Search results for: custom anatomical model

Authors: James Newman

Abstract:

Process mining is an emerging technology that looks to serialize enterprise data in time series data. It has been used by many companies and has been the subject of a variety of research papers. However, the majority of current efforts have looked at how to best create process mining from standard relational databases. This paper is the first pass at outlining a database custom-built for the minimal viable product of process mining. We present Block Miner, a blockchain protocol to store process mining data across a distributed network. We demonstrate the feasibility of storing process mining data on the blockchain. We present a proof of concept and show how the intersection of these two technologies helps to solve a variety of issues, including but not limited to ransomware attacks, tax documentation, and conflict resolution.

Keywords: blockchain, process mining, memory optimization, protocol

Procedia PDF Downloads 81

Authors: M. Y. Lee, D. H. Shin, S. H. Park, W.C. Ham, S.K. Ko, C. G. Song

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Photoacoustic Tomography (PAT) is a promising medical imaging modality that combines optical imaging contrast with the spatial resolution of ultrasound imaging. It can also distinguish the changes in biological features. But, real-time PAT system should be confirmed due to photoacoustic effect for tissue. Thus, we have developed a real-time PAT system using a custom-developed data acquisition board and ultrasound linear probe. To evaluate performance of our system, phantom test was performed. As a result of those experiments, the system showed satisfactory performance and its usefulness has been confirmed. We monitored the degradation of inflammation which induced on the rat’s kidney using real-time PAT.

Keywords: photoacoustic tomography, inflammation detection, rat, kidney, contrast agent, ultrasound

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Authors: Eunji Choi, Borang Park, Youngjae Choi, Jinwoo Moon

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In this study, a predictive model for estimating the metabolism (MET) of human body was developed for the optimal control of indoor thermal environment. Human body images for indoor activities and human body joint coordinated values were collected as data sets, which are used in predictive model. A deep learning algorithm was used in an initial model, and its number of hidden layers and hidden neurons were optimized. Lastly, the model prediction performance was analyzed after the model being trained through collected data. In conclusion, the possibility of MET prediction was confirmed, and the direction of the future study was proposed as developing various data and the predictive model.

Keywords: deep learning, indoor quality, metabolism, predictive model

Procedia PDF Downloads 246

Authors: Alan Wan

Abstract:

In recent years, the body of literature on frequentist model averaging in statistics has grown significantly. Most of this work focuses on models with different mean structures but leaves out the variance consideration. In this paper, we consider a regression model with multiplicative heteroscedasticity and develop a model averaging method that combines maximum likelihood estimators of unknown parameters in both the mean and variance functions of the model. Our weight choice criterion is based on a minimisation of a plug-in estimator of the model average estimator's squared prediction risk. We prove that the new estimator possesses an asymptotic optimality property. Our investigation of finite-sample performance by simulations demonstrates that the new estimator frequently exhibits very favourable properties compared to some existing heteroscedasticity-robust model average estimators. The model averaging method hedges against the selection of very bad models and serves as a remedy to variance function misspecification, which often discourages practitioners from modeling heteroscedasticity altogether. The proposed model average estimator is applied to the analysis of two real data sets.

Keywords: heteroscedasticity-robust, model averaging, multiplicative heteroscedasticity, plug-in, squared prediction risk

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Authors: Myung Hwan Na, Ho- Chun Song, EunHee Hong

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We widely use normal linear mixed-effects model to analysis data in repeated measurement. In case of detecting heteroscedasticity and the non-normality of the population distribution at the same time, normal linear mixed-effects model can give improper result of analysis. To achieve more robust estimation, we use heavy tailed linear mixed-effects model which gives more exact and reliable analysis conclusion than standard normal linear mixed-effects model.

Keywords: reliability, tires, field data, linear mixed-effects model

Procedia PDF Downloads 553

Authors: Virender Singh, Mathew Rees, Simon Hampton, Sivaram Annadurai

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Plant identification is a challenging task that aims to identify the family, genus, and species according to plant morphological features. Automated deep learning-based computer vision algorithms are widely used for identifying plants and can help users narrow down the possibilities. However, numerous morphological similarities between and within species render correct classification difficult. In this paper, we tested custom convolution neural network (CNN) and vision transformer (ViT) based models using the PyTorch framework to classify plants. We used a large dataset of 88,000 provided by the Royal Horticultural Society (RHS) and a smaller dataset of 16,000 images from the PlantClef 2015 dataset for classifying plants at genus and species levels, respectively. Our results show that for classifying plants at the genus level, ViT models perform better compared to CNN-based models ResNet50 and ResNet-RS-420 and other state-of-the-art CNN-based models suggested in previous studies on a similar dataset. ViT model achieved top accuracy of 83.3% for classifying plants at the genus level. For classifying plants at the species level, ViT models perform better compared to CNN-based models ResNet50 and ResNet-RS-420, with a top accuracy of 92.5%. We show that the correct set of augmentation techniques plays an important role in classification success. In conclusion, these results could help end users, professionals and the general public alike in identifying plants quicker and with improved accuracy.

Keywords: plant identification, CNN, image processing, vision transformer, classification

Procedia PDF Downloads 81

Authors: Abdoullah Fath-Allah, Laila Cheikhi, Rafa E. Al-Qutaish, Ali Idri

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The e-government emerging concept transforms the way in which the citizens are dealing with their governments. Thus, the citizens can execute the intended services online anytime and anywhere. This results in great benefits for both the governments (reduces the number of officers) and the citizens (more flexibility and time saving). Therefore, building a maturity model to assess the e-government portals becomes desired to help in the improvement process of such portals. This paper aims at proposing an e-government maturity model based on the measurement of the best practices’ presence. The main benefit of such maturity model is to provide a way to rank an e-government portal based on the used best practices, and also giving a set of recommendations to go to the higher stage in the maturity model.

Keywords: best practices, e-government portal, maturity model, quality model

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Authors: Weiam Daear, Patrick Lai, Elmar Prenner

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The human body offers many avenues that could be used for drug delivery. The pulmonary route, which is delivered through the lungs, presents many advantages that have sparked interested in the field. These advantages include; 1) direct access to the lungs and the large surface area it provides, and 2) close proximity to the blood circulation. The air-blood barrier of the alveoli is about 500 nm thick. The air-blood barrier consist of a monolayer of lipids and few proteins called the lung surfactant and cells. This monolayer consists of ~90% lipids and ~10% proteins that are produced by the alveolar epithelial cells. The two major lipid classes constitutes of various saturation and chain length of phosphatidylcholine (PC) and phosphatidylglycerol (PG) representing 80% of total lipid component. The major role of the lung surfactant monolayer is to reduce surface tension experienced during breathing cycles in order to prevent lung collapse. In terms of the pulmonary drug delivery route, drugs pass through various parts of the respiratory system before reaching the alveoli. It is at this location that the lung surfactant functions as the air-blood barrier for drugs. As the field of nanomedicine advances, the use of nanoparticles (NPs) as drug delivery vehicles is becoming very important. This is due to the advantages NPs provide with their large surface area and potential specific targeting. Therefore, studying the interaction of NPs with lung surfactant and whether they affect its stability becomes very essential. The aim of this research is to develop a biomimetic model of the human lung surfactant followed by a biophysical analysis of the interaction of polymeric NPs. This biomimetic model will function as a fast initial mode of testing for whether NPs affect the stability of the human lung surfactant. The model developed thus far is an 8-component lipid system that contains major PC and PG lipids. Recently, a custom made 16:0/16:1 PC and PG lipids were added to the model system. In the human lung surfactant, these lipids constitute 16% of the total lipid component. According to the author’s knowledge, there is not much monolayer data on the biophysical analysis of the 16:0/16:1 lipids, therefore more analysis will be discussed here. Biophysical techniques such as the Langmuir Trough is used for stability measurements which monitors changes to a monolayer's surface pressure upon NP interaction. Furthermore, Brewster Angle Microscopy (BAM) employed to visualize changes to the lateral domain organization. Results show preferential interactions of NPs with different lipid groups that is also dependent on the monolayer fluidity. Furthermore, results show that the film stability upon compression is unaffected, but there are significant changes in the lateral domain organization of the lung surfactant upon NP addition. This research is significant in the field of pulmonary drug delivery. It is shown that NPs within a certain size range are safe for the pulmonary route, but little is known about the mode of interaction of those polymeric NPs. Moreover, this work will provide additional information about the nanotoxicology of NPs tested.

Keywords: Brewster angle microscopy, lipids, lung surfactant, nanoparticles

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Authors: Ghazi Bouaziz, Abderrahim Derouiche, Damien Brulin, Hélène Pigot, Eric Campo

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Automatic ADL classification is a crucial part of ambient assisted living technologies. It allows to monitor the daily life of the elderly and to detect any changes in their behavior that could be related to health problem. But detection of ADLs is a challenge, especially because each person has his/her own rhythm for performing them. Therefore, we used a correlation matrix to extract custom rules that enable to detect ADLs, including eating activity. Data collected from 3 different individuals between 35 and 105 days allows the extraction of personalized eating patterns. The comparison of the results of the process of eating activity extracted from the correlation matrices with the declarative data collected during the survey shows an accuracy of 90%.

Keywords: elderly monitoring, ADL identification, matrix correlation, meal-taking activity

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Authors: I. C. Tolias, A. G. Venetsanos, N. Markatos

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In the present work, CFD simulations of a large scale open deflagration experiment are performed. Stoichiometric hydrogen-air mixture occupies a 20 m hemisphere. Two combustion models are compared and are evaluated against the experiment. The Eddy Dissipation Model and a Multi-physics combustion model which is based on Yakhot’s equation for the turbulent flame speed. The values of models’ critical parameters are investigated. The effect of the turbulence model is also examined. k-ε model and LES approach were tested.

Keywords: CFD, deflagration, hydrogen, combustion model

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Authors: J. Rhodes, V. Cheng, P. Lok

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The aim of this study is to develop a parsimonious model that explains the effect of different stimulus on a tourist’s intention to visit a new destination. The model consists of destination trust and interest as the mediating variables. The model was tested using two different types of stimulus; both studies empirically supported the proposed model. Furthermore, the first study revealed that advertising has a stronger effect than positive online reviews. The second study found that the peripheral route of the elaboration likelihood model has a stronger influence power than the central route in this context.

Keywords: advertising, electronic word-of-mouth, elaboration likelihood model, intention to visit, trust

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Authors: Ahmad Sarfaraz, Raiyad Herwies

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In this paper, a multi-criteria decision making analysis is used to help any organization selects the best KM tool that fits and serves its needs. The AHP model is used based on a previous study to highlight and identify the main criteria and sub-criteria that are incorporated in the selection process. Different KM tools alternatives with different criteria are compared and weighted accurately to be incorporated in the GP model. The main goal is to combine the GP model with the AHP model to ensure that selecting the KM tool considers the resource constraints. Two important issues are discussed in this paper: how different factors could be taken into consideration in forming the AHP model, and how to incorporate the AHP results into the GP model for better results.

Keywords: knowledge management, analytical hierarchy process, goal programming, multi-criteria decision making

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Authors: Lu Zhao, Nadir Farhi, Yeltsin Valero, Zoi Christoforou, Nadia Haddadou

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In this paper, a long short-term memory (LSTM) neural network model is proposed to replicate simultaneously car-following and lane-changing behaviors in road networks. By combining two kinds of LSTM layers and three input designs of the neural network, six variants of the LSTM model have been created. These models were trained and tested on the NGSIM 101 dataset, and the results were evaluated in terms of longitudinal speed and lateral position, respectively. Then, we compared the LSTM model with a classical car-following model (the intelligent driving model (IDM)) in the part of speed decision. In addition, the LSTM model is compared with a model using classical neural networks. After the comparison, the LSTM model demonstrates higher accuracy than the physical model IDM in terms of car-following behavior and displays better performance with regard to both car-following and lane-changing behavior compared to the classical neural network model.

Keywords: traffic modeling, neural networks, LSTM, car-following, lane-change

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Authors: Jamileh Ahmed, Helena Hernandez, Gabriel De Erausquin

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H1N1 virus susceptibility of iPSC-derived DA neurons from schizophrenia patients and controls will compared. C57/BL-6 fibroblasts were reprogrammed into iPSCs using a lenti-viral vector containing SOKM genes. Pluripotency verification with the AP assay and immunocytochemistry ensured iPSC presence. The experimental outcome of ISPCs from DA neuron differentiation will be discussed in the Results section. Fibroblasts from patients and controls will be reprogrammed into iPSCs using a sendai-virus vector containing SOKM. IPSCs will be characterized using the AP assay, immunocytochemistry and RT-PCR. IPSCs will then be differentiated into DA neurons. Gene methylation will be compared for both groups with custom-designed microarrays.

Keywords: schizophrenia, iPSCs, stem cells, neuroscience

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Authors: Coskun Serefoglu

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The study aims to analyse how a traditional sector such as agri-food could be mobilized through regional innovation strategies. A principal component analysis as well as qualitative information, such as in-depth interviews, focus group and surveys, were employed to find the priority sectors. An agri-food model was developed which includes both a linear model and interactive model. The model consists of two main components, one of which is technological integration and the other one is agricultural extension which is based on Land-grant university approach of U.S. which is not a common practice in Turkey.

Keywords: regional innovation strategy, interactive model, agri-food sector, local development, planning, regional development

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Authors: Sasiporn Rattanasupha, Settapat Chinviriyasit

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The treatment function adopts a continuous and differentiable function which can describe the effect of delayed treatment when the number of infected individuals increases and the medical condition is limited. In this paper, the SEIR epidemic model with treatment function is studied to investigate the dynamics of the model due to the effect of treatment. It is assumed that the treatment rate is proportional to the number of infective patients. The stability of the model is analyzed. The model is simulated to illustrate the analytical results and to investigate the effects of treatment on the spread of infection.

Keywords: basic reproduction number, local stability, SEIR epidemic model, treatment function

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Authors: Adrian Kong, William Chang, Rolando Valdes, Alec Rodriguez, Roberto Miki

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The Pneumask consists of a custom snorkel-specific adapter that attaches a snorkel-port of the mask to a 3D-printed filter. This full-face snorkel mask was designed for use as personal protective equipment (PPE) during the COVID-19 pandemic when there was a widespread shortage of PPE for medical personnel. Various clinical validation tests have been conducted, including the sealing capability of the mask, filter performance, CO2 buildup, and clinical usability. However, data regarding the filter efficiencies of Pneumask and multiple filter types have not been determined. Using an experimental system, we evaluated the filtration efficiency across various masks and filters during inhalation. Eighteen combinations of respirator models (5 P100 FFRs, 4 Dolfino Masks) and filters (2091, 7093, 7093CN, BB50T) were evaluated for their exposure to airborne particles sized 0.3 - 10.0 microns using an electronic airborne particle counter. All respirator model combinations provided similar performance levels for 1.0-micron, 3.0-micron, 5.0-micron, 10.0-microns, with the greatest differences in the 0.3-micron and 0.5-micron range. All models provided expected performances against all particle sizes, with Class P100 respirators providing the highest performance levels across all particle size ranges. In conclusion, the modified snorkel mask has the potential to protect providers who care for patients with COVID-19 from increased airborne particle exposure.

Keywords: COVID-19, PPE, mask, filtration, efficiency

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Authors: Rakesh Kumar Mishra, Tarun Kumar Dan

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Lead-Lag based Internal Model Control method is proposed based on Internal Model Control (IMC) strategy. In this paper, we have designed the Lead-Lag based Internal Model Control for binary distillation column for SISO process (considering only bottom product). The transfer function has been taken from Wood and Berry model. We have find the composition control and disturbance rejection using Lead-Lag based IMC and comparing with the response of simple Internal Model Controller.

Keywords: SISO, lead-lag, internal model control, wood and berry, distillation column

Procedia PDF Downloads 626

Authors: H. Namazi, H. T. N. Kuan

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It is known that in humans, the adaptation to a given odor occurs within a quite short span of time (typically one minute) after the odor is presented to the brain. Different models of human olfaction have been developed by scientists but none of these models consider the diffusion phenomenon in olfaction. A novel microscopic model of the human olfaction is presented in this paper. We develop this model by incorporating the transient diffusivity. In fact, the mathematical model is written based on diffusion of the odorant within the mucus layer. By the use of the model developed in this paper, it becomes possible to provide quantification of the objective strength of odor.

Keywords: diffusion, microscopic model, mucus layer, olfaction

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Authors: Yanshuang Zhang, Byungho Jeong

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There exists some time lag between the consumption of inputs and the production of outputs. This time lag effect should be considered in calculating efficiency of decision making units (DMU). Recently, a couple of DEA models were developed for considering time lag effect in efficiency evaluation of research activities. However, these models can’t discriminate efficient DMUs because of the nature of basic DEA model in which efficiency scores are limited to ‘1’. This problem can be resolved a super-efficiency model. However, a super efficiency model sometimes causes infeasibility problem. This paper suggests an output oriented super-efficiency model for efficiency evaluation under the consideration of time lag effect. A case example using a long term research project is given to compare the suggested model with the MpO model

Keywords: DEA, Super-efficiency, Time Lag, research activities

Procedia PDF Downloads 641

Authors: Sanjin Kršćanski, Josip Brnić

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Virtual Crack Closure Technique (VCCT) is a method used for calculating stress intensity factor (SIF) of a cracked body that is easily implemented on top of basic finite element (FE) codes and as such can be applied on the various component geometries. It is a relatively simple method that does not require any special finite elements to be used and is usually used for calculating stress intensity factors at the crack tip for components made of brittle materials. This paper studies applicability and accuracy of VCCT applied on standard metal specimens containing trough thickness crack, subjected to an in-plane bending load. Finite element analyses were performed using regular 4-node, regular 8-node and a modified quarter-point 8-node 2D elements. Stress intensity factor was calculated from the FE model results for a given crack length, using data available from FE analysis and a custom programmed algorithm based on virtual crack closure technique. Influence of the finite element size on the accuracy of calculated SIF was also studied. The final part of this paper includes a comparison of calculated stress intensity factors with results obtained from analytical expressions found in available literature and in ASTM standard. Results calculated by this algorithm based on VCCT were found to be in good correlation with results obtained with mentioned analytical expressions.

Keywords: VCCT, stress intensity factor, finite element analysis, 2D finite elements, bending

Procedia PDF Downloads 290

Authors: Zainab Magaji Musa, Nordin M. A. Rahman, Julaily Aida Jusoh

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The web services applications for digital reference service (WSDRS) of LIS model is an informal model that claims to reduce the problems of digital reference services in libraries. It uses web services technology to provide efficient way of satisfying users’ needs in the reference section of libraries. The formal WSDRS model consists of the Z specifications of all the informal specifications of the model. This paper discusses the formal validation of the Z specifications of WSDRS model. The authors formally verify and thus validate the properties of the model using Z/EVES theorem prover.

Keywords: validation, verification, formal, theorem prover

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Authors: Mihika Shivkumar, Krishna Kumar, C. Perisamy

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3D printing is a method of manufacturing wherein materials, such as plastic or metal, are deposited in layers one on top of the other to produce a three dimensional object. 3D printing is most commonly associated with creating engineering prototypes. However, its applications in the field of human health care have been frequently disregarded. Medical applications for 3D printing are expanding rapidly and are envisaged to revolutionize health care. Medical applications for 3D printing, both present and its potential, can be categorized broadly, including: creation of customized prosthetics tissue and organ fabrication; creation of implants, and anatomical models and pharmaceutical research regarding drug dosage forms. This piece breaks down bioprinting in the healthcare sector. It focuses on the better subtle elements of every particular point, including how 3D printing functions in the present, its impediments, and future applications in the health care sector.

Keywords: bio-printing, prototype, drug delivery, organ regeneration

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Authors: Matthew C. Best

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Linear Multi-Input Multi-Output (MIMO) dynamic models can be identified, with no a priori knowledge of model structure or order, using a new Generalised Identifying Filter (GIF). Based on an Extended Kalman Filter, the new filter identifies the model iteratively, in a continuous modal canonical form, using only input and output time histories. The filter’s self-propagating state error covariance matrix allows easy determination of convergence and conditioning, and by progressively increasing model order, the best fitting reduced-order model can be identified. The method is shown to be resistant to noise and can easily be extended to identification of smoothly nonlinear systems.

Keywords: system identification, Kalman filter, linear model, MIMO, model order reduction

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Authors: Tejush Badal, Sanaa Alwidian

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Class diagrams are useful tools within the Unified Modelling Language (UML) to model and visualize the relationships between, and properties of objects within a system. As a system evolves over time and space (e.g., products), a series of models with several commonalities and variabilities create what is known as a model family. In circumstances where there are several versions of a model, examining each model individually, becomes expensive in terms of computation resources. To avoid performing redundant operations, this paper proposes an approach for representing a family of class diagrams into Union Models to represent model families using a single generic model. The paper aims to analyze and reason about a family of class diagrams using union models as opposed to individual analysis of each member model in the family. The union algorithm provides a holistic view of the model family, where the latter cannot be otherwise obtained from an individual analysis approach, this in turn, enhances the analysis performed in terms of speeding up the time needed to analyze a family of models together as opposed to analyzing individual models, one model at a time.

Keywords: analysis, class diagram, model family, unified modeling language, union model

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Authors: Nashed Atef Nashed Farag

Abstract:

Introduction: Reporting adverse events following vaccination remains a challenge. WHO has mandated pharmacovigilance centers around the world to submit Adverse Events Following Immunization (AEFI) reports from different countries to a large electronic database of adverse drug event data called Vigibase. Despite sufficient information about AEFIs on Vigibase, they are not available to the general public. However, the WHO has an alternative website called VigiAccess, an open-access website that serves as an archive for reported adverse reactions and AEFIs. The aim of the study was to establish a reporting model for a number of commonly used vaccines in the VigiAccess system. Methods: On February 5, 2018, VigiAccess comprehensively searched for ESSI reports on the measles vaccine, oral polio vaccine (OPV), yellow fever vaccine, pneumococcal vaccine, rotavirus vaccine, meningococcal vaccine, tetanus vaccine, and tuberculosis vaccine (BCG). These are reports from all pharmacovigilance centers around the world since they joined the WHO Drug Monitoring Program. Results: After an extensive search, VigiAccess found 9,062 AEFIs from the measles vaccine, 185,829 AEFIs from the OPV vaccine, 24,577 AEFIs from the yellow fever vaccine, 317,208 AEFIs from the pneumococcal vaccine, 73,513 AEFIs from the rotavirus vaccine, and 145,447 AEFIs from meningococcal cal vaccine, 22,781 EI FI vaccines against tetanus and 35,556 BCG vaccines against AEFI. Conclusion: The study found that among the eight vaccines examined, pneumococcal vaccines were associated with the highest number of AEFIs, while measles vaccines were associated with the fewest AEFIs.

Keywords: surgical approach, anatomical approach, decompression, axillary nerve, quadrangular space adverse events following immunization, cameroon, COVID-19 vaccines, nOPV, ODK vaccines, adverse reactions, VigiAccess, adverse event reporting

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Authors: D. Thawinkarn, S. Wongbutlee

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The Social Change Leadership model is strongly aligned with administration’s mission. This research aims to examine the elements of social change leadership, build and develop leadership for social change, and evaluate effectiveness of leadership development model for social change. The research operation has 3 phases: model studies by in-depth interviews and survey research; drafting and creating model which verified by the experts; and trial of model in schools. The results showed that administrators and teachers have the elements of leadership for social change in moderate level. These elements are ranged descending from consciousness of self, common purpose, congruence, collaboration, commitment, citizenship, and controversy with civility. Model of leadership for social change is included the principles, objectives, content, process. Workshop process: Results show that the model of leadership development for social change in administrators and teachers leads to higher score in leadership evaluation prior to administering the operation.

Keywords: leadership, social change model, organization, administrators

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Authors: A. Lakrim, D. Tahri

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This paper sets out a behavioral macro-model of a Merged PiN and Schottky (MPS) diode based on silicon carbide (SiC). This model holds good for both static and dynamic electrothermal simulations for industrial applications. Its parameters have been worked out from datasheets curves by drawing on the optimization method: Simulated Annealing (SA) for the SiC MPS diodes made available in the industry. The model also adopts the Analog Behavioral Model (ABM) of PSPICE in which it has been implemented. The thermal behavior of the devices was also taken into consideration by making use of Foster’ canonical network as figured out from electro-thermal measurement provided by the manufacturer of the device.

Keywords: SiC MPS diode, electro-thermal, SPICE model, behavioral macro-model

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Authors: Funda Kul, İsmail Gür

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Pension scheme providers have to price mortality risk by accurate mortality forecasting method. There are many mortality-forecasting methods constructed and used in literature. The Lee-Carter model is the first model to consider stochastic improvement trends in life expectancy. It is still precisely used. Mortality forecasting is done by mortality index in the Lee-Carter model. It is assumed that mortality index fits ARIMA time series model. In this paper, we propose and use dynamic normal inverse gaussian distribution to modeling mortality indes in the Lee-Carter model. Using population mortality data for Italy, France, and Turkey, the model is forecasting capability is investigated, and a comparative analysis with other models is ensured by some well-known benchmarking criterions.

Keywords: mortality, forecasting, lee-carter model, normal inverse gaussian distribution

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Authors: Piotr Fiszeder, Marcin Fałdziński, Peter Molnár

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The dynamic conditional correlation model of Engle (2002) is one of the most popular multivariate volatility models. However, this model is based solely on closing prices. It has been documented in the literature that the high and low price of the day can be used in an efficient volatility estimation. We, therefore, suggest a model which incorporates high and low prices into the dynamic conditional correlation framework. Empirical evaluation of this model is conducted on three datasets: currencies, stocks, and commodity exchange-traded funds. The utilisation of realized variances and covariances as proxies for true variances and covariances allows us to reach a strong conclusion that our model outperforms not only the standard dynamic conditional correlation model but also a competing range-based dynamic conditional correlation model.

Keywords: volatility, DCC model, high and low prices, range-based models, covariance forecasting

Procedia PDF Downloads 170