A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

A low-mass impact sensor for high-speed firmness sensing of fruits.

A low-mass impact sensor for high-speed firmness sensing of fruits was built and tested. Results of tests with a rubber ball indicated that the impact measurement was not sensitive to the distance between the impactor and the impacting surface of the sample within the range of 8 to 23 mm, and was not sensitive to how the sample was held. Tests with kiwifruits and peaches show good correlation between firmness readings obtained with the impact sensor and those obtained with the penetrometer. The best correlation was between the slope of the impact curve (at mid-point) and the force-deformation firmness. Preliminary test showed that the sensor could sense fruit firmness at a speed of 5 fruits/s.

A retrospective analysis of mycophenolic acid and cyclosporin concentrations with acute rejection in renal transplant recipients

Objectives: Although monitoring of cyclosporin (CsA) is standard clinical practice postrenal transplantation. mycophenolic acid (MPA) concentrations are not routinely measured. There is evidence that a relationship exists between MPA area under the concentration-time curve (AUC) and rejection. In this study, a retrospective analysis was undertaken of 27 adult renal transplant recipients. Methods: Patients received CsA and MPA therapy and had a four-point MPA AUC investigation. The relationship between MPA AUC performed in the first week after transplantation, as well as median trough cyclosporin concentrations, and clinical outcomes in the first month posttransplant were evaluated. Results: A total of 12 patients experienced biopsy proven rejection (44.4%) and 4 patients had gastrointestinal adverse events (14.8%). A statistically significant relationship was observed between the incidence of biopsy proven rejection and both MPA AUC (p = 0.02) and median trough CsA concentration (p = 0.008). No relationship between trough MPA concentration and rejection was observed (p = 0.21). Only 3 of 11 (27%) patients with an MPA AUC > 30 mg.h/L and a median trough CsA > 175 mug/L experienced acute rejection, compared with a 56% incidence of rejection for the remaining 16 patients. Patients who experienced adverse gastrointestinal events had significantly lower MPA AUC (p = 0.04), but median trough CsA concentrations were not significantly different (p = 0.24). Further, 3 of these 4 patients had rejection episodes. Conclusions: in addition to standard CsA monitoring, we propose further investigation of the use of a 4-point sampling strategy to predict MPA AUC in the first week posttransplant, which may facilitate optimization of mycophenolate mofetil dose at a rime when patients are most vulnerable to acute rejection. (C) 2001 The Canadian Society of Clinical Chemists. All rights reserved.

On monetary policy and stock market anomalies

This study utilizes a macro-based VAR framework to investigate whether stock portfolios formedon the basis of their value, size and past performance characteristics are affected in a differentialmanner by unexpected US monetary policy actions during the period 1967-2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks in comparison to growth, big capitalization and past winner stocks. Subsample analysis, motivated by variation in the realized premia and parameter instability, reveals that monetary policy shocks’ impact on these portfolios is significant and pronounced only during the pre-1983 period.

Evaluation of the Electric Vehicle Impact in the Power Demand Curve in a Smart Grid Environment

Smart grids with an intensive penetration of distributed energy resources will play an important role in future power system scenarios. The intermittent nature of renewable energy sources brings new challenges, requiring an efficient management of those sources. Additional storage resources can be beneficially used to address this problem; the massive use of electric vehicles, particularly of vehicle-to-grid (usually referred as gridable vehicles or V2G), becomes a very relevant issue. This paper addresses the impact of Electric Vehicles (EVs) in system operation costs and in power demand curve for a distribution network with large penetration of Distributed Generation (DG) units. An efficient management methodology for EVs charging and discharging is proposed, considering a multi-objective optimization problem. The main goals of the proposed methodology are: to minimize the system operation costs and to minimize the difference between the minimum and maximum system demand (leveling the power demand curve). The proposed methodology perform the day-ahead scheduling of distributed energy resources in a distribution network with high penetration of DG and a large number of electric vehicles. It is used a 32-bus distribution network in the case study section considering different scenarios of EVs penetration to analyze their impact in the network and in the other energy resources management.

Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Origin and impact of initialisation shocks in coupled atmosphere-ocean forecasts

Current methods for initialising coupled atmosphere-ocean forecasts often rely on the use of separate atmosphere and ocean analyses, the combination of which can leave the coupled system imbalanced at the beginning of the forecast, potentially accelerating the development of errors. Using a series of experiments with the European Centre for Medium-range Weather Forecasts coupled system, the magnitude and extent of these so-called initialisation shocks is quantified, and their impact on forecast skill measured. It is found that forecasts initialised by separate ocean and atmospheric analyses do exhibit initialisation shocks in lower atmospheric temperature, when compared to forecasts initialised using a coupled data assimilation method. These shocks result in as much as a doubling of root-mean-square error on the first day of the forecast in some regions, and in increases that are sustained for the duration of the 10-day forecasts performed here. However, the impacts of this choice of initialisation on forecast skill, assessed using independent datasets, were found to be negligible, at least over the limited period studied. Larger initialisation shocks are found to follow a change in either the atmospheric or ocean model component between the analysis and forecast phases: changes in the ocean component can lead to sea surface temperature shocks of more than 0.5K in some equatorial regions during the first day of the forecast. Implications for the development of coupled forecast systems, particularly with respect to coupled data assimilation methods, are discussed.

Blood concentration curve of cyclosporine: impact of itraconazole in lung transplant recipients

Although the influence of cytochrome P450 inhibitory drugs on the area under the curve (AUC) of cyclosporine (CsA) has been described, data concerning the impact of these substances on the shape of the blood concentration curve are scarce. By assessment of CsA blood levels before and 1, 2, and 4 hr after oral intake (C0, C1, C2, and C4, respectively) CsA profiling examinations were performed in 20 lung transplant recipients taking 400 mg, 200 mg, and no itraconazole, respectively. The three groups showed comparable results for C0, C2, and AUC(0-12). Greater values were found for Cmax, Cmax-C0, peak-trough fluctuation and rise to Cmax in favor of the non-itraconazole group. Additionally, tmax was shorter in the non-itraconazole group. Comedication with the metabolic inhibitor itraconazole is associated with a flattening of the CsA blood concentration profile in lung transplant recipients. These changes cannot be assessed by isolated C0, C2, or AUC(0-12) values alone.

Dynamic breast MRI: Image registration and its impact on enhancement curve estimation

A novel algorithm for performing registration of dynamic contrast-enhanced (DCE) MRI data of the breast is presented. It is based on an algorithm known as iterated dynamic programming originally devised to solve the stereo matching problem. Using artificially distorted DCE-MRI breast images it is shown that the proposed algorithm is able to correct for movement and distortions over a larger range than is likely to occur during routine clinical examination. In addition, using a clinical DCE-MRI data set with an expertly labeled suspicious region, it is shown that the proposed algorithm significantly reduces the variability of the enhancement curves at the pixel level yielding more pronounced uptake and washout phases.

The international impact of productivity shocks

Even though many studies have confirmed the Feldstein-Horioka (1980) finding that savings and investment rates are highly correlated, there is no consensus on the major reason for this correlation. The purpose of this dissertation is to develop theoretical models and calibrate and simulate these to compare their implications to explain the observed time-series comovement between savings and investment in an attempt to show that this high correlation may stem from technological shocks.^ The dissertation is comprised of three studies. The first two studies construct overlapping-generations, two-economy models of saving and investment under conditions of perfect international capital mobility. The second study differs from the first by endogenizing the labor supply. Employing simulations, the models are used to generate time-series for savings and investment. These are then compared with the actual data for specific economies. The models show that productivity shocks produce a high correlation between savings and investment. Further, while the model with exogenous labor supply displays monotonic adjustment, the economy with endogenous labor supply adjusts cyclically.^ The third model, on the other hand, constructs a general equilibrium model for a small open economy. The study is based on two important elements: adjustment costs in investment and endogenous, recursive time preferences. Again, the simulation results show that the model generates, at least in a significant part of the adjustment path, a positive correlation between domestic savings and investment in response to a supply shock. ^

Bioeconomic analysis of aquaculture's impact on wild stocks and biodiversity

Anderson theorizes that development of the aquaculture of a species of fish (also captured in an open-access fishery) favours the conservation of its wild stocks, if competitive market conditions prevail. However, this theory is shown to be subject to significant limitations. While this is less so within his model, it is particularly so in an extended one outlined here. The extended model allows for the possibility that aquaculture development can impact negatively on wild stocks thereby shifting the supply curve of the capture fishery, or raise the demand for the fish species subject both to aquaculture and capture. Such development can threaten wild stocks and their biodiversity. While aquaculture development could in principle have no impact on the biodiversity of wild stocks or even raise aquatic biodiversity overall, its impact in the long-term probably will be one of reducing aquatic diversity both in the wild and overall.