Our behaviour is guided by the ability to predict future events. The predictive saccade paradigm has been shown to be a valuable tool that uses eye movements to measure the control of predictive behaviour. In this task, subjects follow a visual target that alternates or “steps” between two fixed locations at either predictable or unpredictable inter-stimulus time intervals (ISIs). Response times can be measured by subtracting the time of saccade initiation from the time of target appearance. When the ISI is predictable, saccadic reaction times (SRTs) become predictive (SRT <100ms) within 3-4 target steps, but when the ISI is unpredictable, the SRTs remain reactive to target appearance (SRT >100ms). The goal of our study was to investigate neural mechanisms controlling prediction by contrasting areas in the brain that were more active for predictive (PRED) versus reactive (REACT) saccades in young healthy adults using functional magnetic resonance imaging (fMRI). fMRI analysis revealed two distinct neural networks more recruited for REACT and PRED tasks. We observed greater activation for the REACT task compared to the PRED task in oculomotor network areas including the frontal, supplementary, parietal eye fields, dorsolateral prefrontal cortex, thalamus, and putamen. These structures are all involved with the control of saccades. We also observed greater activation for the PRED task compared to the REACT task in default network areas, including the medial prefrontal cortex, posterior cingulate cortex, inferior parietal lobule, and hippocampus. These structures are known to be involved with passive thinking when subjects are not focused on their external environments. We also observed greater activation for the PRED task in the cerebellum (crus I), which may serve as the internal clock that drives the regular rhythmic behaviour observed for predictive saccades. In summary, our findings suggest brain activation in the PRED task reflects automated and motor-timed responses, while that for the REACT task reflects externally-driven responses. Therefore, the predictive saccade task is an excellent tool for measuring prediction involving fast internally-guided responses. / Thesis (Master, Neuroscience Studies) -- Queen's University, 2011-08-12 10:21:37.744

This dissertation first investigates the possible house price trend and the relationship with the mortgage market, from the perspective of risk management; then it chooses the angle from bond insurers and figures out possible methods to avoid capital procyclicality. In Chapter I, we apply vector auto regression models (VAR) and simultaneous equations models (SEM) to estimate the dynamic relations among house price returns, mortgage rates and mortgage default rates, using historical data during the time period of 1979 through second quarter 2008. We find that house prices would be better estimated and predicted with the consideration of the mortgage market. In Chapter II, following the methodology of co-integration, we first construct several succinct measures to display the possible intrinsic values of house prices. In the short run, house price return dynamics are investigated by dynamic adjustments following Capozza et al (2002) and error correction models. We examine the possible overshooting problem of house price returns. By analytical derivations and simulations, we demonstrate the effects of the coefficients on overshooting. In Chapter III, we adopt a structural model with time-varying correlations for bond insurers. We consider losses due to bond insurers’ downgrading and losses from both insurance contracts and investment portfolio. On that basis, we propose forward-looking smoothing rules of capital over a full business cycle, instead of only based on a short-term horizon, to avoid the procyclicality. With the smoothed capital, a bond insurer can actually establish some capital buffer in good times to support the potential losses in crisis.

Past research documents a positive link between momentum and firm-level default risk, yet this anomaly is not connected to default risk at the macro level. Namely, there is no documented momentum during recessions, when default is higher on average. In the first essay, "Momentum and Aggregate Default Risk," we attempt to resolve this puzzle by analyzing momentum pro ts over time, conditional on both business cycles and unexpected changes in aggregate default risk. First, we show that momentum is driven by shocks to aggregate default, rather than general economic conditions such as expansions and recessions. Using the Fama and MacBeth procedure, we find that a conditional default shock factor is priced and can explain a large portion of the total momentum returns. Second, we provide a risk-based explanation for this anomaly by linking the returns of momentum portfolios to shareholder recovery during financial distress. We find that losers have higher recovery (i.e., shareholders have high bargaining power) on average, and, as a result, have relatively lower risk in high default states of the world. Therefore, loser stocks have a lower risk premium and lower expected returns in worsening aggregate default conditions, leading to the observed momentum. This effect is more pronounced among stocks of firms with low credit ratings. Our results help to reconcile the seemingly contradictory evidence documented by previous studies and o er a rational explanation for the momentum anomaly. In the second essay, "Sources of Momentum in Bonds," we study the relationship between momentum in bond returns and aggregate default. We document that momentum in corporate bonds occurs mainly during periods of high default shocks and is driven by losers. Supporting this result, we find that conditional default risk is priced in the cross-section of corporate bond portfolios. Motivated by these findings, we develop a theoretical model connecting bond momentum returns to the ability of bondholders to recover value in financial distress. Specifically, we find that losers have relatively higher recovery potential and, therefore, become less risky when high default shocks occur. Thus, losers have lower expected returns in high default shocks, leading to the observed conditional momentum. Further, US government bonds, with default risk approaching zero, feature no momentum, however this anomaly prevails in sovereign bonds with positive default risk, consistent with our main results.

The focus of this dissertation is the European Credit Default Swaps (CDSs) market. CDSs are the most popular credit derivative products. Three issues are discussed, the first, which is covered in chapter 2, is the investigation of non-diversifiable jump risk in iTraxx sector indices based on a multivariate model that explicitly admits discrete common jumps for an index and its components. Our empirical research shows that both the iTraxx Non-Financials and their components experience jumps during the sample period, which means that the jump risks in the iTraxx sector index are not diversifiable. The second issue, which is covered in chapter 3 is the component structure of credit default swap spreads and their determinants. We firstly extract a transitory component and a persistent component from two different maturities of the Markit iTraxx index and then regress these components against proxies for several commonly used explanatory variables. Our results show that these explanatory variables have significant but differing impacts on the extracted components, which indicates that a two-factor formulation may be needed to model CDS options. The last issue, which is covered in chapters 4, 5 and 6 is the investigation of the linkage between the credit default swap market and the equity market within the European area. We innovatively calibrate the CDS option with the Heston Model to get the implied volatility in the CDS market, which allows us to investigate both the characteristic of implied volatility in the CDS market and the relationship of the two markets not only on the level of daily changes but also with regard to its second moment. Our analysis shows that the stock market weakly leads the CDS market on daily changes but for implied volatility, the stock market leads the CDS market. A VECM analysis shows that only the stock market contributes to price discovery. For sub-investment grade entities, the interactivities between the implied volatility of the CDS market and the implied volatility of the stock market are stronger, especially during the recent credit crunch period. All these results have important implications for the construction of portfolios with credit-sensitive instruments.

Thesis (Ph. D.)--University of Texas at Austin, 2007. / Vita. Includes bibliographical references.

Thesis (M.A.)--University of Nevada, Reno, 2008. / "May, 2008." Includes bibliographical references (leaves 34-46). Online version available on the World Wide Web.

Thesis (Ph. D.)--University of Florida, 1983. / Description based on print version record. Typescript. Vita. Includes bibliographical references (leaves 86-89).

Thesis (Ph. D.)--University of Texas at Austin, 2004. / Supervisor: P. Dean Corbae. Vita. Includes bibliographical references. Also available from UMI.

Thesis (Ph.D.)--Cleveland State University, 2009. / Abstract. Title from PDF t.p. (viewed on Sept. 8, 2009). Includes bibliographical references (p. 149-154). Available online via the OhioLINK ETD Center and also available in print.

Thesis (M.S.)--Brigham Young University. Dept. of Statistics, 2008. / Includes bibliographical references (p. 34).