Analysis of Stochastic Volatility Sequences Generated by Product Autoregressive Models

The classical methods of analysing time series by Box-Jenkins approach assume that the observed series uctuates around changing levels with constant variance. That is, the time series is assumed to be of homoscedastic nature. However, the nancial time series exhibits the presence of heteroscedasticity in the sense that, it possesses non-constant conditional variance given the past observations. So, the analysis of nancial time series, requires the modelling of such variances, which may depend on some time dependent factors or its own past values. This lead to introduction of several classes of models to study the behaviour of nancial time series. See Taylor (1986), Tsay (2005), Rachev et al. (2007). The class of models, used to describe the evolution of conditional variances is referred to as stochastic volatility modelsThe stochastic models available to analyse the conditional variances, are based on either normal or log-normal distributions. One of the objectives of the present study is to explore the possibility of employing some non-Gaussian distributions to model the volatility sequences and then study the behaviour of the resulting return series. This lead us to work on the related problem of statistical inference, which is the main contribution of the thesis

Photoionization of Kr near the 4s threshold: IV. Photoionization through the autoionization of doubly-excited states

The photoionization cross sections for the production of the Kr II 4s state and Kr II satellite states were studied in the 4s ionization threshold region. The interference of direct photoionization and ionization through the autoionization decay of doubly-excited states was considered. In the calculations of doubly-excited state energies, performed by a configuration interaction technique, the 4p spin-orbit interaction and the (Kr II core)-(excited electron) Coulomb interaction were included. The theoretical cross sections are in many cases in good agreement with the measured values. Strong resonant features in the satellite spectra with threshold energies greater than 30 eV are predicted.

Study of 3d - 4f and 3d - 5f quartet and doublet transitions of doubly excited three-electron ions

We present the first observation of optical transitions between doubly excited doublet states in the term systems N V, 0 VI and F VII. The spectra were produced by foil excitation of fast ion beams. The assignment of the spectral lines was made by comparison with the results of MCDP calculations along the isoelectronic sequence. The same method also led to the identification of two 3d - 4f quartet transitions in Mg X.

Further investigations on doubly excited four-electron ions: beam-foil experiment and MCDF theory

In continuation of our previous work on the quintet transitions 1s2s2p^2 ^5 P-1s2s2p3d ^5 P^0, ^5 D^0, results on other n = 2 - n' = 3 quintet transitions for elements N, 0 and F are presented. Assignments have been established by comparison with Multi-Configuration Dirac-Fock calculations. High spectral resolution on beam-foil spectroscopy was essential for the identification of most of the lines. For some of the quintet lines decay curves were measured, and the lifetimes extracted were found to be in reasonable agreement with MCDF calculations.

First results of experimental and theoretical investigations on sextet states of doubly-excited five-electron ions

In continuation of our previous work on doubly-excited ions with three and four electrons we present the first results on optical transitions in the term system of doubly-excited ions with five electrons. Transitions between such sextet states were identified in beam-foil spectra of the ions nitrogen, oxygen and fluorine. Assignments were first established by comparison with Multi-Configuration Dirac-Fock calculations. Later assignments were aided by Multi-Configuration Hartree-Fock calculations (see the contribution by G. Miecznik et al. in this issue). Decay curves were recorded for all six candidate lines. The lifetime results are compared to theoretical values which confirm most of the assignments qualitatively.

Transitions between quintet states of doubly excited four-electron ions

Following an earlier observation in F VI we identified the line pair 1s2s2p^2 {^5P}-1s2s2p3d {^5P^0} , {^5D^0} for the elements N, O, Mg, and tentatively for A1 and Si in beam-foil spectra. Assignment was established by comparison with Multi-Configuration Dirac-Fock calculations along the isoelectronic sequence. Using this method we also identified some quartet lines of lithium-like ions with Z > 10.

Experimental Markets for Product Concepts

Market prices are well known to efficiently collect and aggregate diverse information regarding the value of commodities and assets. The role of markets has been particularly suitable to pricing financial securities. This article provides an alternative application of the pricing mechanism to marketing research - using pseudo-securities markets to measure preferences over new product concepts. Surveys, focus groups, concept tests and conjoint studies are methods traditionally used to measure individual and aggregate preferences. Unfortunately, these methods can be biased, costly and time-consuming to conduct. The present research is motivated by the desire to efficiently measure preferences and more accurately predict new product success, based on the efficiency and incentive-compatibility of security trading markets. The article describes a novel market research method, pro-vides insight into why the method should work, and compares the results of several trading experiments against other methodologies such as concept testing and conjoint analysis.

A FRAMEWORK FOR ACHIEVING LIFECYCLE VALUE IN AEROSPACE PRODUCT DEVELOPMENT

Creation of lifecycle value - a balance of performance with cost and other attributes - represents a challenge for the development of aerospace products in the twenty-first century. This paper examines the concept of lifecycle value that stems from existing approaches of value management and analysis, lifecycle costing, and systems engineering. To ascertain common characteristics of lifecycle value creation, case studies were done for four aircraft programs: F/A- 18E/F, JAS 39 Gripen, F-16C/D, and B-777. A lifecycle value creation framework is introduced, comprised of three phases: value identification, value proposition, value delivery. Based upon observed practices in the four case studies, six value creation attributes were identified. Capability maturity models for the six attributes and three value creation phases are presented. The resulting framework represents a starting point for programs seeking to create lifecycle value for aerospace products.

Lifecycle Value Framework for Tactical Aircraft Product Development

Due to a dramatic reduction in defense procurement, the benchmark for developing new defense systems today is performance at an affordable cost. In an attempt to encircle a more holistic perspective of value, lifecycle value has evolved as a concept within the Lean Aerospace Initiative, LAI. The implication of this is development of products incorporating lifecycle and long-term focus instead of a shortsighted cost cutting focus. The interest to reduce total cost of ownership while still improving performance, availability, and sustainability, other dimensions taken into account within the lifecycle value approach, falls well within this context. Several factors prevent enterprises from having a holistic perspective during product development. Some important aspects are increased complexity of the products and significant technological uncertainty. The combination of complexity in system design and the limits of individual human comprehension typically prevent a best value solution to be envisioned. The purpose of this research was to examine relative contributions in product development and determine factors that significantly promote abilities to consider and achieve lifecycle value. This paper contributes a maturity matrix based on important practices and lessons learned through extensive interview based case studies of three tactical aircraft programs, including experiences from more than 100 interviews.

Measuring Value in Product Development

“What is value in product development?” is the key question of this paper. The answer is critical to the creation of lean in product development. By knowing how much value is added by product development (PD) activities, decisions can be more rationally made about how to allocate resources, such as time and money.

Output from the 1998 Product Development Value Stream Workshop: A Framework for Understanding Information Flow in the Product Development Process

The descriptions below and the attached diagrams are outputs of the 1998 LAI Product Development Focus Team workshop on the Value Chain in Product Development. A working group at that workshop was asked to model the product development process: in terms of the phases of product development and their interfaces, boundaries and outputs. Their work has proven to be generally useful to LAI researchers and industry members, and so is formalized here.

Strategies for Lean Product Development

The essence of lean is very simple, but from a research and implementation point of view overwhelming. Lean is the search for perfection through the elimination of waste and the insertion of practices that contribute to reduction in cost and schedule while improving performance of products. This concept of lean has wide applicability to a large range of processes, people and organizations, from concept design to the factory floor, from the laborer to the upper management, from the customer to the developer. Progress has been made in implementing and raising the awareness of lean practices at the factory floor. However, the level of implementation and education in other areas, like product development, is very low.

Value Creation in Product Development

-Definitions -Value concepts -Value creation framework -Value creation and product development

Value Stream Analysis and Mapping for Product Development

This paper explores the concept of Value Stream Analysis and Mapping (VSA/M) as applied to Product Development (PD) efforts. Value Stream Analysis and Mapping is a method of business process improvement. The application of VSA/M began in the manufacturing community. PD efforts provide a different setting for the use of VSA/M. Site visits were made to nine major U.S. aerospace organizations. Interviews, discussions, and participatory events were used to gather data on (1) the sophistication of the tools used in PD process improvement efforts, (2) the lean context of the use of the tools, and (3) success of the efforts. It was found that all three factors were strongly correlated, suggesting success depends on both good tools and lean context. Finally, a general VSA/M method for PD activities is proposed. The method uses modified process mapping tools to analyze and improve process.

Value Stream Analysis and Mapping for Product Development

This paper explores the concept of Value Stream Analysis and Mapping (VSA/M) as applied to Product Development (PD) efforts. Value Stream Analysis and Mapping is a method of business process improvement. The application of VSA/M began in the manufacturing community. PD efforts provide a different setting for the use of VSA/M. Site visits were made to nine major U.S. aerospace organizations. Interviews, discussions, and participatory events were used to gather data on (1) the sophistication of the tools used in PD process improvement efforts, (2) the lean context of the use of the tools, and (3) success of the efforts. It was found that all three factors were strongly correlated, suggesting success depends on both good tools and lean context. Finally, a general VSA/M method for PD activities is proposed. The method uses modified process mapping tools to analyze and improve process.