An analysis of the impact of R&D on productivity using Bayesian model averaging with a reversible jump algorithm.

A Bayesian Model Averaging approach to the estimation of lag structures is introduced, and applied to assess the impact of R&D on agricultural productivity in the US from 1889 to 1990. Lag and structural break coefficients are estimated using a reversible jump algorithm that traverses the model space. In addition to producing estimates and standard deviations for the coe¢ cients, the probability that a given lag (or break) enters the model is estimated. The approach is extended to select models populated with Gamma distributed lags of di¤erent frequencies. Results are consistent with the hypothesis that R&D positively drives productivity. Gamma lags are found to retain their usefulness in imposing a plausible structure on lag coe¢ cients, and their role is enhanced through the use of model averaging.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

Spectral analysis of diffusions with jump boundary

In this paper we consider one-dimensional diffusions with constant coefficients in a finite interval with jump boundary and a certain deterministic jump distribution. We use coupling methods in order to identify the spectral gap in the case of a large drift and prove that there is a threshold drift above which the bottom of the spectrum no longer depends on the drift. As a corollary to our result we are able to answer two questions concerning elliptic eigenvalue problems with non-local boundary conditions formulated previously by Iddo Ben-Ari and Ross Pinsky.

On the spectral gap of Brownian motion with jump boundary

In this paper we consider the Brownian motion with jump boundary and present a new proof of a recent result of Li, Leung and Rakesh concerning the exact convergence rate in the one-dimensional case. Our methods are dierent and mainly probabilistic relying on coupling methods adapted to the special situation under investigation. Moreover we answer a question raised by Ben-Ari and Pinsky concerning the dependence of the spectral gap from the jump distribution in a multi-dimensional setting.

Decay to equilibrium for jump processes with heavy tails

The case is made for a more careful analysis of the large time asymptotic of infinite particle systems in the thermodynamic limit beyond zero density. The insufficiency of current analysis even in the model case of free particles is demonstrated. Recent advances based on more sophisticated analytical tools like functions of mean variation and Hardy spaces are sketched.

Jump and variance risk premia in the S&P 500

We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63 % of these variations.

Combinatorial aspects of jump codes

We develop an approach to jump codes concentrating on their combinatorial and symmetry properties. The main result is a generalization of a theorem previously proved in the context of isodual codes. We show that several previously constructed jump codes are instances of this theorem.

Jump over the gorge : overcoming cultural gap in doing business with China

China has become a synonym for future business growth. It is the business nirvana of the 21st century (Chung 2004). As a major emerging market, China offers many companies great potential in their future growth. China's economic growth has been consistently double digits for the past two decades. China has become an economic power in the world. To Australia, China became its largest trading partner since 2007. While other parts of the world are experiencing economic down tum, e.g. the US and UK, Australia still enjoys its longest lasting economic growth. Much of the growth is largely built on this Chinese demand of minerals (Kirk 2004). Therefore research of Australian companies' internationalisation into China is timely and in high demand. 40 Australian companies' were investigated in a recent research conducted in July - December 2007. Among many findings through the research, one of the major issues was the impact of cultural differences on companies in their operations. The research discovered the gap of cultural differences between Australia and China is large which has caught many companies by surprise. Further the inability to deal with this large cultural gap as well as being properly prepared for the cultural issue they are about to encounter prior to entering into the Chinese market may cause serious issues on performance. It is through this research an important finding is presented that engaging culturally skilled consultants when dealing with Chinese market is an effective and cost efficient way of conducting businesses in China.

Is jump risk in iTraxx Sector Indices diversifiable?

The article presents an analysis of jump risks in iTraxx Europe index in a multivariate structural time-series setting for the stochastic process, as well as in the credit default swap (CDS) market. It also examines the rapid development of the credit derivatives market, particularly the CDS market. This analysis found a significant Poisson-distributed jumps in the iTraxx Non-Financials index and its subindices. Based on a statistical analysis, nondiversifiable jump risk strongly exists in the CDS market.

Optimal actuator fault tolerance for static nonlinear systems based on minimum output velocity jump

Fault tolerance for a class of non linear systems is addressed based on the velocity of their output variables. This paper presents a mapping to minimize the possible jump of the velocity of the output, due to the actuator failure. The failure of the actuator is assumed as actuator lock. The mapping is derived and it provides the proper input commands for the healthy actuators of the system to tolerate the effect of the faulty actuator on the output of the system. The introduced mapping works as an optimal input reconfiguration for fault recovery, which provides a minimum velocity jump suitable for static nonlinear systems. The proposed mapping is validated through different case studies and a complementary simulation. In the case studies and the simulation, the mapping provides the commands to compensate the effect of different faults within the joints of a robotic manipulator. The new commands and the compare between the velocity of the output variables for the health and faulty system are presented.

Minimal force jump within human and assistive robot cooperation

When an assistant robotic manipulator cooperatively performs a task with a human and the task is required to be highly reliable, then fault tolerance is essential. To achieve the fault tolerance force within the human robot cooperation, it is required to map the effects of the faulty joint of the robot into the manipulator’s healthy joints’ torque space and the human force. The objective is to optimally maintain the cooperative force within the human robot cooperation. This paper aims to analyze the fault tolerant force within the cooperation and two frameworks are proposed. Then they have been validated through a fault scenario. Finally, the minimum force jump which is the optimal fault tolerance has been achieved.

Attractive forces between surfaces : what can and cannot be learned from a jump-in study with the surface forces apparatus?

We study theoretically the dynamics of film thinning under the action of an attractive surface force near the point of a jump instability. Our approach is illustrated by modeling van der Waals and hydrophobic attractive forces. The main result is that with the hydrophobic force law reported previously it is often impossible to establish the jump separation with any certainty. The surfaces instead approach slowly from a distance which is much larger than the point where an actual jump is expected. We conclude that an attractive force measured by the static jump technique is overestimated, and we formulate principles of a new dynamic jump method. The use of this new technique would permit direct measurements of attractive forces at separations below the static jump distance down to contact of the surfaces.

Multiple actuator fault tolerance for static nonlinear systems based on minimum velocity jump

Static nonlinear systems are common when the model of the kinematics of mechanical or civil structures is analyzed for instance kinematics of robotic manipulators. This paper addresses the maximum effort toward fault tolerance for any number of the locked actuators failures in static nonlinear systems. It optimally reconfigures the inputs via a mapping that maximally accommodates the failures. The mapping maps the failures to an extra action of healthy actuators that results to a minimum jump for the velocity of the output variables. Then from this mapping, the minimum jump of the velocity of the output is calculated. The conditions for a zero velocity jump of the output variables are discussed. This shows that, when the conditions of fault tolerance are maintained, the proposed framework is capable of fault recovery not only at fault instances but also at the whole output trajectory. The proposed mapping is validated by three case studies.

Early jump-out corner detectors

We present two new corner detectors; one works by using dissimilarity along the contour direction to detect curves in the image contour and the other estimates image curvature along the contour direction. These operators are fast, robust to noise, and require no subjective thresholding.