No description available.

GARCH models have been widely used in finance to model volatility ever since the introduction of the ARCH model and its extension to the generalized ARCH (GARCH) model. Lately, there has been growing interest in modelling seasonal volatility, most recently with the introduction of the multiplicative seasonal GARCH models. As an application of the multiplicative seasonal GARCH model with real data, call prices from the major stock market index of India are calculated using estimated parameter values. It is shown that a multiplicative seasonal GARCH option pricing model outperforms the Black-Scholes formula and a GARCH(1,1) option pricing formula. A parametric bootstrap procedure is also employed to obtain an interval approximation of the call price. Narrower confidence intervals are obtained using the multiplicative seasonal GARCH model than the intervals provided by the GARCH(1,1) model for data that exhibits multiplicative seasonal GARCH volatility.

The thesis raises questions concerning prehistoric conditions in a high mountain region in central Scandinavia; it focuses on the human use of stone and on hunting principally of reindeer. An analysis of how the stone material was utilized and an approach to how large mammals were hunted result in a synthesis describing one interpretation of how the vast landscape of a region in the central Scandinavian high mountains was used. With this major aim as a base questions were posed concerning the human use of stone resources and possible changes in this use. Preconditions for the occurrence of large mammals as game animals and for hunting are also highlighted. A general perspective is the long time period over which possible changes in the use of stone and hunting of big game, encompassing the Late Mesolithic, Neolithic, Bronze Age and to a certain extent the Early Iron Age. Considering the manufacture of flaked stone tools, debitage in the form of flakes from a dwelling, constitute the base where procurement and technology are essential. The occupation of the dwelling covers a period from the Late Mesolithic to the Bronze Age. Possible changes in lithic use are discussed based on an analysis of debitage which includes testing variables reflecting various steps in the process of flaked stone tool manufacture. Also, the results are discussed from a methodological aspect; the classificatory aspect of analyzing large flake assemblages is implied. The result of the flake analysis indicates differences in the use of stone from the Late Mesolithic to the Bronze Age/Early Iron Age. These differences are interpreted in a three-part chronological division and as theoretically proceeding in a manufacturing process of five steps including acquisition, reduction through three steps and use of completed tools. A pattern, dividing the Bronze Age use of stone from that of the Neolithic and Late Mesolithic is discerned and discussed in terms of changes in procurement strategies and technology. Also, social organization is touched upon. When approaching the issue of hunting the character of data differ; archaeological and palaeo-environmental data together comprise the base for a discussion of possible changes. This is based on a theoretical model applied in a hypothetical research design. Archaeological categories of remains relevant in hunting contexts together with ethnographic and traditional hunting techniques are discussed. They constitute the base and illustrate possible variables in the testing of the hypothetical model. Changes in the Holocene climate are clear, just as changes in the archaeological record are observable. Together these circumstances indicate changes in the hunting process. The structural changes in economy and society that occur in central and north Scandinavia during stone-using periods are discernible in the region studied here. / digitalisering@umu

Mountain caribou, an arboreal lichen-feeding ecotype of woodland caribou (Rangifer tarandus caribou), have been extirpated from much of their historic range. Mountain caribou are federally listed as Endangered by the Committee on the Status of Endangered Wildlife in Canada (COSEWIC) and red-listed by the BC government. Habitat loss and fragmentation of old growth forest is the ultimate cause for population declines. Yet, predation, linked to apparent competition, is the proximate cause for high rates of mortality. One of the most imperiled populations resides in the Purcell Mountains of BC, which was experimentally augmented in 2012 with 19 northern caribou from northern BC. The caribou-predator literature predominantly focuses on the relationship between caribou and wolves (Canis lupus) in northern caribou populations. However, cougars (Puma concolor) have been identified as a major predator of Purcells-South (PS) caribou, yet caribou-cougar interactions remain largely unstudied. I evaluated cougar predation risk in space and time on resident and translocated caribou in the Purcell Mountains. To do so, I determined biologically relevant seasons for resident, donor (i.e. not translocated) and translocated caribou, and cougars. I then used these seasons to investigate seasonal patterns of movement and habitat use between the three groups of caribou and cougars. Next I used resource selection functions (RSFs) to estimate habitat based seasonal variation in predation risk. I used these RSFs to compare the seasonal habitat selection and risk to cougar predation between resident and translocated caribou. Five resident caribou seasons and two cougar seasons were defined. Translocated caribou displayed inconsistent movement behavior with no clear seasonal pattern. Resident caribou remained at high elevations year-round and selected for low risk cougar habitat during the calving season at the home range scale and year-round at the landscape scale. Translocated caribou displayed risky behaviour throughout the study period by traveling to mid to low elevations and habitats selected by cougars. Translocated caribou displayed the same general pattern of elevational movement as their northern conspecifics, spending the majority of their time at lower elevations than resident caribou. Of the 19 translocated caribou, 17 (89%) died during the study, six of which were preyed upon by cougars, two by wolves, and the remainder due to accidents or unknown causes. In summary, translocated caribou did not adopt the predator avoidance or habitat selection strategies of resident caribou. I recommend that future efforts to augment small caribou populations use donor caribou experienced with similar predators and that possess comparable seasonal habitat use to the recipient population. However, because most suitable donor populations are declining, a soft-release of captive-reared mountain caribou might be the best option for mountain caribou recovery efforts. / Graduate / 0366 / 0329

The representation of deep convection in ocean models is a fundamental challenge for climate science. Here a regional simulation of the Labrador Sea circulation and convective activity obtained with the Regional Oceanic Modeling System (ROMS) over the period 1980-2009 is used to characterize the response of convection to atmospheric forcing and the variability in its seasonal cycle. This integration compares well with the sparse in time and space hydrographic surveys and ARGO data (Luo et al. 2012). It is found that convection in the convective region of the Labrador Sea has experienced variability in three key aspects over the 30 years considered. First, the magnitude of convection varies greatly at decadal scales. This aspect is supported by the in-situ observations. Second, the initiation and peak of convection (i.e. initiation and maximum) shift by two to three weeks between strong and weak convective years. Third, the duration of convection varies by approximately one month between strong and weak years. The last two changes are associated to the variability of winter and spring time heat fluxes in the Labrador Sea, while the first results from changes in both atmospheric heat fluxes and oceanic conditions through the inflow of warm Irminger Water from the boundary current system to the basin interior. Changes in heat fluxes over the Labrador Sea convective region are strongly linked to large scale modes of variability, the North Atlantic Oscillation and Arctic Oscillation. Correlations between the mode indices and the local heat fluxes in the convective area are largest in winter during strong, deep events and in spring whenever convection is shallow.

GARCH models have been widely used in finance to model volatility ever since the introduction of the ARCH model and its extension to the generalized ARCH (GARCH) model. Lately, there has been growing interest in modelling seasonal volatility, most recently with the introduction of the multiplicative seasonal GARCH models. As an application of the multiplicative seasonal GARCH model with real data, call prices from the major stock market index of India are calculated using estimated parameter values. It is shown that a multiplicative seasonal GARCH option pricing model outperforms the Black-Scholes formula and a GARCH(1,1) option pricing formula. A parametric bootstrap procedure is also employed to obtain an interval approximation of the call price. Narrower confidence intervals are obtained using the multiplicative seasonal GARCH model than the intervals provided by the GARCH(1,1) model for data that exhibits multiplicative seasonal GARCH volatility.

Water quality is of great importance for ecosystems and society. This thesis characterized and modeled the variation in several key constituents of Swedish surface waters, with particular consideration given to intra-annual variability and sensitivity to climate change. Cyanobacterial data from 29 lakes and basins as well as total organic carbon (TOC) from 215 watercourses were used. Extensive data on catchment characteristics, morphometry, discharge, temperature and other water chemistry data were also analyzed. Models characterizing the seasonality in cyanobacterial concentration and relative cyanobacterial abundance were developed with common lake variables. Concentrations of TOC, iron and absorbance were simulated using discharge, seasonality and long-term trend terms in the Fluxmaster modeling system. Spatial patterns in these model terms were investigated, and the sensitivity of cyanobacteria and TOC to future climate was explored. Nutrients were the major control on cyanobacterial concentration seasonality, while temperature was more important for relative cyanobacterial abundance. No cyanobacterial blooms occurred below a total phosphorus threshold of 20 µg l-1. Discharge and seasonality explained much of the intra-annual variability in TOC, but catchment characteristics could only explain a limited amount of the spatial patterns in the sensitivity to these influences. North of Limes Norrlandicus the discharge term had a larger impact on the TOC concentration in large catchments than in small catchments, while south of Limes Norrlandicus the seasonality had a larger impact in small catchments than in larger catchments. According to the climate change scenarios, both TOC and cyanobacterial concentrations will be higher in the future. The cyanobacterial dominance will start earlier and persist longer. The spring TOC concentration peak will come earlier. The changes in TOC loads are more uncertain due to predicted declines in discharge. Parsimonious statistical regression models could explain observed variability in cyanobacteria and TOC. For predictions, these models assume that future aquatic ecosystems will exhibit the same sensitivity to major drivers as in the past. If this proves not to be the case, the modeling can serve as a sentinel for changing catchment function as indicated by degradation in model performance when calibrations on older data are used to model later observations.

Kleine blattfressende Primaten sind selten, da die Verarbeitung von Blättern oft umfangreiche Anpassungen des Verdauungsapparates und lange Retentionszeiten für die Fermentierung der Blattfasern erfordert. Dennoch basiert die Nahrung von Lepilemur leucopus (Weißfuß-Wieselmaki) auf Blättern trotz kleinem Körpergewichts (<1 kg). Um unser Verständnis darüber voranzutreiben wie kleine Blattfresser ihre Verhaltensstrategien anpassen um ihre Nahrungsbedürfnisse zu stillen, beabsichtigte ich zu untersuchen wie extrinsische (i.e. Nahrungsquantität und -qualität) und intrinsische Faktoren (i.e. Fortpflanzungsstatus) Strategien der Nahrungssuche, Nahrungswahl und soziale Interaktionen beeinflussen. Ich sammelte Daten bezüglich Aktivitätsmuster, Fressverhalten, sozialer Interaktionen und Streifverhalten in einer Population von L. leucopus in Berenty Reserve (Madagaskar) über einen kompletten Jahreszyklus. Ich erhob Daten zur Habitatstruktur und Phänologie des Dornenwaldes und sammelte Blattproben für die chemische Analyse des Nährstoffgehaltes. Es gab keine eindeutigen Anhaltspunkte, dass die saisonale Abnahme in der Nahrungsverfügbarkeit einen beträchtlichen Einfluss auf Fressverhalten oder soziale Interaktionen in L. leucopus hatte, vermutlich aufgrund der geringen Nahrungsselektivität und der Nutzung der am häufigsten im Wald vorkommenden Pflanzenarten, und Nahrungsstress stand wahrscheinlich eher mit Nahrungsqualität als -quantität in Verbindung. Nahrungsprotein scheint nur begrenzt zur Verfügung gestanden zu haben, da L. leucopus Protein- gegenüber nicht-Protein-Aufnahme über Jahreszeiten und Reproduktionsstadien hinweg priorisierte. Da Veränderungen hinsichtlich Aktivitätsmuster und sozialer Interaktionen nicht im Zusammenhang mit Nahrungsknappheit standen, scheinen Bottom-Up-Prozesse weniger wichtig als Top-Down-Prozesse für die Formgebung des sozialen Systems von L. leucopus zu sein. Die Ergebnisse unterstützen außerdem die Idee, dass quantitative Nahrungsknappheit während der Trockenzeit eine untergeordnet Rolle gegenüber Blattqualität als Selektionsdruck für blattfressende Primatenpopulationen spielt.

Three Essays on Stock Market Seasonality Hyung-Suk Choi 136 pages Directed by Dr. Cheol S. Eun In chapter 1, we examine seasonality in returns to style portfolios, which serve as important benchmarks for asset allocation, and investigate its implications for investment. In doing so, we consider monthly returns on the style portfolios classified by six size/book-to-market sorting and six size/prior-return sorting over the sample period 1927 - 2006. The key findings are: first, as is well documented in the literature, small-cap oriented portfolios are subject to the January effect, but also to the 'negative' September and October effects. Second, cross-style return dispersion exhibits a seasonal pattern of its own (it is largest in January and smallest in August), suggesting possibly profitable trading strategies. Third, our seasonal strategies indeed yield significant profits, as high as about 18.7 % per annum. This profit is mostly attributable to the seasonal autocorrelation in style returns. Lastly, we find substantial seasonal patterns in style returns not only in the U.S. but also in other major stock markets Germany, Japan, and the U.K. Our seasonal style rotation strategy yields economically and statistically significant profits in all of these stock markets. In chapter 2, we examine the abnormal, negative stock returns in September which have received little attention from academic researchers. We find that in most of the 18 developed stock markets the mean return in September is negative and in 15 countries it is significantly lower than the unconditional monthly mean return. This September effect has not weakened in the recent period. Further, the examinations of the various style portfolios in the US market show that the September effect is the most pervasive anomalous phenomenon that is not affected by size, book-to-market ratio, past performance, or industry. Our finding suggests that the forward looking nature of stock prices combined with the negative economic growth in the last quarter causes the September effect. Especially in the fall season when most investors become more risk averse, the stock prices reflect the future economic growth more than the rest of the year. Our investment strategy based on the September effect yields a higher mean return and a lower standard deviation than the buy-and-hold strategy. In chapter 3, we establish the presence of seasonality in the cash flows to the U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to the increased purchases, and the small net flows in December are due to the increased redemptions. Thus, the turn-of-the-year period is the time when most mutual fund investors make their investment decisions. We offer the possible sources for the seasonality in mutual funds flows.

There is little published information on the distribution, abundance, seasonality and ecological roles of benthic algae on the Great Barrier Reef, although they are of fundamental importance in the ecology of coral reef communities. This study sought to provide information on algal community dynamics in two contrasting reef-flat zones: the live coral and algal turf-dominated outer flat, and the fleshy macroalgaldominated inner flat, at Heron Reef, Great Barrier Reef, Queensland, Australia.Algal community structure on dead coral limestone was studied on the inner and outer reef flat over a three-year period (from May 1986 to February 1989), and algal transplant and grazer exclusion experiments were carried out to determine the role of grazers in producing and maintaining community structure.Changes during ecological succession provide useful information about structuring processes in natural communities. Algal succession was studied using artificial substratum (concrete), because it provided a flat surface which offered logistical advantages over naturally contoured coral substratum, and because previous studies had found that artificial substrata adequately mimicked natural surfaces in marine successional studies. Succession on natural substratum was also studied for comparison, using coral clumps which had died after a bleaching episode in February 1987. The effects of season on algal succession, were investigated using four series of concrete settlement blocks, started in February, May, August and November 1986. The effect of habitat complexity on succession was examined by comparing succession on an exposed concrete surface with succession on a protected concrete surface provided with crevices. Each successional study lasted two years. Cover data for all algal species present on each sample were obtained using a sampling grid of sixty points, and these data were analysed using the non-parametric multivariate analysis program, PRIMER.A total of 105 algal taxa were identified in this study, with 101 of these recorded in the natural reef flat algal community over the three-year period. Fleshy macroalgae were the dominant group on the inner flat (56% cover), and filamentous turf algae iv were dominant on the outer flat (47% cover). The importance of water temperature and grazing intensity in producing the differences in distribution of these two groups of algae on the reef-flat were considered. Temperature was rejected as a factor, because there was virtually no temperature difference between the two sites over a two-year period. Grazing was found to be an important factor, based on a much higher rate of damage to algal transplants on the outer flat than on the inner flat; and on the development of higher algal biomass on caged than on uncaged concrete settlement blocks.Between 58 and 69 algal taxa were recorded in each of the four successional studies on exposed concrete, 78 taxa were recorded on protected concrete, and 85 taxa were recorded on bleached coral. Algal successional trajectories were similar on concrete and on bleached coral, but the rate varied substantially. Succession was fastest on bleached coral, slowest on exposed concrete, and intermediate on protected concrete. On all substrata, at both sites, early dominance by green and brown filamentous algae decreased over time, while the abundance of other forms increased. Dominance in terms of cover by early successional algae (in particular Ectocarpus) was prolonged on concrete in comparison to bleached coral, and this effect was stronger on exposed concrete than on protected concrete.It is hypothesised that inhibition of algal community development on concrete because of a relatively dense growth of early successional algae was due to one or both of two factors: 1. Reduced algal recruitment due to a lower level of substratum heterogeneity; and 2. Reduced grazing by the dominant herbivores in the system, parrotfish (Family Scaridae), because of the hardness of concrete.Succession was faster on the outer flat than on the inner flat. On bleached coral, succession to a community similar to the natural background algal community took between three and nine months on the outer flat, and between one and two years on the inner flat.There was no regular seasonal pattern of change in the reef flat algal community over a three-year period, but during early succession, algal community structure was v strongly influenced by season of initial exposure of the concrete settlement blocks. However, this variability did not persist, and by two years all seasonal series of blocks had similar communities. Six species of algae were fertile within 10 days of establishment, including the common early successional algae Ectocarpus, Enteromorpha and Polysiphonia, illustrating the potential of these species for rapid exploitation of available space.The results of this study provide much needed baseline data on algal community dynamics on the southern Great Barrier Reef, and on succession and community development following a bleaching episode. Given the rapid and dense colonisation of bare substratum by algae, and the very low rate of recruitment by corals, it seems that corals will be at a disadvantage in maintaining their abundance in this reef flat environment if coral bleaching becomes a regular event.