Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

This article studies a simple, coherent approach for identifying and estimating error-correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation analysis is implemented for both determining the cointegrating rank, using a strongly consistent method, and identifying the short-run VARMA dynamics, using the scalar component methodology. Finite-sample performance is evaluated via Monte Carlo simulations and the approach is applied to modelling and forecasting US interest rates. The results reveal that EC-VARMA models generate significantly more accurate out-of-sample forecasts than vector error correction models (VECMs), especially for short horizons.

Estimating short and long-term residential demand for electricity : new evidence from Sri Lanka

This study investigates the short-run dynamics and long-run equilibrium relationship between residential electricity demand and factors influencing demand - per capita income, price of electricity, price of kerosene oil and price of liquefied petroleum gas - using annual data for Sri Lanka for the period, 1960-2007. The study uses unit root, cointegration and error-correction models. The long-run demand elasticities of income, own price and price of kerosene oil (substitute) were estimated to be 0.78, - 0.62, and 0.14 respectively. The short-run elasticities for the same variables were estimated to be 032, - 0.16 and 0.10 respectively. Liquefied petroleum (LP) gas is a substitute for electricity only in the short-run with an elasticity 0.09. The main findings of the paper support the following (1) increasing the price of electricity is not the most effective tool to reduce electricity consumption (2) existing subsidies on electricity consumption can be removed without reducing government revenue (3) the long-run income elasticity of demand shows that any future increase in household incomes is likely to significantly increase the demand for electricity and(4) any power generation plans which consider only current per capita consumption and population growth should be revised taking into account the potential future income increases in order to avoid power shortages ill the country.

Long-Term Excess Mortality after Aneurysmal Subarachnoid Hemorrhage

Objective There is high case-fatality rate and loss of productive life-years related to aneurysmal subarachnoid hemorrhage (aSAH) but little data on long-term survival of SAH patients. We aim to evaluate long-term excess mortality and related risk factors after aSAH. Methods One year survivors (n=3080) after aSAH from Department of Neurosurgery in Helsinki between 1980 and 2007 were reviewed for this retrospective follow-up study. Follow-up started one year after SAH and continued until death or the end of 2008 (36 960 patient-years). Mortality and relative survival ratio (RSR) were compared with matched general population. Results After 20 years, survivors of aSAH showed 18% excess mortality compared to general population. Risk factors included: old age; poor preoperative clinical condition; conservative aneurysm treatment; multiple aneurysms; and unfavourable clinical outcome at 3 months. Conclusion Even after initially favourable recovery, patients with aSAH experience excess mortality in the long run. Cardiovascular and cerebrovascular diseases are prominent in this population.

Long Term Dynamics in CO2 Allowance Prices and Carbon Capture Investments

In this paper we analyse the behaviour of the EU market for CO2 emission allowances; specifically, we focus on the contracts maturing in the Kyoto Protocol's second period of application (2008 to 2012). We calibrate the underlying parameters for the allowance price in the long run and we also calibrate those from the Spanish wholesale electricity market. This information is then used to assess the option to install a carbon capture and storage (CCS) unit in a coal-fired power plant. We use a two-dimensional binomial lattice where costs and profits are valued and the optimal investment time is determined. In other words, we study the trigger allowance prices above which it is optimal to install the capture unit immediately. We further analyse the impact of several variables on the critical prices, among them allowance price volatility and a hypothetical government subsidy. We conclude that, at current permit prices, from a financial point of view, immediate installation does not seem justified. This need not be the case, though, if carbon market parameters change dramatically and/or a specific policy to promote these units is adopted.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

Suivi à long terme de l’efficacité d’un traitement de physiothérapie sur l'incontinence urinaire d'effort persistante en période postnatale

L’incontinence urinaire d’effort (IUE) est une condition fréquente en période postnatale pouvant affecter jusqu’à 77% des femmes. Neuf femmes sur dix souffrant d’IUE trois mois après l’accouchement, vont présenter une IUE cinq ans plus tard. Le traitement en physiothérapie de l’IUE par le biais d’un programme d’exercices de renforcement des muscles du plancher pelvien est reconnu comme étant un traitement de première ligne efficace. Les études ont prouvé l’efficacité de cette approche sur l’IUE persistante à court terme, mais les résultats de deux ECR à long terme n’ont pas démontré un maintien de l’effet de traitement. L’effet d’un programme en physiothérapie de renforcement du plancher pelvien intensif et étroitement supervisé sur l’IUE postnatale persistante avait été évalué lors d’un essai clinique randomisé il y a sept ans. Le but principal de la présente étude était d’évaluer l’effet de ce programme sept ans après la fin des interventions de l’ECR initial. Un objectif secondaire était de comparer l’effet de traitement à long terme entre un groupe ayant fait seulement des exercices de renforcement du plancher pelvien et un groupe ayant fait des exercices de renforcement du plancher pelvien et des abdominaux profonds. Un troisième objectif était d’explorer l’influence de quatre facteurs de risques sur les symptômes d’IUE et la qualité de vie à long terme. Les cinquante-sept femmes ayant complétées l’ECR initial ont été invitées à participer à l’évaluation du suivi sept ans. Vingt et une femmes ont participé à l’évaluation clinique et ont répondu à quatre questionnaires, tandis que dix femmes ont répondu aux questionnaires seulement. L’évaluation clinique incluait un pad test et la dynamométrie du plancher pelvien. La mesure d’effet primaire était un pad test modifié de 20 minutes. Les mesures d’effets secondaires étaient la dynamométrie du plancher pelvien, les symptômes d’IUE mesuré par le questionnaire Urogenital Distress Inventory, la qualité de vie mesurée par le questionnaire Incontinence Impact Questionnaire et la perception de la sévérité de l’IUE mesuré par l’Échelle Visuelle Analogue. De plus, un questionnaire portant sur quatre facteurs de risques soit, la présence de grossesses subséquentes, la v présence de constipation chronique, l’indice de masse corporel et la fréquence des exercices de renforcement du plancher pelvien de l’IUE, venait compléter l’évaluation. Quarante-huit pour-cent (10/21) des participantes étaient continentes selon de pad test. La moyenne d’amélioration entre le résultat pré-traitement et le suivi sept ans était de 26,9 g. (écart-type = 68,0 g.). Il n’y avait pas de différence significative des paramètres musculaires du plancher pelvien entre le pré-traitement, le post-traitement et le suivi sept ans. Les scores du IIQ et du VAS étaient significativement plus bas à sept ans qu’en prétraitement (IIQ : 23,4 vs 15,6, p = 0,007) et (VAS : 6,7 vs 5,1, p = 0,001). Les scores du UDI étaient plus élevés au suivi sept ans (15,6) qu’en pré-traitement (11,3, p = 0,041) et en post-traitement (5,7, p = 0,00). La poursuite des exercices de renforcement du plancher pelvien à domicile était associée à une diminution de 5,7 g. (p = 0,051) des fuites d’urine observées au pad test selon une analyse de régression linéaire. Les limites de cette étude sont ; la taille réduite de l’échantillon et un biais relié au désir de traitement pour les femmes toujours incontinentes. Cependant, les résultats semblent démontrer que l’effet du traitement à long terme d’un programme de renforcement des muscles du plancher pelvien qui est intensif et étroitement supervisé, est maintenu chez environ une femme sur deux. Bien que les symptômes d’IUE tel que mesuré par les pad test et le questionnaire UDI, semblent réapparaître avec le temps, la qualité de vie, telle que mesurée par des questionnaires, est toujours meilleure après sept qu’à l’évaluation initiale. Puisque la poursuite des exercices de renforcement du plancher pelvien est associée à une diminution de la quantité de fuite d’urine au pad test, les participantes devraient être encouragées à poursuivre leurs exercices après la fin d’un programme supervisé. Pour des raisons de logistique la collecte de donnée de ce projet de recherche s’est continuée après la rédaction de ce mémoire. Les résultats finaux sont disponibles auprès de Chantale Dumoulin pht, PhD., professeure agrée à l’Université de Montréal.

Modeling and forecasting long-term natural gas (NG) consumption in Iran, using particle swarm optimization (PSO)

The gradual changes in the world development have brought energy issues back into high profile. An ongoing challenge for countries around the world is to balance the development gains against its effects on the environment. The energy management is the key factor of any sustainable development program. All the aspects of development in agriculture, power generation, social welfare and industry in Iran are crucially related to the energy and its revenue. Forecasting end-use natural gas consumption is an important Factor for efficient system operation and a basis for planning decisions. In this thesis, particle swarm optimization (PSO) used to forecast long run natural gas consumption in Iran. Gas consumption data in Iran for the previous 34 years is used to predict the consumption for the coming years. Four linear and nonlinear models proposed and six factors such as Gross Domestic Product (GDP), Population, National Income (NI), Temperature, Consumer Price Index (CPI) and yearly Natural Gas (NG) demand investigated.

Long-Term post-merger announcement performance. A case study of Australian listed real estate

This study examines the long-term postmerger performance of Australian Real Estate Investment Trusts (A-REITs). The A-REIT sector is used as a case study being less vulnerable to agency issues due to its regulatory structure (Eichholtz and Kok, 2008; Ratcliffe et al., 2009). Research on conventional firms has shown, on average, shareholders are worse off in the long run (Alexandridis et al., 2012). In contrast, we find that shareholders experience significantly positive abnormal returns, after accounting for the financial crisis. This outcome suggests that when managers are restricted with the use of retained earnings and the type of investment, they may be less susceptible to hubris and/or agency issues.

Clinical predictors of long-term outcome in obsessive-compulsive disorder

Background: The purpose of this study was to investigate demographic and clinical factors associated with the long-term outcome of obsessive-compulsive disorder (OCD). Methods: A hundred ninety-six previously untreated patients with DSM-IV criteria OCD completed a 12-week randomized open trial of group cognitive-behavioral therapy (GCBT) or fluoxetine, followed by 21 months of individualized, uncontrolled treatment, according to international guidelines for OCD treatment. OCD severity was assessed using the Yale–Brown Obsessive-Compulsive Scale (Y-BOCS) at different times over the follow-up period. Demographics and several clinical variables were assessed at baseline. Results: Fifty percent of subjects improved at least 35% from baseline, and 21.3% responded fully (final Y-BOCS score < or = 8). Worse prognosis was associated with earlier age at onset of OCD (P = 0.045), longer duration of illness (P = 0.001) presence of at least one comorbid psychiatric disorder (P = 0.001), comorbidity with a mood disorder (P = 0.002), higher baseline Beck-Depression scores (P = 0.011), positive family history of tics (P = 0.008), and positive family history of anxiety disorders (P = 0.008). Type of initial treatment was not associated with long-term outcome. After correction for multiple testing, the presence of at least one comorbid disorder, the presence of a depressive disorder, and duration of OCD remained significant. Conclusions: Patients under cognitive-behavioral or pharmacological treatment improved continuously in the long run, regardless of initial treatment modality or degree of early response, suggesting that OCD patients benefit from continuous treatment. Psychiatric comorbidity, especially depressive disorders, may impair the long-term outcome of OCD patients.

Do avoidance goals always impair performance? How neuroticism moderates the short- and long-term effects of avoidance versus approach goals on performance

Previous research agrees that approach goals have positive effects whereas avoidance goals have negative effects on performance. By contrast, the present chapter looks at the conditions under which even avoidance goals may have positive effects on performance. We will first review the previous research that supports the positive consequences of avoidance goals. Then we will argue that the positive and negative consequences of approach and avoidance goals on performance depend on an individual‘s neuroticism level and the time frame of their goal striving. Because neuroticism is positively related to avoidance goals, we assume that individuals with high levels of neuroticism may derive some benefits from avoidance goals. We have specified this assumption by hypothesizing that the fit between an individual‘s level of neuroticism and their avoidance goals leads to favorable consequences in the short term – but to negative outcomes in the long run. A short-term, experimental study with employees and a long-term correlative field study with undergraduate students were conducted to test whether neuroticism moderates the short- and long-term effects of avoidance versus approach goals on performance. Experimental study 1 showed that individuals with a high level of neuroticism performed best in the short term when they were assigned to avoidance goals, whereas individuals with a low level of neuroticism performed best when pursuing approach goals. However, study 2 indicated that in the long run individuals with a high level of neuroticism performed worse when striving for avoidance goals, whereas individuals with a low level of neuroticism were not impaired at all by avoidance goals. In summary, the pattern of results supports the hypothesis that a fit between a high level of neuroticism and avoidance goals has positive consequences in the short term, but leads to negative outcomes in the long run. We strongly encourage further research to investigate short- and long-term effects of approach and avoidance goals on performance in conjunction with an individual‘s personality, which may moderate these effects.

Application of a SPH depth-integrated model to landslide run-out analysis

Hazard and risk assessment of landslides with potentially long run-out is becoming more and more important. Numerical tools exploiting different constitutive models, initial data and numerical solution techniques are important for making the expert’s assessment more objective, even though they cannot substitute for the expert’s understanding of the site-specific conditions and the involved processes. This paper presents a depth-integrated model accounting for pore water pressure dissipation and applications both to real events and problems for which analytical solutions exist. The main ingredients are: (i) The mathematical model, which includes pore pressure dissipation as an additional equation. This makes possible to model flowslide problems with a high mobility at the beginning, the landslide mass coming to rest once pore water pressures dissipate. (ii) The rheological models describing basal friction: Bingham, frictional, Voellmy and cohesive-frictional viscous models. (iii) We have implemented simple erosion laws, providing a comparison between the approaches of Egashira, Hungr and Blanc. (iv) We propose a Lagrangian SPH model to discretize the equations, including pore water pressure information associated to the moving SPH nodes

Measuring market power in electricity generation: A long-term perspective using a programming model

This paper focuses on measuring the extent to which market power has been exercised in a recently deregulated electricity generation sector. Our study emphasises the need to consider the concept of market power in a long-run dynamic context. A market power index is constructed focusing on differences between actual market returns and long-run competitive returns, estimated using a programming model devised by the authors. The market power implications of hedge contracts are briefly considered. The state of Queensland Australia is used as a context for the analysis. The results suggest that generators have exercised significant market power since deregulation.

Some misspecfication problems in long-memory time series models

Doctor of Philosophy in Mathematics

Vortex Shedding Dynamics in Long Aspect-Ratio Aerodynamics Bodies

The focus of the current dissertation is to study qualitatively the underlying physics of vortex-shedding and wake dynamics in long aspect-ratio aerodynamics in incompressible viscous flow through the use of the KLE method. We carried out a long series of numerical experiments in the cases of flow around the cylinder at low Reynolds numbers. The study of flow at low Reynolds numbers provides an insight in the fluid physics and also plays a critical role when applying to stalled turbine rotors. Many of the conclusions about the qualitative nature of the physical mechanisms characterizing vortex formation, shedding and further interaction analyzed here at low Re could be extended to other Re regimes and help to understand the separation of the boundary layers in airfoils and other aerodynamic surfaces. In the long run, it aims to provide a better understanding of the complex multi-physics problems involving fluid-structure-control interaction through improved mathematical computational models of the multi-physics process. Besides the scientific conclusions produced, the research work on streamlined and bluff-body condition will also serve as a valuable guide for the future design of blade aerodynamics and the placement of wind turbines and hydrakinetic turbines, increasing the efficiency in the use of expensive workforce, supplies, and infrastructure. After the introductory section describing the main fields of application of wind power and hydrokinetic turbines, we describe the main features and theoretical background of the numerical method used here. Then, we present the analysis of the numerical experimentation results for the oscillatory regime right before the onset of vortex shedding for circular cylinders. We verified the wake length of the closed near-wake behind the cylinder and analysed the decay of the wake at the wake formation region, and then studied the St-Re relationship at the Reynolds numbers before the wake sheds compared to the experimental data. We found a theoretical model that describes the time evolution of the amplitude of fluctuations in the vorticity field on the twin vortex wake, which accurately matches the numerical results in terms of the frequency of the oscillation and rate of decay. We also proposed a model based on an analog circuit that is able to interpret the concerning flow by reducing the number of degrees of freedom. It follows the idea of the non-linear oscillator and resembles the dynamics mechanism of the closed near-wake with a common configured sine wave oscillator. This low-dimensional circuital model may also help to understand the underlying physical mechanisms, related to vorticity transport, that give origin to those oscillations.

Bubble geometry and chaotic pricing behaviour

This paper is a deductive theoretical enquiry into the flow of effects from the geometry of price bubbles/busts, to price indices, to pricing behaviours of sellers and buyers, and back to price bubbles/busts. The intent of the analysis is to suggest analytical approaches to identify the presence, maturity, and/or sustainability of a price bubble. We present a pricing model to emulate market behaviour, including numeric examples and charts of the interaction of supply and demand. The model extends into dynamic market solutions myopic (single- and multi-period) backward looking rational expectations to demonstrate how buyers and sellers interact to affect supply and demand and to show how capital gain expectations can be a destabilising influence – i.e. the lagged effects of past price gains can drive the market price away from long-run market-worth. Investing based on the outputs of past price-based valuation models appear to be more of a game-of-chance than a sound investment strategy.