Essays on empirical time series modeling with causality and structural change

In this dissertation, three related issues of building empirical time series models for financial markets are investigated with respect to contemporaneous causality, dynamics, and structural change. In the first essay, nation-wide industry information transmission among stock returns of ten sectors in the U.S. economy is examined through the Directed Acyclical Graph (DAG) for contemporaneous causality and Bernanke decomposition for dynamics. The evidence shows that the information technology sector is the most root cause sector. Test results show that DAG from ex ante forecast innovations is consistent with the DAG fro m ex post fit innovations. This supports innovation accounting based on DAGs using ex post innovations. In the second essay, the contemporaneous/dynamic behaviors of real estate and stock returns are investigated. Selected macroeconomic variables are included in the model to explain recent movements of both returns. During 1971-2004, there was a single structural break in October 1980. A distinct difference in contemporaneous causal structure before and after the break is found. DAG results show that REITs take the role of a causal parent after the break. Innovation accounting shows significantly positive responses of real estate returns due to an initial shock in default risk but insignificant responses of stock returns. Also, a shock in short run interest rates affects real estate returns negatively with significance but does not affect stock returns. In the third essay, a structural change in the volatility of five Asian and U.S. stock markets is examined during the post-liberalization period (1990-2005) in the Asian financial markets, using the Sup LM test. Four Asian financial markets (Hong Kong, Japan, Korea, and Singapore) experienced structural changes. However, test results do not support the existence of structural change in volatility for Thailand and U.S. Also, results show that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) persistent coefficient increases, but the Autoregressive Conditional heteroskedasticity (ARCH) impact coefficient, implying short run adjustment, decreases in Asian markets. In conclusion, when the econometric model is set up, it is necessary to consider contemporaneous causality and possible structural breaks (changes). The dissertation emphasizes causal inference and structural consistency in econometric modeling. It highlights their importance in discovering contemporaneous/dynamic causal relationships among variables. These characteristics will likely be helpful in generating accurate forecasts

Essays on empirical time series modeling with causality and structural change

In this dissertation, three related issues of building empirical time series models for financial markets are investigated with respect to contemporaneous causality, dynamics, and structural change. In the first essay, nation-wide industry information transmission among stock returns of ten sectors in the U.S. economy is examined through the Directed Acyclical Graph (DAG) for contemporaneous causality and Bernanke decomposition for dynamics. The evidence shows that the information technology sector is the most root cause sector. Test results show that DAG from ex ante forecast innovations is consistent with the DAG fro m ex post fit innovations. This supports innovation accounting based on DAGs using ex post innovations. In the second essay, the contemporaneous/dynamic behaviors of real estate and stock returns are investigated. Selected macroeconomic variables are included in the model to explain recent movements of both returns. During 1971-2004, there was a single structural break in October 1980. A distinct difference in contemporaneous causal structure before and after the break is found. DAG results show that REITs take the role of a causal parent after the break. Innovation accounting shows significantly positive responses of real estate returns due to an initial shock in default risk but insignificant responses of stock returns. Also, a shock in short run interest rates affects real estate returns negatively with significance but does not affect stock returns. In the third essay, a structural change in the volatility of five Asian and U.S. stock markets is examined during the post-liberalization period (1990-2005) in the Asian financial markets, using the Sup LM test. Four Asian financial markets (Hong Kong, Japan, Korea, and Singapore) experienced structural changes. However, test results do not support the existence of structural change in volatility for Thailand and U.S. Also, results show that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) persistent coefficient increases, but the Autoregressive Conditional heteroskedasticity (ARCH) impact coefficient, implying short run adjustment, decreases in Asian markets. In conclusion, when the econometric model is set up, it is necessary to consider contemporaneous causality and possible structural breaks (changes). The dissertation emphasizes causal inference and structural consistency in econometric modeling. It highlights their importance in discovering contemporaneous/dynamic causal relationships among variables. These characteristics will likely be helpful in generating accurate forecasts

An Active and Soft Hydrogel Actuator to Stimulate Live Cell Clusters by Self-folding

The hydrogels are widely used in various applications, and their successful uses depend on controlling the mechanical properties. In this study, we present an advanced strategy to develop hydrogel actuator designed to stimulate live cell clusters by self-folding. The hydrogel actuator consisting of two layers with different expansion ratios were fabricated to have various curvatures in self-folding. The expansion ratio of the hydrogel tuned with the molecular weight and concentration of gel-forming polymers, and temperature-sensitive molecules in a controlled manner. As a result, the hydrogel actuator could stimulate live cell clusters by compression and tension repeatedly, in response to temperature. The cell clusters were compressed in the 0.7-fold decreases of the radius of curvature with 1.0 mm in room temperature, as compared to that of 1.4 mm in 37 degrees C. Interestingly, the vascular endothelial growth factor (VEGF) and insulin-like growth factor-binding protein-2 (IGFBP-2) in MCF-7 tumor cells exposed by mechanical stimulation was expressed more than in those without stimulation. Overall, this new strategy to prepare the active and soft hydrogel actuator would be actively used in tissue engineering, drug delivery, and micro-scale actuators

Comparison of Internal and Total Optical Aberrations for 2 Aberrometers: iTrace and OPD Scan

PURPOSE: To compare and evaluate the total and internal aberrations measured by two aberrometers: the laser ray tracing aberrometer (iTrace, Tracey Technology) and the automatic retinoscope aberrometer (OPD Scan, Nidek). METHODS: A total of 54 healthy eyes were enrolled in the study. Following pupil dilation, aberrations were measured with the iTrace and OPD Scan. We compared the aberrations obtained from measurements obtained at pupillary diameters of 4 mm and 6 mm with the OPD Scan and iTrace. Aberrations of internal optics and total aberrations were compared for the two aberrometers. For each aberrometer and each eye, the averaged Zernike data were used to calculate various root-mean-square (RMS) data. These parameters, together with the refractive parameters, were then analyzed and complimented by paired t-tests. RESULTS: At a pupil diameter of 4 mm, the number of total aberrations in the entire eye showed significant differences for the mean values of spherical aberrations (Z4,0) obtained with the OPD Scan and iTrace aberrometers (p=0.001). Aberrations of the internal optics showed significant differences in the mean values of total RMS, coma (Z3,-1), and trefoil (Z3,3) between the iTrace and OPD Scan (p<0.001, p=0.01, p<0.001) for the same pupil diameter of 4 mm. At a pupil diameter of 6 mm, the two instruments showed a similar number of total aberrations. Aberrations of the internal optics showed significant differences in the mean values of total RMS, spherical aberration (Z4,0), and coma (Z3,-1) between the two devices (p<0.001, p=0.01, p<0.001). CONCLUSIONS: The iTrace and OPD Scan showed the largest number of differences for aberrations of internal optics rather than total aberrations for both pupil diameters. These results suggest that in healthy eyes, the two aberrometers may vary in some details. The aberrometers showed more agreement at a pupil diameter of 6 mm compared to 4 mmope