Essays on the Modeling and Prediction of Volatility and Higher Moments of Stock Returns (summary section only)

One of the most fundamental and widely accepted ideas in finance is that investors are compensated through higher returns for taking on non-diversifiable risk. Hence the quantification, modeling and prediction of risk have been, and still are one of the most prolific research areas in financial economics. It was recognized early on that there are predictable patterns in the variance of speculative prices. Later research has shown that there may also be systematic variation in the skewness and kurtosis of financial returns. Lacking in the literature so far, is an out-of-sample forecast evaluation of the potential benefits of these new more complicated models with time-varying higher moments. Such an evaluation is the topic of this dissertation. Essay 1 investigates the forecast performance of the GARCH (1,1) model when estimated with 9 different error distributions on Standard and Poor’s 500 Index Future returns. By utilizing the theory of realized variance to construct an appropriate ex post measure of variance from intra-day data it is shown that allowing for a leptokurtic error distribution leads to significant improvements in variance forecasts compared to using the normal distribution. This result holds for daily, weekly as well as monthly forecast horizons. It is also found that allowing for skewness and time variation in the higher moments of the distribution does not further improve forecasts. In Essay 2, by using 20 years of daily Standard and Poor 500 index returns, it is found that density forecasts are much improved by allowing for constant excess kurtosis but not improved by allowing for skewness. By allowing the kurtosis and skewness to be time varying the density forecasts are not further improved but on the contrary made slightly worse. In Essay 3 a new model incorporating conditional variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously used NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor’s 500 returns. The results show that only the new model produces satisfactory VaR forecasts for both 1% and 5% VaR Taken together the results of the thesis show that kurtosis appears not to exhibit predictable time variation, whereas there is found some predictability in the skewness. However, the dynamic properties of the skewness are not completely captured by any of the models.

Legal Reasoning in Context

This study in EU law analyses the reasoning of the Court of Justice (the Court of Justice of the European Union) in a set of its preliminary rulings. Preliminary rulings are answers to national courts questions on the interpretation (and validity) of EU law called preliminary references. These questions concern specific legal issues that have arisen in legal disputes before the national courts. The Court of Justice alone has the ultimate authority to interpret EU law. The preliminary rulings bind the national courts in the cases giving rise to the preliminary reference, and the interpretations of EU law offered in the preliminary rulings are considered generally binding on all instances applying EU law. EU law is often described as a dynamic legal order and the Court of Justice as at the vanguard of developing it. It is generally assumed that the Court of Justice is striving to realise the EU s meta-level purpose (telos): integration. Against this backdrop one can understand the criticism the Court of Justice is often faced with in certain fields of EU law that can be described as developing. This criticism concerns the Court s (negatively) activist way of not just stating the law but developing or even making law. It is difficult to analyse or prove wrong this accusation as it is not in methodological terms clearly established what constitutes judicial activism, or more exactly where the threshold of negative activism lies. Moreover, one popular approach to assessing the role of the Court of Justice described as integration through law has become fairly political, neglecting to take into consideration the special nature of law as both facilitating and constraining action, not merely a medium for furthering integration. This study offers a legal reasoning approach of a more legalist nature, in order to balance the existing mix of approaches to explaining what the Court of Justice does and how. Reliance on legal reasoning is found to offer a working framework for analysis, whereas the tools for an analysis based on activism are found lacking. The legal reasoning approach enables one to assess whether or not the Court of Justice is pertaining to its own established criteria of interpretation of EU law, and if it is not, one should look more in detail at how the interpretation fits with earlier case-law and doctrines of EU law. This study examines the reasoning of the Court of Justice in a set of objectively chosen cases. The emphasis of the study is on analysing how the Court of Justice applies the established criteria of interpretation it has assumed for itself. Moreover, the judgments are assessed not only in terms of reasoning but also for meaningful silences they contain. The analysis is furthermore contextualised by taking into consideration how the cases were commented by legal scholars, their substantive EU law context, and also their larger politico-historical context. In this study, the analysis largely shows that the Court of Justice is interpreting EU law in accordance with its previous practice. Its reasoning retains connection with the linguistic or semiotic criteria of interpretation, while emphasis lies on systemic reasoning. Moreover, although there are a few judgments where the Court of Justice offers clearly dynamic reasoning or what can be considered as substantive reasoning stemming from, for example, common sense or reasonableness, such reasons are most often given in addition to systemic ones. In this sense and even when considered in its broader context, the case-law analysed in this study does not portray a specifically activist image of the Court of Justice. The legal reasoning approach is a valid alternative for explaining how and why the Court of Justice interprets EU law as it does.

Regulation and Function of GATA Transcription Factors in Adrenocortical Tumors and Granulosa Cells

Transcription factors play a key role in tumor development, in which dysfunction of genes regulating tissue growth and differentiation is a central phenomenon. The GATA family of transcription factors consists of six members that bind to a consensus DNA sequence (A/T)GATA(A/G) in gene promoters and enhancers. The two GATA factors expressed in the adrenal cortex are GATA-4 and GATA-6. In both mice and humans, GATA-4 can be detected only during the fetal period, whereas GATA-6 expression is abundant both throughout development and in the adult. It is already established that GATA factors are important in both normal development and tumorigenesis of several endocrine organs, and expression of GATA-4 and GATA-6 is detected in adrenocortical tumors. The aim of this study was to elucidate the function of these factors in adrenocortical tumor growth. In embryonal development, the adrenocortical cells arise and differentiate from a common pool with gonadal steroidogenic cells, the urogenital ridge. As the adult adrenal cortex undergoes constant renewal, it is hypothesized that undifferentiated adrenocortical progenitor cells reside adjacent to the adrenal capsule and give rise to daughter cells that differentiate and migrate centripetally. A diverse array of hormones controls the differentiation, growth and survival of steroidogenic cells in the adrenal gland and the gonads. Factors such as luteinizing hormone and inhibins, traditionally associated with gonadal steroidogenic cells, can also influence the function of adrenocortical cells in physiological and pathophysiological states. Certain inbred strains of mice develop subcapsular adrenocortical tumors in response to gonadectomy. In this study, we found that these tumors express GATA-4, normally absent from the adult adrenal cortex, while GATA-6 expression is downregulated. Gonadal markers such as luteinizing hormone receptor, anti-Müllerian hormone and P450c17 are also expressed in the neoplastic cells, and the tumors produce gonadal hormones. The tumor cells have lost the expression of melanocortin-2 receptor and the CYP enzymes necessary for the synthesis of corticosterone and aldosterone. By way of xenograft studies utilizing NU/J nude mice, we confirmed that chronic gonadotropin elevation is sufficient to induce adrenocortical tumorigenesis in susceptible inbred strains. Collectively, these studies suggest that subcapsular adrenocortical progenitor cells can, under certain conditions, adopt a gonadal fate. We studied the molecular mechanisms involved in gene regulation in endocrine cells in order to elucidate the role of GATA factors in endocrine tissues. Ovarian granulosa cells express both GATA-4 and GATA-6, and the TGF-β signaling pathway is active in these cells. Inhibin-α is both a target gene for, and an atypical or antagonistic member of the TGF-β growth factor superfamily. In this study, we show that GATA-4 is required for TGF-β-mediated inhibin-α promoter activation in granulosa cells, and that GATA-4 physically interacts with Smad3, a TGF-β downstream protein. Apart from the regulation of steroidogenesis and other events in normal tissues, TGF-β signaling is implicated in tumors of multiple organs, including the adrenal cortex. Another signaling pathway found often to be aberrantly active in adrenocortical tumors is the Wnt pathway. As both of these pathways regulate the expression of inhibin-α, a transcriptional target for GATA-4 and GATA-6, we wanted to investigate whether GATA factors are associated with the components of these signaling cascades in human adrenocortical tumors. We found that the expression of Wnt co-receptors LRP5 and LRP6, Smad3, GATA-6 and SF-1 was diminished in adrenocortical carcinomas with poor outcome. All of these factors drive inhibin-α expression, and their expression in adrenocortical tumors correlated with that of inhibin-α. The results support a tumor suppressor role previously suggested for inhibin-α in the mouse adrenal cortex, and offer putative pathways associated with adrenocortical tumor aggressiveness. Unraveling the role of GATA factors and associated molecules in human and mouse adrenocortical tumors could ultimately contribute to the development of diagnostic tools and future therapies for these diseases.

Non-contractible non-edges in 2-connected graphs

Any pair of non-adjacent vertices forms a non-edge in a graph. Contraction of a non-edge merges two non-adjacent vertices into a single vertex such that the edges incident on the non-adjacent vertices are now incident on the merged vertex. In this paper, we consider simple connected graphs, hence parallel edges are removed after contraction. The minimum number of nodes whose removal disconnects the graph is the connectivity of the graph. We say a graph is k-connected, if its connectivity is k. A non-edge in a k-connected graph is contractible if its contraction does not result in a graph of lower connectivity. Otherwise the non-edge is non-contractible. We focus our study on non-contractible non-edges in 2-connected graphs. We show that cycles are the only 2-connected graphs in which every non-edge is non-contractible. (C) 2010 Elsevier B.V. All rights reserved.

Electrochemically deposited crystalline thin film of polyaniline on nickel for redox reactions at positive potentials

Redox reactions which occur at positive potentials such as ferrous/ferric, hydroquinone/quinone, ferrocyanide/ferricyanide etc. in aqueous acidic electrolytes cannot be studied on non-platinum metals, for example, a Ni electrode. On the contrary, these reactions occur on polyaniline (PANI) modified Ni electrodes, as evidenced from cyclic voltammetry, amperometry and steady-state polarization experiments. Under identical experimental conditions of scan rate (v) and concentration (C), the peak current density (i(p)) values of Fe2+/Fe3+ redox reaction are greater on the PANI modified Ni than on Pt. Additionally, the peak potential separation (DeltaE(p)) of the voltammogram is lesser on the PANI modified Ni. With an increase in thickness of the PANI, DeltaE(p) increases suggesting that the redox reactions tend to depart from the reversibility. Scanning electron micrographs reveal the presence of a crystalline deposit of PANI on Ni when the thickness of PANI is about 0.08 mum. However, the PANI becomes amorphous and porous at higher thickness values. Raman spectroscopy and X-ray diffraction studies corroborate the observations made out of scanning electron microscopy. Higher catalytic activity of PANI is attributed to crystalline nature of PANI on Ni. Exchange current density and standard rate constant of Fe2+/Fe(3+)redox reaction are evaluated. (C) 2002 Published by Elsevier Science B.V.

Numerical modeling of heat and mass transfer in laser surface alloying: Non-equilibrium solidification effects

A transient macroscopic model is developed for studying heat and mass transfer in a single-pass laser surface alloying process, with particular emphasis on non-equilibrium solidification considerations. The solution for species concentration distribution requires suitable treatment of non-equilibrium mass transfer conditions. In this context, microscopic features pertaining to non-equilibrium effects on account of solutal undercooling are incorporated through the formulation of a modified partition-coefficient. The effective partition-coefficient is numerically modeled by Means of a number of macroscopically observable parameters related to the solidifying domain. The numerical model is so developed that the modifications on account of non-equilibrium solidification considerations can be conveniently implemented in existing numerical codes based on equilibrium solidification considerations.

Nonlinear Dynamics of Beams with Stochastic Parameter Variations

The aim of this paper is to investigate the steady state response of beams under the action of random support motions. The study is of relevance in the context of earthquake response of extended land based structures such as pipelines and long span bridges, and, secondary systems such as piping networks in nuclear power plant installations. The following complicating features are accounted for in the response analysis: (a) differential support motions: this is characterized in terms of cross power spectral density functions associated with distinct support motions, (b) nonlinear support conditions, and (c) stochastically inhomogeneous stiffness and mass variations of the beam structure; questions on non-Gaussian models for these variations are considered. The method of stochastic finite elements is combined with equivalent linearization technique and Monte Carlo simulations to obtain response moments.

Role of clay content and moisture on characteristics of cement stabilised rammed earth

Rammed earth is an energy efficient and low carbon emission alternative for load bearing walls. This paper attempts to examine the influence of clay content and moisture content on the compressive strength of cement stabilised rammed earth (CSRE) through experimental investigations. Compressive strength of CSRE prisms was monitored both in dry and wet (saturated) conditions. Major conclusions of the study are:(a) Optimum clay content for maximum compressive strength is about 16%, (b) the strength of CSRE is sensitive to the moisture content at the time of testing, (c) Strength in saturated condition is less than half of the dry strength and (d) Water absorption (saturated water content) increases as the clay content of the soil mix increases and it is in the range of 12 to 16% for the CRSE prisms with 8% cement.

An Empirical Analysis of Heterogeneity in IEEE 802.11 MAC Protocol Implementations and its Implications

Wireless LAN (WLAN) market consists of IEEE 802.11 MAC standard conformant devices (e.g., access points (APs), client adapters) from multiple vendors. Certain third party certifications such as those specified by the Wi-Fi alliance have been widely used by vendors to ensure basic conformance to the 802.11 standard, thus leading to the expectation that the available devices exhibit identical MAC level behavior. In this paper, however, we present what we believe to be the first ever set of experimental results that highlight the fact that WLAN devices from different vendors in the market can have heterogeneous MAC level behavior. Specifically, we demonstrate with examples and data that in certain cases, devices may not be conformant with the 802.11 standard while in other cases, they may differ in significant details that are not a part of mandatory specifications of the standard. We argue that heterogeneous MAC implementations can adversely impact WLAN operations leading to unfair bandwidth allocation, potential break-down of related MAC functionality and difficulties in provisioning the capacity of a WLAN. However, on the positive side, MAC level heterogeneity can be useful in applications such as vendor/model level device fingerprinting.

Discrimination of Nuclear Grade Steel Samples Subjected to Different Heat Treatment Procedures Based on Acoustic Emission (AE) Data Profiling at Crack Initiation

The present work is an attempt to study crack initiation in nuclear grade, 9Cr-1Mo ferritic steel using AE as an online NDE tool. Laboratory experiments were conducted on 5 heat treated Compact Tension (CT) specimens made out of nuclear grade 9Cr-1Mo ferritic steel by subjecting them to cyclic tensile load. The CT Specimens were of 12.5 mm thickness. The Acoustic emission test system was setup to acquire the data continuously during the test by mounting AE sensor on one of the surfaces of the specimen. This was done to characterize AE data pertaining to crack initiation and then discriminate the samples in terms of their heat treatment processes based on AE data. The AE signatures at crack initiation could conclusively bring to fore the heat treatment distinction on a sample to sample basis in a qualitative sense.Thus, the results obtained through these investigations establish a step forward in utilizing AE technique as an on-line measurement tool for accurate detection and understanding of crack initiation and its profile in 9Cr-1Mo nuclear grade steel subjected to different processes of heat treatment.

Binding of BIS like and other ligands with the GSK-3 beta kinase: a combined docking and MM-PBSA study

Binding of several bisindolylmaleimide (BIS) like (BIS-3, BIS-8 and UCN1) and other ligands (H89, SB203580 and Y27632) with the glycogen synthase kinase-3 (GSK-3 beta) has been studied using combined docking, molecular dynamics and Poisson-Boltzmann surface area analysis approaches. The study generated novel binding modes of these ligands that can rationalize why some ligands inhibit GSK-3 beta while others do not. The relative binding free energies associated with these binding modes are in agreement with the corresponding measured specificities. This study further provides useful insight regarding possible existence of multiple conformations of some ligands like H89 and BIS-8. It is also found that binding modes of BIS-3, BIS-8 and UCN1 with GSK-3 beta and PDK1 kinases are similar. These new insights are expected to be useful for future rational design of novel, more potent GSK-3 beta-specific inhibitors as promising therapeutics.

Non-linear electrical response of chalcogenide glasses: Memory state phenomena

Investigations on the switching behaviour of arsenic-tellurium glasses with Ge or Al additives, yield interesting information about the dependence of switching on network rigidity, co-ordination of the constituents, glass transition & ambient temperature and glass forming ability.