australian equity market. Further, distinct from US and European studies that find strong evidence of the interest rate, bank loan and balance sheet channels and no evidence of the exchange rate channel following central bank actions, this paper finds that monetary policy impacts the Australian equity market via the exchange rate, interest rate and bank loan channels of monetary policy, with only weak evidence of the balance sheet channel of monetary policy. These channels are found to be operating irrespective of the trigger (monetary policy announcements or explanatory minutes releases), though results are somewhat weaker when examining the explanatory minutes releases. These results have important implications for central bank officials and financial market participants alike: by confirming a comparable avenue to affect monetary policy; and providing an explication of its impact on the Australian equity market.