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Number of results: 16
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Abstract

Hybrid MSV-MGARCH models, in particular the MSF-SBEKK specification, proved useful in multivariate modelling of returns on financial and commodity markets. The initial MSF-MGARCH structure, called LN-MSF-MGARCH here, is obtained by multiplying the MGARCH conditional covariance matrix Ht by a scalar random variable gt such that{ln gt, tZ} is a Gaussian AR(1) latent process with auto-regression parameter φ. Here we alsoconsider an IG-MSF-MGARCH specification, which is a hybrid generalisation of conditionally Student t MGARCH models, since the latent process {gt} is no longer marginally log-normal (LN), but for φ = 0 it leads to an inverted gamma (IG) distribution for gt and to the t-MGARCH case. If φ =/ 0, the latent variables gt are dependent, so (in comparison to the t-MGARCH specification) we get an additional source of dependence and one more parameter. Due to the existence of latent processes, the Bayesian approach, equipped with MCMC simulation techniques, is a natural and feasible statistical tool to deal with MSF-MGARCH models. In this paper we show how the distributional assumptions for the latent process together with the specification of the prior density for its parameters affect posterior results, in particular the ones related to adequacy of thet-MGARCH model. Our empirical findings demonstrate sensitivity of inference on the latent process and its parameters, but, fortunately, neither on volatility of the returns nor on their conditional correlation. The new IG-MSF-MGARCH specification is based on a more volatile latent process than the older LN-MSF-MGARCH structure, so the new one may lead to lower values of φ – even so low that they can justify the popular t-MGARCH model.
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Authors and Affiliations

Jacek Osiewalski
Anna Pajor
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Abstract

The goal of the paper is to verify the direction of sovereign risk transmission between sovereign CDS and sovereign bond markets in the Central European economies: the Czech Republic, Hungary and Poland. We focus on the hectic crisis period of 2008-2013. On the one hand, the sCDS market is said to react faster to the news than the sovereign bonds market. On the other hand, the bond market is related more closely to the internal situation of the country than the sCDS one and thus can price the sovereign risk more accurate. Moreover, the relationships between the markets can change during crisis time. We find that in the case of most risky and most indebted economy in Hungary there was a feedback between sCDS and sovereign bonds risk. In the case of Poland sCDS market risk Granger caused the risk of sovereign bonds – if we exclude instantaneous causality from the analysis; when it is included, feedback occurred. Eventually, in the case of the Czech Republic the risk of sCDS market Granger caused risk of the bonds market.
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Authors and Affiliations

Barbara Będowska-Sójka
Agata Kliber
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Abstract

We introduce consumption habits into a real-business-cycle setup augmented with a detailed government sector. We calibrate the model to Bulgarian data for the period following the introduction of the currency board arrangement (1999-2018). We investigate the quantitative importance of the presence of internal consumption habits motive for the propagation cyclical fluctuations in Bulgaria. Allowing for internal habits in household’s consumption improves the model performance against data, and in addition this extended setup dominates the standard RBC model framework without habits. Therefore, the computational experiments performed in this paper suggest that habits are a quantitatively important model ingredient, which should be taken into consideration when analysing the effects of different policies in Bulgaria. This result can be viewed as an empirical validation of the habit model, and a rejection of the model without habits in the case of Bulgaria. In addition, we also demonstrate that internal habits are quantitatively more important than external habits for the Bulgarian business cycle.
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Authors and Affiliations

Aleksandar Vasilev
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Abstract

Almost every construction investment should contain elements of risk forecasting, whose validity depends, among other things, on the correct assessment of potential threats. These risks were defined by the Authors as risk factors that were characterized and then grouped on the basis of performed research in the scope of their identification. Due to lack of method of scheduling railway investments on the construction market, including risk assessment, a research effort was undertaken [14-17], the result of which is the proposed method. The article presents the main assumptions of the original method of rail investment planning, which on the one hand, will take into account the impact of potential threats identified previously by the Authors, and, on the other, will allow project managers to refer to the conditions in which the implementation of a specific facility is planned. The assumption was made that the method, relatively easy to implement, supported by an appropriate computational program, will encourage teams planning the implementation of railway undertakings to its application and will improve the reliability of the schedules they develop.

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Authors and Affiliations

J. Kowalski
M. Poloński
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Abstract

The paper presents the dependence of ITS results at the elevated temperature (40°C) on rutting parameters, i.e. proportional rut depth (PRDAIR) and wheel tracking speed (WTSAIR), obtained at the temperature of 60°C. The asphalt mixture samples were prepared in the gyratory compactor, but ITS tests were conducted with typical Marshall press, at a loading rate of 50 mm/min. Correlation analyses show a strong relationships between ITS results and rutting parameters, whereby the correlation coefficients obtained are higher for the PRDAIR parameter (r = -0.88) than WTSAIR (r = -0.81). Using the obtained regression functions, the prediction limits as well as confidence limits were calculated, which allowed to develop criteria for assessing resistance to rutting on the basis of ITS test, and taking into account the technical requirements in Poland.

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Authors and Affiliations

P. Zieliński
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Abstract

The article is an attempt to compare the impact of the use of various types of limestone as the main constituent of cement on selected mortar properties. Four different limestones were added in amount of 15, 30, 40% to CEM I 42.5 R to obtain limestone cemens. Rheological properties (yield stress, plastic viscosity) of fresh mortar, tensile and compressive mortar strength, early shrinkage, and drying shrinkage were tested. Obtained results indicate that both tensile and compressive strength decreases with the increase of the limestone content in cement. Limestone can worsen or improve workability, depending on distribution of limestone grains. The addition of limestone increases the early shrinkage, but reduces the shrinkage after 28 days. Studies show that the granulation of limestone plays an important role in determining the influence of limestone on mortar properties.

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Authors and Affiliations

J. Gołaszewski
G. Cygan
M. Gołaszewska
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Abstract

The collapse of the Soviet Union was the cause of a significant decline in many economies of the newly created countries. However, many of them, including the Ukrainian economy, are slowly recovering. One of the largest branches of the economy in this country is construction, which, despite political turmoil, is constantly growing, especially in the private real estate development sector. Despite the fact that the construction market is constantly developing, it is limited by the costs of rework and alterations resulting from many reasons. The key negative effects of modifications to the results of the project are exceeding the budget and time of project implementation, dissatisfaction with the project team, violation of contractual requirements and lowering the quality of the final product. Therefore, the purpose of this article was to determine the reasons for the emergence of rework in the in Ukraine by analyzing the results of surveys conducted among construction enterprises.

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Authors and Affiliations

B. Trach
K. Pawluk
M. Lendo-Siwicka
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Abstract

The paper deals with the variability of mechanical properties of EPSTAL steel rods produced in Polish steelworks, i.e. yield stress Re, tensile strength Rm, and elongation Agt. Our study is based on fundamental engineering static room-temperature tensile tests for large series specimens which have been made by manufacturers as the part of a factory quality control. Statistical analysis of these results shows that the stressstrain relationship of steel tensile tests should be described by a one-dimensional stochastic process, and three the most important mechanical parameters, i.e. the yield stress, tensile strength, and elongation by random variables. Based on the statistical elaboration of experimental data, it was found that the yield stress and tensile strength of steel rods produced in the years 2016-2017 had the coefficients of variation of less than 3%, and there is a reasonable basis for the manufacturer to increase the characteristic value of EPSTAL steel rods yield stress by a few percentages.

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Authors and Affiliations

T. Chmielewski
M. Piotrowska
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Abstract

In this Paper, a parametric study on pipes buried in soil was performed illustrating the results of blast loading. Effects of various parameters such as the physical properties of water, oil, gas, air, soil, pipes, and TNT have been investigated. The arbitrary Lagrangian-Eulerian (ALE) method was employed using LS-DYNA software. The maximum pressure in a buried pipe explosive was observed at an angle of about 0° to 45° and the minimum pressure occurred at an angle of about 45° to 90°. Therefore, all figures in this study illustrate that fluid pressure levels in buried pipes can help in their stabilization. In generally, by increasing the 1.23 times of liquid density under the explosion, the pressure levels in the soil decreased by 1.3 percent. The gas pressure has been increasing more than oil and water pipes 39.73 and 40.52 percent, respectively.

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Authors and Affiliations

M. Parvizi
B. Aminnejad
A.R. Fiouz
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Abstract

The approach to numerical analyses was changed by the introduction of Eurocodes . The EN 1993-1-6 standard allows taking into account imperfections on the shape of a buckling form from a linear elastic bifurcation analysis. The article analyses the first ten forms of imperfection from a linear elastic bifurcation analysis on the reduction of the capacity of a cylindrical shell. Calculations were made using finite element methods.

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Authors and Affiliations

K. Schabowicz
Ł. Zawiślak
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Abstract

The compressive strength and water absorption of cement mortars with different water-binder ratio (0.35, 0.45 and 0.55) and fly ash content (0, 10%, 20% and 30%) under water immersion were investigated, and the correlation between them was further analyzed. The internal microstructure and phase composition of mortar was studied by scanning electron microscopy (SEM) and X-ray diffraction (XRD), respectively. The results show that the inside of mortar mixed with fly ash displayed the loose and porous microstructure. Therefore, the incorporation of fly ash reduced the compressive strength of mortar, especially the early strength, and the strength decreased with the increase of fly ash content, and the water absorption of mortar also increased. There was a linear correlation between the compressive strength and water absorption of mortar with the equation: fc = -3.838β + 62.332, where fc and β represented the compressive strength and water absorption, respectively. Therefore, when the water absorption of mortar immersed in water was measured, its corresponding compressive strength could be preliminarily inferred through this equation, which was of great significance for detecting and identifying the stability and safety of hydraulic structures.

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Authors and Affiliations

Qian Huang
Liang Zhao
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Abstract

To study the difference in seismic vulnerability of multiple typical structures in multiple intensity zones, the seismic damage of 7099 buildings of Dujiangyan masonry structure (MS), reinforced concrete structure (RC) and bottom frame seismic wall masonry (BFM) in the 2008 Wenchuan earthquake in China is summarized and analysed. First, a statistical analysis of the data is carried out, the empirical seismic vulnerability matrix and model curves are established by considering the number of storeys, the age and the fortification factors.The vulnerability curves of the cumulative exceeding probability of the empirical seismic damage and the grade of the seismic damage in multiple intensity zones are shown. The mean damage index vulnerability matrix model is proposed and verified using the empirical seismic damage matrix of typical structures.

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Authors and Affiliations

S.Q. Li
T.L. Yu
Y.S. Chen
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Abstract

The paper evaluates the relationship between the selection of the probability density function and the construction price, and the price of the building's life cycle, in relation to the deterministic cost estimate in terms of the minimum, mean, and maximum. The deterministic cost estimates were made based on the minimum, mean, and maximum prices: labor rates, indirect costs, profit, and the cost of equipment and materials. The net construction prices received were given different probability density distributions based on the minimum, mean, and maximum values. Twelve kinds of probability distributions were used: triangular, normal, lognormal, beta pert, gamma, beta, exponential, Laplace, Cauchy, Gumbel, Rayleigh, and uniform. The results of calculations with the event probability from 5 to 95% were subjected to the statistical comparative analysis. The dependencies between the results of calculations were determined, for which different probability density distributions of price factors were assumed. A certain price level was assigned to specific distributions in 6 groups based on the t-test. It was shown that each of the distributions analyzed is suitable for use, however, it has consequences in the form of a final result. The lowest final price is obtained using the gamma distribution, the highest is obtained by the beta distribution, beta pert, normal, and uniform.

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Authors and Affiliations

M. Rogalska
J. Żelazna-Pawlicka
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Abstract

Construction planning always requires labour productivity estimation. Often, in the case of monolithic construction works, the available catalogues of productivity rates do not provide a reliable assessment. The paper deals with the problem of labour estimation for reinforcement works. An appropriate model of labour prediction problem is being introduced. It includes, between others, staff experience and reinforcement buildability. In the paper it is proposed, that labour requirements can be estimated with aggregated classifiers. The work is a continuation of earlier studies, in which the possibility of using classifier ensembles to predict productivity in monolithic works was investigated.

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Authors and Affiliations

A. Krawczyńska-Piechna
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Abstract

Admixtures are commonly used nowadays in the mix composition of concrete. These additions affect concrete properties and performance especially creep deformations. This paper shows the effect of admixtures on creep of concrete. In fact, creep deformations have prejudicial consequences on concrete behaviour; an incorrect or inaccurate prediction leads to undesirable consequences in structures. Therefore, an accurate estimation of these deformations is mandatory. Moreover, design codes do not consider admixtures’ effect while predicting creep deformations, thus it is necessary to develop models that predict accurately creep deformations and consider the effect of admixtures. Using a large experimental database coming from international laboratories and research centres, this study aims to update the Eurocode 2 creep model by considering the type and percentage of admixtures using Bayesian Linear Regression method. The effect of two types of admixtures is presented in this paper; the water reducer and silica fume.

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Authors and Affiliations

E. Zgheib
W. Raphael
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Abstract

Construction work on buildings covered by the revitalization program of historic urban development represents a special type of construction project in which, in the execution phase, difficult technical situations and other risk sources are being encountered. An important source of risk is the necessity to preserve a part of the historic substance, which results, among others, from the recommendations of the conservator, legal regulations or from the vision of the architect/investor. The risk is also associated with difficulties and complications in construction works resulting from the location of these objects in dense urban development. The aim of the article is to identify risk factors and reactions of contractors, i.e. applied risk management methods and techniques, based on the example of a complex of buildings constructed in the historic district of Krakow. The elimination of sources of risk, especially of a technical nature, requires the construction management to be highly skilled and experienced, to carefully prepare the construction work and to design additional solutions to ensure safety at work. The experience gained may serve as a basis for risk analysis and identification during the implementation of projects involving the use of an existing building and historic substance in areas subject to revitalization programs.

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Authors and Affiliations

A. Sobotka
A. Radziejowska

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