1,976 research outputs found

    Applied Dynamic Factor Modeling In Finance

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    In this dissertation, I study model misspecification in applications of dynamic factor models to finance. In Chapter 1, my co-author Jacob Warren and I examine factors for volatility of equities. Historical literature on the subject decomposes volatility into a factor component and an idiosyncratic remainder. Recent work has suggested that idiosyncratic volatility of US equities data has a factor structure, with the factor highly correlated with, and possibly precisely the market volatility. In this paper we attempt to characterize the underlying factor and find that it can be decomposed into a statistical (PCA) and structural (market volatility) factor. We also show that this feature is not unique to equities, appearing in diverse sets of financial data. Lastly, we find that this dual-factor approach is slightly dominated in forecasting environments by a single statistical factor, suggesting that accurate measurement of the factors provides a direction for future work. In Chapter 2, I explore the use of dynamic factor models in yield curve forecasting and an exploration of the spanning hypothesis – that is, whether all information necessary for forecasting yields is contained in the current yield curve. Only linear tests of the spanning hypothesis are typically conducted in the literature, and the results are subject to substantial disagreement. In this paper, I explore a key modern nonlinearity, namely the zero lower bound (ZLB). I first demonstrate in simulation that only very small nonlinearities in the measurement equation are necessary to break down the assumed linear spanning relationship. Because bond yields are determined by forward-looking behavior of investors, the effect of the ZLB affects spanning results as early as 1995. New nonlinear spanning tests are found to behave appropriately. Using the full set of yields instead of truncating to a small number of principal components is quantitatively important but does not eliminate the omitted nonlinearity effect

    Report of Society

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    Metabolic effects of a high-fat diet post-weaning after low maternal dietary folate during pregnancy and lactation

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    Scope Investigate the influence of low-folate supply during pregnancy and lactation on obesity and markers of the metabolic syndrome in offspring, and how provision of a high-fat diet post weaning may exacerbate the resultant phenotype. Methods and results Female C57Bl/6 mice were randomized to low or normal folate diets (0.4 or 2 mg folic acid/kg diet) prior to and during pregnancy and lactation. At 4 wk of age, offspring were randomized to high- or low-fat diets, weighed weekly and food intake assessed at 9 and 18 wk old. Adiposity was measured at 3 and 6 months. Plasma glucose and triacylglycerol (TAG) concentrations were measured at 6 months. Maternal folate supply did not influence adult offspring body weight or adiposity. High-fat feeding post weaning increased body weight and adiposity at 3 and 6 months (p > 0.001). Maternal low folate lowered plasma glucose (p = 0.010) but increased plasma TAG (p = 0.048). High-fat feeding post weaning increased plasma glucose and TAG (p = 0.023, p = 0.049 respectively). Offspring from folate-depleted (but not folate-adequate) dams had 30% higher TAG concentration when fed the high-fat diet from weaning (p = 0.005 for interaction). Conclusion Inadequate maternal folate intake has long-term effects on offspring metabolism, manifested as increased circulating TAG, particularly in offspring with high-fat intake post weaning

    Linking relief and development

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    This Discussion Paper reports on a workshop on 'Linking Relief and Development', held at IDS, Sussex in March 1994. Development and relief often operate at cross-purposes, with different objectives, cultures and modes of operation. Change which leads to mutual reinforcement of the two is an attractive, even a necessary idea; though problematic in the growing number of cases where emergencies are related to conflict. A simple linear sequence, 'relief-rehabilitation-development' is not appropriate: more dynamic models are required, which recognize the complexity and diversity of livelihood strategies. And in selecting interventions, analysis is needed of cost, sequencing and institutional issues

    Early career teachers’ role in school development and professional learning

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    School improvement efforts rely on teachers’ capacity for professional development and learning. We investigate the kind of roles taken by early career teachers (ECTs) with a master’s degree from a research-based teacher education programme in relation to professional learning and school development in Norwegian schools after five years in the profession. The conceptual framework includes research of professional learning and trust. Semi-structured interviews of 26 ECTs were analysed using reflective thematic analysis. The findings illustrate four different roles that ECTs take: creators, translators, drivers and passengers. All the ECTs become creators, as they were enquiry-oriented and collaborated with colleagues to promote bottom-up professional learning, in order to improve teaching. Translators capture the ECTs’ ability to translate a new curriculum into deep-learning and student-active teaching. Drivers obtain formal positions and promote professional learning in schools. Passengers take a passive role, and they are critical of the school system that introduces and performs a high number of top-down school-development projects. We discuss how ECTs want to develop relational trust, while the system may strengthen relational and structural trust.publishedVersio

    Sieving Mechanism in Hydraulic Filtration

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    Engineerin

    A Comparative Analysis of Airline Pilots’ Approaches to Learning

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    This paper reports a study investigating approaches to learning (deep, surface, achieving) by airline pilots. Three hundred and forty-six respondents from five international airlines and an institute completed the Pilot Learning Process Questionnaire (PLPQ). The results showed a general tendency for surface scores to be substantially lower than deep and achieving scores, with greatest variability among the carriers on the achieving scale. The European carrier was implicated in all post hoc analyses conducted and one Pacific Rim carrier\u27s profile showed significant differences from other airlines. The results are discussed in terms of cultural, training/rewards, and tenure factors. Implications for pilot training and selection are noted

    Responsible care in actor training: effective support for occupational health training in drama schools

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    How actors are adequately prepared for their lifetime of work can be a vexed issue. However what is emerging in the field is data that suggests more can be done to prepare those entering the acting profession and to support actors throughout their career development. This article argues that teaching staff, support staff and industry partners might usefully enter into conscious dialogue with each other about ensuring a healthier interplay between students’ developmental needs, course expectations and workplace culture. Otherwise, students can be caught in a dilemma between accessing personal and interpersonal support as well as being professional and industry-ready
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