Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA. © 2004 Taylor and Francis Ltd.

A Harrod modell strukturális stabilitása (Structural stability of the Harrod model)

In this study it is shown that the nontrivial hyperbolic fixed point of a nonlinear dynamical system, which is formulated by means of the adaptive expectations, corresponds to the unstable equilibrium of Harrod. We prove that this nonlinear dynamical (in the sense of Harrod) model is structurally stable under suitable economic conditions. In the case of structural stability, small changes of the functions (C1-perturbations of the vector field) describing the expected and the true time variation of the capital coefficients do not influence the qualitative properties of the endogenous variables, that is, although the trajectories may slightly change, their structure is the same as that of the unperturbed one, and therefore these models are suitable for long-time predictions. In this situation the critique of Lucas or Engel is not valid. There is no topological conjugacy between the perturbed and unperturbed models; the change of the growth rate between two levels may require different times for the perturbed and unperturbed models.

A study of stock market linkages between the US and frontier countries

My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

Uplink Performance of Conventional and Massive MIMO Cellular Systems with Delayed CSIT

This work studies the uplink of a cellular network with zero-forcing (ZF) receivers under imperfect channel state information at the base station. More specifically, apart from the pilot contamination, we investigate the effect of time variation of the channel due to the relative users' movement with regard to the base station. Our contributions include analytical expressions for the sum-rate with finite number of BS antennas, and also the asymptotic limits with infinite power and number of BS antennas, respectively. The numerical results provide interesting insights on how the user mobility degrades the system performance which extends previous results in the literature.

Forecasting exchange rates in the presence of instabilities

Many exchange rate papers articulate the view that instabilities constitute a major impediment to exchange rate predictability. In this thesis we implement Bayesian and other techniques to account for such instabilities, and examine some of the main obstacles to exchange rate models' predictive ability. We first consider in Chapter 2 a time-varying parameter model in which fluctuations in exchange rates are related to short-term nominal interest rates ensuing from monetary policy rules, such as Taylor rules. Unlike the existing exchange rate studies, the parameters of our Taylor rules are allowed to change over time, in light of the widespread evidence of shifts in fundamentals - for example in the aftermath of the Global Financial Crisis. Focusing on quarterly data frequency from the crisis, we detect forecast improvements upon a random walk (RW) benchmark for at least half, and for as many as seven out of 10, of the currencies considered. Results are stronger when we allow the time-varying parameters of the Taylor rules to differ between countries. In Chapter 3 we look closely at the role of time-variation in parameters and other sources of uncertainty in hindering exchange rate models' predictive power. We apply a Bayesian setup that incorporates the notion that the relevant set of exchange rate determinants and their corresponding coefficients, change over time. Using statistical and economic measures of performance, we first find that predictive models which allow for sudden, rather than smooth, changes in the coefficients yield significant forecast improvements and economic gains at horizons beyond 1-month. At shorter horizons, however, our methods fail to forecast better than the RW. And we identify uncertainty in coefficients' estimation and uncertainty about the precise degree of coefficients variability to incorporate in the models, as the main factors obstructing predictive ability. Chapter 4 focus on the problem of the time-varying predictive ability of economic fundamentals for exchange rates. It uses bootstrap-based methods to uncover the time-specific conditioning information for predicting fluctuations in exchange rates. Employing several metrics for statistical and economic evaluation of forecasting performance, we find that our approach based on pre-selecting and validating fundamentals across bootstrap replications generates more accurate forecasts than the RW. The approach, known as bumping, robustly reveals parsimonious models with out-of-sample predictive power at 1-month horizon; and outperforms alternative methods, including Bayesian, bagging, and standard forecast combinations. Chapter 5 exploits the predictive content of daily commodity prices for monthly commodity-currency exchange rates. It builds on the idea that the effect of daily commodity price fluctuations on commodity currencies is short-lived, and therefore harder to pin down at low frequencies. Using MIxed DAta Sampling (MIDAS) models, and Bayesian estimation methods to account for time-variation in predictive ability, the chapter demonstrates the usefulness of suitably exploiting such short-lived effects in improving exchange rate forecasts. It further shows that the usual low-frequency predictors, such as money supplies and interest rates differentials, typically receive little support from the data at monthly frequency, whereas MIDAS models featuring daily commodity prices are highly likely. The chapter also introduces the random walk Metropolis-Hastings technique as a new tool to estimate MIDAS regressions.

Method of numerical correction of errors occasioned by delay of records during the monitoring of environmental variables of interest for animal production

As condições de ambiente térmico e aéreo, no interior de instalações para animais, alteram-se durante o dia, devido à influência do ambiente externo. Para que análises estatísticas e geoestatísticas sejam representativas, uma grande quantidade de pontos distribuídos espacialmente na área da instalação deve ser monitorada. Este trabalho propõe que a variação no tempo das variáveis ambientais de interesse para a produção animal, monitoradas no interior de instalações para animais, pode ser modelada com precisão a partir de registros discretos no tempo. O objetivo deste trabalho foi desenvolver um método numérico para corrigir as variações temporais dessas variáveis ambientais, transformando os dados para que tais observações independam do tempo gasto durante a aferição. O método proposto aproximou os valores registrados com retardos de tempo aos esperados no exato momento de interesse, caso os dados fossem medidos simultaneamente neste momento em todos os pontos distribuídos espacialmente. O modelo de correção numérica para variáveis ambientais foi validado para o parâmetro ambiental temperatura do ar, sendo que os valores corrigidos pelo método não diferiram pelo teste Tukey, a 5% de probabilidade dos valores reais registrados por meio de dataloggers.

Wave impedance selection for passivity-based bilateral teleoperation

When a task must be executed in a remote or dangerous environment, teleoperation systems may be employed to extend the influence of the human operator. In the case of manipulation tasks, haptic feedback of the forces experienced by the remote (slave) system is often highly useful in improving an operator's ability to perform effectively. In many of these cases (especially teleoperation over the internet and ground-to-space teleoperation), substantial communication latency exists in the control loop and has the strong tendency to cause instability of the system. The first viable solution to this problem in the literature was based on a scattering/wave transformation from transmission line theory. This wave transformation requires the designer to select a wave impedance parameter appropriate to the teleoperation system. It is widely recognized that a small value of wave impedance is well suited to free motion and a large value is preferable for contact tasks. Beyond this basic observation, however, very little guidance exists in the literature regarding the selection of an appropriate value. Moreover, prior research on impedance selection generally fails to account for the fact that in any realistic contact task there will simultaneously exist contact considerations (perpendicular to the surface of contact) and quasi-free-motion considerations (parallel to the surface of contact). The primary contribution of the present work is to introduce an approximate linearized optimum for the choice of wave impedance and to apply this quasi-optimal choice to the Cartesian reality of such a contact task, in which it cannot be expected that a given joint will be either perfectly normal to or perfectly parallel to the motion constraint. The proposed scheme selects a wave impedance matrix that is appropriate to the conditions encountered by the manipulator. This choice may be implemented as a static wave impedance value or as a time-varying choice updated according to the instantaneous conditions encountered. A Lyapunov-like analysis is presented demonstrating that time variation in wave impedance will not violate the passivity of the system. Experimental trials, both in simulation and on a haptic feedback device, are presented validating the technique. Consideration is also given to the case of an uncertain environment, in which an a priori impedance choice may not be possible.

Near-infrared polarimetry in the galactic center. On properties of Sagittarius A* and a dusty S-cluster object

Near-infrared polarimetry observation is a powerful tool to study the central sources at the center of the Milky Way. My aim of this thesis is to analyze the polarized emission present in the central few light years of the Galactic Center region, in particular the non-thermal polarized emission of Sagittarius~A* (Sgr~A*), the electromagnetic manifestation of the super-massive black hole, and the polarized emission of an infrared-excess source in the literature referred to as DSO/G2. This source is in orbit about Sgr~A*. In this thesis I focus onto the Galactic Center observations at $\lambda=2.2~\mu m$ ($K_\mathrm{s}$-band) in polarimetry mode during several epochs from 2004 to 2012. The near-infrared polarized observations have been carried out using the adaptive optics instrument NAOS/CONICA and Wollaston prism at the Very Large Telescope of ESO (European Southern Observatory). Linear polarization at 2.2 $\mu m$, its flux statistics and time variation, can be used to constrain the physical conditions of the accretion process onto the central super-massive black hole. I present a statistical analysis of polarized $K_\mathrm{s}$-band emission from Sgr~A* and investigate the most comprehensive sample of near-infrared polarimetric light curves of this source up to now. I find several polarized flux excursions during the years and obtain an exponent of about 4 for the power-law fitted to polarized flux density distribution of fluxes above 5~mJy. Therefore, this distribution is closely linked to the single state power-law distribution of the total $K_\mathrm{s}$-band flux densities reported earlier by us. I find polarization degrees of the order of 20\%$\pm$10\% and a preferred polarization angle of $13^o\pm15^o$. Based on simulations of polarimetric measurements given the observed flux density and its uncertainty in orthogonal polarimetry channels, I find that the uncertainties of polarization parameters under a total flux density of $\sim 2\,{\mathrm{mJy}}$ are probably dominated by observational uncertainties. At higher flux densities there are intrinsic variations of polarization degree and angle within rather well constrained ranges. Since the emission is most likely due to optically thin synchrotron radiation, the obtained preferred polarization angle is very likely reflecting the intrinsic orientation of the Sgr~A* system i.e. an accretion disk or jet/wind scenario coupled to the super-massive black hole. Our polarization statistics show that Sgr~A* must be a stable system, both in terms of geometry, and the accretion process. I also investigate an infrared-excess source called G2 or Dusty S-cluster Object (DSO) moving on a highly eccentric orbit around the Galaxy's central black hole, Sgr~A*. I use for the first time the near-infrared polarimetric imaging data to determine the nature and the properties of DSO and obtain an improved $K_\mathrm{s}$-band identification of this source in median polarimetry images of different observing years. The source starts to deviate from the stellar confusion in 2008 data and it does not show a flux density variability based on our data set. Furthermore, I measure the polarization degree and angle of this source and conclude based on the simulations on polarization parameters that it is an intrinsically polarized source with a varying polarization angle as it approaches Sgr~A* position. I use the interpretation of the DSO polarimetry measurements to assess its possible properties.

Credit spreads and monetary policy in a small open economy: an analysis of the colombian economy

This paper estimates Bejarano and Charry (2014)’s small open economy with financial frictions model for the Colombian economy using Bayesian estimation techniques. Additionally, I compute the welfare gains of implementing an optimal response to credit spreads into an augmented Taylor rule. The main result is that a reaction to credit spreads does not imply significant welfare gains unless the economic disturbances increases its volatility, like the disruption implied by a financial crisis. Otherwise its impact over the macroeconomic variables is null.

Dependence of transient dynamics in a class-C laser upon variation of inversion with time

The transient statistics of a gain-switched coherently pumped class-C laser displays a linear correlation between the first passage time and subsequent peak intensity. Measurements are reported showing a positive or negative sign of this linear correlation, controlled through the switching time and the laser detuning. Further measurements of the small-signal laser gain combined with calculations involving a three-level laser model indicate that this sign fundamentally depends upon the way the laser inversion varies during the gain switching, despite the added dynamics of the laser polarization in the class-C laser. [S1050-2947(97)07112-6].

Energy resources management in three distinct time horizons considering a large variation in wind power

The intensive use of distributed generation based on renewable resources increases the complexity of power systems management, particularly the short-term scheduling. Demand response, storage units and electric and plug-in hybrid vehicles also pose new challenges to the short-term scheduling. However, these distributed energy resources can contribute significantly to turn the shortterm scheduling more efficient and effective improving the power system reliability. This paper proposes a short-term scheduling methodology based on two distinct time horizons: hour-ahead scheduling, and real-time scheduling considering the point of view of one aggregator agent. In each scheduling process, it is necessary to update the generation and consumption operation, and the storage and electric vehicles status. Besides the new operation condition, more accurate forecast values of wind generation and consumption are available, for the resulting of short-term and very short-term methods. In this paper, the aggregator has the main goal of maximizing his profits while, fulfilling the established contracts with the aggregated and external players.

Copy number variation modifies expression profiles over developmental time

Abstract : A preliminary understanding of the phenotypic effect of copy number variation (CNV) of DNA segments is emerging. These rearrangements were shown to influence, in a somewhat dose-dependent manner, the expression of genes mapping within them. They were also shown to modify the expression of genes located on their Hanks, sometimes at great distance. Here, we demonstrate by monitoring these effects at multiple life stages, that these controls over expression are effective throughout mouse development. Similarly, we observe that the more specific spatial expression patterns of CNV genes are maintained through life. However, 'we find that some brain- expressed genes mapping within CNVS appear to be under compensatory loops only at specific time-points, indicating that the effect of CNVS on these genes is modulated during development. Notably, we also observe that CNV genes are significantly enriched within transcripts that show variable time-course expression between strains. Thus, modifying the copy number of a gene may potentially alter not only its expression level, but its timing of expression as well. Résume : Nous commençons à comprendre les effets phénotypiques liés aux séquences d'ADN qui changent de nombre de copies d'un individu a l'autre. Des travaux précédents ont montré que ces variante de nombre de copies (CNVS) avaient une influence sur l'expression non seulement des gènes se trouvant dans le réarrangement, mais aussi sur ceux se trouvant à une certaine distance. Le présent travail étudie ces effets à différents stades du développement de la souris allant d'un embryon de deux semaines à la souris adulte. Nous avons observé que certains gènes exprimés dans le cerveau semblent soumis à un contrôle plus strict a certaines étapes du développement suggèrent que l'effet des CNVs est modulé différemment au cours de la vie. Notre travail sur trois souches différentes de souris a permis de montrer que les gènes ayant un profil d'expression différent dans le temps entre souches sont enrichis en gènes se trouvant dans des CNVs. Ceci nous amène à penser que les CNVs ont, non seulement une influence sur le niveau d'expression des gènes, mais aussi sur les moments durant lesquels ils seront exprimés. Résumé pour un large public : De nombreuses maladies sont dues soit a un gain (on parle alors de duplication) soit à une perte de matériel génétique (il s'agit dune délétion). Bien que les recherches visant à identifier les mécanismes moléculaires liés à ces réarrangements de notre génome progressent continuellement, la plupart des causes des maladies génétiques restent à élucider. Certaines parties de notre génome sont présentes en un nombre de copies qui diffère d'un individu à l'autre sans pour autant provoquer une ou des maladies. Ces segments d'ADN qui varient en nombre sont appelés Copy Number Variant (CNVs). Ils couvrent environ 12% de notre matériel génétique. Des études menées sur différents modèles animaux ont montré que les CNVs avaient une influence aussi bien sur les gènes qui sont a l'intérieur des CNVs que sur ceux qui sont dans leur voisinage. Ce travail étudie l'effet des CNVs à travers différents stades du développement de la souris. Nous avons démontré que les segments d'ADN qui varient en nombre de copies ont des effets variables selon le stade auxquels ils sont mesurés. Ainsi, les CNVs ont non seulement un impact sur l'expression des gènes présents dans ces régions et dans leur voisinage, mais influencent également leurs profils d'expression au cours du temps.

Copy number variation modifies expression time courses.

A preliminary understanding into the phenotypic effect of DNA segment copy number variation (CNV) is emerging. These rearrangements were demonstrated to influence, in a somewhat dose-dependent manner, the expression of genes that map within them. They were also shown to modify the expression of genes located on their flanks and sometimes those at a great distance from their boundary. Here we demonstrate, by monitoring these effects at multiple life stages, that these controls over expression are effective throughout mouse development. Similarly, we observe that the more specific spatial expression patterns of CNV genes are maintained through life. However, we find that some brain-expressed genes mapping within CNVs appear to be under compensatory loops only at specific time points, indicating that the effect of CNVs on these genes is modulated during development. Notably, we also observe that CNV genes are significantly enriched within transcripts that show variable time courses of expression between strains. Thus, modifying the copy number of a gene may potentially alter not only its expression level, but also the timing of its expression.

Floristic and structural variation of weeds in eucalyptus plantations as influenced by relief and time of year

The objective of this work was to analyze the floristic variation and phytosociological structure of weeds as influenced by relief and time of year in eucalyptus plantations in Santana do Paraíso and Guanhães - MG. The total area sampled for each locality was approximately 10 ± 3 hectares, comprising three types of relief: lowland, slope, and upper area. In each type of relief, 10 plots of 1 m² were sampled, corresponding to 30 plots per locality, where they were randomly allocated in a zigzag. The taxonomic identification was performed in four assessments, corresponding to the months of November and March, comprising two ratings each season, always at the same points, and geo-referenced using the Global Positioning System (GPS). A total of 3,893 individuals, 18 families and 61 species, were identified in Santana do Paraiso and a total of 1,166 individuals, 13 families and 58 species, in Guanhães. In both localities, the most representative families in terms of wealth were: Poaceae, Asteraceae, and Fabaceae. Galinsoga parviflora was the most abundant species. The Vernonia polyantes was identified only in the lowlands, while Arrabida florida was identified in the slope and upper area. On the other hand, Emilia coccinea, Sida rhombifolia, S. paniculatum and Spermacoce latifolia were common to all three environments. Commelina benghalensis was present only in the month of March, while G. parviflora was present only in the month of November. It was concluded that the floristic and phytosociological variation of weeds in eucalyptus plantations is influenced by the type of relief and time of year, which should guide the management practices used in the culture.

Variation of some chemical and functional properties of Bambara groundnut (Voandzeia Subterranean L. Thouars) during sort time storage

Abstract The storage susceptibility of Bambara groundnut (B. G.) (Voandzeia Subterranean (L.) Thouars) to Callosobruchus maculatus and chemical and functional properties of 11 varieties form Far-North of Cameroon were investigate using standard analytical methods. Storage susceptibility shown that, after five months within treatment, C. maculatus destroy 10 to 50% of grains. The chemical characteristics of none attack grains of 11 varieties were range to 18.64 at 21.08%, 6.85 at 7.44%, 49.75 at 52.68% and to 6.05 at 7.55% respectively for protein, fat, starch and free carbohydrate. These chemical characteristics significantly (p < 0.05) decreases form attacks varieties. For the functional parameters, the none attacks grains was range of 130 at 135%, 19.15 at 20.91%, 18.20 at 21.13%, 2.76 at 3.21% and of 8.54 at 10.14% respectively for water capacity absorption, solubility index, gel length, ash and humidity. The results of this study indicated that storage susceptibility, chemical and functional properties of B. G. be dependant to the varieties.