A Multivariate GARCH Model with Time-Varying correlations

In this paper we propose a new multivariate GARCH model with time- varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By imposing some suitable restrictions on the conditional-correlation-matrix equation, we construct a MGARCH model in which the conditional-correlation matrix is guaranteed to be positive definite during the optimisation. Thus, our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and BEKK models. We report some Monte Carlo results on the finite-sample distributions of the MLE of the varying- correlation MGARCH model. The new model is applied to some real data sets. It is found that extending the constant-correlation model to allow for time-varying correlations provides some interesting time histories that are not available in a constant-correlation model.BEKK model, constant correlation, Monte Carlo method, multivariate GARCH model, maximum likelihood estimate, varying correlation

A Multivariate GARCH Model with Time-Varying Correlations

In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By imposing some suitable restrictions on the conditional-correlation-matrix equation, we manage to construct a MGARCH model in which the conditional-correlation matrix is guaranteed to be positive definite during the optimisation. Thus, our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and BEKK models. We report some Monte Carlo results on the finite-sample distributions of the QMLE of the varying-correlation MGARCH model. The new model is applied to some real data sets. It is found that extending the constant-correlation model to allow for time-varying correlations provides some interesting time histories that are not available in a constant-correlation model.

Risk perception and decision making in the supply chain: theory and practice

For over sixty years, academics and practitioners from different backgrounds, including psychology, sociology, and management, have studied the perception of risk and how different decision making affects daily life and business activities. Although it is almost six hundred years since Machiavelli stressed the importance of calculation of risk and effective response to it, approaches to risk measurement and assessment, and to decision making in risky situations, continue to develop and evolve. In the business world, managers strive to find ways to understand how different internal and external factors influence risk, how to judge and interpret the available evidence on the possibility of loss, and how to take individual actions to manage the risk (Slovic 2000). In this decade, a number of risk management frameworks (e.g. IS031000) have been proposed and employed in different areas. These frameworks provide foundations and building blocks for managers to collect available data to analyse risk. Most importantly, such frameworks allow managers to gather knowledge intellectually, to properly judge their experience and to assess the current situation, so as to enter into the most appropriate decision

Molecular Dynamics Computer Simulation of the Dynamics of Supercooled Silica

We present the results of a large scale computer simulation of supercooled silica. We find that at high temperatures the diffusion constants show a non-Arrhenius temperature dependence whereas at low temperature this dependence is also compatible with an Arrhenius law. We demonstrate that at low temperatures the intermediate scattering function shows a two-step relaxation behavior and that it obeys the time temperature superposition principle. We also discuss the wave-vector dependence of the nonergodicity parameter and the time and temperature dependence of the non-Gaussian parameter.Comment: 5 pages, Latex, 6 postscript figure

How Many Muscles? Optimal Muscles Set Search for Optimizing Myocontrol Performance

In myo-control, for computational and setup constraints, the measurement of a high number of muscles is not always possible: the choice of the muscle set to use in a myo-control strategy depends on the desired application scope and a search for a reduced muscle set, tailored to the application, has never been performed. The identification of such set would involve finding the minimum set of muscles whose difference in terms of intention detection performance is not statistically significant when compared to the original set. Also, given the intrinsic sensitivity of muscle synergies to variations of EMG signals matrix, the reduced set should not alter synergies that come from the initial input, since they provide physiological information on motor coordination. The advantages of such reduced set, in a rehabilitation context, would be the reduction of the inputs processing time, the reduction of the setup bulk and a higher sensitivity to synergy changes after training, which can eventually lead to modifications of the ongoing therapy. In this work, the existence of a minimum muscle set, called optimal set, for an upper-limb myoelectric application, that preserves performance of motor activity prediction and the physiological meaning of synergies, has been investigated. Analyzing isometric contractions during planar reaching tasks, two types of optimal muscle sets were examined: a subject-specific one and a global one. The former relies on the subject-specific movement strategy, the latter is composed by the most recurrent muscles among subjects specific optimal sets and shared by all the subjects. Results confirmed that the muscle set can be reduced to achieve comparable hand force estimation performances. Moreover, two types of muscle synergies namely “Pose-Shared” (extracted from a single multi-arm-poses dataset) and “Pose-Related” (clustering pose-specific synergies), extracted from the global optimal muscle set, have shown a significant similarity with full-set related ones meaning a high consistency of the motor primitives. Pearson correlation coefficients assessed the similarity of each synergy. The discovering of dominant muscles by means of the optimization of both muscle set size and force estimation error may reveal a clue on the link between synergistic patterns and the force task

Sensing DNA through DNA Charge Transport

DNA charge transport chemistry involves the migration of charge over long molecular distances through the aromatic base pair stack within the DNA helix. This migration depends upon the intimate coupling of bases stacked one with another, and hence any perturbation in that stacking, through base modifications or protein binding, can be sensed electrically. In this review, we describe the many ways DNA charge transport chemistry has been utilized to sense changes in DNA, including the presence of lesions, mismatches, DNA-binding proteins, protein activity, and even reactions under weak magnetic fields. Charge transport chemistry is remarkable in its ability to sense the integrity of DNA

The Oxidation State of [4Fe4S] Clusters Modulates the DNA-Binding Affinity of DNA Repair Proteins

A central question important to understanding DNA repair is how certain proteins are able to search for, detect, and fix DNA damage on a biologically relevant time scale. A feature of many base excision repair proteins is that they contain [4Fe4S] clusters that may aid their search for lesions. In this paper, we establish the importance of the oxidation state of the redox-active [4Fe4S] cluster in the DNA damage detection process. We utilize DNA-modified electrodes to generate repair proteins with [4Fe4S] clusters in the 2+ and 3+ states by bulk electrolysis under an O_2-free atmosphere. Anaerobic microscale thermophoresis results indicate that proteins carrying [4Fe4S]^(3+) clusters bind to DNA 550 times more tightly than those with [4Fe4S]^(2+) clusters. The measured increase in DNA-binding affinity matches the calculated affinity change associated with the redox potential shift observed for [4Fe4S] cluster proteins upon binding to DNA. We further devise an electrostatic model that shows this change in DNA-binding affinity of these proteins can be fully explained by the differences in electrostatic interactions between DNA and the [4Fe4S] cluster in the reduced versus oxidized state. We then utilize atomic force microscopy (AFM) to demonstrate that the redox state of the [4Fe4S] clusters regulates the ability of two DNA repair proteins, Endonuclease III and DinG, to bind preferentially to DNA duplexes containing a single site of DNA damage (here a base mismatch) which inhibits DNA charge transport. Together, these results show that the reduction and oxidation of [4Fe4S] clusters through DNA-mediated charge transport facilitates long-range signaling between [4Fe4S] repair proteins. The redox-modulated change in DNA-binding affinity regulates the ability of [4Fe4S] repair proteins to collaborate in the lesion detection process

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations

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Detailed study of integrating solid oxide fuel cell-gas turbine hybrid system for marine applications

This thesis presents the computational evaluation of the system configuration and optimisation of a recuperated SOFC-GT system with combined heating cooling and power (CCHP) or trigeneration for marine applications. A comprehensive configuration analysis of a SOFC-GT system is needed to characterise the performance of different system configuration across a range of operating conditions, in order to choose a design point with optimum performance, and carry out off-design analysis. Then, a sensitivity analysis of the effects of changing the components, ambient temperature and air utilisation and fuel utilisation within a safe operating range is carried out. The fuel cell module within the Matlab model simulates methane reforming reactions; and fuel cell electrochemical reaction with the use of Voltage-current (V-i) curve from Siemens Westinghouse experimental SOFC data. The trigeneration model was calculated based on the outlet temperature of the SOFC-GT system as well as the inlet flow rates into the system. A number of system configurations of air conditioning system with conventional Heating Ventilation and Air Conditioning (HVAC) coils, absorption chiller and desiccant wheel are integrated with the existing SOFC-GT system, in order to extract waste heat from the SOFC-GT system exhaust for heating and cooling purposes for the ship. It is found that the recuperated SOFC-GT system is the optimum system configuration. The system efficiency and specific power are both high, when the compressor is operating at 4 bar pressure, with 1250K of turbine entry temperature, fuel cell operating at 1273K, current density at 300mA/cm2, corresponding to 0.704V of fuel cell voltage. When the compressor and turbine designed by the National Technical University of Athens are used in the system with power turbine, the overall thermal efficiency at design point is 59.7%. The hybrid system can operate from 31% to 100% of design point power, when running the system in off-design with air utilisation between 0.1 and 0.25. The choice of compressor and turbine will lead to variations in operating range for off-design. The operating range of the system is bounded by a safety range of air utilisation, which has major effect on the efficiency, total specific power, and gas turbine power split; and fuel utilisation, which is negligible effect on system performance criteria. The ambient condition changes have little effects on the total specific power. However, at higher temperature, the operating line moves closer but not near to the surge line. By using variable geometry compressor and turbine, the operating line can be moved even further away from surge, and this is useful in maintaining system stability when operating in tropical areas. There are also additional benefits of extending the operating range and increasing overall system efficiency, by a maximum of 3% and 1.5% respectively. The Trigeneration model results show that the double effect absorption cooler is the most energy efficient heat recovery unit to be integrated with the SOFC-GT system. When there are fewer occupants in the ship, running fewer HVAC units than designed can reduce the volume of hot air from outdoor, hence requiring less electrical energy for cooling and dehumidification, increasing overall system efficiency. When the number of HVAC units in operation is reduced from 7 to 3 in Ship 1, the maximum number of people allowed indoors (with 18 litres/s per person of air flow rate to ensure freshness of air) is reduced from 138 to 59 persons, but the indoor heat needed to be removed is reduced from 321kW to 242kW. The absorption chiller removes nearly 50% of the heat from the indoor environment when 3 HVAC units are in operations. Hence, the net overall efficiency of the 250kWe Combined Heating, Cooling and Power system is increased from 43.2% for 7 units to 64% for 3 units. Moreover, the net electric power (after air conditioning) available for base load is increased from 74kW to 116kW