"Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets"

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate (USA), Brent (North Sea), Dubai/Oman (Middle East), and Tapis (Asia-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover and asymmetric effects across and within the four markets, using three multivariate GARCH models, namely the constant conditional correlation (CCC), vector ARMA-GARCH (VARMA-GARCH) and vector ARMA-asymmetric GARCH (VARMA-AGARCH) models. A rolling window approach is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series. In addition, the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends. Moreover, the optimal hedge ratios and optimal portfolio weights of crude oil across different assets and market portfolios are evaluated in order to provide important policy implications for risk management in crude oil markets.

Essays in the economics of innovation : an application to the case of Taiwan.

This research is an in-depth empirical investigation in the causes and consequences of the innovation activiy of Taiwan's manufacturing firms.The analysis relies on the exploitation of a panel of more than 27000 manufacturing firms observed between 1992 and 1995, 5000 of which can be classified as "innovation firms". The dissertation is organized in three chapters. The first chapter examines the determinants of firms' decision to innovate. We find an overall positive effect (variable across industries) of market concentration. We also observe a non-linear relationship between firms' size and the probability to innovate. Moreover, Taiwan's firms tend to innovate less toward the end of their life cycle. Finally, the growth rate of exportations (at the industry level) significantly increases the probability to innovate. In the second chapter, we estimate the effect of market structure and firm characteristics on the choice of innovation strategy. Four possible strategies are considered: to do R&D only, to import (disembodied) technology only, to mix both, and to forego innovation. We find positive effects of firm size and market structure on the probability of doing R&D (with or without importing technology). We also find that younger firms are more likely to innovate. Finally, we point out significant evidence of complementarity between doing R&D and importing technology. In the final chapter, we focus on the 5000 innovation firms to test the respective effects of importing technology and doing R&D on the growth of total factor and labor productivity. We check for complementarities by including an interaction effect into the regression model of productivity growth. We find that both activities contribute to the growth of labor productivity, whereas total factor productivity growth is mainly driven by R&D. Our results are consistent with possible complementarities between both activities, especially in high-tech industries.Productivity; Stratégies d'innovation; Productivité des entreprises; Technological complementarities; Complémentarités des sources technologiques; Innovation strategy;

Prospects fro automobile recycling, an integrated approach of systems dynamics and life-cycle assessment

Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 1994.Includes bibliographical references (leaves 139-142).by Chialin Chen.M.S

Spaceborne synthetic-aperture imaging radars: Applications, techniques, and technology

In the last four years, the first two Earth-orbiting, space-borne, synthetic-aperture imaging radars (SAR) were successfully developed and operated. This was a major achievement in the development of spaceborne radar sensors and ground processors. The data acquired with these sensors extended the capability of Earth resources and ocean-surface observation into a new region of the electromagnetic spectrum. This paper is a review of the different aspects of spaceborne imaging radars. It includes a review of: 1) the unique characteristics of space-borne SAR systems; 2) the state of the art in spaceborne SAR hardware and SAR optical and digital processors; 3) the different data-handling techniques; and 4) the different applications of spaceborne SAR data

Exploring the Relationship between Vehicle Safety and Fuel Efficiency in Automotive Design

Panel data analysis is used within a fixed effect model to examine the relationship between vehicle safety ratings and fuel efficiency of  45 new vehicle models sold in the between 2002 and 2007. While conventional wisdom and most early literature suggest that lighter, more fuel efficient vehicles are less safe to their occupants, the tests show a positive relationship between vehicle safety ratings and fuel efficiencies not only within and across most size classes but also for vehicles produced by both the US and Asian automakers.We also explore the design initiatives by manufacturers to compensate for the reductions in weight/size of fuel-efficient vehicles.This article will be published in Transportation Research Part D 15 (2010) 112-116

Emergence of oscillations in a simple epidemic model with demographic data

A simple susceptible–infectious–removed epidemic model for smallpox, with birth and death rates based on historical data, produces oscillatory dynamics with remarkably accurate periodicity. Stochastic population data cause oscillations to be sustained rather than damped, and data analysis regarding the oscillations provides insights into the same set of population data. Notably, oscillations arise naturally from the model, instead of from a periodic forcing term or other exogenous mechanism that guarantees oscillation: the model has no such mechanism. These emergent natural oscillations display appropriate periodicity for smallpox, even when the model is applied to different locations and populations. The model and datasets, in turn, offer new observations about disease dynamics and solution trajectories. These results call for renewed attention to relatively simple models, in combination with datasets from real outbreaks

Support for Distributed Dynamic Data Structures in C++

Traditionally, applications executed on distributed memory architectures in single-program multiple-data (SPMD) mode use distributed (multi-dimensional) data arrays. Good performance has been achieved by applying runtime techniques to such applications executing in a loosely synchronous manner. However, many applications utilize language constructs such as pointers to synthesize dynamic complex data structures, such as linked lists, trees and graphs, with elements consisting of complex composite data types. Existing runtime systems that rely on global indices cannot be used for these applications, as no global names or indices are imposed upon the elements of these data structures. A portable object-oriented runtime library is presented to support applications that use dynamic distributed data structures, including both arrays and pointer-based data structures. In particular, CHAOS++ deals with complex data types and pointer-based data structures by providing {\em mobile objects} and {\em globally addressable objects}. Preprocessing techniques are used to analyze communication patterns, and data exchange primitives are provided to carry out efficient data transfer. Performance results for applications taken from three distinct classes are also included to demonstrate the wide applicability of the runtime library. (Also cross-referenced as UMIACS-TR-95-19