Modelling stock volatilities during financial crises:a time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.

Change-induced stressors and effective coping strategies in nursing

This study seeks to examine the causality of non-nursing and nursing stressors on the job satisfaction of nurses and how coping strategies have a mediating influence on this relationship in the context of sector-wide reform. To conceptualize the relationships, a mediation path model was developed. Data were collected at two time points using a self-completed online survey over a six monthly interval. During time 1, 306 Australian nurses completed the online survey. In the first wave (time 1), 306 Australian nurses completed the survey. In the second wave (time 2), matched survey data were collected from 119 nurses. The analysis showed a significant causal relationship between time 1 administrative and role stressors and an increase in nursing stress in time 2. A significant relationship was also identified between job specific context stressors and the adoption of effective coping strategies to deal with increased level of change-induced stress and strain and the likelihood of reporting higher level of job satisfaction in time 2. This study contributes by providing an integrated theoretical perspective on how stress affects retention that has so far been elusive. This is useful to researchers wanting to examine this phenomenon further and practitioners responsible for implementing change programs.

Costs assessor selection: A question of timing, or cost?

In Lessbrook Pty Ltd (in liq) v Whap; Stephen; Bowie; Kepa & Kepa [2014] QCA 63 the Queensland Court of Appeal dealt with significant questions of general application relating to the appointment of assessors to conduct an assessment of costs under the Uniform Civil Procedure Rules 1999 (Qld) (UCPR).

Early mathematical learning: Number processing skills and executive function at 5 and 8 years of age

This research investigated differences and associations in performance in number processing and executive function for children attending primary school in a large Australian metropolitan city. In a cross-sectional study, performance of 25 children in the first full-time year of school, (Prep; mean age = 5.5 years) and 21 children in Year 3 (mean age = 8.5 years) completed three number processing tasks and three executive function tasks. Year 3 children consistently outperformed the Prep year children on measures of accuracy and reaction time, on the tasks of number comparison, calculation, shifting, and inhibition but not on number line estimation. The components of executive function (shifting, inhibition, and working memory) showed different patterns of correlation to performance on number processing tasks across the early years of school. Findings could be used to enhance teachers’ understanding about the role of the cognitive processes employed by children in numeracy learning, and so inform teachers’ classroom practices.

Bromus catharticus striate mosaic virus: a new mastrevirus infecting Bromus catharticus from Australia.

Although monocotyledonous-plant-infecting mastreviruses (in the family Geminiviridae) are known to cause economically significant crop losses in certain areas of the world, in Australia, they pose no obvious threat to agriculture. Consequently, only a few Australian monocot-infecting mastreviruses have been described, and only two have had their genomes fully sequenced. Here, we present the third full-genome sequence of an Australian monocot-infecting mastrevirus from Bromus catharticus belonging to a distinct species, which we have tentatively named Bromus catharticus striate mosaic virus (BCSMV). Although the genome of this new virus shares only 57.7% sequence similarity with that of its nearest known relative, Digitaria didactyla striate mosaic virus (DDSMV; also from Australia), it has features typical of all other known mastrevirus genomes. Phylogenetic analysis showed that both the full genome and each of its probable expressed proteins group with the two other characterised Australian monocot-infecting mastreviruses. Besides the BCSMV genome sequence revealing that Australian monocot-infecting mastrevirus diversity rivals that seen in Africa, it has enabled us, for the first, to time detect evidence of recombination amongst the Australian viruses. Specifically, it appears that DDSMV possesses a short intergenic region sequence that has been recombinationally derived from either BCSMV or a close relative that has not yet been identified.

How the development of condensation particle counters is reforming our view on atmospheric nucleation

Aerosol particles deteriorate air quality, atmospheric visibility and our health. They affect the Earth s climate by absorbing and scattering sunlight, forming clouds, and also via several feed-back mechanisms. The net effect on the radiative balance is negative, i.e. cooling, which means that particles counteract the effect of greenhouse gases. However, particles are one of the poorly known pieces in the climate puzzle. Some of the airborne particles are natural, some anthropogenic; some enter the atmosphere in particle form, while others form by gas-to-particle conversion. Unless the sources and dynamical processes shaping the particle population are quantified, they cannot be incorporated into climate models. The molecular level understanding of new particle formation is still inadequate, mainly due to the lack of suitable measurement techniques to detect the smallest particles and their precursors. This thesis has contributed to our ability to measure newly formed particles. Three new condensation particle counter applications for measuring the concentration of nano-particles were developed. The suitability of the methods for detecting both charged and electrically neutral particles and molecular clusters as small as 1 nm in diameter was thoroughly tested both in laboratory and field conditions. It was shown that condensation particle counting has reached the size scale of individual molecules, and besides measuring the concentration they can be used for getting size information. In addition to atmospheric research, the particle counters could have various applications in other fields, especially in nanotechnology. Using the new instruments, the first continuous time series of neutral sub-3 nm particle concentrations were measured at two field sites, which represent two different kinds of environments: the boreal forest and the Atlantic coastline, both of which are known to be hot-spots for new particle formation. The contribution of ions to the total concentrations in this size range was estimated, and it could be concluded that the fraction of ions was usually minor, especially in boreal forest conditions. Since the ionization rate is connected to the amount of cosmic rays entering the atmosphere, the relative contribution of neutral to charged nucleation mechanisms extends beyond academic interest, and links the research directly to current climate debate.

Differential influence of ions on the copy number of plasmids in Thiobacillus ferrooxidans

Thiobacillus ferrooxidans MAL4-1, an isolate from Malanjkhand copper mines, India, was adapted to grow in the presence of high concentration (30 gL(-1)) of Cu2+, resulting in a 15-fold increase in its tolerance to Cu2+. While wild-type T. ferrooxidans MAL4-1 contained multiple plasmids, cultures adapted to Cu2+ concentrations of 20 gL(-1) or more showed a drastic reduction in the copy number of the plasmids. The reduction for three of the plasmids was estimated to be over 50-fold. Examination of the plasmid profiles of the strains adapted to high concentration of SO42- anion (as Na2SO4 or ZnSO4) indicated that the reduction in plasmid copy number is not owing to SO42- anion, but is specific for Cu2+. The effect of mercury on the plasmids was similar to that of copper. Deadaptation of the Cu2+- Or Hg2+-adapted T. ferrooxidans resulted in restoration of the plasmids to the original level within the first passage. The fact that the plasmid copy number, in general, is drastically reduced in Cu2+-adapted T. ferrooxidans suggests that resistance to copper is chromosome mediated. This is the first report of a selective negative influence of copper ions on the copy number of plasmids in T. ferrooxidans.

Tractable theories for the synthesis of neural networks

The Radius of Direct attraction of a discrete neural network is a measure of stability of the network. it is known that Hopfield networks designed using Hebb's Rule have a radius of direct attraction of Omega(n/p) where n is the size of the input patterns and p is the number of them. This lower bound is tight if p is no larger than 4. We construct a family of such networks with radius of direct attraction Omega(n/root plog p), for any p greater than or equal to 5. The techniques used to prove the result led us to the first polynomial-time algorithm for designing a neural network with maximum radius of direct attraction around arbitrary input patterns. The optimal synaptic matrix is computed using the ellipsoid method of linear programming in conjunction with an efficient separation oracle. Restrictions of symmetry and non-negative diagonal entries in the synaptic matrix can be accommodated within this scheme.

Electrothermal Ageing of Epoxy Nanocomposites

Constant stress accelerated ageing experiments were conducted on unfilled epoxy and epoxy alumina nanocomposites with different filler loadings of 0.1, 1 and 5 wt%. Electrical (6 kV/mm), thermal (60 degrees C) and combined electrothermal (6 kV/mm and 60 degrees C) ageing experiments were performed for a duration of 250 h. The leakage current through the samples were continuously monitored and the variation in the tan delta values with ageing duration was also monitored. It was observed that the increase in the tan delta value with ageing duration was less for the epoxy alumina nanocomposites as compared to the unfilled epoxy. Dielectric spectroscopy measurements were performed on the samples before and after the ageing in the frequency range of 10(-2) to 10(6) Hz. The permittivity and tan delta values were found to increase in the low frequency range. The volume resistivity of unfilled epoxy and epoxy alumina nanocomposites were also measured before and after the ageing. The volume resistivity improved marginally for the thermally aged samples, but reduced for the electrically aged and the electrothermally aged samples. The decrease in the value of volume resistivity was more for the multistress aged unfilled epoxy samples as compared to the multistress aged epoxy alumina nanocomposites. It was also observed that the unfilled epoxy samples having a higher value of tan delta failed first. The time to failure of the samples showed an increasing trend with an increase in the nano filler loading of epoxy alumina nanocomposites.

Volume conservation issues in incompressible smoothed particle hydrodynamics

A divergence-free velocity field is usually sought in numerical simulations of incompressible fluids. We show that the particle methods that compute a divergence-free velocity field to achieve incompressibility suffer from a volume conservation issue when a finite time-step position update scheme is used. Further, we propose a deformation gradient based approach to arrive at a velocity field that reduces the volume conservation issues in free surface flows and maintains density uniformity in internal flows while retaining the simplicity of first order time updates. (C) 2015 Elsevier Inc. All rights reserved.

Enterprise resource planning: Analysing the impact

Describes a study that set out to evaluate the performance impact of a SAP R3 implementation. The SAP system was implemented by a major multinational business in four of its European plants. Qualitative and quantitative data were collected over a two-year period, through surveys and interviews with systems users and by accessing company records. While users were able to identify the operational benefits of SAP, they were still doubtful at the end of the evaluation process whether the system had resulted in any significant positive financial benefits for the business. Two themes related to this observation are explored. First the time lag between operational improvements and subsequent financial impact. Second the importance of learning as a means of reducing the time lag. Learning in this context is a multi-dimensional concept and covers learning how to use the system, learning how to improve the system and learning how to improve the implementation process.

Particulate matter emission during start-up and transient operation of a spark-ignition engine

In order to understand why emissions of Particulate Matter (PM) from Spark-Ignition (SI) automobiles peak during periods of transient operation such as rapid accelerations, a study of controlled, repeatable transients was performed. Time-resolved engine-out PM emissions from a modern four-cylinder engine during transient load and air/fuel ratio operation were examined, and the results could be fit in most cases to a first order time response. The time constants for the transient response are similar to those measured for changes in intake valve temperature, reflecting the strong dependence of PM emissions on the amount of liquid fuel in the combustion chamber. In only one unrepeatable case did the time response differ from a first order function: showing an overshoot in PM emissions during transition from the initial to the final steady state PM emission level. PM emissions during controlled, motored start-up experiments show a peak at start-up followed by a period during which emissions are either relatively constant or drift somewhat. When the fuel injection and ignition are shut off, PM emissions also peak briefly, but rapidly decay to low levels. Qualitative implications on the study and modeling of PM emissions during transient engine operation are discussed. Copyright © 1999 Society of Automotive Engineers, Inc.

A laboratory-scale buried charge simulator

An experimental technique has been developed in order to mimic the effect of landmine loading on materials and structures to be studied in a laboratory setting, without the need for explosives. Compressed gas is discharged beneath a sand layer, simulating the dynamic flow generated by a buried explosive. High speed photography reveals that the stages of soil motion observed during a landmine blast are replicated. The effect of soil saturation and the depth of the sand layer on sand motion are evaluated. Two series of experiments have been performed with the buried charge simulator to characterise subsequent impact of the sand. First, the time variation in pressure and impulse during sand impact on a stationary target is evaluated using a Kolsky bar apparatus. It is found that the pressure pulse imparted to the Kolsky bar consists of two phases: an initial transient phase of high pressure (attributed to wave propagation effects in the impacting sand), followed by a lower pressure phase of longer duration (due to lateral flow of the sand against the Kolsky bar). Both phases make a significant contribution to the total imparted impulse. It is found that wet sand exerts higher peak pressures and imparts a larger total impulse than dry sand. The level of imparted impulse is determined as a function of sand depth, and of stand-off distance between the sand and the impacted end of the Kolsky bar. The second study uses a vertical impulse pendulum to measure the momentum imparted by sand impact to a target which is free to move vertically. The effect of target mass upon imparted momentum is investigated. It is concluded that the laboratory-scale sand impact apparatus is a flexible tool for investigating the interactions between structures and dynamic sand flows. © 2013 Elsevier Ltd. All rights reserved.

Marine snow studies in the Northeast Atlantic Ocean: distribution, composition and role as a food source for migrating plankton

During a 25 d Lagrangian study in May and June 1990 in the Northeast Atlantic Ocean, marine snow aggregates were collected using a novel water bottle, and the composition was determined microscopically. The aggregates contained a characteristic signature of a matrix of bacteria, cyanobacteria and autotrophic picoplankton with inter alia inclusions of the tintiniid Dictyocysta elegans and large pennate diatoms. The concentration of bacteria and cyanobacteria was much greater on the aggregates than when free-living by factors of 100 to 6000 and 3000 to 2 500 000, respectively, depending on depth. Various species of crustacean plankton and micronekton were collected, and the faecal pellets produced after capture were examined. These often contained the marine snow signature, indicating that these organisms had been consuming marine snow. In some cases, marine snow material appeared to dominate the diet. This implies a food-chain short cut wherby material, normally too small to be consumed by the mesozooplankton, and considered to constitute the diet of the microplankton can become part of the diet of organisms higher in the food-chain. The micronekton was dominated by the amphipod Themisto compressa, whose pellets also contained the marine snow signature. Shipboard incubation experiments with this species indicated that (1) it does consume marine snow, and (2) its gut-passage time is sufficiently long for material it has eaten in the upper water to be defecated at its day-time depth of several hundred meters. Plankton and micronekton were collected with nets to examine their vertical distribution and diel migration and to put into context the significance of the flux of material in the guts of migrants. “Gut flux” for the T. compressa population was calculated to be up to 2% of the flux measured simultaneously by drifting sediment traps and <5% when all migrants are considered. The in situ abundance and distribution of marine snow aggregates (>0.6 mm) was examined photographically. A sharp concentration peak was usually encountered in the depth range 40 to 80 m which was not associated with peaks of in situ fluorescence or attenuation but was just below or at the base of the upper mixed layer. The feeding behaviour of zooplankton and nekton may influence these concentration gradients to a considerable extent, and hence affect the flux due to passive settling of marine snow aggregates.

Tight-binding simulation of current-carrying nanostructures

The tight-binding (TB) approach to the modelling of electrical conduction in small structures is introduced. Different equivalent forms of the TB expression for the electrical current in a nanoscale junction are derived. The use of the formalism to calculate the current density and local potential is illustrated by model examples. A first-principles time-dependent TB formalism for calculating current-induced forces and the dynamical response of atoms is presented. An earlier expression for current-induced forces under steady-state conditions is generalized beyond local charge neutrality and beyond orthogonal TB. Future directions in the modelling of power dissipation and local heating in nanoscale conductors are discussed.