Essays on Conditional Heteroscedastic Time Series Models with Asymmetry, Long memory, and Structural Changes

The volatility of asset returns is usually time-varying, necessitating the introduction of models with a conditional heteroskedastic variance structure. In this dissertation, several existing formulations, motivated by the Generalized Autoregressive Conditional Heteroskedastic (GARCH) type models, are further generalized to accommodate more dynamic features of asset returns such as asymmetry, long memory, and structural breaks. First, we introduce a hybrid structure that combines short-memory asymmetric Glosten, Jagannathan, and Runkle (GJR) formulation and the long-memory fractionally integrated GARCH (FIGARCH) process for modeling financial volatility. This formulation not only can model volatility clusters and capture asymmetry but also considers the characteristic of long memory in the volatility. In the second paper, we extend the Hybrid GJR and FIGARCH process to allow for a graduate transition between two regimes by introducing a smooth transition function. Here, the model changes smoothly between the extremes of the asymmetric short and long memory components depending on a transition variable. The third paper proposes a regime-switching asymmetric long memory model, Multiple Regime Hyperbolic GARCH (MR-HYGARCH), where the regime of an asset return is determined by observing asymmetry between positive and negative returns in its past long-term and past short-term periods. Firstly, it introduces a customizable multiple regime switching mechanism, allowing for tailored modeling according to specific problem requirements. Secondly, it proposes a new specification featuring four regimes governed by a dynamic threshold, in contrast to existing threshold GARCH models that rely on a fixed threshold with only two regimes. Finally, a multiplicative component process (MF)2EGARCH that models the conditional variance as the product of a short-term volatility component, modeled as an exponential GARCH (EGARCH) process and a long-term component, is introduced. Overall, the proposed models demonstrate superior performance compared to their respective competing models in both in-sample estimation and out-of-sample forecasting capabilities --Abstract, p. i

Incidence of Diabetes and Pre-diabetes in a Selected Urban South Indian Population (Cups - 19)

Abstract Objectives: Several cross-sectional studies have reported on the prevalence of diabetes in India. However, there are virtually no longitudinal population-based studies on the incidence of diabetes from India. The aim of the study was to determine the incidence of diabetes and prediabetes in an urban south Indian population. Methods: The Chennai Urban Population Study [CUPS], an ongoing epidemiological study in two residential colonies in Chennai [the largest city in southern India, formerly called Madras] was launched in 1996; the baseline study was completed in 1997. Follow-up examination was performed after a mean period of 8 years. At follow-up, 501 [47.0%] subjects had moved out of this colonies and were lost to follow-up. Of the remaining 564 individuals, 513 [90.9%] provided blood samples for biochemical analysis. Regression analysis was done using incident diabetes as dependant variable to identify factors associated with development of diabetes or pre-diabetes. Results: Among subjects with normal glucose tolerance (NGT) at baseline [n=476], 64 (13.4%) developed diabetes and 48 (10.1%) developed pre-diabetes (IGT or IFG). The incidence rate of diabetes was 20.2 per 1000 person years and that of pre-diabetes was 13.1 per 1000 person years among subjects with NGT. Of the 37 individuals who were pre-diabetic at baseline, 15 (40.5%) developed diabetes [incidence rate: 64.8 per 1000 person years], 16 (43.2%) remained as pre-diabetic and 6 (16.2%) reverted to normal during the follow-up period. Regression analysis revealed obesity [Odds Ratio (OR): 2.1, p=0.001], abdominal obesity [OR: 2.23, p<0.001] and hypertension [OR: 2.57, p<0.001] to be significantly associated with incident diabetes. The Indian Diabetes Risk Score (IDRS) showed the strongest association with incident diabetes [OR: 5.14, p<0.001]. Conclusion: The study shows that the incidence of diabetes is very high among urban south Indians. While obesity, abdominal obesity and hypertension were associated with incident diabetes, IDRS was th

Maximizing the Number of Spatial Nulls with Minimum Sensors

In this paper, we attempt to unify two array processing frameworks viz, Acoustic Vector Sensor (AVS) and two level nested array to enhance the Degrees of Freedom (DoF) significantly beyond the limit that is attained by a Uniform Linear Hydrophone Array (ULA) with specified number of sensors. The major focus is to design a line array architecture which provides high resolution unambiguous bearing estimation with increased number of spatial nulls to mitigate the multiple interferences in a deep ocean scenario. AVS can provide more information about the propagating acoustic field intensity vector by simultaneously measuring the acoustic pressure along with tri-axial particle velocity components. In this work, we have developed Nested AVS array (NAVS) ocean data model to demonstrate the performance enhancement. Conventional and MVDR spatial filters are used as the response function to evaluate the performance of the proposed architecture. Simulation results show significant improvement in performance viz, increase of DoF, and localization of more number of acoustic sources and high resolution bearing estimation with reduced side lobe level

Importance of controlling diabetes early - The concept of metabolic memory, legacy effect and the case for early insulinisation

Most of the microvascular complications of diabetes are related to the degree and the length of exposure to hyperglycaemia. New data from the follow-up studies of the Diabetes Control and Complications Trial- the Epidemiology of Diabetes Intervention and Complications Study (DCCT- EDIC), and the United Kingdom Prospective Diabetes Study (UKPDS) emphasize the role of glycemic control early in the course of the disorder and its value in prevention of later complications. The phenomenon of ongoing beneficial effects on diabetic complications after a period of improved glycemic control even if followed by a return to usual (often poorer) metabolic control has been described as representing "metabolic memory" by the DCCT/EDIC investigators and as a "legacy effect" by the UKPDS investigators. This article reviews these concepts and explores the role of early use of insulin as a tool to achieve good glycemic control in type 2 diabetes

The Chennai Urban Rural Epidemiology Study (CURES) - study design and methodology (Urban Component) (CURES - 1)

The report of World Health Organization (WHO) shows that India tops the world with the largest number of diabetic subjects. This increase is attributed to the rapid epidemiological transition accompanied by urbanization, which is occurring in India. There is very little data regarding the influence of affluence on the prevalence of diabetes and its complications particularly retinopathy in the Indian population. Furthermore, there are very few studies comparing the urban / rural prevalence of diabetes and its complications. The Chennai Urban Rural Epidemiology Study (CURES) is designed to answer the above questions. CURES is initially planned as a cross-sectional study to evolve later into a longitudinal study. Subjects for the urban component of the CURES have been recruited from within the corporation limits of Chennai City. Chennai (formerly Madras), the largest city in Southern India and the fourth largest in India has been divided into 10 zones and 155 wards. 46 wards were selected by a systematic random sampling method to represent the whole of Chennai. Twenty thousand and one individuals were recruited for the study, this number being derived based on a sample size calculation. The study has three phases. Phase one is a door to door survey which includes a questionnaire, anthropometric, fasting capillary blood glucose and blood pressure measurements. Phase two focussed on the prevalence of diabetic complications particularly retinopathy using standardized techniques like retinal photography etc. Diabetic subjects identified in phase one and age and sex matched non-diabetic subjects will participate in these studies. Phase three will include more detailed studies like clinical, biochemical and vascular studies on a sub-sample of the study subjects selected on a stratified basis from phase one. CURES is perhaps one of the largest systematic population based studies to be done in India in the field of diabetes and its complications like retinopathy, nephropathy and neuropathy

Comparison of the world health organization and the International association of diabetes and pregnancy study groups criteria in diagnosing gestational diabetes mellitus in South Indians

We aimed to compare the International Association of Diabetes and Pregnancy Study Groups (IADPSG) and the World Health Organization (WHO) criteria to diagnose gestational diabetes mellitus (GDM) in Chennai, India. Materials and Methods: We reviewed the retrospective data of 1351 pregnant women who underwent screening for GDM at four selected diabetes centers at Chennai (three private and one government). All women underwent an oral glucose tolerance test using 75g glucose load and fasting, 1-h, and 2-h samples were collected. The IADPSG and WHO criteria were compared for diagnosis of GDM. Results: A total of 839 women had GDM by either the IADPSG or the WHO criteria, of whom the IADPSG criteria identifi ed 699 and the WHO criteria also identifi ed 699 women as having GDM. However, only 599/839 women (66.6%) were identifi ed by both criteria. Thus, 140/839 women (16.7%) were missed by both the IADPSG and the WHO criteria. 687/699 (98.2%) of the women with GDM were identifi ed by the WHO criteria. In contrast, each value of IADPSG criteria i.e., fasting, 1 h, and 2 h identifi ed only 12.5%, 14%, and 22%, respectively. Conclusions: A single WHO cut-point of 2 h140 mg/dl appears to be suitable for large-scale screening for GDM in India and other developing countries

Real-time Atomistic Observation of Structural Phase Transformations in Individual Hafnia Nanorods

High-temperature phases of hafnium dioxide have exceptionally high dielectric constants and large bandgaps, but quenching them to room temperature remains a challenge. Scaling the bulk form to nanocrystals, while successful in stabilizing the tetragonal phase of isomorphous ZrO2, has produced nanorods with a twinned version of the room temperature monoclinic phase in HfO2. Here we use in situ heating in a scanning transmission electron microscope to observe the transformation of an HfO2 nanorod from monoclinic to tetragonal, with a transformation temperature suppressed by over 1000°C from bulk. When the nanorod is annealed, we observe with atomic-scale resolution the transformation from twinned-monoclinic to tetragonal, starting at a twin boundary and propagating via coherent transformation dislocation; the nanorod is reduced to hafnium on cooling. Unlike the bulk displacive transition, nanoscale size-confinement enables us to manipulate the transformation mechanism, and we observe discrete nucleation events and sigmoidal nucleation and growth kinetics

Imaging Josephson Vortices on Curved Junctions

Understanding the nature of vortices in type-II superconductors has been vital for deepening the physics of exotic superconductors and applying superconducting materials to future electronic devices. A recent study has shown that the LiTi2O4(111) thin film offers a unique experimental platform to unveil the nature of the vortex along the curved Josephson junction. This study successfully visualized individual Josephson vortices along the curved Josephson junctions using in-situ spectroscopic scanning tunneling microscopy on LiTi2O4 (111) epitaxial thin films. Notably, the local curvature of the Josephson junction was discovered to control the position of Josephson vortices. Furthermore, the numerical simulation reproduces the critical role of the curvature of the Josephson junction. This study provides guidelines to control Josephson vortices through geometrical ways, such as mechanical controlling of superconducting materials and their devices

EVALUATION OF GENOTOXICITY PROFILE OF JASADA BHASMA (A ZINC-BASED MINERAL FORMULATION) IN SWISS ALBINO MICE

  Objective: Genotoxicity is regarded as one of the potential risk factors for causing pathological diseases. It was confirmed that many chemicals have the mutagenic activity which leads to cancer. A compound which interacts with genetic material DNA and shows adverse effects by altering its structure or function is referred to as genotoxic.Methods: The present study involved 40 Swiss albino mice weighing between 25 and 30 g body weights categorized into four different groups. Group-I (normal control) received 0.5% carboxymethyl cellulose as vehicle. Group-II (toxicant control) received 40 mg/kg/body weight cyclophosphamide on the 28th day. Group-III and IV received test drug JB 15.6 mg/kg and 78 mg/kg, respectively, for 28 consecutive days. Blood samples were collected and processed for evaluating by comet assay. The animals were sacrificed and collected the bone marrow from both the femur for chromosomal aberration and micronuclei assay.Results: JB administered at two different dose levels did not show any significant changes in the comet assay parameters, no micronucleus was found and did not produce any chromosomal aberrations both numerically and structurally when compared to positive test control group.Conclusion: The genotoxicity evaluation of JB did not show any chromosomal aberrations and presence of micronucleus. Thus, the safety data will refine therapeutic utility of JB encouraging their rationale use and translate into greater and broader utilization of JB

A case study of bilayered spin-1/21/2 square lattice compound [VO(HCOO)2⋅_2\cdot(H2_2O)]

We present the synthesis and a detail investigation of structural and magnetic properties of polycrystalline [VO(HCOO)$_2\cdot$(H$_2$O)] by means of x-ray diffraction, magnetic susceptibility, high-field magnetization, heat capacity, and electron spin resonance measurements. It crystallizes in a orthorhombic structure with space group $Pcca$. It features distorted VO$_6$ octahedra connected via HCOO linker (formate anions) forming a two-dimensional square lattice network with a bilayered structure. Analysis of magnetic susceptibility, high field magnetization, and heat capacity data in terms of the frustrated square lattice model unambiguously establish quasi-two-dimensional nature of the compound with nearest neighbour interaction $J_1/k_{\rm B} \simeq 11.7$~K and next-nearest-neighbour interaction $J_2/k_{\rm B} \simeq 0.02$~K. It undergoes a N\'eel antiferromagnetic ordering at $T_{\rm N} \simeq 1.1$~K. The ratio $\theta_{\rm CW}/T_{\rm N} \simeq 10.9$ reflects excellent two-dimensionality of the spin-lattice in the compound. A strong in-plane anisotropy is inferred from the linear increase of $T_{\rm N}$ with magnetic field, consistent with the structural data.Comment: 9 pages, 7 figures, 1 tabl