In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...

Price volatility in the corn market has changed considerably globalization and stronger linkages to the energy complex. Using data from January 1989 through December 2009, we estimate and forecast the volatility in the corn market using futures daily prices. Estimates in a Fractional Integrated...

The recently witnessed financial turmoil and the current international stability context have demonstrated the need for a deeper understandingabout ex-ante international asset price fluctuations. Moreover, it is now more evident that very little is known about real estate securities and their...

The study of long term stability in particle accelerators has long been served by a group of widely circulated computer programs. The progress in these programs has mirrored the growth and versatility in accelerator size, complexity, and purpose, as well as evolving technologies in computing...

The study of long term stability in particle accelerators has long been served by a group of widely circulated computer programs. The progress in these programs has mirrored the growth and versatility in accelerator size, complexity, and purpose, as well as evolving technologies in computing...

The degradation of the material in critical components is shown to be an effective measure which can be used to compute the risk adjusted economic penalty associated with different maintenance decisions. The approach of estimating the probability, with confidence interval, of the time that a...

The efficient characterization of nonlinear systems is an important goal of vibration and model testing. The authors build a nonlinear system model based on the acceleration time series response of a single input, multiple output system. A series of local linear models are used as a template to...

In most probabilistic risk assessments, there is a subset of accident scenarios that involves physical challenges to the system, such as high heat rates and/or accelerations. The system`s responses to these challenges may be complicated, and their prediction may require the use of long-running...

This paper reports on the developments and findings of the Distribution Short-Term Load Forecaster (DSTLF) research activity. The objective of this research is to develop a distribution short-term load forecasting technology consisting of a forecasting method, development methodology, theories...

In this paper the authors discuss several complexity aspects pertaining to neural networks, commonly known as the curse of dimensionality. The focus will be on: (1) size complexity and depth-size tradeoffs; (2) complexity of learning; and (3) precision and limited interconnectivity. Results have...