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.

BER analysis of space-time block codes from generalized complex orthogonal designs for M-PSK

In this paper, we present an analysis for the bit error rate (BER) performance of space-time block codes (STBC) from generalized complex orthogonal designs for M-PSK modulation. In STBCs from complex orthogonal designs (COD), the norms of the column vectors are the same (e.g., Alamouti code). However, in generalized COD (GCOD), the norms of the column vectors may not necessarily be the same (e.g., the rate-3/5 and rate-7/11 codes by Su and Xia in [1]). STBCs from GCOD are of interest because of the high rates that they can achieve (in [2], it has been shown that the maximum achievable rate for STBCs from GCOD is bounded by 4/5). While the BER performance of STBCs: from COD (e.g., Alamouti code) can be simply obtained from existing analytical expressions for receive diversity with the same diversity order by appropriately scaling the SNR, this can not be done for STBCs from GCOD (because of the unequal norms of the column vectors). Our contribution in this paper is that we derive analytical expressions for the BER performance of any STBC from GCOD. Our BER analysis for the GCOD captures the performance of STBCs from COD as special cases. We validate our results with two STBCs from GCOD reported by Su and Xia in [1], for 5 and 6 transmit antennas (G(5) and G(6) in [1]) with rates 7/11 and 3/5, respectively.

BER analysis of space-time block codes from generalized complex orthogonal designs for M-PSK

In this paper, we present an analysis for the bit error rate (BER) performance of space-time block codes (STBC) from generalized complex orthogonal designs for M-PSK modulation. In STBCs from complex orthogonal designs (COD), the norms of the column vectors are the same (e.g., Alamouti code). However, in generalized COD (GCOD), the norms of the column vectors may not necessarily be the same (e.g., the rate-3/5 and rate-7/11 codes by Su and Xia in [1]). STBCs from GCOD are of interest because of the high rates that they can achieve (in [2], it has been shown that the maximum achievable rate for STBCs from GCOD is bounded by 4/5). While the BER performance of STBCs: from COD (e.g., Alamouti code) can be simply obtained from existing analytical expressions for receive diversity with the same diversity order by appropriately scaling the SNR, this can not be done for STBCs from GCOD (because of the unequal norms of the column vectors). Our contribution in this paper is that we derive analytical expressions for the BER performance of any STBC from GCOD. Our BER analysis for the GCOD captures the performance of STBCs from COD as special cases. We validate our results with two STBCs from GCOD reported by Su and Xia in [1], for 5 and 6 transmit antennas (G(5) and G(6) in [1]) with rates 7/11 and 3/5, respectively.

Extraordinary high strain rate superplasticity in electrodeposited nano-nickel and alloys

Superplastic materials exhibit very large elongations to failure,typically >500%, and this enables commercial forming of complex shaped components at slow strain rates of similar to 10(-4) s(-1). We report extraordinary record superplastic elongations to failure of up to 5300% at both high strain rates and low temperature in electrodeposited nanocrystalline Ni and some Ni alloys. Superplasticity is not related to the presence of sulfur or a low melting phase at grain boundaries. (C) 2010 Acta Materialia Inc. Published by Elsevier Ltd. All rights reserved.

Cystatin C, a measure of renal function, as prognostic risk marker in acute heart failure : Studies on the cardiorenal syndrome

Acute heart failure (AHF) is a complex syndrome associated with exceptionally high mortality. Still, characteristics and prognostic factors of contemporary AHF patients have been inadequately studied. Kidney function has emerged as a very powerful prognostic risk factor in cardiovascular disease. This is believed to be the consequence of an interaction between the heart and kidneys, also termed the cardiorenal syndrome, the mechanisms of which are not fully understood. Renal insufficiency is common in heart failure and of particular interest for predicting outcome in AHF. Cystatin C (CysC) is a marker of glomerular filtration rate with properties making it a prospective alternative to the currently used measure creatinine for assessment of renal function. The aim of this thesis is to characterize a representative cohort of patients hospitalized for AHF and to identify risk factors for poor outcome in AHF. In particular, the role of CysC as a marker of renal function is evaluated, including examination of the value of CysC as a predictor of mortality in AHF. The FINN-AKVA (Finnish Acute Heart Failure) study is a national prospective multicenter study conducted to investigate the clinical presentation, aetiology and treatment of, as well as concomitant diseases and outcome in, AHF. Patients hospitalized for AHF were enrolled in the FINN-AKVA study, and mortality was followed for 12 months. The mean age of patients with AHF is 75 years and they frequently have both cardiovascular and non-cardiovascular co-morbidities. The mortality after hospitalization for AHF is high, rising to 27% by 12 months. The present study shows that renal dysfunction is very common in AHF. CysC detects impaired renal function in forty percent of patients. Renal function, measured by CysC, is one of the strongest predictors of mortality independently of other prognostic risk markers, such as age, gender, co-morbidities and systolic blood pressure on admission. Moreover, in patients with normal creatinine values, elevated CysC is associated with a marked increase in mortality. Acute kidney injury, defined as an increase in CysC within 48 hours of hospital admission, occurs in a significant proportion of patients and is associated with increased short- and mid-term mortality. The results suggest that CysC can be used for risk stratification in AHF. Markers of inflammation are elevated both in heart failure and in chronic kidney disease, and inflammation is one of the mechanisms thought to mediate heart-kidney interactions in the cardiorenal syndrome. Inflammatory cytokines such as interleukin-6 (IL-6) and tumor necrosis factor-alpha (TNF-α) correlate very differently to markers of cardiac stress and renal function. In particular, TNF-α showed a robust correlation to CysC, but was not associated with levels of NT-proBNP, a marker of hemodynamic cardiac stress. Compared to CysC, the inflammatory markers were not strongly related to mortality in AHF. In conclusion, patients with AHF are elderly with multiple co-morbidities, and renal dysfunction is very common. CysC demonstrates good diagnostic properties both in identifying impaired renal function and acute kidney injury in patients with AHF. CysC, as a measure of renal function, is also a powerful prognostic marker in AHF. CysC shows promise as a marker for assessment of kidney function and risk stratification in patients hospitalized for AHF.

An evaluation of rate-controlling obstacles for low-temperature deformation of zirconium

The low-temperature plastic flow of alpha-zirconium was studied by employing constantrate tensile tests and differential-stress creep experiments. The activation parameters, enthalpy and area, have been obtained as a function of stress for pure, as well as commercial zirconium. The activation area is independent of grain size and purity and falls to about 9b2 at high stresses. The deformation mechanism below about 700° K is found to be controlled by a single thermally activated process, and not a two-stage activation mechanism. Several dislocation mechanisms are examined and it is concluded that overcoming the Peierls energy humps by the formation of kink pairs in a length of dislocation is the rate-controlling mechanism. The total energy needed to nucleate a double kink is about 0.8 eV in pure zirconium and 1 eV in commercial zirconium

Transient MHD stagnation flow of a non-Newtonian fluid due to impulsive motion from rest

The transient boundary layer flow and heat transfer of a viscous incompressible electrically conducting non-Newtonian power-law fluid in a stagnation region of a two-dimensional body in the presence of an applied magnetic field have been studied when the motion is induced impulsively from rest. The nonlinear partial differential equations governing the flow and heat transfer have been solved by the homotopy analysis method and by an implicit finite-difference scheme. For some cases, analytical or approximate solutions have also been obtained. The special interest are the effects of the power-law index, magnetic parameter and the generalized Prandtl number on the surface shear stress and heat transfer rate. In all cases, there is a smooth transition from the transient state to steady state. The shear stress and heat transfer rate at the surface are found to be significantly influenced by the power-law index N except for large time and they show opposite behaviour for steady and unsteady flows. The magnetic field strongly affects the surface shear stress, but its effect on the surface heat transfer rate is comparatively weak except for large time. On the other hand, the generalized Prandtl number exerts strong influence on the surface heat transfer. The skin friction coefficient and the Nusselt number decrease rapidly in a small interval 0 < t* < 1 and reach the steady-state values for t* >= 4. (C) 2010 Published by Elsevier Ltd.

High Rate Capability of Porous LiNi1/3Co1/3Mn1/3O2 Synthesized by Polymer Template Route

Layered LiNi1/3Co1/3Mn1/3O2, which is isostructural with LiCoO2, is considered as a potential cathode material for Li-ion batteries. Submicrometer sized porous particles are useful for high discharge rates. The present work involves a synthesis of submicrometer sized porous particles of LiNi1/3Co1/3Mn1/3O2 using a triblock copolymer as a soft template. The precursor obtained from the reaction is heated at different temperatures between 600 and 900 degrees C for 6 h to get the final product samples. The compound attains increased crystallinity with an increase in the temperature of preparation. However, there is a decrease in the surface area and also in the porosity of the sample. Nevertheless, the LiNi1/3Co1/3Mn1/3O2 sample prepared at 900 degrees C exhibits a high rate capability and stable capacity retention on cycling. The electrochemical performance of LiNi1/3Co1/3Mn1/3O2 prepared in the absence of the polymer template is inferior to that of the sample prepared in the presence of the polymer template. (C) 2010 The Electrochemical Society. [DOI: 10.1149/1.3364944] All rights reserved.

Solution-Combustion Synthesized Nanocrystalline Li4Ti5O12 As High-Rate Performance Li-Ion Battery Anode

Nanocrystalline Li4Ti5O12 (LTO) crystallizing in cubic spinel-phase has been synthesized by single-step-solution-combustion method in less than one minute. LTO particles thus synthesized are flaky and highly porous in nature with a surface area of 12 m(2)/g. Transmission electron micrographs indicate the primary particles to be agglomerated crystallites of varying size between 20 and 50 nm with a 3-dimensional interconnected porous network. During their galvanostatic charge-discharge at varying rates, LTO electrodes yield a capacity value close to the theoretical value of 175 mA h/g at C/2 rate. The electrodes also exhibit promising capacity retention with little capacity loss over 100 cycles at varying discharge rates together with attractive discharge-rate capabilities yielding capacity values of 140 mA h/g and 70 mA h/g at 10 and 100 C discharge rates, respectively. The ameliorated electrode-performance is ascribed to nano and highly porous morphology of the electrodes that provide short diffusion-paths for Li in conjunction with electrolyte percolation through the electrode pores ensuring a high flux of Li.

Political Risk in Credit Evaluation: Empirical Studies and Survey Results

Financing trade between economic agents located in different countries is affected by many types of risks, resulting from incomplete information about the debtor, the problems of enforcing international contracts, or the prevalence of political and financial crises. Trade is important for economic development and the availability of trade finance is essential, especially for developing countries. Relatively few studies treat the topic of political risk, particularly in the context of international lending. This thesis explores new ground to identify links between political risk and international debt defaults. The core hypothesis of the study is that the default probability of debt increases with increasing political risk in the country of the borrower. The thesis consists of three essays that support the hypothesis from different angles of the credit evaluation process. The first essay takes the point of view of an international lender assessing the credit risk of a public borrower. The second investigates creditworthiness assessment of companies. The obtained results are substantiated in the third essay that deals with an extensive political risk survey among finance professionals in developing countries. The financial instruments of core interest are export credit guaranteed debt initiated between the Export Credit Agency of Finland and buyers in 145 countries between 1975 and 2006. Default events of the foreign credit counterparts are conditioned on country-specific macroeconomic variables, corporate-specific accounting information as well as political risk indicators from various international sources. Essay 1 examines debt issued to government controlled institutions and conditions public default events on traditional macroeconomic fundamentals, in addition to selected political and institutional risk factors. Confirming previous research, the study finds country indebtedness and the GDP growth rate to be significant indicators of public default. Further, it is shown that public defaults respond to various political risk factors. However, the impact of the risk varies between countries at different stages of economic development. Essay 2 proceeds by investigating political risk factors as conveivable drivers of corporate default and uses traditional accounting variables together with new political risk indicators in the credit evaluation of private debtors. The study finds links between corporate default and leverage, as well as between corporate default and the general investment climate and measeures of conflict in the debtor country. Essay 3 concludes the thesis by offering survey evidence on the impact of political risk on debt default, as perceived and experienced by 103 finance professionals in 38 developing countries. Taken together, the results of the thesis suggest that various forms of political risk are associated with international debt defaults and continue to pose great concerns for both international creditors and borrowers in developing countries. The study provides new insights on the importance of variable selection in country risk analysis, and shows how political risk is actually perceived and experienced in the riskier, often lower income countries of the global economy.

On the maximal rate of (n+1) x n and (n+2) x n complex orthogonal designs

For p x n complex orthogonal designs in k variables, where p is the number of channels uses and n is the number of transmit antennas, the maximal rate L of the design is asymptotically half as n increases. But, for such maximal rate codes, the decoding delay p increases exponentially. To control the delay, if we put the restriction that p = n, i.e., consider only the square designs, then, the rate decreases exponentially as n increases. This necessitates the study of the maximal rate of the designs with restrictions of the form p = n+1, p = n+2, p = n+3 etc. In this paper, we study the maximal rate of complex orthogonal designs with the restrictions p = n+1 and p = n+2. We derive upper and lower bounds for the maximal rate for p = n+1 and p = n+2. Also for the case of p = n+1, we show that if the orthogonal design admit only the variables, their negatives and multiples of these by root-1 and zeros as the entries of the matrix (other complex linear combinations are not allowed), then the maximal rate always equals the lower bound.

Minimum-Decoding-Complexity, maximum-rate Space-Time Block Codes from Clifford algebras

It is well known that Alamouti code and, in general, Space-Time Block Codes (STBCs) from complex orthogonal designs (CODs) are single-symbol decodable/symbolby-symbol decodable (SSD) and are obtainable from unitary matrix representations of Clifford algebras. However, SSD codes are obtainable from designs that are not CODs. Recently, two such classes of SSD codes have been studied: (i) Coordinate Interleaved Orthogonal Designs (CIODs) and (ii) Minimum-Decoding-Complexity (MDC) STBCs from Quasi-ODs (QODs). In this paper, we obtain SSD codes with unitary weight matrices (but not CON) from matrix representations of Clifford algebras. Moreover, we derive an upper bound on the rate of SSD codes with unitary weight matrices and show that our codes meet this bound. Also, we present conditions on the signal sets which ensure full-diversity and give expressions for the coding gain.

Design and analysis of rate aware ad hoc 802.11 networks

802.11 WLANs are characterized by high bit error rate and frequent changes in network topology. The key feature that distinguishes WLANs from wired networks is the multi-rate transmission capability, which helps to accommodate a wide range of channel conditions. This has a significant impact on higher layers such as routing and transport levels. While many WLAN products provide rate control at the hardware level to adapt to the channel conditions, some chipsets like Atheros do not have support for automatic rate control. We first present a design and implementation of an FER-based automatic rate control state machine, which utilizes the statistics available at the device driver to find the optimal rate. The results show that the proposed rate switching mechanism adapts quite fast to the channel conditions. The hop count metric used by current routing protocols has proven itself for single rate networks. But it fails to take into account other important factors in a multi-rate network environment. We propose transmission time as a better path quality metric to guide routing decisions. It incorporates the effects of contention for the channel, the air time to send the data and the asymmetry of links. In this paper, we present a new design for a multi-rate mechanism as well as a new routing metric that is responsive to the rate. We address the issues involved in using transmission time as a metric and presents a comparison of the performance of different metrics for dynamic routing.