Forecasting Electricity Prices and their volatilities using Unobserved Components.

The liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities, both in the short and long term. Thus, there is a need of providing methodology that is able to deal with the most important features of electricity price series, which are well known for presenting not only structure in conditional mean but also time-varying conditional variances. In this work we propose a new model, which allows to extract conditionally heteroskedastic common factors from the vector of electricity prices. These common factors are jointly estimated as well as their relationship with the original vector of series, and the dynamics affecting both their conditional mean and variance. The estimation of the model is carried out under the state-space formulation. The new model proposed is applied to extract seasonal common dynamic factors as well as common volatility factors for electricity prices and the estimation results are used to forecast electricity prices and their volatilities in the Spanish zone of the Iberian Market. Several simplified/alternative models are also considered as benchmarks to illustrate that the proposed approach is superior to all of them in terms of explanatory and predictive power.

Potentially predictive and manipulable blood serum correlates of aging in the healthy human male: Progressive decreases in bioavailable testosterone, dehydroepiandrosterone sulfate, and the ratio of insulin-like growth factor 1 to growth hormone

A cross-sectional survey was made in 56 exceptionally healthy males, ranging in age from 20 to 84 years. Measurements were made of selected steroidal components and peptidic hormones in blood serum, and cognitive and physical tests were performed. Of those blood serum variables that gave highly significant negative correlations with age (r > −0.6), bioavailable testosterone (BT), dehydroepiandrosterone sulfate (DHEAS), and the ratio of insulin-like growth factor 1 (IGF-1) to growth hormone (GH) showed a stepwise pattern of age-related changes most closely resembling those of the age steps themselves. Of these, BT correlated best with significantly age-correlated cognitive and physical measures. Because DHEAS correlated well with BT and considerably less well than BT with the cognitive and physical measures, it seems likely that BT and/or substances to which BT gives rise in tissues play a more direct role in whatever processes are rate-limiting in the functions measured and that DHEAS relates more indirectly to these functions. The high correlation of IGF-1/GH with age, its relatively low correlation with BT, and the patterns of correlations of IGF-1/GH and BT with significantly age-correlated cognitive and physical measures suggest that the GH–IGF-1 axis and BT play independent roles in affecting these functions. Serial determinations made after oral ingestion of pregnenolone and data from the literature suggest there is interdependence of steroid metabolic systems with those operational in control of interrelations in the GH–IGF-1 axis. Longitudinal concurrent measurements of serum levels of BT, DHEAS, and IGF-1/GH together with detailed studies of their correlations with age-correlated functional measures may be useful in detecting early age-related dysregulations and may be helpful in devising ameliorative approaches.

(Table T2) Remanent anomaly and Koenigsberger ratio of ODP holes

Magnetic field strength and magnetic susceptibility were logged with the geological high-resolution magnetic tool (GHMT) at three of the holes drilled during Ocean Drilling Program Leg 178 to the west of the Antarctic Peninsula. Polarity stratigraphies derived from the GHMT logs bear close resemblance to the polarities determined from core paleomagnetism at two of the holes and were used for magnetostratigraphic dating, especially in intervals where no core was recovered. Polarity is determined in the following way. First, the susceptibility log is used to determine the induced magnetization of the sediment. Then the background field, the field of the metal drill pipe, and the field anomaly of the sediment's induced magnetization are removed from the measured total field to leave the downhole anomaly of the sediment's remanent magnetization. The sign (positive or negative) of this anomaly gave a good polarity stratigraphy for Holes 1095B and 1096C, which are located in sediment drifts. A further step, correlation analysis, is based on the fact that in an interval of normal polarity sediment the remanent anomaly will correlate with the induced anomaly, whereas in reversed polarity sediment they will anticorrelate. The magnetite-rich, fine-grained sediments found in the two holes drilled into the sediment drift have a ratio of remanent to induced magnetization (the Koenigsberger ratio) of ~1. In contrast, the coarser-grained diamict sediments on the shelf have a Koenigsberger ratio of ~0.2, and extracting the remanent part of the downhole anomaly is much more difficult. By the comparison of core and log results, we can assess the viability of the GHMT polarities in detail, what proportion of the overprint in the cores is imparted by the coring process, and whether any paleointensity information is extractable from the GHMT logs.

State and local ratio studies, property tax assessment, and transfer taxes.

Item 148-A.

Saw-cylinder lint cleaning at cotton gins: effects of saw speed and combing ratio on lint quality,

Bibliography: p. 32.

Risk and structural instability in US house prices

This paper employs a Component GARCH in Mean model to show that house prices across a number of major US cities between 1987 and 2009 have displayed asset market properties in terms of both risk-return relationships and asymmetric adjustment to shocks. In addition, tests for structural breaks in the mean and variance indicate structural instability across the data range. Multiple breaks are identified across all cities, particularly for the early 1990s and during the post-2007 financial crisis as housing has become an increasingly risky asset. Estimating the models over the individual sub-samples suggests that over the last 20 years the financial sector has increasingly failed to account for the levels of risk associated with real estate markets. This result has possible implications for the way in which financial institutions should be regulated in the future.

Stock market efficiency before and after a financial liberalisation reform:do breaks in volatility dynamics matter?

This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances in the econometrics of structural change, it compares the distribution of the returns of five East Asian emerging markets when breaks in the mean and variance are either (i) imposed using certain official liberalisation dates or (ii) detected non-parametrically using a data-driven procedure. The results suggest that measuring deviations from normality of stock returns with no provision for potentially existing breaks incorporates substantial bias. This is likely to severely affect any inference based on the corresponding descriptive or test statistics.

Effects of microstructure, temperature and R-ratio on fatigue crack propagation and threshold behaviour in two Ni-base alloys

Fatigue crack propagation and threshold data for two Ni-base alloys, Astroloy and Nimonic 901, are reported. At room temperature the effect which altering the load ratio (R-ratio) has on fatigue behaviour is strongly dependent on grain size. In the coarse grained microstructures crack growth rates increase and threshold values decrease markedly as R rises from 0. 1 to 0. 8, whereas only small changes in behaviour occur in fine grained material. In Astroloy, when strength level and gamma grain size are kept constant, there is very little effect of processing route and gamma prime distribution on room temperature threshold and crack propagation results. The dominant microstructural effect on this type of fatigue behaviour is the matrix ( gamma ) grain size itself.