Time-varying Risk Premiums and Conditional Market Risk: Empirical Evidence from European Stock Markets

This study investigates the relationship between the time-varying risk premiums and conditional market risk in the stock markets of the ten member countries of Economy and Monetary Union. Second, it examines whether the conditional second moments change over time and are there asymmetric effects in the conditional covariance matrix. Third, it analyzes the possible effects of the chosen testing framework. Empirical analysis is conducted using asymmetric univariate and multivariate GARCH-in-mean models and assuming three different degrees of market integration. For a daily sample period from 1999 to 2007, the study shows that the time-varying market risk alone is not enough to explain the dynamics of risk premiums and indications are found that the market risk is detected only when its price is allowed to change over time. Also asymmetric effects in the conditional covariance matrix, which is found to be time-varying, are clearly present and should be recognized in empirical asset pricing analyses.

Specificity and selectivity improvement in doping analysis using comprehensive two-dimensional gas chromatography coupled with time-of-flight mass spectrometry

Comprehensive two-dimensional gas chromatography coupled with time-of-flight mass spectrometry was used for the identification of forty doping agents. The improvement in the specificity was remarkable, allowing the resolution of analytes that could not be done by one-dimensional chromatographic systems. The sensitivity observed for different classes of prohibited substances was clearly below the value required by the World Anti-Doping Agency. In addition time-of-flight mass spectrometry gives full spectrum for all analytes without any interference from the matrix, resulting in selectivity improvements. These results could support the implementation of an exhaustive monitoring approach for hundreds of doping agents in a single injection.

Control of Structures with Cubic and Quadratic Non-Linearities with Time Delay Consideration

This paper studies the effect of time delay on the active non-linear control of dynamically loaded flexible structures. The behavior of non-linear systems under state feedback control, considering a fixed time delay for the control force, is investigated. A control method based on non-linear optimal control, using a tensorial formulation and state feedback control is used. The state equations and the control forces are expressed in polynomial form and a performance index, quadratic in both state vector and control forces, is used. General polynomial representations of the non-linear control law are obtained and implemented for control algorithms up to the fifth order. This methodology is applied to systems with quadratic and cubic non-linearities. Strongly non-linear systems are tested and the effectiveness of the control system including a delay for the application of control forces is discussed. Numerical results indicate that the adopted control algorithm can be efficient for non-linear systems, chiefly in the presence of strong non-linearities but increasing time delay reduces the efficiency of the control system. Numerical results emphasize the importance of considering time delay in the project of active structural control systems.

Time Varying Conditional Correlation Between Stock And Bond Returns: Evidence From CIVETS Nations

This thesis estimates long-run time variant conditional correlation between stock and bond returns of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) nations. Further, aims to analyse the presence of asymmetric volatility effect in both asset returns, as well as, obverses increment or decrement in conditional correlation during pre-crisis and crisis period, which lead to make a reliable diversification decision. The Constant Conditional Correlation (CCC) GARCH model of Bollerslev (1990), the Dynamic Conditional Correlation (DCC) GARCH model (Engle 2002), and the Asymmetric Dynamic Conditional Correlation (ADCC) GARCH model of Cappiello, Engle, and Sheppard (2006) were implemented in the study. The analyses present strong evidence of time-varying conditional correlation in CIVETS markets, excluding Vietnam, during 2005-2013. In addition, negative innovation effects were found in both conditional variance and correlation of the asset returns. The results of this study recommend investors to include financial assets from these markets in portfolios, in order to obtain better stock-bond diversification benefits, especially during high volatility periods.

Proteomic data show an increase in autoantibodies and alpha-fetoprotein and a decrease in apolipoprotein A-II with time in sera from senescence-accelerated mice

We evaluated changes in levels by comparing serum proteins in senescence-accelerated mouse-prone 8 (SAMP8) mice at 2, 6, 12, and 15 months of age (SAMP8-2 m, -6 m, -12 m, -15 m) to age-matched SAM-resistant 1 (SAMR1) mice. Mice were sacrificed, and blood was analyzed by 2-dimensional electrophoresis combined with mass spectrometry. Five protein spots were present in all SAMP8 serum samples, but only appeared in SAMR1 samples at 15 months of age except for spot 3, which also showed a slight expression in SAMR1-12 m sera. Two proteins decreased in the sera from SAMP8-2 m, -6 m, and -12 m mice, and divided into 2 spots each in SAMP8-15 m sera. Thus, the total number of altered spots in SAMP8 sera was 7; of these, 4 were identified as Ig kappa chain V region (M-T413), chain A of an activity suppressing Fab fragment to cytochrome P450 aromatase (32C2_A), alpha-fetoprotein, and apolipoprotein A-II. M-T413 is a monoclonal CD4 antibody, which inhibits T cell proliferation. We found that M-T413 RNA level was significantly enhanced in splenocytes from SAMP8-2 m mice. This agreed with serum M-T413 protein alterations and a strikingly lower blood CD4+ T cell count in SAMP8 mice when compared to the age-matched SAMR1 mice, with the latter negatively correlating with serum M-T413 protein volume. Age-related changes in serum proteins favored an increase in autoantibodies and alpha-fetoprotein and a decrease of apolipoprotein A-II, which occurred in SAMP8 mice at 2 months of age and onwards. These proteins may serve as candidate biomarkers for early aging.

Electron Transfer Involving the Phylloquinone (A1) Cofactor of Photosystem I Examined with Time Resolved Absorbance and Electron Paramagnetic Resonance Spectroscopy

The dependence of the electron transfer (ET) rate on the Photosystem I (PSI) cofactor phylloquinone (A1) is studied by time-resolved absorbance and electron paramagnetic resonance (EPR) spectroscopy. Two active branches (A and B) of electron transfer converge to the FX cofactor from the A1A and A1B quinone. The work described in Chapter 5 investigates the single hydrogen bond from the amino acid residue PsaA-L722 backbone nitrogen to A1A for its effect on the electron transfer rate to FX. Room temperature transient EPR measurements show an increase in the rate for the A1A- to FX for the PsaA-L722T mutant and an increased hyperfine coupling to the 2-methyl group of A1A when compared to wild type. The Arrhenius plot of the A1A- to FX ET in the PsaA-L722T mutant suggests that the increased rate is probably the result of a slight change in the electronic coupling between A1A- and FX. The reasons for the non-Arrhenius behavior are discussed. The work discussed in Chapter 6 investigates the directionality of ET at low temperature by blocking ET to the iron-sulfur clusters FX, FA and FB in the menB deletion mutant strain of Synechocyctis sp. PCC 6803, which is unable to synthesize phylloquinone, by incorporating the high midpoint potential (49 mV vs SHE) 2,3-dichloro-1,4-naphthoquinone (Cl2NQ) into the A1A and A1B binding sites. Various EPR spectroscopic techniques were implemented to differentiate between the spectral features created from A and B- branch electron transfer. The implications of this result for the directionality of electron transfer in PS I are discussed. The work discussed in Chapter 7 was done to study the dependence of the heterogeneous ET at low temperature on A1 midpoint potential. The menB PSI mutant contains plastiquinone-9 in the A1 binding site. The solution midpoint potential of the quinone measures 100 mV more positive then wild-type phylloquinone. The irreversible ET to the terminal acceptors FA and FB at low temperature is not controlled by the forward step from A1 to FX as expected due to the thermodynamic differences of the A1 cofactor in the two active branches A and B. Alternatives for the ET heterogeneity are discussed.

Channel Adaptive MAC Protocol with Traffic-Aware Distributed Power Management in Wireless Sensor Networks-Some Performance Issues

In Wireless Sensor Networks (WSN), neglecting the effects of varying channel quality can lead to an unnecessary wastage of precious battery resources and in turn can result in the rapid depletion of sensor energy and the partitioning of the network. Fairness is a critical issue when accessing a shared wireless channel and fair scheduling must be employed to provide the proper flow of information in a WSN. In this paper, we develop a channel adaptive MAC protocol with a traffic-aware dynamic power management algorithm for efficient packet scheduling and queuing in a sensor network, with time varying characteristics of the wireless channel also taken into consideration. The proposed protocol calculates a combined weight value based on the channel state and link quality. Then transmission is allowed only for those nodes with weights greater than a minimum quality threshold and nodes attempting to access the wireless medium with a low weight will be allowed to transmit only when their weight becomes high. This results in many poor quality nodes being deprived of transmission for a considerable amount of time. To avoid the buffer overflow and to achieve fairness for the poor quality nodes, we design a Load prediction algorithm. We also design a traffic aware dynamic power management scheme to minimize the energy consumption by continuously turning off the radio interface of all the unnecessary nodes that are not included in the routing path. By Simulation results, we show that our proposed protocol achieves a higher throughput and fairness besides reducing the delay

Studies on the interaction of two level atoms with quantized electromagnetic field

The present study described about the interaction of a two level atom and squeezed field with time varying frequency. By applying a sinusoidal variation in the frequency of the field, the randomness in population inversion is reduced and the collapses and periodic revivals are regained. Quantum optics is an emerging field in physics which mainly deals with the interaction of atoms with quantised electromagnetic fields. Jaynes-Cummings Model (JCM) is a key model among them, which describes the interaction between a two level atom and a single mode radiation field. Here the study begins with a brief history of light, atom and their interactions. Also discussed the interaction between atoms and electromagnetic fields. The study suggest a method to manipulate the population inversion due to interaction and control the randomness in it, by applying a time dependence on the frequency of the interacting squeezed field.The change in behaviour of the population inversion due to the presence of a phase factor in the applied frequency variation is explained here.This study also describes the interaction between two level atom and electromagnetic field in nonlinear Kerr medium. It deals with atomic and field state evolution in a coupled cavity system. Our results suggest a new method to control and manipulate the population of states in two level atom radiation interaction,which is very essential for quantum information processing.We have also studied the variation of atomic population inversion with time, when a two level atom interacts with light field, where the light field has a sinusoidal frequency variation with a constant phase. In both coherent field and squeezed field cases, the population inversion variation is completely different from the phase zero frequency modulation case. It is observed that in the presence of a non zero phase φ, the population inversion oscillates sinusoidally.Also the collapses and revivals gradually disappears when φ increases from 0 to π/2. When φ = π/2 the evolution of population inversion is identical to the case when a two level atom interacts with a Fock state. Thus, by applying a phase shifted frequency modulation one can induce sinusoidal oscillations of atomic inversion in linear medium, those normally observed in Kerr medium. We noticed that the entanglement between the atom and field can be controlled by varying the period of the field frequency fluctuations. The system has been solved numerically and the behaviour of it for different initial conditions and different susceptibility values are analysed. It is observed that, for weak cavity coupling the effect of susceptibility is minimal. In cases of strong cavity coupling, susceptibility factor modifies the nature in which the probability oscillates with time. Effect of susceptibility on probability of states is closely related to the initial state of the system.

The Navier-Stokes Equations with Time Delay

In the present paper we use a time delay epsilon > 0 for an energy conserving approximation of the nonlinear term of the non-stationary Navier-Stokes equations. We prove that the corresponding initial value problem (N_epsilon)in smoothly bounded domains G \subseteq R^3 is well-posed. Passing to the limit epsilon \rightarrow 0 we show that the sequence of stabilized solutions has an accumulation point such that it solves the Navier-Stokes problem (N_0) in a weak sense (Hopf).

The Klein-Gordon equation in a domain with time-dependent boundary

We solve a Dirichlet boundary value problem for the Klein–Gordon equation posed in a time-dependent domain. Our approach is based on a general transform method for solving boundary value problems for linear and integrable nonlinear PDE in two variables. Our results consist of the inversion formula for a generalized Fourier transform, and of the application of this generalized transform to the solution of the boundary value problem.

An evaluation of different growth functions for describing the profile of live weight with time (age) in meat and egg strains of chicken

A total of 86 profiles from meat and egg strains of chickens (male and female) were used in this study. Different flexible growth functions were evaluated with regard to their ability to describe the relationship between live weight and age and were compared with the Gompertz and logistic equations, which have a fixed point of inflection. Six growth functions were used: Gompertz, logistic, Lopez, Richards, France, and von Bertalanffy. A comparative analysis was carried out based on model behavior and statistical performance. The results of this study confirmed the initial concern about the limitation of a fixed point of inflection, such as in the Gompertz equation. Therefore, consideration of flexible growth functions as an alternatives to the simpler equations (with a fixed point of inflection) for describing the relationship between live weight and age are recommended for the following reasons: they are easy to fit, they very often give a closer fit to data points because of their flexibility and therefore a smaller RSS value, than the simpler models, and they encompasses simpler models for the addition of an extra parameter, which is especially important when the behavior of a particular data set is not defined previously.

Human-computer cooperative teleoperation with time delay

Presents a method for model based bilateral control of master-slave arm with time delay between master and slave arms, where the system supports cooperative action between manual and automatic modes. The method realises efficiencies in master-slave arm control with the simplicities of a computer and the flexibility of a skilled human operator.

Duality, observability, and controllability for linear time-varying descriptor systems

A characterization of observability for linear time-varying descriptor systemsE(t)x(t)+F(t)x(t)=B(t)u(t), y(t)=C(t)x(t) was recently developed. NeitherE norC were required to have constant rank. This paper defines a dual system, and a type of controllability so that observability of the original system is equivalent to controllability of the dual system. Criteria for observability and controllability are given in terms of arrays of derivatives of the original coefficients. In addition, the duality results of this paper lead to an improvement on a previous fundamental structure result for solvable systems of the formE(t)x(t)+F(t)x(t)=f(tt).