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Many financial time series show heavy tail behavior. Such tail characteristic is important for risk management. In this research, we focus on the calculation of Value-at-Risk (VaR) for portfolios of financial assets. We consider nonlinear autoregressive models with heavy tail innovations to model the return. Predictive distribution of the return are used to compute the VaR of the portfolios of financial assets. Examples are also given to compare the VaR computed by our approach with those by other methods.

Power Consumption in VLSI (Very Large Scale Integrated) circuits is currently a major issue in the semiconductor industry. Power is a first order design constraint in many applications. Several of these applications need extreme low power but do not need high speed. Sub-threshold circuit design can be used in these cases, but at such a low supply voltage these circuits exhibit an exponential sensitivity to process, voltage and temperature (PVT) variations. In this thesis we implement and test a robust sub-threshold design flow which uses circuit level PVT compensation to stabilize circuit performance. This is done by dynamic modulation of the delay of a representative signal in the circuit and then phase locking it with an external reference signal. We design and fabricate a sub-threshold wireless BFSK transmitter chip. The transmitter is specified to transmit baseband signals up to a data rate of 32kbps over a distance of 1000m. In addition to the sub-threshold implementation, we implement the BFSK transmitter using a standard cell methodology on the same die operating at super-threshold voltages on a different voltage domain. Experiments using the fabricated die show that the sub-threshold circuit consumes 19.4x lower power than the traditional standard cell based implementation.

This paper reexamines the long-run real interest rate parity of the OECD countries by using the unit root test proposed by Ng and Perron (2001) and by the application of simulation to establish the small sample distribution under the null and the alternative hypothesis. By using the small sample distribution of the unit root statistics, we can make sure that first, size distortions are not the reasons contributing to the rejection of the fact that the alternative hypothesis is unit root. Second, the inference that the low power is not necessary causes the not rejecting the alternative hypothesis is correct. If still can not decide which distributions might cause the real interest difference series by comparing the unit root statistics and the relative location of the small sample distribution, we test that whether the series are asymmetric in those countries which we can not decide what kind of distributions they are by the threshold autoregression model proposed by Caner and Hansen (2001). Finally, the empirical results indicate that the RIPH holds in Australia¡BBelgium¡BCanada¡BFinland¡BFrance¡BGermany¡BJapan and Sweden whenever data frequency under linear time series model. Under quarterly data of Italy and United Kingdom and monthly data of Denmark, it turns out that the data have the traits of nonlinear time series model. Besides, the evidence of supporting the long-run real interest rate parity can not be reached and the phenomena that partial unit root exist in United Kingdom and Denmark.

During last decade, the fast-growing communication need has promoted the development of 1.3 £gm~1.6 £gm laser light source. The Cr4+ doped YAG solid-state laser has potential to meet this broadband demand. In addition, diode-laser-pumped solid state laser has the merits of high laser beam quality, long lifetime, compact, and simple structure. In this thesis, crystal fiber was used as the laser gain medium, and coated with optical thin film at its end facets as the laser cavity. Using this configuration, the volume and cost of the laser can be appreciatively reduced, and the heat dissipation can be improved. The laser-heated-pedestal-growth method was used to grow crystal fiber, which can obtain small diameter at very fast rate. Outside the glass clad Cr4+:YAG crystal fiber, Al-Cu alloy was employed as the heat sink to improve heat dissipation. After grinding, polishing, and coating of this device, the Cr4+:YAG crystal fiber laser was fabricated. Some characteristics of Cr4+:YAG crystal fiber, such as the distribution of Cr2O3 and CaO doping concentration, fluorescence intensity, refraction index, propagation loss, and absorption coefficient were measured and analyzed. A record-low threshold of 0.75 mW was achieved. It is more than 500 times lower than any previously reported Cr4+:YAG lasers, and a slope efficiency of 6.9% was obtained. The ultralow-threshold lasing is made possible by the low propagation loss of 0.08 dB/cm and the high pump intensity of the core. Such a low-threshold operation makes the double-clad crystal fiber laser be compatible to present optical communication systems. In the meanwhile, some simulations of the laser output power have been developed to predict the experimental results.

Previous researches find that advertising expenditure and performance can significantly influence fund flows. With a unique data from Securities Investment Trust and Consulting Association (SITCA) of Taiwan, we can use monthly data of exact purchasing amounts, redemption amounts and advertising expenditures to gain more insight into investors¡¦ investment behavior. We examine the impact of advertising on mutual fund investors¡¦ behavior and the performance-flow relationship. This paper differs from the existing literature, which only concerned with the average advertising effect on fund flow. We follow the procedure of Tsay (1989) time series autoregressive processes model and modify it to cross-section variables threshold model to examine whether threshold effect of advertising on fund flows exists. We generate four empirical results. (1) Performance is significantly associated with higher fund flows. (2) Advertising is significantly associated with higher fund flows. (3) Disposition effect exists in Taiwanese mutual fund market and advertising expenditure can partially enhance the disposition effect. (4) We also measure the threshold effect of advertising on fund flows.

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<p>The work presented in this thesis studies the load and loadeffects of traffic loads on railway bridges. The increasedknowledge of the traffic loads, simulated using fieldmeasurements of actual trains, are employed in a reliabilityanalysis in an attempt at upgrading existing railwaybridges.</p><p>The study utilises data from a weigh-in-motion site whichrecords, for each train, the train speed, the loads from eachaxle and the axle spacings. This data of actual trainconfigurations and axle loads are portrayed as moving forcesand then used in computer simulations of trains crossing twodimensional simply supported bridges at constant speed. Onlysingle track short to medium span bridges are considered in thethesis. The studied load effect is the moment at mid-span. Fromthe computer simulations the moment history at mid-span isobtained.</p><p>The load effects are analysed by two methods, the first isthe classical extreme value theory where the load effect ismodelled by the family of distributions called the generalisedextreme value distribution (GEV). The other method adopts thepeaks-over-threshold method (POT) where the limiting family ofdistributions for the heights to peaks-over-threshold is theGeneralised Pareto Distribution (GPD). The two models aregenerally found to be a good representation of the data.</p><p>The load effects modelled by either the GEV or the GPD arethen incorporated into a reliability analysis in order to studythe possibility of raising allowable axle loads on existingSwedish railway bridges. The results of the reliabilityanalysis show that they are sensitive to the estimation of theshape parameter of the GEV or the GPD.</p><p>While the study is limited to the case of the ultimate limitstate where the effects of fatigue are not accounted for, thefindings show that for the studied cases an increase inallowable axle load to 25 tonnes would be acceptable even forbridges built to the standards of 1940 and designed to LoadModel A of that standard. Even an increase to both 27.5 and 30tonnes appears to be possible for certain cases. It is alsoobserved that the short span bridges ofapproximately fourmetres are the most susceptible to a proposed increase inpermissible axle load.</p><p><b>Keywords:</b>bridge, rail, traffic load, load effect,dynamic amplification factor, extreme value theory,peaks-over-threshold, reliability theory, axle loads, fielddata.</p>

<p>Diagnostic systems become more and more an important within the field of vehicle systems. This is much because new rules and regulation forcing the manufacturer of heavy duty trucks to survey the emission process in its engines during the whole lifetime of the truck. To do this a diagnostic system has to be implemented which always survey the process and check that the thresholds of the emissions set by the government not are exceeded. There is also a demand that this system should be reliable, i.e. not producing false alarms or missed detection. One way of producing such a system is to use model based diagnosis system where thresholds has to be set deciding if the system is corrupt or not. There is a lot of difficulties involved in this. Firstly, there is no way of knowing if the signals logged are corrupt or not. This is because faults in these signals should be detected. Secondly, because of strict demand of reliability the thresholds has to be set where there is very low probability of finding values while driving. In this thesis a methodology is proposed for setting thresholds in a diagnosis system in an experimental test engine at Scania. Measurement data has been logged over 20 hours of effective driving by two individuals of the same engine. It is shown that the result is improved significantly by using this method and the threshold can be set so smaller faults in the system reliably can be detected.</p>