We develop a methodology for estimating time-varying alphas and factor loadings based on nonparametric techniques. We test whether conditional alphas and long-run alphas, which are averages of conditional alphas, are equal to zero and derive test statistics for the constancy of factor loadings. The tests can be performed for a single asset or jointly across portfolios. The traditional Gibbons, ...

In this article, we propose a new method for principal component analysis (PCA), whose main objective is to capture natural "blocking" structures in the variables. Further, the method, beyond selecting different variables for different components, also encourages the loadings of highly correlated variables to have the same magnitude. These two features often help in interpreting the principal c...

Dynamic loading of software components (e.g., libraries or modules) is a widely used mechanism for improved system modularity and flexibility. In general, an operating system or a runtime environment resolves the loading of a specifically named component by searching for its first occurrence in a sequence of directories determined at runtime. Correct component resolution is critical for reliabl...

By using the Flexible Least Squares (FLS) method, this study visibly shows the time variation paths of risk loadings for industrial stocks. Significant structural changes in time variation paths of risk loadings are verified by the OLS results and largely consistent with major economic and political events in the U.S. history.

Several mesoporous silica nanoparticle (MSN) contrast agents have been synthesized using a co-condensation method to incorporate two different Gd3+ complexes at very high loadings (15.5-28.8 wt %). These MSN contrast agents, with an MCM-41 type pore structure, were characterized using a variety of methods including SEM and TEM, nitrogen adsorption measurements, thermogravimetric analysis (TGA),...

The nanoscale materials offer the opportunity to explore new behavior beyond those established in conventional materials. It has been established that mechanical and thermal properties, moisture barrier, and flame resistance of polymeric composites can be improved by adding a small amount of nanoparticles as filler particles without compromising the density, toughness, storage life, weight or p...

While nanocrystalline diamond is quickly becoming one of the most widely studied nanomaterials, achieving a large fraction of diamond nanoparticles in a polymer coating has been an unresolved problem. In this work, polymer nano- and microfibers containing high loadings of 5 nm diamond particles (up to 80 wt % in polyacrylonitrile and 40% in polyamide 11) have been demonstrated using electrospun...

A novel fractionation method, based on both particle size and settling characteristics, was employed to examine metal distributions among five fractions. In-stream and stormwater runoff samples were collected from four land use types: highway, urban, agricultural (storm event and irrigation), and natural. Highway samples contained the highest dissolved concentrations for most metals, and freshw...

Based on the nonequilibrium thermodynamics, a thermo-hydro-mechanical coupling model for saturated soils is established, including a constitutive model without such concepts as yield surface and flow rule. An elastic potential energy density function is defined to derive a hyperelastic relation among the effective stress, the elastic strain, and the dry density. The classical linear non-equilib...

We have utilized 2D material point method (MPM) to study the influence of nanoparticles on the diffusivity of penentrants in model polymer membranes comprised of impenetrable spherical nanoparticles dispersed in a matrix with uniform penetrant solubility and diffusivity. The polymer membrane near the surface of a nanoparticle exhibits enhanced penetrant diffusion relative to that of the bulk po...