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Multicasting in Long-Term Evolution (LTE) environments poses several challenges if it is to be reliably implemented. Neither retransmission schemes nor Forward Error Correction (FEC), the traditional error correction approaches, can be readily applied to this system of communication if bandwidth and resources are to be used efficiently. A large number of network parameters and topology variables can influence the cost of telecommunication in such a system. These need to be considered when selecting an appropriate error correction technique for a certain LTE multicast deployment. This dissertation develops a cost model to investigate the costs associated with over-the-air LTE multicasting when different error correction techniques are applied. The benefit of this simplified model is an easily implementable and fast method to evaluate the communications costs of different LTE multicast deployments with the application of error correction techniques. / MIng (Computer and Electronic Engineering), North-West University, Potchefstroom Campus, 2014

In this thesis, we propose two continuous time stochastic volatility models with long memory that generalize two existing models. More importantly, we provide analytical formulae that allow us to study option prices numerically, rather than by means of simulation. We are not aware about analytical results in continuous time long memory case. In both models, we allow for the non-zero correlation between the stochastic volatility and stock price processes. We numerically study the effects of long memory on the option prices. We show that the fractional integration parameter has the opposite effect to that of volatility of volatility parameter in short memory models. We also find that long memory models have the potential to accommodate the short term options and the decay of volatility skew better than the corresponding short memory stochastic volatility models.

One of the most controversial issues for long-term stock performance is whether the presence of anomalies is against the efficient market hypothesis. The methodologies to measure abnormal returns applied in the long-run event studies are questioned for their reliability and specification. This thesis compares three major methodologies via a simulation process based on the UK stock market over a period of 1982 to 2008 with investment horizons of one, three and five years. Specifically, the methodologies that are compared are the event-time methods based on models (Chapter 3), the event-time methods based on reference portfolios (Chapter 4), and the calendar-time methods (Chapter 5). Chapter 3 covers the event-time approach based on the following models which are used to estimate normal stock returns: the market-adjusted model, the market model, the capital asset pricing model, the Fama-French three-factor model and the Carhart four-factor model. The measurement of CARs yields misspecification with higher rejection rates of the null hypothesis of zero abnormal returns. Although the application of standard errors estimated from the test period improves the misspecification, CARs still yield misspecified test statistics. When using BHARs, well-specified results are achieved when applying the market-adjusted model, capital asset pricing model and Fama-French three-factor model over all investment horizons. It is important to note that the market model is severely misspecified with the highest rejection rates under both measurements. The empirical results from simulations of event-time methods based on reference portfolios in Chapter 4 indicate that the application of BHARs in conjunction with p-value from pseudoportfolios is appropriate for application in the context of long-run event studies. Furthermore, the control firm approach together with student t-test statistics is proved to yield well-specified test statistics in both random and non-random samples. Firms in reference portfolios and control firms are selected on the basis of size, BTM or both. However, in terms of power of test, these two approaches have the least power whereas the skewness-adjusted test and bootstrapped skewness-adjusted test have the highest power. It is worth noting that when the non-random samples are examined, the benchmark portfolio or control firm needs to share at least one characteristic with the event firm. The calendar-time approach is suggested in the literature to overcome potential issues with event-time approaches like overlapping returns and calendar month clustering. Chapter 5 suggests that both three-factor and four-factor models present significant overrejections of the null hypothesis of zero abnormal returns under an equally-weighted scheme. Even for stocks under a value-weighted scheme, the rejection rate for small firms shows overrejection. This indicates the small size effect is more prevalent in the UK stock market than in the US and the calendar-time approach cannot resolve this issue. Compared with the three-factor model, the four-factor model, despite its higher explanatory power, improves the results under a value-weighted scheme. The ordinary least squares technique in the regression produces the smallest rejection rates compared with weighted least squares, sandwich variance estimators and generalized weighted least squares. The mean monthly calendar time returns, combining the reference portfolios and calendar time, show similar results to the event-time approach based on reference portfolios. The weighting scheme plays an insignificant role in this approach. The empirical results suggest the following methods are appropriately applied to detect the long-term abnormal stock performance. When the event-time approach is applied based on models, although the measurement of BHARs together with the market-adjusted model, capital asset pricing model and Fama-French three-factor model generate well-specified results, the test statistics are not reliable because BHARs show severe positively skewed and leptokurtic distribution. Moreover, the reference portfolios in conjunction with p-value from pseudoportfolios and the control firm approach with student t test in the event-time approach are advocated although with lower power of test. When it comes to the calendar-time approach, the three-factor model under OLS together with sandwich variance estimators using the value-weighted scheme and the mean monthly calendar-time abnormal returns under equal weights are proved to be the most appropriate methods.

Present value based asset pricing models are explored empirically in this thesis. Three contributions are made. First, it is shown that a market timing strategy may be implemented in an excessively volatile market such as the S&P500. The main premise of the strategy is that asset prices may revert to the present value over time. The present value is computed in real-time where the present value variables (future dividends, dividend growth and the discount factor) are forecast from simple models. The strategy works well for monthly data and when dividends are forecast from autoregressive models. The performance of the strategy relies on how discount rates are empirically defined. When discount rates are defined by the rolling and recursive historic average of realized returns, the strategy performs well. The discount rate and dividend growth can also be derived using a structural approach. Using the Campbell and Shiller log-linearized present value equation, and assuming that expected and realized dividend growth are unit related, a state space model is constructed linking the price-dividend ratio to expected returns and expected dividend growth. The model parameters are estimated from the data and, are used to derive the filtered expected returns and expected dividend growth series. The present value is computed using the filtered series. The trading rule tends to perform worse in this case. Discount rates are again found to be the major determinant of its success. Although the structural approach offers a time series of discount rates which is less volatile, it is on average higher than that of the historical mean model. The filtered expected returns is a potential predictor of realized returns. The predictive performance of expected returns is compared to that of the price-dividend ratio. It is found that expected returns is not superior to the price-dividend ratio in forecasting returns both in-sample and out-of-sample. The predictive regression included both simple Ordinary Least Squares and Vector Autoregressions. The second contribution of this thesis is the modeling of expected returns using autoregressive fractionally integrated processes. According to the work of Granger and Joyeux(1980), aggregated series which are derived from utility maximization problems follow a Beta distribution. In the time series literature, it implies that the series may have a fractional order (I(d)). Autoregressive fractionally models may have better appeal than models which explicitly posit unit roots or no unit roots. Two models are presented. The first model, which incorporates an ARFIMA(p,d,q) within the present value through the state equations, is found to be highly unstable. Small sample size may be a reason for this finding. The second model involves predicting dividend growth from simple OLS models, and sequentially netting expected returns from the present value model. Based on the previous finding that expected returns may be a long memory process, the third contribution of this thesis derives a test of long memory based on the asymptotic properties of the variance of aggregated series in the context of the Geweke Porter-Hudak (1982) semiparametric estimator. The test makes use of the fact that pure long memory process will have the same autocorrelation across observations if the observations are drawn at repeated intervals to make a new series. The test is implemented using the Sieve-AR bootstrap which accommodates long range dependence in stochastic processes. The test is relatively powerful against both linear and nonlinear specifications in large samples.

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Master of Science / Department of Architectural Engineering and Construction Science / Kimberly W. Kramer / This report is designed to be a valuable tool for any engineer who has had proper instruction in load paths and knowledge of structural steel design but is not familiar with truss systems and has never designed a long-span steel truss. In other words, for someone who knows the math and concepts but not the means, methods, and practical limitations of truss design. By applying their knowledge of engineering concepts and some good judgment with the information in this report they will be able to design an efficient truss. The type of truss considered has a span of 100’ to 200’, is parallel chord, one-way, simply spanned, and constructed of steel. The trusses are evaluated for typically gravity loading and analyzed in two dimensions. Aspects from analysis, layout, fabrication, erection, and transportation are investigated to find ideal methods of design and practical limitations for this type of truss. Once this information is learned it can be to be applied to an individual truss on an individual basis. Engineers need to realize that even though a truss could be designed with the most efficient use of steel it may not be the most economic solution. One must also realize too many variables are present to form rules or equations to always yield the perfect truss. Only by coupling proper design and analysis with knowledge of fabrication and erection will one be able to design an efficient truss.

As human life expectancy continues to increase, longevity risk has become a major concern for pension plan sponsors and annuity providers. To hedge the risk, longevity-linked securities have been developed. Since these securities often have payoffs linked to mortality rates of multiple populations, it is important to investigate the relationship between them. In this thesis, we use England and Wales (EW) and Canadian mortality data for illustration. We consider the long-term equilibrium between the mortality indexes of the two populations through cointegration analysis. Our test shows that structural change occurred in the equilibrium. To capture changes in both equilibrium and autoregression structure, we adopt the Threshold Vector Error Correction Model (TVECM). We find that the TVECM model provides adequate fit to our data. This model is further applied to pricing an illustrative longevity bond. Our numerical results indicate that the changes in the long-term equilibrium have a significant impact on longevity bond prices. / October 2016

Dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg for the Degree of Master of Science / Various techniques and procedures suited to monthly forecasting are investigated and tested. These include using the products generated by atmospheric general circulation models during a 17-year hindcast experiment, and downscaling the forecast circulation to regional rainfall in South Africa using circulation indices and canonical correlation analysis. The downscaling methods are evaluated using the cross-validation technique. Various model forecast bias-correction methods and skill-enhancing ensemble techniques are employed to improve the 30-day prognosis of the model. Forecasts from the general circulation model and each technique are evaluated. Those demonstrating reasonable skill over the southern Africa region, and which are feasible when considering available resources, are adopted into a strategy which can be used operationally to produce monthly outlooks. Various practical issues regarding the operational aspects of long-term forecasting are also discussed. / Andrew Chakane 2019

In this thesis, the overall purpose was to investigate the role of regulation in the care of older people with depression living in long-term care (LTC). The first manuscript in this thesis is a systematic scoping review protocol which was published in BMJ open, using Arksey and O'Malley's scoping review methodology as a guide. In the second manuscript which was submitted to BMC Geriatrics, a systematic scoping review was conducted, exploring the concepts of regulation, older people, depression, and long-term care. The search yielded 778 unique articles, of which 21 were included in the final analysis. The scoping review revealed that the highly regulated environment of LTC poses significant challenges which can influence the quality of care of residents with depression. Despite evidence of high prevalence and improved treatment, regulation appears to have failed to capture best practice and contemporary knowledge. The scoping review demonstrated a need for further empirical research to explore these issues. Findings from this study, which explored the role of regulation on the quality of care of older people living with depression in LTC are presented, and which were the basis of the third manuscript, to the Canadian Journal of Aging. Using instrumental case study methodology, I interviewed managers, staff, informal carers and residents, and reviewed documents and clinical charts. I found that Ministry of Health and Long-Term Care regulations influenced strategic planning, educational priorities, resourcing decisions and direct care. The findings from the study suggest an alternative approach to regulation is needed in this sector, which places accountability for standards of care at a provincial level and which has a more supportive and collaborative approach to regulations. The research findings showed that the staff working in the LTC home are committed to the care of residents with depression, but they had little time to implement additional quality initiatives outside of the identified mandated areas. The study concludes by suggesting that in its current state, the care of residents with depression in LTC homes is not reflected in Ministry of Health and Long-Term Care regulations and inspections, which make little difference to the care of older people living with depression living in LTC. In contributing to the existing knowledge and practice the study along with the findings from the scoping review, finds an alternative model of inspection could be implemented in partnership with the province. An alternative approach to inspection might adopt an extended approach to quality, along with an individualized approach to inspections to meet the requirements set out in regulation, but at the same time offering flexibility and a more collaborative approach to improving quality in the LTC sector.