Dolphinfish (Coryphaena hippurus) is a pelagic species that is ecologically and commercially important in the western Atlantic region. This species has been linked to dominant oceanographic features such as sea surface temperature (SST) frontal regions. This work first explored the linkages between the catch rates of dolphinfish and the oceanography (satellite-derived SST, distance to front calculations, bottom depth and hook depth) using Principal Components Analysis (PCA). It was demonstrated that higher catch rates are found in relation to warmer SST and nearer to frontal regions. This environmental information was then included in standardizations of catch-per-unit-effort (CPUE) indices. It was found that including the satellite-derived SST and distance to front increases the confidence in the index. The second part of this work focused on addressing spatial variability in the catch rate data for a subsection of the sampling area: the Gulf of Mexico region. This study used geostatistical techniques to model and predict spatial abundances of two pelagic species with different habitat utilization patterns: dolphinfish (Coryphaena hippurus) and swordfish (Xiphias gladius). We partitioned catch rates into two components, the probability of encounter, and the abundance, given a positive encounter. We obtained separate variograms and kriged predictions for each component and combined them to give a single density estimate with corresponding variance. By using this two stage approach we were able to detect patterns of spatial autocorrelation that had distinct differences between the two species, likely due to differences in vertical habitat utilization. The patchy distribution of many living resources necessitates a two-stage variogram modeling and prediction process where the probability of encounter and the positive observations are modeled and predicted separately. Such a "geostatistical delta-lognormal" approach to modeling spatial autocorrelation has distinct advantages in allowing the probability of encounter and the abundance, given an encounter to possess separate patterns of autocorrelation and in modeling of severely non-normally distributed data that is plagued by zeros.

<p><font face="F59" size="3"><font face="F59" size="3"> <p align="left">This study examines the relationship between stock returns and market segmentation. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly the analytic factor and cluster analysis techniques. Evidence supporting the use of multi-index models in explaining the return generating process on the JSE is found. The results provide additional support for Van Rensburg (1997)'s hypothesis on market segmentation on the JSE.</p> </font></font></p>

This study develops a multi-period log-return quantile forecasting procedure to evaluate the performance of eleven nearby commodity futures contracts (NCFC) using a sample of 897 daily price observations and at-the-money (ATM) put and call implied volatilities of the corresponding prices for the period from 1/16/2008 to 7/29/2011. The statistical approach employs dynamic log-returns quantile regression models to forecast price densities using implied volatilities (IVs) and factors estimated through principal component analysis (PCA) from the IVs, pooled IVs and lagged returns. Extensive in-sample and out-of-sample analyses are conducted, including assessment of excess trading returns, and evaluations of several combinations of quantiles, model specifications, and NCFC's. The results suggest that the IV-PCA-factors, particularly pooled return-IV-PCA-factors, improve quantile forecasting power relative to models using only individual IV information. The ratio of the put-IV to the call-IV is also found to improve quantile forecasting performance of log returns. Improvements in quantile forecasting performance are found to be better in the tails of the distribution than in the center. Trading performance based on quantile forecasts from the models above generated significant excess returns. Finally, the fact that the single IV forecasts were outperformed by their quantile regression (QR) counterparts suggests that the conditional distribution of the log-returns is not normal.

A Multifactor model is used to explain asset return and risk and its explanatory power depends on common factors that the model uses. Researchers strive to find reasonable factors to enhance multifactor model¡¦s efficiency. However, there are still some unknown factors to be discovered. Miller (2006) presents a general concept and structure of hybrid factor model. The study follows the idea of Miller (2006) and aims to build a complete flow of constructing hybrid factor model that is based on fundamental factor model and statistical factor models. We also apply the hybrid factor model to the Taiwan stock market. We assume that a fundamental factor model is already developed and therefore this study focuses on building the second stage, statistical factor model. Principal Component Analysis is used to form statistical factor and spectral decomposition is used to prepare data for principal component analysis. Those methods are applied to stocks on the Taiwan Stock Exchange in the period of January 1, 2000 to December 31, 2009. This study presents a complete construction flow of hybrid factor models and further confirms that a hybrid factor model is able to find missing factors in a developing market such as Taiwan¡¦s stock market. The study also discovers that the missing factors might be market factor and extensive electronic industry factor.

Thesis (Ph. D.)--University of Florida, 2001. / Title from first page of PDF file. Document formatted into pages; contains xi, 124 p.; also contains graphics. Vita. Includes bibliographical references (p. 120-123).

Thesis (Ph. D.)--University of Texas at Austin, 2000. / Vita. Includes bibliographical references (leaves 187-201). Available also in a digital version from Dissertation Abstracts.

Vector autoregression (VAR) models are widely used in an attempt to identify and measure the effect of monetary policy shocks on an economy and to forecast economic times series. However, the sparse information sets used in the VAR approach have been subject to criticism and in recent decades, the use of factor models as a means of dimension reduction has been a subject of greater focus. The method of summarizing information contained in a large set of macroeconomic time series by principal components, and use these as regressors in VAR models, has been pointed out as a potential solution to the problems of limited information and estimation of too many parameters. This paper combines the standard VAR methodology with dynamic factor analysis on Swedish data for two purposes, to assess the effects of monetary policy shocks and to examine the forecasting properties. Latent factors estimated by the principal components method are in this study found to contribute to a more coherent picture in line with economic theory, when examining monetary policy shocks to the Swedish economy. The factor-augmented models can on the other hand not be shown to increase the forecasting accuracy to a great extent compared to standard models.

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D. Tech. Clinical Technology. / Examines anatomical fat patterning in SouthAfrican children (black and white) by utilising principal components analysis and to provide normative data on fat patterning for South African children. This statistical method has rarely been used to determine fat patterning in South African children.