Non-linear Threshold Relationships between Inflation and Nominal Returns: A Time Series Approach to 39 Different Countries

A linear null relationship between nominal returns and inflation is tested against threshold alternatives using quarterly and monthly data for 39 different countries. These threshold alternatives and the linear nulls are then estimated to unover the nature of linear and threshold relationships between nominal returns and inflation.financial market, inflation, linear model

Inside and Outside Bounds: Threshold Estimates of the Phillips Curve

There have been several instances over the past 40 years when large movements in the unemployment rate have elicited little response in the inflation rate. Such instances, while casting doubt on the tradeoff implied by the linear Phillips curve, are also associated with large inflation forecasting errors. In principle, these movements are consistent with a Phillips curve relationship; they just require the curve to shift in the same direction as the unemployment rate. Econometric representations of the Phillips relationship usually incorporate factors that can cause the Phillips curve to shift over time. However, the literature has not yet provided a test of whether such factors are sufficient to explain the episodes of horizontal movement. In this paper, the authors test the explanatory power of a double threshold specification of the Phillips relationship against a simple linear specification, and compare dynamic and static out of sample forecasts of inflation across linear and double threshold specifications of the Phillips curve. The authors find that traditional shifters in the relationships are insufficient for characterizing the periods of horizontal movement, and that a double threshold specification makes significant improvements in the static and dynamic out of sample inflation forecasting performance of the Phillips curvPhillips Curve; Threshold Models; Inflation Forecasting

Master of Science

thesisPlasmonic nanocrescents have been of interest due to their unique optical properties and relative ease of fabrication, as well as their potential applications in surface enhanced spectroscopies. In order to engineer nanocrescents as optimized substrates for these applications, a good understanding of the nanostructure - optical response relationship is necessary. This thesis research focused on understanding the localized surface plasmon resonance (LSPR) wavelength dependence on nanocrescent structural details, such as backbone width, arrayed assemblies, and size. The work presented here shows that the LSPR wavelength can be tuned through a wide spectral region through control of the physical structure of the nanocrescent. This thesis research also focused on understanding the polarization-dependent near-field distribution of the various plasmon resonance modes that arise due to structural asymmetry. The near-field distributions for the short- and long-axis dipoles were mapped through enhanced, localized photopolymerization of photoresist

Defining Diagnosis: A Reflexive Account of a Chronic Dis-ease Process

This is an autoethnographic account of the experience of living with chronic illness and a liminal status. This reflexive study is divided into three parts: 1) Lupus, the defining diagnosis, 2) Dis-ease, identity and reevaluation 3) Dis-identification, chronic dis-ease, and liminality. Throughout, music lyrics and my own poetry are used to represent my fluctuating identity. Systemic lupus erythematous (SLE) is a rare yet complex disease. The etiology is constantly questioned by doctors and not readily seen; it is both contested and invisible. Patients with this illness are highly stigmatized, and their psychological welfare can become neglected in a biomedical system that does not account for the overall well-being of patients. This case study addresses some potential consequences for an identity tarnished in this way. Misdiagnosis is sorely understudied throughout the literature and fails to account for the lived experience of the patient. This study seeks to fill these gaps

Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities

This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a discussion of some of the most important time series models commonly employed in its modelling. In particular, the paper details the long memory characteristics of volatility, and discusses its possible origins and impact on option pricing. To conclude, the paper discusses statistical tools that discriminate between nonlinearity and nonstationarity.long memory; nonstationarity; nonlinearity; option pricing, volatility

On the Nature of Dependence in the Volatility of US Stock Returns

Long memory in the volatility of individual return series and in the volatility of equal-weighted portfolios constituted by the individual return series is analyzed to see if the memory characteristic of the volatility representation is correlated with the portfolio characteristics of size, standard deviation of returns, and firm's beta.financial market, time series; United States