Heat transfer to newtonian fluids in coiled pipes in laminar flow

Data on pressure drop and heat transfer to aqueous solutions of glycerol flowing in different types of coiled pipes are presented for laminar flow in the range of NRe from 80 to 6000. An empirical correlation is set up which can account the present data as well as the data available in literature within ±10 per cent deviation. Conventional momentum and heat transfer analogy equation is used to analyse the present data.

The elastic properties of a group of optical glasses by the pulse echo set-up

The pulse-echo apparatus, designed and constructed by the author, has been used to reinvestigate the elastic properties of the eighteen optical glasses. The elastic constants are correct to 0·5%. The results are compared with the earlier investigation which utilised the optical method. The possible causes for large discrepancies observed are critically and briefly discussed. A qualitative interpretation of the results has been successfully attempted. The acoustic velocity increases with the decrease in lead and barium oxides and with increase in calcium oxide and boron trioxide components.

Measurement of Zγ production in pp̅ collisions at √s=1.96 TeV

The production rate and kinematics of photons produced in association with Z bosons are studied using 2/fb of p\bar{p} collision data collected at the Collider Detector at Fermilab. The cross section for p\bar{p} -> l^+ l^- gamma + X (where the leptons l are either muons or electrons with dilepton mass M_{ll} > 40 GeV/c^2, and where the photon has transverse energy Et_{gamma} > 7 GeV and is well separated from the leptons) is 4.6 +/- 0.2 (stat) +/- 0.3 (syst) +/- 0.3 (lum) pb, which is consistent with standard model expectations. We use the photon Et distribution from Z-gamma events where the Z has decayed to mu^+ mu^-, e^+ e^-, or nu\bar{nu} to set limits on anomalous (non-standard-model) trilinear couplings between photons and Z bosons.

11β-Hydroxysteroid dehydrogenase inhibitors and selectivity modeling of 11β-HSDs

11β-hydroksisteroididehydrogenaasientsyymit (11β-HSD) 1 ja 2 säätelevät kortisonin ja kortisolin määrää kudoksissa. 11β-HSD1 -entsyymin ylimäärä erityisesti viskeraalisessa rasvakudoksessa aiheuttaa metaboliseen oireyhtymän klassisia oireita, mikä tarjoaa mahdollisuuden metabolisen oireyhtymän hoitoon 11β-HSD1 -entsyymin selektiivisellä estämisellä. 11β-HSD2 -entsyymin inhibitio aiheuttaa kortisonivälitteisen mineralokortikoidireseptorien aktivoitumisen, mikä puolestaan johtaa hypertensiivisiin haittavaikutuksiin. Haittavaikutuksista huolimatta 11β-HSD2 -entsyymin estäminen saattaa olla hyödyllistä tilanteissa, joissa halutaan nostaa kortisolin määrä elimistössä. Lukuisia selektiivisiä 11β-HSD1 inhibiittoreita on kehitetty, mutta 11β-HSD2-inhibiittoreita on raportoitu vähemmän. Ero näiden kahden isotsyymin aktiivisen kohdan välillä on myös tuntematon, mikä vaikeuttaa selektiivisten inhibiittoreiden kehittämistä kummallekin entsyymille. Tällä työllä oli kaksi tarkoitusta: (1) löytää ero 11β-HSD entsyymien välillä ja (2) kehittää farmakoforimalli, jota voitaisiin käyttää selektiivisten 11β-HSD2 -inhibiittoreiden virtuaaliseulontaan. Ongelmaa lähestyttiin tietokoneavusteisesti: homologimallinnuksella, pienmolekyylien telakoinnilla proteiiniin, ligandipohjaisella farmakoforimallinnuksella ja virtuaaliseulonnalla. Homologimallinnukseen käytettiin SwissModeler -ohjelmaa, ja luotu malli oli hyvin päällekäinaseteltavissa niin templaattinsa (17β-HSD1) kuin 11β-HSD1 -entsyymin kanssa. Eroa entsyymien välillä ei löytynyt tarkastelemalla päällekäinaseteltuja entsyymejä. Seitsemän yhdistettä, joista kuusi on 11β-HSD2 -selektiivisiä, telakoitiin molempiin entsyymeihin käyttäen ohjelmaa GOLD. 11β-HSD1 -entsyymiin yhdisteet kiinnittyivät kuten suurin osa 11β-HSD1 -selektiivisistä tai epäselektiivisistä inhibiittoreista, kun taas 11β-HSD2 -entsyymiin kaikki yhdisteet olivat telakoituneet käänteisesti. Tällainen sitoutumistapa mahdollistaa vetysidokset Ser310:een ja Asn171:een, aminohappoihin, jotka olivat nähtävissä vain 11β-HSD2 -entsyymissä. Farmakoforimallinnukseen käytettiin ohjelmaa LigandScout3.0, jolla ajettiin myös virtuaaliseulonnat. Luodut kaksi farmakoforimallia, jotka perustuivat aiemmin telakointiinkin käytettyihin kuuteen 11β-HSD2 -selektiiviseen yhdisteeseen, koostuivat kuudesta ominaisuudesta (vetysidosakseptori, vetysidosdonori ja hydrofobinen), ja kieltoalueista. 11β-HSD2 -selektiivisyyden kannalta tärkeimmät ominaisuudet ovat vetysidosakseptori, joka voi muodostaa sidoksen Ser310 kanssa ja vetysidosdonori sen vieressä. Tälle vetysidosdonorille ei löytynyt vuorovaikutusparia 11β-HSD2-mallista. Sopivasti proteiiniin orientoitunut vesimolekyyli voisi kuitenkin olla sopiva ratkaisu puuttuvalle vuorovaikutusparille. Koska molemmat farmakoforimallit löysivät 11β-HSD2 -selektiivisiä yhdisteitä ja jättivät epäselektiivisiä pois testiseulonnassa, käytettiin molempia malleja Innsbruckin yliopistossa säilytettävistä yhdisteistä (2700 kappaletta) koostetun tietokannan seulontaan. Molemmista seulonnoista löytyneistä hiteistä valittiin yhteensä kymmenen kappaletta, jotka lähetettiin biologisiin testeihin. Biologisien testien tulokset vahvistavat lopullisesti sen kuinka hyvin luodut mallit edustavat todellisuudessa 11β-HSD2 -selektiivisyyttä.

European Union and the developing nations' external debt : EU-15's debt policy, 1960–2008

This Master's Thesis defines the debt policy of the current European Union Member States towards the developing nations. Since no official policy for debt exists in the EU, it is defined to include debt practices (loans and debt relief in development cooperation) and debt within the EU development policy framework. This study (1) describes how the issue of external debt appears in the development policy framework, (2) compares EU Member States' given loans and debt relief to grants for the developing nations (1960s to the 2000s), and (3) measures the current orientation in ODA of each EU Member State between grant aid and loan aid using the Grant-Loan Index (GLI). Theoretical aspects include reasons for selecting between loans (Bouchet 1987) and grants (Odedokun 2004, O'Brien and Williams 2007), policy context of the EU (Van Reisen 2007) and the meaning of external debt in the set-up between the North and the South. In terms of history, the events and impact of the colonial period (where loans have originated) are overviewed and compared in light of today's policies. Development assistance statistics are derived from the OECD DAC statistics portal and EU development policy framework documents from the EU portal. Methodologically, the structure of this study is from policy analysis (Barrien 1999, Hill 2008, Berndtson 2008), but it has been modified to fit the needs of studying a non-official policy. EU Member States are divided into three groups by Carbone (2007a), the Big-3, Northern and Southern donors, based on common development assistance characteristics. The Grant-Loan Index is used to compare Carbone's model, which measures quality of aid, to the GLI measuring the structure of aid. Results indicate that EU- 15 countries (active in debt practices) differ in terms of timing, stability and equality of debt practices in the long-term (1960s to the 2000s). In terms of current practices, (2000-2008), it is noted that there lies a disparity between the actual practices and the way in which external debt is represented in the development policy framework, although debt practices form a relevant portion of total ODA practices for many EU-15 Member States, the issue itself plays a minor role in development policy documents. Carbone’s group division applies well to the Grant – Loan Index’s results, indicating that countries with similar development policy behaviour have similarities in debt policy behaviour, with one exception: Greece. On the basis of this study, it is concluded that EU development policy framework content in terms of external debt and debt practices are not congruent. The understanding of this disparity between the policy outline and differences in long-term practices is relevant in both, reaching the UN’s Millennium Development Goals, and in the actual process of developing development aid.

Safeguarding against new privacy threats in inter-enterprise collaboration environments

Inter-enterprise collaboration has become essential for the success of enterprises. As competition increasingly takes place between supply chains and networks of enterprises, there is a strategic business need to participate in multiple collaborations simultaneously. Collaborations based on an open market of autonomous actors set special requirements for computing facilities supporting the setup and management of these business networks of enterprises. Currently, the safeguards against privacy threats in collaborations crossing organizational borders are both insufficient and incompatible to the open market. A broader understanding is needed of the architecture of defense structures, and privacy threats must be detected not only on the level of a private person or enterprise, but on the community and ecosystem levels as well. Control measures must be automated wherever possible in order to keep the cost and effort of collaboration management reasonable. This article contributes to the understanding of the modern inter-enterprise collaboration environment and privacy threats in it, and presents the automated control measures required to ensure that actors in inter-enterprise collaborations behave correctly to preserve privacy.

The Art of Adaptation : A study on the Europeanization of Finland's foreign and security policy

This study examines how Finnish foreign and security policy has been influenced by the European Union and its Common Foreign and Security Policy. It points to a growing interplay and misfit between the external expectations originating from the European level and the domestic expectations and traditional ways-of-doing-things. It is concluded that the deepening European integration in the sphere of foreign, security and defence policy has played a significant role in a number of transformations in the Finnish policies since 1995. New, more European, meanings have been attached to the key concepts of Finnish foreign and security policy. Neutrality and traditional peacekeeping have been replaced by a minimalist reading of military non-alignment and participation in crisis management operations and EU battle groups. Traditional small state identity has been recast more and more as small member stateness . At the same time Finland has entered an era of post-consensus in national foreign and security policy. A key theoretical argument in the background of the study is that collective understandings attached to European policies, when not resonating well with domestic understandings, cause adaptation pressures on domestic-level processes and may lead to changes in the way interests and identities are constructed. This means that Europeanization is principally seen as identity reconstruction. Consequently, the theoretical framework of the study builds on the Europeanization research literature and constructivist IR theory on state identity. Foreign and security policy is defined as the practice in which state identity is reproduced, and the key foreign and security policy concepts are seen as the vehicles of identity production. It is concluded that for Finland, participation in the EU s foreign, security and defence policies represents not only a tool for responding to the changes in the international security environment but also a new means of self-identification. Concerning the Finnish attempts of projecting national interests on the European security policy agenda, it is concluded that they mainly relate to the compatibility of the potential development of EU s defence dimension with the Finnish military non-alignment. Although neutrality was cast aside in the official security policy when Finland joined the EU, the analysis shows that its impact has continued in the domestic political debate and in the mind-set of the decision-makers. The primary research material includes official Finnish foreign and security policy documentation and the related parliamentary debates from 1994 to 2007. This study serves also as a comprehensive empirical overview on Finland s reactions and contributions to the EU Common Foreign and Security Policy.

Finnish cattle as reservoir of Campylobacter spp.

The reported incidence of human campylobacteriosis in Finland is higher than in most other European countries. A high annual percentage of sporadic infections is of foreign origin, although a notable proportion of summer infections is domestically acquired. While chickens appear to be a major source of campylobacters for humans in most countries, the prevalence of campylobacters is very low in chicken slaughter batches in Finland. Data on other potential animal reservoirs of human pathogenic campylobacters in Finland are scarce. Consequently, this study aimed to investigate the status of Finnish cattle as a potential source of thermophilic Campylobacter spp. and antibiotic-resistant Campylobacter jejuni for human sporadic campylobacter infections of domestic origin. A survey of the prevalence of thermophilic Campylobacter spp. in Finnish cattle studied bovine rectal faecal samples (n=952) and carcass surface samples (n=948) from twelve Finnish slaughterhouses from January to December 2003. The total prevalence of Campylobacter spp. in faecal samples was 31.1%, and in carcass samples 3.5%. Campylobacter jejuni, the most common species, was present in 19.5% of faecal samples and in 3.1% of carcasses. In addition to thermophilic Campylobacter spp., C. hyointestinalis ssp. hyointestinalis was present in bovine samples. The prevalence of campylobacters was higher among beef cattle than among dairy cattle. Using the enrichment method, the number of positive faecal samples was 7.5 times higher than that obtained by direct plating. The predominant serotypes of faecal C. jejuni, determined by serotyping with a set of 25 commercial antisera for heat-stable antigens (Penner), were Pen2 and Pen4-complex, which covered 52% of the samples. Genotyping with pulsed-field gel electrophoresis (PFGE) using SmaI restriction yielded a high diversity of C. jejuni subtypes in cattle. Determining the minimum inhibitory concentrations of ampicillin, enrofloxacin, erythromycin, gentamicin, nalidixic acid, and oxytetracycline among bovine C. jejuni isolates using a commercial broth microdilution method yielded 9% of isolates resistant to at least one of the antimicrobials examined. No multiresistant isolates were found among the bovine C. jejuni strains. The study of the shedding patterns of Campylobacter spp. among three Finnish dairy cattle herds included the examination of fresh faecal samples and tank milk samples taken five times, as well as samples from drinking troughs taken once during the one-year study. The semiquantitative enrichment method detected C. jejuni in 169 of the 340 faecal samples, mostly at low levels. In addition, C. jejuni was present in one drinking trough sample. The prevalence between herds and sampling occasions varied widely. PFGE, using SmaI as restriction enzyme, identified only a few subtypes in each herd. In two 2 of the herds, two subtypes persisted throughout the sampling. Individual animals presented various shedding patterns during the study. Comparison of C. jejuni isolates from humans, chickens and cattle included the design of primers for four new genetic markers selected from completely sequenced C. jejuni genomes 81-176, RM1221 and NCTC 11168, and the PCR examination of domestic human isolates from southern Finland in 1996, 2002 and 2003 (n=309), chicken isolates from 2003, 2006 and 2007 (n=205), and bovine isolates from 2003 (n=131). The results revealed that bovine isolates differed significantly from human and chicken isolates. In particular, the - glutamyl transpeptidase gene was uncommon among bovine isolates. The PFGE genotyping of C. jejuni isolates, using SmaI and KpnI restriction enzymes, included a geographically representative collection of isolates from domestic sporadic human infections, chicken slaughter batches, and cattle faeces and carcasses during the seasonal peak of campylobacteriosis in the summer of 2003. The study determined that 55.4% of human isolates were indistinguishable from those of chickens and cattle. Temporal association between isolates from humans and chickens was possible in 31.4% of human infections. Approximately 19% of the human infections may have been associated with cattle. However, isolates from bovine carcasses and human cases represented different PFGE subtypes. In conclusion, this study suggests that Finnish cattle is a notable reservoir of C. jejuni, the most important Campylobacter sp. in human enteric infections. Although the concentration of these organisms in bovine faeces appeared to be low, excretion can be persistent. The genetic diversity and presence or absence of marker genes support previous suggestions of host-adapted C. jejuni strains, and may indicate variations in virulence between strains from different hosts. In addition to chickens, Finnish cattle appeared to be an important reservoir and possible source of C. jejuni in domestic sporadic human infections. However, sources of campylobacters may differ between rural and urban areas in Finland, and in general, the transmission of C. jejuni of bovine origin probably occurs via other routes than food.

Breathing, swallowing and voice in laryngeal disorsers

The aim of this work was to examine how breathing, swallowing and voicing are affected in different laryngeal disorders. For this purpose, we examined four different patient groups: patients who had undergone total laryngectomy, anterior cervical decompression (ACD), or injection laryngoplasty with autologous fascia (ILAF), and patients with dyspnea during exercise. We studied the problems and benefits related to the automatic speech valve used for the rehabilitation of speech in laryngectomized patients. The device was given to 14 total laryngectomized patients who used the traditional valve especially well. The usefulness of voice and intelligibility of speech were assessed by speech pathologists. The results demonstrated better performance with the traditional valve in both dimensions. Most of the patients considered the automatic valve a helpful additional device but because of heavier breathing and the greater work needed for speech production, it was not suitable as a sole device in speech rehabilitation. Dysphonia and dysphagia are known complications of ACD. These symptoms are caused due to the stretching of tissue needed during the surgery, but the extent and the recovery from them was not well known before our study. We studied two patient groups, an early group with 50 patients who were examined immediately before and after the surgery and a late group with 64 patients who were examined 3 9 months postoperatively. Altogether, 60% reported dysphonia and 69% dysphagia immediately after the operation. Even though dysphagia and dysphonia often appeared after surgery, permanent problems seldom occurred. Six (12 %) cases of transient and two (3 %) permanent vocal cord paresis were detected. In our third study, the long-term results of ILAF in 43 patients with unilateral vocal cord paralysis were examined. The mean follow-up was 5.8 years (range 3 10). Perceptual evaluation demonstrated improved results for voice quality, and videostroboscopy revealed complete or partial glottal closure in 83% of the patients. Fascia showed to be a stable injection material with good vocal results. In our final study we developed a new diagnostic method for exertional laryngeal dyspnea by combining a cardiovascular exercise test with simultaneous fiberoptic observation of the larynx. With this method, it is possible to visualize paradoxal closure of the vocal cords during inspiration, which is a diagnostic criterion for vocal cord dysfunction (VCD). We examined 30 patients referred to our hospital because of suspicion of exercise-induced vocal cord dysfunction (EIVCD). Twenty seven out of thirty patients were able to perform the test. Dyspnea was induced in 15 patients, and of them five had EIVCD and four high suspicion of EIVCD. With our test it is possible to set an accurate diagnosis for exertional laryngeal dyspnea. Moreover, the often seen unnecessary use of asthma drugs among these patients can be avoided.

Negative differential conductance and effective electron mass in highly asymmetric ballistic bilayer graphene nanoribbon

We present a simplified theory of the effective momentum mass (EMM) and ballistic current–voltage relationship in a degenerate two-folded highly asymmetric bilayer graphene nanoribbon. With an increase in the gap, the density-of-states in the lower set of subbands increases more than that of the upper set. This results in a phenomenological population inversion of carriers, which is reflected through a net negative differential conductance (NDC). It is found that with the increase of the ribbon width, the NDC also increases. The population inversion also signatures negative values of EMM above a certain ribbon-width for the lower set of subbands, which increases in a step-like manner with the applied longitudinal static bias. The well-known result for symmetric conditions has been obtained as a special case.

Detecting Earnings Management Using Neural Networks

Detecting Earnings Management Using Neural Networks. Trying to balance between relevant and reliable accounting data, generally accepted accounting principles (GAAP) allow, to some extent, the company management to use their judgment and to make subjective assessments when preparing financial statements. The opportunistic use of the discretion in financial reporting is called earnings management. There have been a considerable number of suggestions of methods for detecting accrual based earnings management. A majority of these methods are based on linear regression. The problem with using linear regression is that a linear relationship between the dependent variable and the independent variables must be assumed. However, previous research has shown that the relationship between accruals and some of the explanatory variables, such as company performance, is non-linear. An alternative to linear regression, which can handle non-linear relationships, is neural networks. The type of neural network used in this study is the feed-forward back-propagation neural network. Three neural network-based models are compared with four commonly used linear regression-based earnings management detection models. All seven models are based on the earnings management detection model presented by Jones (1991). The performance of the models is assessed in three steps. First, a random data set of companies is used. Second, the discretionary accruals from the random data set are ranked according to six different variables. The discretionary accruals in the highest and lowest quartiles for these six variables are then compared. Third, a data set containing simulated earnings management is used. Both expense and revenue manipulation ranging between -5% and 5% of lagged total assets is simulated. Furthermore, two neural network-based models and two linear regression-based models are used with a data set containing financial statement data from 110 failed companies. Overall, the results show that the linear regression-based models, except for the model using a piecewise linear approach, produce biased estimates of discretionary accruals. The neural network-based model with the original Jones model variables and the neural network-based model augmented with ROA as an independent variable, however, perform well in all three steps. Especially in the second step, where the highest and lowest quartiles of ranked discretionary accruals are examined, the neural network-based model augmented with ROA as an independent variable outperforms the other models.

Finnish Short-Term Stock Returns

Functioning capital markets are a crucial part of a competitive economy since they provide the mechanisms to allocate resources. In order to be well functioning a capital market has to be efficient. Market efficiency is defined as a market where prices at any time fully reflect all available information. Basically, this means that abnormal returns cannot be predicted since they are dependent on future, presently unknown, information. The debate of market efficiency has been going on for several decades. Most academics today would probably agree that financial markets are reasonably efficient since virtually nobody has been able to achieve continuous abnormal positive returns. However, it is clear that a set of return anomalies exists, although they are apparently to small to enable substantial economic profit. Moreover, these anomalies can often be attributed to market design. The motivation for this work is to expand the knowledge of short-term trading patterns and to offer some explanations for these patterns. In the first essay the return pattern during the day is examined. On average stock prices move during two time periods of the day, namely, immediately after the opening and around the formal close of the market. Since stock prices, on average, move upwards these abnormal returns are generally positive and cause the distinct U-shape of intraday returns. In the second essay the results in the first essay are examined further. The return pattern around the former close is shown to partly be the result of manipulative action by market participants. In the third essay the focus is shifted towards trading patterns of the underlying stocks on days when index options and index futures on the stocks expire. Generally no expiration day effect was found. However, some indication of an expiration day effect was found when a large amount of open in- or at-the-money contracts existed. Also, the effects were likelier to be found for shares with high index-weight but fairly low trading volume. Last, in the forth essay the attention is turned to the behaviour of different tax clienteles around the dividend ex-day. Two groups of investors showed abnormal trading behaviour. Domestic non-financial investors, especially domestic companies, showed a dividend capturing behaviour, i.e. buying cum-dividend and selling ex-dividend shares. The opposite behaviour was found for foreign investors and domestic financial institutions. The effect was more notable for high yield, high volume stocks.

Essays on Risk Modeling. Applications to Portfolio and Risk Management (summary section only)

In this thesis we deal with the concept of risk. The objective is to bring together and conclude on some normative information regarding quantitative portfolio management and risk assessment. The first essay concentrates on return dependency. We propose an algorithm for classifying markets into rising and falling. Given the algorithm, we derive a statistic: the Trend Switch Probability, for detection of long-term return dependency in the first moment. The empirical results suggest that the Trend Switch Probability is robust over various volatility specifications. The serial dependency in bear and bull markets behaves however differently. It is strongly positive in rising market whereas in bear markets it is closer to a random walk. Realized volatility, a technique for estimating volatility from high frequency data, is investigated in essays two and three. In the second essay we find, when measuring realized variance on a set of German stocks, that the second moment dependency structure is highly unstable and changes randomly. Results also suggest that volatility is non-stationary from time to time. In the third essay we examine the impact from market microstructure on the error between estimated realized volatility and the volatility of the underlying process. With simulation-based techniques we show that autocorrelation in returns leads to biased variance estimates and that lower sampling frequency and non-constant volatility increases the error variation between the estimated variance and the variance of the underlying process. From these essays we can conclude that volatility is not easily estimated, even from high frequency data. It is neither very well behaved in terms of stability nor dependency over time. Based on these observations, we would recommend the use of simple, transparent methods that are likely to be more robust over differing volatility regimes than models with a complex parameter universe. In analyzing long-term return dependency in the first moment we find that the Trend Switch Probability is a robust estimator. This is an interesting area for further research, with important implications for active asset allocation.

Essays on Risk and Return

Perhaps the most fundamental prediction of financial theory is that the expected returns on financial assets are determined by the amount of risk contained in their payoffs. Assets with a riskier payoff pattern should provide higher expected returns than assets that are otherwise similar but provide payoffs that contain less risk. Financial theory also predicts that not all types of risks should be compensated with higher expected returns. It is well-known that the asset-specific risk can be diversified away, whereas the systematic component of risk that affects all assets remains even in large portfolios. Thus, the asset-specific risk that the investor can easily get rid of by diversification should not lead to higher expected returns, and only the shared movement of individual asset returns – the sensitivity of these assets to a set of systematic risk factors – should matter for asset pricing. It is within this framework that this thesis is situated. The first essay proposes a new systematic risk factor, hypothesized to be correlated with changes in investor risk aversion, which manages to explain a large fraction of the return variation in the cross-section of stock returns. The second and third essays investigate the pricing of asset-specific risk, uncorrelated with commonly used risk factors, in the cross-section of stock returns. The three essays mentioned above use stock market data from the U.S. The fourth essay presents a new total return stock market index for the Finnish stock market beginning from the opening of the Helsinki Stock Exchange in 1912 and ending in 1969 when other total return indices become available. Because a total return stock market index for the period prior to 1970 has not been available before, academics and stock market participants have not known the historical return that stock market investors in Finland could have achieved on their investments. The new stock market index presented in essay 4 makes it possible, for the first time, to calculate the historical average return on the Finnish stock market and to conduct further studies that require long time-series of data.

Inference on Cointegration in Vector Autoregressive Models (summary section only)

In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The thesis consists of an introduction and four papers. The first paper proposes a new test for cointegration in VAR models that is directly based on the eigenvalues of the least squares (LS) estimate of the autoregressive matrix. In the second paper we compare a small sample correction for the likelihood ratio (LR) test of cointegrating rank and the bootstrap. The simulation experiments show that the bootstrap works very well in practice and dominates the correction factor. The tests are applied to international stock prices data, and the .nite sample performance of the tests are investigated by simulating the data. The third paper studies the demand for money in Sweden 1970—2000 using the I(2) model. In the fourth paper we re-examine the evidence of cointegration between international stock prices. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen’s LR tests for cointegration. In all papers we work with two data sets. The first data set is a Swedish money demand data set with observations on the money stock, the consumer price index, gross domestic product (GDP), the short-term interest rate and the long-term interest rate. The data are quarterly and the sample period is 1970(1)—2000(1). The second data set consists of month-end stock market index observations for Finland, France, Germany, Sweden, the United Kingdom and the United States from 1980(1) to 1997(2). Both data sets are typical of the sample sizes encountered in economic data, and the applications illustrate the usefulness of the models and tests discussed in the thesis.