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.

Design, analysis, and testing of high frequency passively damped struts

Objectives of the research are: (1) to develop design requirements for damped struts to stabilize control system in the high frequency cross-over and spill-over range; (2) to design, fabricate and test viscously damped strut and viscoelastically damped strut; (3) to verify accuracy of design and analysis methodology of damped struts; and (4) to design and build test apparatus, and develop data reduction algorithm to measure strut complex stiffness. In order to meet the stringent performance requirements of the SPICE experiment, the active control system is used to suppress the dynamic responses of the low order structural modes. However, the control system also inadvertently drives some of the higher order modes unstable in the cross-over and spill-over frequency range. Passive damping is a reliable and effective way to provide damping to stabilize the control system. It also improves the robustness of the control system. Damping is designed into the SPICE testbed as an integral part of the control-structure technology

Issues for computer modelling of room acoustics in non-concert hall settings

The basic principle of common room acoustics computer models is the energy-based geometrical room acoustics theory. The energy-based calculation relies on the averaging effect provided when there are many reflections from many different directions, which is well suited for large concert halls at medium and high frequencies. In recent years computer modelling has become an established tool in architectural acoustics design thanks to the advance in computing power and improved understanding of the modelling accuracy. However concert hall is only one of many types of built environments that require good acoustic design. Increasingly computer models are being sought for non-concert hall applications, such as in small rooms at low frequencies, flat rooms in workplace surroundings, and long enclosures such as underground stations. In these built environments the design issues are substantially difference from that of concert halls and in most cases the common room acoustics models will needed to be modified or totally re-formulated in order to deal with these new issues. This paper looks at some examples of these issues. In workplace environments we look at the issues of directional propagation and volume scattering by furniture and equipment instead of the surface scattering that is common assumed in concert hall models. In small rooms we look at the requirement of using wave models, such as boundary element models, or introducing phase information into geometrical room acoustics models to determine wave behaviours. Of particular interest is the ability of the wave models to provide phase information that is important not only for room modes but for the construction of impulse response for auralisation. Some simulated results using different modelling techniques will be presented to illustrate the problems and potential solutions

Buyers-to-shoppers ratio of shopping malls: A probit study in Hong Kong

Buyers-to-shoppers ratio (i.e. conversion rate) has long been one of the commonly adopted metrics in assessing retail performance of shopping malls, but it is almost always relied on interviews, consumer surveys, and questionnaires. These methods are intrinsically problematic in ascertaining the trustworthiness of the responses. This paper is probably the first objective study on the buyers-to-shoppers ratio based on actual observations in shopping malls in Hong Kong. A probit model is used to study factors affecting the ratio. The results show that consumer-surveys seriously over-estimate the ratio. © 2010 Elsevier Ltd.postprin