Miracle-dz/UniFAR-FTUs huggingface dataset:
Essays on Risk Measurement and Modeling in Macroeconomics and Finance

This dissertation consists of four essays that focus on the measurement and economic analysis of key risk factors behind macroeconomic and financial variables using state-space models. Chapters 2, 3, 4, and 5 develop and implement estimation approaches that can handle nonlinear linkages of economic forces and tackle issues when data are missing or contaminated by errors. Chapter 2 estimates an equilibrium term structure model that includes real and nominal uncertainty in particular that allows for changes in the responsiveness of the Federal Reserve to inflation fluctuations. These uncertainty, particularly those concerning monetary policy action are considered potential sources of risk variations that can explain several features in the U.S. government bond market including the upward sloping yield curve. Chapter 3, coauthored with Frank Schorfheide and Amir Yaron, develops a nonlinear state-space model to estimate predictable mean and volatility components in monthly consumption growth using a mixed-frequency data and accounting for serially-correlated measurement errors. We provide a methodological contribution that allow to maximize the span of the estimation sample to recover the predictable component and at the same time use high-frequency data to efficiently identify the volatility processes. The estimation provides strong evidence for predictable mean and volatility components in consumption growth. We show that the model can go a long way in explaining several well known asset pricing facts of the data. Chapter 4, co-authored with Boragan Aruoba, Francis Diebold, Jeremy Nalewaik, and Frank Schorfheide, considers the fundamental question of GDP estimation, focusing on the U.S., and provides estimates superior to the ubiquitous expenditure-side series by applying optimal signal-extraction techniques to the noisy expenditure-side and income-side GDP estimates. The quarter-by-quarter values of the new measure often differ noticeably from those of the traditional measures, and dynamic properties differ as well, indicating that the persistence of aggregate output dynamics is stronger than previously thought. Chapter 5, co-authored with Frank Schorfheide, develops the idea of using mixed-frequency data in state-space form. We show that adding monthly observations to a quarterly VAR, which then is estimated with Bayesian methods under a Minnesotastyle prior, substantially improves its forecasting performance. Degree Type Dissertation Degree Name Doctor of Philosophy (PhD) Graduate Group Economics First Advisor Francis X. Diebold Second Advisor Frank Schorfheide This dissertation is available at ScholarlyCommons: http://repository.upenn. edu/edissertations/1449 Subject Categories Economics | Finance and Financial Management This dissertation is available at ScholarlyCommons: http://repository.upenn. edu/edissertations/1449 ESSAYS ON RISK MEASUREMENT AND MODELING IN MACROECONOMICS AND FINANCE
Limiting behavior of the heteroskedastic robust

Abstract: This paper initially establishes that the usual OLS estimator of the autoregressive parameter in the first order stable autoregressive model with autoregressive conditional heteroskedastic errors, the AR-ARCH model, has a non-standard limiting distribution with a non-standard rate of convergence when the innovations have nonfinite fourth order moment. Furthermore, it is shown that the robust tand Wald test statistics of White (1980) are still consistent and have the usual rate of convergence, but a non-standard limiting distribution when the innovations have non-finite fourth order moment. The critical values for the non-standard limiting distribution are higher than the usual N(0,1) and χ1 critical values, respectively, which implies that an acceptance of a hypothesis using the standard robust tor Wald tests remains valid even if the fourth order moment condition is not met. However, the size of the test might be higher than the nominal size. Hence the analysis presented in this paper extends the usability of the robust tand Wald tests of White (1980). Finally, a small empirical study illustrates the results.
DESIGN OF MULTILAYER MICROWAVE BROADBAND ABSORBERS USING CENTRAL FORCE OPTIMIZATION

Central Force Optimization (CFO) is a new multi- dimensional search metaheuristic based on the metaphor of gravita- tional kinematics. In this paper, for the flrst time, a modifled CFO algorithm is applied to the optimal design of multilayer microwave absorbers (for normal incidence) in a speciflc frequency range. Sev- eral numerical examples are presented, in which the CFO results are compared with those found by other evolutionary algorithms. It is shown that the CFO results are comparable to those found by the self-adaptive difierential evolution (SADE) algorithm and better than those found by particle swarm optimization (PSO) and gravitational search algorithm (GSA).
Effects of Aging and Adult-Onset Hearing Loss on Cortical Auditory Regions

Hearing loss is a common feature in human aging. It has been argued that dysfunctions in central processing are important contributing factors to hearing loss during older age. Aging also has well documented consequences for neural structure and function, but it is not clear how these effects interact with those that arise as a consequence of hearing loss. This paper reviews the effects of aging and adult-onset hearing loss in the structure and function of cortical auditory regions. The evidence reviewed suggests that aging and hearing loss result in atrophy of cortical auditory regions and stronger engagement of networks involved in the detection of salient events, adaptive control and re-allocation of attention. These cortical mechanisms are engaged during listening in effortful conditions in normal hearing individuals. Therefore, as a consequence of aging and hearing loss, all listening becomes effortful and cognitive load is constantly high, reducing the amount of available cognitive resources. This constant effortful listening and reduced cognitive spare capacity could be what accelerates cognitive decline in older adults with hearing loss.
Early Phase Changes by Concurrent Endurance and Strength Training

To compare regimens of concurrent strength and endurance training, 26 male basketball players were matched for stature, body composition, and physical activity level. Subjects completed different training programs for 7 weeks, 4 days per week. Groups were as follows: (a) the strength group (S; n = 7) did strength training; (b) the endurance group (E; n = 7) did endurance training; (c) the strength and endurance group (S 1 E; n = 7) combined strength and endurance training; and (d) the control group (C; n = 5) had no training. The S1 E group showed greater gains in VO2max than the E group did (12.9% vs. 6.8%), whereas the S group showed a decline (8.8%). Gains were noted in strength and vertical jump performance for the S 1E and S groups. The S 1 E group had better posttraining anaerobic power than the S group did (6.2% vs. 2.9%). No strength, power, or an-aerobic power gains were present for the E and C groups. We conclude that concurrent endurance and strength training is more effective in terms of improving athletic perfor-mance than are endurance and strength training apart.
Signature Verification Using A "Siamese" Time Delay Neural Network

This paper describes an algorithm for verification of signatures written on a pen-input tablet. The algorithm is based on a novel, artificial neural network, called a "Siamese" neural network. This network consists of two identical sub-networks joined at their outputs. During training the two sub-networks extract features from two signatures, while the joining neuron measures the distance between the two feature vectors. Verification consists of comparing an extracted feature vector with a stored feature vector for the signer. Signatures closer to this stored representation than a chosen threshold are accepted, all other signatures are rejected as forgeries.
Prediction of diuretic response to tolvaptan by a simple, readily available spot urine Na/K ratio

Background Tolvaptan is vasopressin type 2 receptor antagonist that inhibits water reabsorption. It is used in combination with standard diuretics to treat ascites unresponsive to standard diuretic therapy or hyponatremia because of liver cirrhosis. This study evaluated the effectiveness and safety of tolvaptan in clinical practice and aimed to determine the factors related to its effectiveness. Methods Tolvaptan was administered to 88 consecutive cirrhotic patients with ascites unresponsive to standard diuretic therapy. An effective treatment response was a ≥2% reduction in body weight on day 7. The association of patient pretreatment characteristics with therapeutic effects was analyzed. Results Mean weight reduction on day 7 of tolvaptan therapy was −2.9% ± 3.2%, and treatment was effective in 52% of patients. Multivariate analysis revealed that spot urine Na/K ratio ≥2.5 at baseline was the only factor independently related to therapeutic effect, with an odds ratio of 7.85 (95% confidence interval 2.64–23.40, p = 0.0002). Weight reduction percentage on day 7 was −4.0% ± 2.8% in patients with spot urine Na/K ≥2.5, which was significantly greater than the 0.7% ± 2.7% loss in those with urine Na/K < 2.5 (p < 0.05). A spot urine Na/K ratio ≥2.5 had a sensitivity of 85% and specificity of 60% for predicting effective treatment. No adverse events of treatment led to treatment discontinuation. Conclusions Baseline spot urine Na/K was predictive of an effective response to tolvaptan therapy. It is simple to perform and readily available and might serve as an indicator of optimal timing of tolvaptan administration in patients with inadequate response to conventional Na diuretic therapy.
X-ray spectral variations of U Gem from quiescence to outburst

In this paper, we report the discovery of a high-energy component of the X-ray spectra of U Gem, which can be observed while the source is in outburst. We used Chandra and XMM Newton observations to compare the quiescence and outburst X-ray spectra of the source. The additional component may be the result of the reflection of X-rays emitted from an optically thin plasma close to the white dwarf, from the optically thick boundary layer during the outburst. Another possible explanation is that some magnetically channelled accretion may occur on to the equatorial belt of the primary causing shocks similar to the ones in the intermediate polars as it was suggested by Warner and Woudt. We have also found a timing structure at about 73 mHz (∼13.7 s) in the RXTE observation, resembling dwarf novae oscillations.
Greenbelts in the Cornbelt: Riparian Wetlands, Intrinsic Values, and Market Failure

Historical agricultural practices have severely undermined the recreational quality and ecological integrity of Midwestern streams, rivers, and reservoirs. Reestablishing riparian forest corridors would create wetland buffers partially protecting water quality and aquatic ecosystems from agricultural runoff. On the basis of an explicitly spatial market-failure model of land use in the riparian (floodplain) zone, contingent valuation survey methods are used to estimate the recreational and intrinsic benefits of improved ‘river quality’ in selected Iowa and Illinois river basins. It is found that willingness to pay for river quality is related to income and recreational participation, but not to other spatial or socioeconomic variables. Intrinsic values are found to be expressible as economic values similar to that of other public goods. Together with recreational values, they are larger on a per-acre basis, in many instances, than the production of agricultural commodities. This suggests that the purpose of programs such as the Conservation Reserve Program should be enlarged from their present focus on soil conservation to include water quality, aquatic ecosystems, and intrinsic values.
Automorphic Representations of Gsp(4)

1. In this note, we shall describe a classification for automorphic representations of GSp(4), the group of similitudes of four-dimensional symplectic space. The results are part of a project [A3] on the automorphic representations of general classical groups. The monograph [A3] is still in preparation. When complete, it will contain a larger classification of representations, subject to a general condition on the fundamental lemma. In the case of GSp(4), the standard fundamental lemma for invariant orbital integrals has been established [Ha], [W]. However, a natural variant of the standard fundamental lemma is also needed. To be specific, the theorem we will announce here is contingent upon a fundamental lemma for twisted, weighted, orbital integrals on the group GL(4) × GL(1) (relative to a certain outer automorphism). This has not been established. However, it seems likely that by methods of descent, perhaps in combination with other means, one could reduce the problem to known cases of the standard fundamental lemma. (The papers [BWW], [F], and [Sc] apply such methods to the twisted analogue of the fundamental lemma, but not its generalization to weighted orbital integrals.) The general results of [A3] are proved by a comparison of spectral terms in the stabilized trace formula. It is for the existence of the stabilized trace formula [A2] (and its twisted analogues) that the fundamental lemma is required. However, any discussion of such methods would be outside the scope of this paper. We shall be content simply to state the classification for GSp(4) in reasonably elementary terms. The paper will in fact be somewhat expository. We shall try to motivate the classification by examining the relevant mappings from a Galois group (or some extension thereof) to the appropriate L-groups. Representations of the group GSp(4) have been widely studied. The papers [HP], [Ku], [Y], [So], and [Ro] contain results that were established directly for GSp(4). Results for groups of higher rank in [CKPS] and [GRS] could also be applied (either now or in the near future) to the special case of GSp(4). 2. Let F be a local or global field of characteristic zero. If N is any positive integer, the general linear group GL(N) has an outer automorphism g → g ∨ = t g −1 , g ∈ GL(N), over F. Standard classical groups arise as fixed point groups of automorphisms in the associated inner class. In this paper, we shall be concerned with …
Single and loving it: must-alias analysis for higher-order languages

In standard control-flow analyses for higher-order languages, a single abstract binding for a variable represents a set of exact bindings, and a single abstract reference cell represents a set of exact reference cells. While such analyses provide useful may-alias information, they are unable to answer mustalias questions about variables and cells, as these questions ask about equality of specific bindings and references.In this paper, we present a novel program analysis for higher-order languages that answers must-alias questions. At every program point, the analysis associates with each variable and abstract cell a cardinality, which is either single or multiple. If variable x is single at program point p, then all bindings for x in the heap reachable from the environment at p hold the same value. If abstract cell r is single at p, then at most one exact cell corresponding to r is reachable from the environment at p.Must-alias information facilitates various program optimizations such as lightweight closure conversion [19]. In addition, must-alias information permits analyses to perform strong updates [3] on abstract reference cells known to be single. Strong updates improve analysis precision for programs that make significant use of state.A prototype implementation of our analysis yields encouraging results. Over a range of benchmarks, our analysis classifies a large majority of the variables as single.
Dual-branch diversity receivers over correlated rician fading channels

In this paper the performance of dual-branch diver- sity receivers operating over correlated Rician fading channels is analyzed and novel performance evaluation results are presented. By representing the bivariate Rician probability density function of the signal-to-noise ratio (SNR) as a rapidly converging infi- nite sum, useful analytical expressions for the performance of dual-branch selection combining and maximal ratio combining receivers are derived. Capitalizing on these infinite series repre- sentations, novel analytical formulae for the average bit-error and outage probability are obtained. The proposed analysis is used to obtain various novel performance evaluation results having as parameters of interest fading severity, average SNR and Rician correlation coefficient. The series convergence rate is also studied verifying the fast convergence of the analytical expressions. The accuracy of most of the theoretical results have been verified by means of computer simulation.
Banking on Participation: Exploring the Co-production of Population and Public in Swiss Biobanking

Abstract : This paper explores enactments of participation in two Swiss biobanking configurations, a cohort biobank and a general biobank. It sheds light on the role of Personalized Health endeavours, in which biobanks play a crucial role. In order to contribute to the understanding of the role of participation in biomedical research dynamics, the analysis focuses on the processes of co-production of identity and biobanks (Tupasela et al. 2015). It documents the overlaps between the population – providers of biological samples – and the public, the collective who is expected to give its opinion on issues raised by the reconfiguration of the research/healthcare interface. It shows that modalities of participation impact the potential scientific value derived from the biobank’s population, but also that the reconfiguration of the research/healthcare interface at the core of biobanking contributes to the current blooming of discourses and practices of participation. It argues that the forms of collective identity shaped through participation as population and/or public, exceed formal strategies of participatory governance and may play an even more important role in the shaping of biobanking configurations. Keywords : biobanks; public participation; biosociality; personalized health; genomic research.
Information technology for knowledge management in Malaysia: The effects of organisational factors

This study attempts to identify organisational factors that could influence the adoption of IT to support KM in a Malaysian setting. In addition to the two major constructs of the technology acceptance model (TAM), a research model was developed by incorporating six variables of organisational factors. Analysis of data collected from a survey of 830 Malaysian listed organisations showed that all variables of organisational factors have significant contribution to the adoption of IT for KM, except management support and commitment, and reward and incentive. This research outlines some management implications and extends the applicability of TAM in Malaysian KM context.
Difference equations for correlation functions of A(1)n-1-face model with boundary reflection

The A(1)n-1-face model with boundary reflection is considered on the basis of the boundary corner transfer matrix bootstrap. We construct the fused boundary Boltzmann weights to determine the normalization factor. We derive difference equations of the quantum Knizhnik-Zamolodchikov type for correlation functions of the boundary model. The simplest difference equations are solved in the case of the free boundary condition.
Tracking epigenetic histone modifications in single cells using Fab-based live endogenous modification labeling

Histone modifications play an important role in epigenetic gene regulation and genome integrity. It remains largely unknown, however, how these modifications dynamically change in individual cells. By using fluorescently labeled specific antigen binding fragments (Fabs), we have developed a general method to monitor the distribution and global level of endogenous histone H3 lysine modifications in living cells without disturbing cell growth and embryo development. Fabs produce distinct nuclear patterns that are characteristic of their target modifications. H3K27 trimethylation-specific Fabs, for example, are concentrated on inactive X chromosomes. As Fabs bind their targets transiently, the ratio of bound and free molecules depends on the target concentration, allowing us to measure changes in global modification levels. High-affinity Fabs are suitable for mouse embryo imaging, so we have used them to monitor H3K9 and H3K27 acetylation levels in mouse preimplantation embryos produced by in vitro fertilization and somatic cell nuclear transfer. The data suggest that a high level of H3K27 acetylation is important for normal embryo development. As Fab-based live endogenous modification labeling (FabLEM) is broadly useful for visualizing any modification, it should be a powerful tool for studying cell signaling and diagnosis in the future.
Widespread unidirectional transfer of mitochondrial DNA: a case in western Palaearctic water frogs

Interspecies transfer of mitochondrial (mt) DNA is a common phenomenon in plants, invertebrates and vertebrates, normally linked with hybridization of closely related species in zones of sympatry or parapatry. In central Europe, in an area north of 48°N latitude and between 8° and 22°E longitude, western Palaearctic water frogs show massive unidirectional introgression of mtDNA: 33.7% of 407 Rana ridibunda possessed mtDNA specific for Rana lessonae. By contrast, no R. lessonae with R. ridibunda mtDNA was observed. That R. ridibunda with introgressed mitochondrial genomes were found exclusively within the range of the hybrid Rana esculenta and that most hybrids had lessonae mtDNA (90.4% of 335 individuals investigated) is evidence that R. esculenta serves as a vehicle for transfer of lessonae mtDNA into R. ridibunda. Such introgression has occurred several times independently. The abundance and wide distribution of individuals with introgressed mitochondrial genomes show that R. lessonae mt genomes work successfully in a R. ridibunda chromosomal background despite their high sequence divergence from R. ridibunda mtDNAs (14.2–15.2% in the ND2/ND3 genes). Greater effectiveness of enzymes encoded by R. lessonae mtDNA may be advantageous to individuals of R. ridibunda and probably R. esculenta in the northern parts of their ranges.
Small Secure Sketch for Point-Set Difference

A secure sketch is a set of published data that can help to recover the original biometric data after they are corrupted by permissible noises, and by itself does not reveal much information about the original. Several constructions have been proposed for different metrics, and in particular, set difference. We observe that in many promising applications, set difference alone is insufficient to model the noises. We propose to look into point-set difference, which measures noises that not only remove/introduce new feature points in the biometric objects, but may also perturb the points. In this paper, we first give an improvement for set difference construction that can be extended to multi-sets, where the sketch is small and there is an efficient decoding algorithm. We next give a sketch for point-set difference in both one and two-dimensional spaces. By using results in almost k-wise independence, the size of the sketch is reduced to near-optimal.