The Dynamic Conditional Correlation (DCC) model proposed by Engle (2002) has become one of the most popular models for the analysis of multivariate financial time series. Yet, the impact of temporal aggregation on the DCC estimates has not yet been rigorously investigated. This thesis examines the changes of DCC estimates when the intraday returns are aggregated from 5-minutes to 270-minutes returns using Taiwanese eight industry index returns from Jan. 2, 2004 to Dec. 31, 2006. Our empirical analysis finds that dynamic correlation coefficients between the 8 industry index returns are all positive and time-varying. Further, Electronic and Building indices seem to have high correlation with other industry indices whereas plastics has a lower correlation with others. What is more important, all return series have higher conditional correlation for lower frequencies. In other words, temporary aggregation will increase the conditional correlation. This thesis also seeks to categorize the loan accounts of small- and medium-scale corporations according to their respective business sectors and calculate the monthly returns and standard deviation of the bank loans according to the groups of sample of credit records from each sector, with the purpose of establishing the efficient frontier of the loan combinations of the banks and estimation the dynamic conditional correlation to discover the optimal crediting policy. It is expected that the discussion using the model presented in the thesis may provide the basis for financial institutions as they establish their respective crediting policies.

In a wireless communication system, the RF signal integrity is often deteriorated by power amplifier (PA) nonlinearity and local oscillator (LO) pulling. This dissertation attempts to study power amplifier and local oscillator with the deliberate input distortion or interference for understanding, and hence improving, the resultant RF signal integrity issues. Furthermore, the scope of this study is extended to explore novel wireless applications. Based on the above thoughts, this dissertation includes three topics. The first topic is devoted to a baseband digital predistortion technique for enhancing the power amplifier linearity in a wireless RF transmitter. A digital predistorter has been designed to compensate the amplitude and phase distortion due to the nature of PAs, and the predistortion can enhance the linearity of linear PAs as well as switching-mode PAs. The second topic proceeds with a rigorous analysis of a local oscillator subject to injection signal. A phase-locked loop (PLL) under injection is analyzed in frequency domain to account for the inherent band-pass filtering on an injection signal. Such analysis can further predict the effect of co-frequency or co-channel interference on the PLL phase noise. A discrete-time analysis is also provided to predict output spectra of the LO pulled by a sinusoidal and modulated injection signal. The final topic presents a novel RF sensing circuit for a cognitive radio to sense spectral environment using injection locking and frequency demodulation techniques. The proposed RF sensing circuit can fast and reliably detect frequency and power for analog and digital modulation signals. In addition, the sensing principle and circuit architecture are delivered on theoretical basis developed in this dissertation. A discrete time approach is also investigated to compute the sensed output signal.

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Thesis (Ph.D.)--City University of Hong Kong, 2009. / "Submitted to Department of Economics and Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy." Includes bibliographical references (leaves 107-118)

The purpose of this thesis is to develop a simple tool that can help designers and researchers obtain general guidelines for buildings in terms of energy usage and LCC. Another objective of this thesis is to apply this tool to residential buildings in order to understand which variables are relevant in terms of energy consumption and LCC costs. A one-story rectangular house was parameterized in terms of five variables: total glazing area; south window-to-wall ratio (WWR); east and west WWR (which are symmetrical for these two facades); insulation width; and window type (ranging from a single clear window to a double low e-clear argon filled window). A high average glazing area (30-40% of floor area) was applied in order to increase energy loads and to augment the importance of the window properties. Simulation was performed through Energy-plus (in conjunction with a code developed especially for this project) for three cities: Austin, Boston, and Seattle. A total of 1055 simulations were run for each city. The experiment showed that only the total glazing area, the E-W WWR and the window types were relevant variables. The former variable is highly correlated with total energy consumption across all cities. Another important conclusion was that each variable's effect on energy consumption worked independently of each other, as there were no considerable differences when analyzing variables individually, as opposed to analyzing them holistically. Results showed that, for Austin and Boston, it was possible to reduce energy loads by 35% and 27% respectively with a double low-e green window (as compared to a single clear window). Similarly, Seattle showed a reduction of 29% for a double low e-clear argon filled window. Nevertheless, the simplest type of window (type 1) presented the best results in terms of LCC. Therefore, we can conclude that only under a high-energy demand situation, such as with office buildings, would it be possible to obtain positive LCC results for double glazed windows. Consequently, double glazed windows will not present positive economical results in typical residential buildings. A second simulation was performed under a tighter HVAC schedule and higher internal loads. In this new scenario, the best windows were the same as with the first simulation, but maximum energy savings were higher: 50%, 34% and 35% for Austin, Boston, and Seattle, respectively. Nevertheless, when considering LCC, a double-clear window presented the best results for Austin, Boston, and Seattle, with 17%, 11%, and 5% reductions in costs respectively compared to the type 1 window. Therefore, if designers are only concerned with costs, the problem of what window to choose becomes non-trivial only for high-energy demand cases. / text

Many complex systems involve simultaneous optimization of two or more criteria, with uncertainty of system parameters being a key driver in decision making. In this thesis, we consider probabilistic bicriteria models in which we seek to operate a system reliably, keeping operating costs low at the same time. High reliability translates into low risk of uncertain events that can adversely impact the system. In bicriteria decision making, a good solution must, at the very least, have the property that the criteria cannot both be improved relative to it. The problem of identifying a broad spectrum of such solutions can be highly involved with no analytical or robust numerical techniques readily available, particularly when the system involves nontrivial stochastics. This thesis serves as a step in the direction of addressing this issue. We show how to construct approximate solutions using Monte Carlo sampling, that are sufficiently close to optimal, easily calculable and subject to a low margin of error. Our approximations can be used in bicriteria decision making across several domains that involve significant risk such as finance, logistics and revenue management. As a first approach, we place a premium on a low risk threshold, and examine the effects of a sampling technique that guarantees a prespecified upper bound on risk. Our model incorporates a novel construct in the form of an uncertain disrupting event whose time and magnitude of occurrence are both random. We show that stratifying the sample observations in an optimal way can yield savings of a high order. We also demonstrate the existence of generalized stratification techniques which enjoy this property, and which can be used without full distributional knowledge of the parameters that govern the time of disruption. Our work thus provides a computationally tractable approach for solving a wide range of bicriteria models via sampling with a probabilistic guarantee on risk. Improved proximity to the efficient frontier is illustrated in the context of a perishable inventory problem. In contrast to this approach, we next aim to solve a bicriteria facility sizing model, in which risk is the probability the system fails to jointly satisfy a vector-valued random demand. Here, instead of seeking a probabilistic guarantee on risk, we instead seek to approximate well the efficient frontier for a range of risk levels of interest. Replacing the risk measure with an empirical measure induced by a random sample, we proceed to solve a family of parametric chance-constrained and cost-constrained models. These two sampling-based approximations differ substantially in terms of what is known regarding their asymptotic behavior, their computational tractability, and even their feasibility as compared to the underlying "true" family of models. We establish however, that in the bicriteria setting we have the freedom to employ either the chance-constrained or cost-constrained family of models, improving our ability to characterize the quality of the efficient frontiers arising from these sampling-based approximations, and improving our ability to solve the approximating model itself. Our computational results reinforce the need for such flexibility, and enable us to understand the behavior of confidence bounds for the efficient frontier. As a final step, we further study the efficient frontier in the cost versus risk tradeoff for the facility sizing model in the special case in which the (cumulative) distribution function of the underlying demand vector is concave in a region defined by a highly-reliable system. In this case, the "true" efficient frontier is convex. We show that the convex hull of the efficient frontier of a sampling-based approximation: (i) can be computed in strongly polynomial time by relying on a reformulation as a max-flow problem via the well-studied selection problem; and, (ii) converges uniformly to the true efficient frontier, when the latter is convex. We conclude with numerical studies that demonstrate the aforementioned properties. / text

published_or_final_version / abstract / Economics and Finance / Doctoral / Doctor of Philosophy

The Weber Basin Water Conservancy District is a state institution, but its primary function is collecting money for the U.S. Bureau of reclamation, to pay for the Weber Basin Project. Different classes of water users pay markedly different fees for identical Project services. More than half of the water developed by the Project is not used consumptively, yet supply facilities continue to be built in the Basin because they are less expensive to their owners than prices charged for the underused capacity of the Project. Paradoxically, some Basin residents are bitterly resentful to both the District and the Bureau, claiming that water rights formerly their own have, by means of the Project, been stolen. That is, both the enemies and the proponents of the Project adhere to the Western orthodoxy that water is scarce and drought imminent. The principal difficulty of this investigation lay in identifying the nature of the problem, for the situation seemed full of contradictions. Consequently, the primary contribution of the dissertation is an explanation of Basin circumstances that accounts for arresting observations without inconsistency or contradiction. The most important hypotheses are, therefore, empirical, or historical and institutional. Economics, according to Richard T. Ely and Frank H. Knight, is a set of principles concerning what ought to be, not empirical descriptions of what is. Consistent with that perspective, once the nature of the problem is clear, applications of economic principles is a prescriptive judgement of how the problem may be resolved. The most important empirical hypotheses are as follows: Water is not scarce in the Weber Basin; neither are storage and conveyance facilities. All are abundant, even redundant. Nevertheless in combination with certain institutional arrangements and sustained propaganda campaign, this very abundance contributes to persistence of the attitude that water is scarce. Redundant facilities thereby encourage even more unneeded development. What appears on first examination to be a case of misallocated water resources by discriminatory prices, turns out to be a problem of distributing the burden of paying for excessive, unwanted public works. Water itself is a free good in the Basin. Actual distribution of the repayment burden is partly ideological and partly pragmatic; partly a political choice and partly a bureaucratic decision; partly a manifestation of agrarian policy and partly what the traffic will bear. If water is free, it is not an economic good, and not a subject for economic analysis. The Basin has an ample water supply, but water may nevertheless be locally and periodically scarce. The water problem is therefore one of conveyance and timing. Control of timing requires storage. Conveyance requires energy, as well as aqueducts. In the Weber Basin, conveyance energy may be either the controlled flow of falling (mountain) water, or electrically powered pumps tapping abundant groundwater reservoirs. The water development problem is therefore, an issue of alternative capital facilities for the control and delivery of water (itself abundant). Efficient resource allocation in water development is consequently relevant at the investment level; it is not a matter of pricing water. In this case, the major investment decisions have already been implemented, and the problem is one of evaluating distribution of the repayment burden. The relevant economics literature is principles of equitable taxation, and of public utilities' pricing. Application to the basin situation produces a conclusion that present arrangements are as equitable as could be devised. Further redundant investment (inefficient use of resources), however, could be avoided if the State Engineer's Office took a harder line on requests to drill new wells. The information provided in this work could be the basis for making such a program popularly acceptable.

Bakgrund: Det senaste decenniet har allt fler stormarknader och lågprisbutiker öppnat vilket har lett till att de mindre livsmedelsbutikerna blivit utsatta för större konkurrens. Parallellt med att stormarknaderna tagit marknadsandelar i dagligvarubranschen har även större fokus riktats mot ökat samarbete och informationsdelning i försörjningskedjan, så kallat Supply Chain Management (SCM). Inom dagligvarubranschen har Efficient Consumer Response (ECR) utvecklas ur samma idéer som SCM men med fokus på livsmedel och dess försörjningskedjor. I grund och botten handlar ECR om företagens gemensamma arbete för att integrera verksamheter, minska kostnader samt producera största möjliga nytta för slutkonsumenten. Med tanke på den ökade konkurrensen i dagligvaruhandeln samt det faktum att det finns ont om tidigare forskning om små och medelstora företag (SME:s) relaterat till SCM/ECR, är det intressant att undersöka hur dessa företag påverkas av samarbetet. Det går att ifrågasätta om SCM/ECR samarbetet i försörjningskedjan är väl anpassat för de små och medelstora butikerna längst ut i försörjningskedjan, samt om det lämnar något utrymme för dem att differentiera sig och i längden skapa hållbara konkurrensfördelar. Syfte: Syftet med studien är således att undersöka hur SCM och ECR i dagligvarubranschen påverkar SME:s längst ut i försörjningskedjan. Mer specifikt syftar uppsatsen till att undersöka om SCM/ECR samarbetet är anpassat för de små och medelstora företagen. Syftet är även att undersöka om samarbetet lämnar utrymme för dessa företag att differentiera sig? Metod: Studien har utförts med en kvalitativ ansats, varvid sex semistrukturerade besöksintervjuer har genomförts med tre ICA – och tre Hemköpshandlare, vilka alla kan anses driva SME:s i dagligvarubranschen. Slutsats: I studien har det identifierats att SCM och ECR har haft stor påverkan på små och medelstora butiker i livsmedelsbranschen. Samarbetet tycks ha haft positiv men också negativ påverkan på butikernas dagliga verksamhet samt långsiktiga styrning. Vidare har det konstaterats SCM och ECR har minskat de små och medelstora butikernas lokala differentieringsmöjligheter.

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