<p>The main goal of this work is to explore the effects of time-varying extreme jump tail dependencies in asset markets. Consequently, a lot of attention has been devoted to understand the extremal tail dependencies between of assets. As pointed by Hansen (2013), the estimation of tail risks dependence is a challenging task and their implications in several sectors of the economy are of great importance. One of the principal challenges is to provide a measure systemic risks that is, in principle, statistically tractable and has an economic meaning. Therefore, there is a need of a standardize dependence measures or at least to provide a methodology that can capture the complexity behind global distress in the economy. These measures should be able to explain not only the dynamics of the most recent financial crisis but also the prior events of distress in the world economy, which is the motivation of this paper. In order to explore the tail dependencies I exploit the information embedded in option prices and intra-daily high frequency data. </p><p>The first chapter, a co-authored work with Andrew Patton, proposes a new class of dynamic copula models for daily asset returns that exploits information from high frequency (intra-daily) data. We augment the generalized autoregressive score (GAS) model of Creal, et al. (2013) with high frequency measures such as realized correlation to obtain a "GRAS" model. We find that the inclusion of realized measures significantly improves the in-sample fit of dynamic copula models across a range of U.S. equity returns. Moreover, we find that out-of-sample density forecasts from our GRAS models are superior to those from simpler models. Finally, we consider a simple portfolio choice problem to illustrate the economic gains from exploiting high frequency data for modeling dynamic dependence.</p><p>In the second chapter using information from option prices I construct two new measures of dependence between assets and industries, the Jump Tail Implied Correlation and the Tail Correlation Risk Premia. The main contribution in this chapter is the construction of a systemic risk factor from daily financial measures using a quantile-regression-based methodology. In this direction, I fill the existing gap between downturns in the financial sector and the real economy. I find that this new index performs well to forecast in-sample and out-of-sample quarterly macroeconomic shocks. In addition, I analyze whether the tail risk of the correlation may be priced. I find that for the S&P500 and its sectors there is an ex ante premium to hedge against systemic risks and changes in the aggregate market correlation. Moreover, I provide evidence that the tails of the implied correlation have remarkable predictive power for future stock market returns.</p> / Dissertation

A cointegration analysis on a triangle of high frequency exchange rates is presented. Market efficiency requires the triangle to be cointegrated and the cointegration term to be a martingale difference sequence. We find empirical evidence against market efficiency for very short time horizons: The cointegration term does not behave like a martingale difference sequence. In an out-of-sample forecasting study the cointegrated vector autoregressive (VAR) model is found to be superior to the naive martingale. Finally, a simple trading strategy shows that the VAR also has a significant forecast value in economic terms even after accounting for transaction costs. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

It is of utmost importance for learners to master language in order to learn effectively at school. Problems in language development can cause learning problems that have negative results for the learner. Language consists mainly of the spoken language (listening and speaking), reading and writing. These three aspects of language form an integrated unit so that a problem with one will influence the others. Learners are initially taught in school to read and write. Learners should later be able to use acquired reading skills to learn, and acquired writing skills must be applied to reproduce that which has been learnt. If learners do not master the foregoing skills, their progress at school will be seriously handicapped. A further aggravating factor within the milieu of the South African education system is the complicated socio-political history of the country that created a large number of disadvantaged schools. A Report by the Ministerial Committee on Education in Disadvantaged Areas (2005:10, 43) emphasizes the needs and skills of learners; training, dedication and competencies of teachers; as well as the importance of instructional media in disadvantaged areas. In spite of the implementation of the National Curriculum Statement Grade R-9 (Schools) and Grade 10-12 (Schools), illiteracy is still a serious problem in South Africa. Because the basis of all reading and writing skills are laid in the Foundation Phase, it is necessary for drastic steps to be taken to ensure that learners will be able to read with comprehension in their first years at school. This research is aimed at proving the significant relationship between high frequency words and reading skills (measured by word recognition and reading comprehension) and also improving the reading skills of learners by the acquisition of high frequency words. An effort has also been made to meet the requirements of the core elements for good teaching/instruction. To achieve this objective, the focus of this study is binary. In the first phase the researcher determines if there is a significant relationship between the visual recognition of the high frequency words and reading skills (measured by visual word recognition and reading comprehension) of learners in the Foundation Phase (Grade 2). After completion of Phase 1 it was determined that there is a correlation between the visual recognition of high frequency words and the reading skills (measured by visual word recognition and reading comprehension) of learners in the Foundation Phase (Grade 2). After the successful completion of Phase 1 the focus shifts to the study of Phase 2. In Phase 2 the researcher makes a contribution to the instruction/teaching milieu and meets the requirements of the stated criteria to ensure good instruction/teaching as determined by the Report of the Ministerial Committee on Education in Disadvantaged Areas (2005:10, 43). This contribution is made through the designing of a reading instruction programme that is aimed at the improvement of reading skills (measured by visual word recognition and reading comprehension) of learners in the Foundation Phase. The focus of this Reading Instruction Programme is the acquisition of the first 100 high frequency words as they appear in Aucamp's list (1932: 79 - 80). The gathering/collection of data in both phases is characterised by the use of standardised tests. In Phase 1 use was made of descriptive statistics; Pearson's product moment correlations and Cohen's r-values; t-tests and Cohen's d-values; as well as one sample t-tests to analyse and interpret data. In Phase 2 pre- and post-tests were used. Statistical techniques used during the analysis reporting and interpretation of data in Phase 2 are descriptive statistics; Wilcoxon rank sum tests; one-way covariance analysis; Wilcoxon symmetry-tests, and Cohen's d-values. This study contributes to the education milieu when it proves that the instruction of high frequency words by means of this Reading Instruction Programme leads to the improvement of the reading skills (measured byword recognition and reading omprehension) of learners in Grade 3. The Reading Instruction Programme is based on a balanced reading approach in which the main components of reading integrated with high frequency words are instructed. This instruction is characterised among others by direct, explicit instruction; multi-sensory methods; the use of high quality instructional media; and the automatisation of high frequency words. The Reading Instruction Programme is based on the behaviouristic and cognitive learning theories as well as the transactional reading theory. / Thesis (Ph.D. (Education))--North-West University, Potchefstroom Campus, 2009.

The present work focuses on the numerical resolution of the acoustic or elastic wave equation in a piece-wise homogeneous medium, splitted by interfaces. We are interested in a high-frequency setting, introduced by strongly oscillating initial conditions, for which one computes the distribution of the energy density by a so-called kinetic approach (based on the use of a Wigner transform). This problem then reduces to a Liouville-type transport equation in a piece-wise homogeneous medium, supplemented by reflection and transmission laws at the interfaces. Several numerical techniques and ranges of application are also reviewed. The transport equation which describes the evolution of the energy density in the phase space positions _ wave vectors is numerically solved by finite differences. This technique raises several difficulties related to the conservation of the total energy in the medium and at the interfaces. They may be alleviated by dedicated numerical schemes allowing to reduce the numerical dissipation by either a global or a local approach. The improvements presented in this thesis concern the interpolation of the energy densities obtained by transmission on the grid of discrete wave vectors, and the correction of the difference of variation scales of the wave celerity on each side of the interfaces. The interest of the foregoing developments is to obtain conservative schemes that also satisfy the usual convergence properties of finite difference methods. The construction of such schemes and their effective implementation constitute the main achievement of the thesis. The relevance of the proposed methods is illustrated by several numerical simulations, that also emphasize their efficiency for rather coarse meshes.

It is of utmost importance for learners to master language in order to learn effectively at school. Problems in language development can cause learning problems that have negative results for the learner. Language consists mainly of the spoken language (listening and speaking), reading and writing. These three aspects of language form an integrated unit so that a problem with one will influence the others. Learners are initially taught in school to read and write. Learners should later be able to use acquired reading skills to learn, and acquired writing skills must be applied to reproduce that which has been learnt. If learners do not master the foregoing skills, their progress at school will be seriously handicapped. A further aggravating factor within the milieu of the South African education system is the complicated socio-political history of the country that created a large number of disadvantaged schools. A Report by the Ministerial Committee on Education in Disadvantaged Areas (2005:10, 43) emphasizes the needs and skills of learners; training, dedication and competencies of teachers; as well as the importance of instructional media in disadvantaged areas. In spite of the implementation of the National Curriculum Statement Grade R-9 (Schools) and Grade 10-12 (Schools), illiteracy is still a serious problem in South Africa. Because the basis of all reading and writing skills are laid in the Foundation Phase, it is necessary for drastic steps to be taken to ensure that learners will be able to read with comprehension in their first years at school. This research is aimed at proving the significant relationship between high frequency words and reading skills (measured by word recognition and reading comprehension) and also improving the reading skills of learners by the acquisition of high frequency words. An effort has also been made to meet the requirements of the core elements for good teaching/instruction. To achieve this objective, the focus of this study is binary. In the first phase the researcher determines if there is a significant relationship between the visual recognition of the high frequency words and reading skills (measured by visual word recognition and reading comprehension) of learners in the Foundation Phase (Grade 2). After completion of Phase 1 it was determined that there is a correlation between the visual recognition of high frequency words and the reading skills (measured by visual word recognition and reading comprehension) of learners in the Foundation Phase (Grade 2). After the successful completion of Phase 1 the focus shifts to the study of Phase 2. In Phase 2 the researcher makes a contribution to the instruction/teaching milieu and meets the requirements of the stated criteria to ensure good instruction/teaching as determined by the Report of the Ministerial Committee on Education in Disadvantaged Areas (2005:10, 43). This contribution is made through the designing of a reading instruction programme that is aimed at the improvement of reading skills (measured by visual word recognition and reading comprehension) of learners in the Foundation Phase. The focus of this Reading Instruction Programme is the acquisition of the first 100 high frequency words as they appear in Aucamp's list (1932: 79 - 80). The gathering/collection of data in both phases is characterised by the use of standardised tests. In Phase 1 use was made of descriptive statistics; Pearson's product moment correlations and Cohen's r-values; t-tests and Cohen's d-values; as well as one sample t-tests to analyse and interpret data. In Phase 2 pre- and post-tests were used. Statistical techniques used during the analysis reporting and interpretation of data in Phase 2 are descriptive statistics; Wilcoxon rank sum tests; one-way covariance analysis; Wilcoxon symmetry-tests, and Cohen's d-values. This study contributes to the education milieu when it proves that the instruction of high frequency words by means of this Reading Instruction Programme leads to the improvement of the reading skills (measured byword recognition and reading omprehension) of learners in Grade 3. The Reading Instruction Programme is based on a balanced reading approach in which the main components of reading integrated with high frequency words are instructed. This instruction is characterised among others by direct, explicit instruction; multi-sensory methods; the use of high quality instructional media; and the automatisation of high frequency words. The Reading Instruction Programme is based on the behaviouristic and cognitive learning theories as well as the transactional reading theory. / Thesis (Ph.D. (Education))--North-West University, Potchefstroom Campus, 2009.

<p>The dissertation consists of four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, which enables the use of high frequency data to accurately measure and forecast linear dependence, and the use of a new class of copulas designed to capture nonlinear dependence among the resulting linearly uncorrelated residuals. Estimation of the new class of copulas is conducted using a composite likelihood, making the model feasible even for hundreds of variables. A realistic simulation study verifies that multistage estimation with composite likelihood results in small loss in efficiency and large gain in computation speed. </p><p>Chapter 2, which is co-authored with Professor Andrew Patton, presents new models for the dependence structure, or copula, of economic variables based on a factor structure. The proposed models are particularly attractive for high dimensional applications, involving fifty or more variables. This class of models generally lacks a closed-form density, but analytical results for the implied tail dependence can be obtained using extreme value theory, and estimation via a simulation-based method using rank statistics is simple and fast. We study the finite-sample properties of the estimation method for applications involving up to 100 variables, and apply the model to daily returns on all 100 constituents of the S\&P 100 index. We find significant evidence of tail dependence, heterogeneous dependence, and asymmetric dependence, with dependence being stronger in crashes than in booms. </p><p>Chapter 3, which is co-authored with Professor Andrew Patton, considers the estimation of the parameters of a copula via a simulated method of moments type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of dependence measures or other functionals of the copula that are of particular interest. The proposed approach naturally also nests method of moments and generalized method of moments estimators. Drawing on results for simulation based estimation and on recent work in empirical copula process theory, we show the consistency and asymptotic normality of the proposed estimator, and obtain a simple test of over-identifying restrictions as a goodness-of-fit test. The results apply to both $iid$ and time series data. We analyze the finite-sample behavior of these estimators in an extensive simulation study.</p><p>Chapter 4, which is co-authored with Professor Andrew Patton, proposes a new class of copula-based dynamic models for high dimension conditional distributions, facilitating the estimation of a wide variety of measures of systemic risk. Our proposed models draw on successful ideas from the literature on modelling high dimension covariance matrices and on recent work on models for general time-varying distributions. Our use of copula-based models enable the estimation of the joint model in stages, greatly reducing the computational burden. We use the proposed new models to study a collection of daily credit default swap (CDS) spreads on 100 U.S. firms over the period 2006 to 2012. We find that while the probability of distress for individual firms has greatly reduced since the financial crisis of 2008-09, the joint probability of distress (a measure of systemic risk) is substantially higher now than in the pre-crisis period.</p> / Dissertation

In this dissertation, a high-frequency (HF) transformer isolated grid-connected power converter system with battery backup function is proposed for a small-scale wind generation system (less than 100 kW) using permanent magnet synchronous generator (PMSG). The system includes a main HF isolated DC/AC grid-connected converter and a bidirectional HF isolated DC/DC converter. Through literature survey and some comparative studies, a HF isolated DC/DC converter followed by a line connected inverter (LCI) is chosen as the grid-connected scheme. After reviewing several topologies which were used in such a DC/AC converter with an unfolding stage, a DC/AC grid-connected converter based on dual- bridge LCL-type resonant topology is proposed. Through the control of the phase- shift angle between the two bridges, a rectified sinusoidal dc link current can be modulated, which in turn can be unfolded by the LCI. This converter is analyzed with Fourier series analysis approach. It is shown that all switches in both bridges can work in zero-voltage switching (ZVS) at any phase-shift and load conditions. The redundancy of the dual-bridge structure make it easy to accommodate higher power flow. A design example of a 500 W converter is given and simulated. A prototype is built and tested in the lab to validate its performance. The simulation and experimental results show a reasonable match to the theoretical analysis. The expansion to three-phase grid-connection is discussed with phase-shifted parallel operation of three identical units. Input and output current harmonics of different arrangements are analyzed to search for the best choice. As the feature of a hybrid wind generation application, the battery backup function is fulfilled with a bidirectional HF transformer isolated DC/DC converter. This dual-bridge series resonant converter (DBSRC) is analyzed with two ac equivalent circuit approaches for resistive load and battery load respectively, which give same results. Soft-switching is achieved for all switches on both sides of the HF transformer. Test plots obtained from simulation and experiment are included for validation.

The thesis offers a framework for trading algorithm optimization and tests statistical and economical significance of its performance on American, Swedish and Russian futures markets. The results provide strong support for proposed method, as using the presented ideas one can build an intraday trading algorithm that outperforms the market in long term.

Listeners with severe-sloping losses often don’t perceive high-frequency sound cues. Conventional amplification fails to provide these cues due to loudness discomfort experienced by the listener, and/or acoustic feedback. Alternative signal-processing solutions include shifting higher frequencies down to lower frequencies, or providing electrical stimulation via a speech processor. Three experiments were carried out on adult hearing-impaired listeners to determine the best way of providing high-frequency information: conventional amplification, frequency compression or cochlear implantation.

SUMMARY Introduction: There has recently been a great deal of interest in the role of synchronous high-frequency gamma oscillations in brain function. This interest has been motivated by an increasing body of evidence, that oscillations which are synchronous in phase across separated neuronal populations, may represent an important mechanism by which the brain binds or integrates spatially distributed processing activity which is related to the same object. Many models of schizophrenia suggest an impairment in the integration of brain processing, such as a loosening of associations, disconnection, defective multiple constraint organization, or cognitive dysmetria. This has led to recent speculation that abnormalities of high-frequency gamma synchronization may reflect a core dimension of the disturbance underlying this disorder. However, examination of the phase synchronization of gamma oscillations in patients with schizophrenia has never been previously undertaken. Method: In this thesis a new method of analysis of gamma synchrony was introduced, which enables the phase relationships of oscillations in a specific frequency band to be examined across multiple scalp sites as a function of time. This enabled, for the first time, the phase synchronization of gamma oscillations across widespread regions, to be studied in electrical brain activity measured at the scalp in humans. Gamma synchrony responses were studied in electroencephalographic (EEG) data acquired during a commonly employed conventional auditory oddball paradigm. The research consisted of two sets of experiments. In the first set of experiments, data from 100 normal subjects, consisting of 10 males and 10 females in each age decade from 20 to 70, was examined. These experiments were designed to characterize the gamma synchonizations that occurred in response to target and background stimuli and their functional significance in normal brain activity, and to exclude the possibility of these findings being due to electromyogram (EMG) or volume conduction artifact. The examination of functional significance involved the development of an additional new analysis technique. In the second set of experiments, data acquired from 35 patients with schizophrenia and 35 matched normal controls was analyzed. The purpose of these experiments was to determine whether patients showed disturbances of gamma synchrony compared to controls, and to establish the relationship of any such disturbances to medication levels, symptom profiles, duration of illness, and a range of psychophysiological variables. Results: In the 100 normals, responses to target stimuli were characterized by two bursts of synchronous gamma oscillations, an early (evoked) and a late (induced) synchronization, with different topographic distributions. Only the early gamma synchronization was seen in response to background stimuli. The main variable modulating the magnitude of these gamma synchronizations from epoch to epoch was pre-stimulus EEG theta (3-7 Hz) and delta (1-3 Hz) power. Early and late gamma synchrony were also associated with N1 and P3 ERP component amplitude across epochs. Across subjects, the early gamma synchronization was associated with shorter latency of the ERP components P2, N2 and P3, smaller amplitude of N1 and P2, and smaller pre-stimulus beta power. The control analyses showed that these gamma responses were specific to a narrow frequency range (37 to 41 Hz), and were not present in adjacent frequency bands. The responses were not generated by EMG contamination or volume conduction. In the 35 patients with schizophrenia, significant abnormalities of both the early and late synchronizations were observed compared to the 35 normal controls, with distinctive topographic characteristics. In general, early gamma synchrony was increased in patients compared to controls, and late gamma synchrony was decreased. These gamma synchrony disturbances were not related to medication level or the four summed symptom profile scores (positive, negative, general and total). They were, however, associated with duration of illness, becoming less severe the longer the patient had suffered from the disorder. The disordered gamma synchrony in patients was not secondary to abnormalities in other psychophysiological variables, but appeared to represent a primary disturbance. Discussion: The early synchronization may relate to the binding of object representations in early sensory processing, or, given that a constant inter-stimulus interval was employed, may be anticipatory and related to active memory. The late response is probably involved in binding in relation to activation of the internal contextual model involved in late expectancy/contextual processing (context updating or context closure) for target stimuli. The across epochs effects may relate to whether the focus of attention immediately prior to stimulus presentation is internal or is directed at the task. The across subjects effects suggest that a larger magnitude of the early gamma synchronization might indicate that the subject maintains a more stable and less ambiguous internal representation of the environment, that reduces the complexity of input and facilitates target/background discrimination and subsequent processing. The early gamma synchronization findings in patients with schizophrenia suggest that anticipatory processing involving active memory and forward-prediction of the environment is subject to over-binding or the formation of inappropriate associations. The late synchronization disturbances may reflect a fragmentation of contextual processing, and an inability to maintain contextual models of the environment intact over time. Conclusion: This research demonstrates the potential importance of integrative network activity as indexed by gamma phase synchrony in relation to normal cognition, and the possible broad relevance of such activity in psychiatric disorders. In particular, the application in this study to patients with schizophrenia showed that an impairment of brain integrative activity (missing links) might be a key feature of this illness.