Functional generalized autoregressive conditional heteroskedasticity

Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of ARCH and GARCH processes. More recently multivariate variants of these processes have been in the focus of research with attention given to methods seeking an efficient and economic estimation of a large number of model parameters. Due to the need for estimation of many parameters, however, these models may not be suitable for modeling now prevalent high-frequency volatility data. One potentially useful way to bypass these issues is to take a functional approach. In this paper, theory is developed for a new functional version of the generalized autoregressive conditionally heteroskedastic process, termed fGARCH. The main results are concerned with the structure of the fGARCH(1,1) process, providing criteria for the existence of a strictly stationary solutions both in the space of square-integrable and continuous functions. An estimation procedure is introduced and its consistency verified. A small empirical study highlights potential applications to intraday volatility estimation

A flexible software architecture concept for the creation of accessible PDF documents

This paper presents a flexible software architecture concept that allows the automatic generation of fully accessible PDF documents originating from various authoring tools such as Adobe InDesign or Microsoft Word. The architecture can be extended to include any authoring tools capable of creating PDF documents. For each authoring tool, a software accessibility plug-in must be implemented which analyzes the logical structure of the document and creates an XML representation of it. This XML file is used in combination with an untagged non-accessible PDF to create an accessible PDF version of the document. The implemented accessibility plug-in prototype allows authors of documents to check for accessibility issues while creating their documents and add the additional semantic information needed to generate a fully accessible PDF document

Limit Laws in Transaction-Level Asset Price Models

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such e®ects as intraday seasonal patterns in volatility, and non-trading periods that may be di®erent for the two assets. Most assumptions are stated directly on the point process, though we provide su±cient conditions on the corresponding inter-trade durations for these assumptions to hold. We obtain the asymptotic distribution of the log-price process. We also obtain the asymptotic distribution of the ordinary least-squares estimator of the cointegrat- ing parameter based on data sampled from an equally-spaced discretization of calendar time, in the case of weak fractional cointegration. Finally, we obtain the limiting distribution of the ordinary least-squares estimator of the autoregressive parameter in a simpli¯ed transaction-level univariate model with a unit root.NYU, Stern, Center for Digital Economy Researc

Limit Laws in Trasnaction-Level Asset Price Models

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may be different for the two assets. We also allow for asymmetries (leverage effects). We obtain the asymptotic distribution of the log-price process. For the weak fractional cointegration case, we obtain the asymptotic distribution of the ordinary least-squares estimator of the cointegrating parameter based on data sampled from an equally-spaced discretization of calendar time, and justify a feasible method of hypothesis testing for the cointegrating parameter based on the corresponding t-statistic. In the strong fractional cointegration case, we obtain the limiting distribution of a continuously-averaged tapered estimator as well as other estimators of the cointegrating parameter, and find that the rate of convergence can be affected by properties of intertrade durations. In particular, the persistence of durations (hence of volatility) can affect the degree of cointegration. We also obtain the rate of convergence of several estimators of the cointegrating parameter in the standard cointegration case. Finally, we consider the properties of the ordinary least squares estimator of the regression parameter in a spurious regression, i.e., in the absence of cointegration.Department of Statistics, University of California, Davis; Department of Mathematics, University of Utah; Stern School of Business, New York University; Universit¶e Paris XStatistics Working Papers Serie

Joint inversion estimate of regional glacial isostatic adjustment in Antarctica considering a lateral varying Earth structure (ESA STSE Project REGINA)

A major uncertainty in determining the mass balance of the Antarctic ice sheet from measurements of satellite gravimetry, and to a lesser extent satellite altimetry, is the poorly known correction for the ongoing deformation of the solid Earth caused by glacial isostatic adjustment (GIA). Although much progress has been made in consistently modelling the ice-sheet evolution throughout the last glacial cycle, as well as the induced bedrock deformation caused by these load changes, forward models of GIA remain ambiguous due to the lack of observational constraints on the ice sheet's past extent and thickness and mantle rheology beneath the continent. As an alternative to forward modelling GIA, we estimate GIA from multiple space-geodetic observations: GRACE, Envisat/ICESat and GPS. Making use of the different sensitivities of the respective satellite observations to current and past surface mass (ice mass) change and solid Earth processes, we estimate GIA based on viscoelastic response functions to disc load forcing. We calculate and distribute the viscoelastic response functions according to estimates of the variability of lithosphere thickness and mantle viscosity in Antarctica. We compare our GIA estimate with published GIA corrections and evaluate its impact in determining the ice mass balance in Antarctica from GRACE and satellite altimetry. Particular focus is applied to the Amundsen Sea Sector in West Antarctica, where uplift rates of several cm/yr have been measured by GPS. We show that most of this uplift is caused by the rapid viscoelastic response to recent ice-load changes, enabled by the presence of a low-viscosity upper mantle in West Antarctica. This paper presents the second and final contribution summarizing the work carried out within a European Space Agency funded study, REGINA, (www.regina-science.eu)

Utdelningspolicy – En kvantitativ och kvalitativ studie om utdelningspolicyn bland bolag inom fastighetssektorn

Syfte: Studien syftar till att undersöka vilka kvantitativa och kvalitativa faktorer som påverkar utdelningsnivån bland fastighetsbolag listade på Stockholmsbörsens Large- och Mid Cap-listor. Metod: Uppsatsen utförs utifrån en deduktiv ansats och bygger dels på en kvantitativ studie där multipel regressionsanalys används som huvudverktyg, dels på en innehållsanalys där företagens årsredovisningar studeras samt på en kvalitativ studie där underlaget består av primärdata som inhämtats via intervjufrågor. Teoretiska perspektiv: Ett flertal utdelningsbaserade teorier ligger till grund för studiens teoretiska perspektiv. De centrala är utjämningsteorin, irrelevansteorin, agentteorin och signaleringsteorin, som tillsammans med tidigare forskning används som grund för denna studie. Empiri: Studien baseras på data från 15 företag inom fastighetssektorn som är registrerade på Stockholmsbörsens (OMX) Large Cap- och Mid Cap-listor under åren 2009 till 2013. Data har hämtats från företagens årsredovisningar och från databasen Thomson Reuters Datastream. Resultat: Regressionsanalysen visar att förvaltningsresultat och tidigare års utdelning har en signifikant inverkan på fastighetsföretagens direktavkastning. Sambandet mellan direktavkastning och de oberoende variablerna företagsstorlek, belåningsgrad, kassaflöde, market to book, omsättningstillväxt samt nettomarginal går däremot inte att statistiskt säkerställa. Till följd av ett fåtal specifika omständigheter som det i studien redogörs för, går det heller inte att säkerställa sambandet mellan återköp och direktavkastning. Innehållsanalysen samt korrespondens med företagsrepresentanter visar att kvalitativa faktorer såsom mål, tillväxtstrategier, traditioner och löften gentemot aktieägarna har en stor betydelse vid fastighetsföretagens val av utdelningspolicy.Purpose: This study aims to investigate the quantitative and qualitative factors affecting the level of dividends among real estate companies listed on the Stockholm Stock Exchange Large and Mid Cap lists. Methodology: The thesis has a deductive approach based on a quantitative study in which multiple regression analysis were used as the main tool and on a content analysis in which the companies' annual reports were studied, as well as on a qualitative study in which interview questions via e-mail were sent to and answered by some of the companies. Theoretical perspectives: A number of dividend-based theories underlie the study's theoretical perspective. The most central is balancing theory, irrelevance theory, agent theory and signaling theory, which together with previous research is used as the basis for this study. Empirical foundation: The study is based on data from 15 companies in the real estate sector, which is listed on the Stockholm Stock Exchange (OMX) Large Cap and Mid Cap lists during the years 2009 to 2013. The data is taken from annual reports and from the database Thomson Reuters Datastream. Conclusions: The regression analysis shows that EPRA Earnings and the previous year's dividends have a significant impact on the real estate companies’ dividend yields. The relationship between dividend yield and the independent variables, firm size, loan to value ratio, cash flow, market to book, revenue growth and net margin, however, are not statistically significant. Due to a few specific circumstances, which are described in the study, nor is it possible to ensure the link between repurchases and dividend yield. The content analysis and correspondence with company representatives indicate that qualitative factors such as goals, growth strategies, traditions and promises to shareholders have a major impact on the real estate companies’ choice of dividend policy

Flow Analysis of the Cleveland Clinic Centrifugal Pump

An implantable ventricular assist rotordynamic blood pump is being developed by the Cleveland Clinic Foundation in cooperation with the NASA Lewis Research Center. At the nominal design condition, the pump provides blood flow at the rate of 5 liters per minute at a pressure rise of 100 mm of mercury and a rotative speed of 3000 RPM. Bench testing of the centrifugal pump in a water/glycerin mixture has provided flow and pressure data at several rotative speeds. A one-dimensional empirical based pump flow analysis computer code developed at NASA Lewis Research Center has been used in the design process to simulate the flow in the primary centrifugal pump stage. The computer model was used to size key impeller and volute geometric parameters that influence pressure rise and flow. Input requirements to the computer model include a simple representation of the pump geometry. The model estimates the flow conditions at the design and at off-design operating conditions at the impeller leading and trailing edges and the volute inlet and exit. The output from the computer model is compared to flow and pressure data obtained from bench testing

Limit Laws in Trasnaction-Level Asset Price Models

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may be different for the two assets. We also allow for asymmetries (leverage effects). We obtain the asymptotic distribution of the log-price process. For the weak fractional cointegration case, we obtain the asymptotic distribution of the ordinary least-squares estimator of the cointegrating parameter based on data sampled from an equally-spaced discretization of calendar time, and justify a feasible method of hypothesis testing for the cointegrating parameter based on the corresponding t-statistic. In the strong fractional cointegration case, we obtain the limiting distribution of a continuously-averaged tapered estimator as well as other estimators of the cointegrating parameter, and find that the rate of convergence can be affected by properties of intertrade durations. In particular, the persistence of durations (hence of volatility) can affect the degree of cointegration. We also obtain the rate of convergence of several estimators of the cointegrating parameter in the standard cointegration case. Finally, we consider the properties of the ordinary least squares estimator of the regression parameter in a spurious regression, i.e., in the absence of cointegration.Department of Statistics, University of California, Davis; Department of Mathematics, University of Utah; Stern School of Business, New York University; Universit¶e Paris XStatistics Working Papers Serie

Inducing Error Management Culture – Evidence From Experimental Team Studies

Field studies indicate that error management culture can be beneficial for organizational performance. The question of whether and how error management culture can be induced remained unanswered. We conducted two experiments with newly formed teams, in which we aimed to induce error management culture and to explore whether we would also find beneficial effects of error management culture on performance in an experimental setting. Furthermore, we tested whether culture strength moderates the relationship between error management culture and performance. In Study 1, we used two tasks that require rational problem solving. In Study 2, we used a task that requires creative problem solving. We successfully manipulated error management culture in terms of an effect on perceived error management culture within the teams. While we did not find a direct effect of error management culture on performance, Study 2 revealed an indirect effect via communication in the teams. To our surprise, culture strength did not influence the hypothesized relationship. We discuss potential theoretical and alternative explanations for our results, and provide an outlook for future studies

Histogram Analysis of Diffusion Weighted Imaging in Low-Grade Gliomas: in vivo Characterization of Tumor Architecture and Corresponding Neuropathology

Background: Low-grade gliomas (LGG) in adults are usually slow growing and frequently asymptomatic brain tumors, originating from glial cells of the central nervous system (CNS). Although regarded formally as “benign” neoplasms, they harbor the potential of malignant transformation associated with high morbidity and mortality. Their complex and unpredictable tumor biology requires a reliable and conclusive presurgical magnetic resonance imaging (MRI). A promising and emerging MRI approach in this context is histogram based apparent diffusion coefficient (ADC) profiling, which recently proofed to be capable of providing prognostic relevant information in different tumor entities. Therefore, our study investigated whether histogram profiling of ADC distinguishes grade I from grade II glioma, reflects the proliferation index Ki-67, as well as the IDH (isocitrate dehydrogenase) mutation and MGMT (methylguanine-DNA methyl-transferase) promotor methylation status. Material and Methods: Pre-treatment ADC volumes of 26 LGG patients were used for histogram-profiling. WHO-grade, Ki-67 expression, IDH mutation, and MGMT promotor methylation status were evaluated. Comparative and correlative statistics investigating the association between histogram-profiling and neuropathology were performed. Results: Almost the entire ADC profile (p25, p75, p90, mean, median) was significantly lower in grade II vs. grade I gliomas. Entropy, as second order histogram parameter of ADC volumes, was significantly higher in grade II gliomas compared with grade I gliomas. Mean, maximum value (ADCmax) and the percentiles p10, p75, and p90 of ADC histogram were significantly correlated with Ki-67 expression. Furthermore, minimum ADC value (ADCmin) was significantly associated with MGMT promotor methylation status as well as ADC entropy with IDH-1 mutation status. Conclusions: ADC histogram-profiling is a valuable radiomic approach, which helps differentiating tumor grade, estimating growth kinetics and probably prognostic relevant genetic as well as epigenetic alterations in LGG