Yield-factor volatility models

The term structure of interest rates is often summarized using a handful of yield factors that capture shifts in the shape of the yield curve. In this paper, we develop a comprehensive model for volatility dynamics in the level, slope, and curvature of the yield curve that simultaneously includes level and GARCH effects along with regime shifts. We show that the level of the short rate is useful in modeling the volatility of the three yield factors and that there are significant GARCH effects present even after including a level effect. Further, we find that allowing for regime shifts in the factor volatilities dramatically improves the model’s fit and strengthens the level effect. We also show that a regime-switching model with level and GARCH effects provides the best out-of-sample forecasting performance of yield volatility. We argue that the auxiliary models often used to estimate term structure models with simulation-based estimation techniques should be consistent with the main features of the yield curve that are identified by our model.

An empirical investigation of the level effect in Australian interest rates

An extensive literature examines the dynamics of interest rates, with particular attention given to the positive relationship between interest-rate volatility and the level of interest rates—the so-called level effect. This paper examines the interaction between the estimated level effect and competing parameterisations of interest-rate volatility for the Australian yield curve. We adopt a new methodology that estimates elasticity in a multivariate setting that explicitly accommodates the correlations that exist between various yield factors. Results show that significant correlations exist between the residuals of yield factors and that such correlations do indeed impact on model estimates. Within the multivariate setting, the level of the short rate is shown to be a crucial determinant of the conditional volatility of all three yield factors. Measures of model fit suggest that, in addition to the usual level effect, the incorporation of GARCH effects and possible regime shifts is important

Financial Markets, Institutions and Money [3rd ed.]

"The financial system is a key influencer of the health and efficiency of an economy. The role of the financial system is to gather money from people and businesses that currently have more money than they need and transfer it to those that can use it for either business or consumer expenditures. This flow of funds through financial markets and institutions in the Australian economy is huge (in the billions of dollars), affecting business profits, the rate of inflation, interest rates and the production of goods and services. In general, the larger the flow of funds and the more efficient the financial system, the greater the economic output and welfare in the economy. It is not possible to have a modern, complex economy such as that in Australia, without an efficient and sound financial system. The global financial crisis (GFC) of late 2007–09 (and the ensuing European debt crisis), where the global financial market was on the brink of collapse with only significant government intervention stopping a catastrophic global failure of the market, illustrated the importance of the financial system. Financial Markets, Institutions and Money 3rd edition introduces students to the financial system, its operations, and participants. The text offers a fresh, succinct analysis of the financial markets and discusses how the many participants in the financial system interrelate. This includes coverage of regulators, regulations and the role of the Reserve Bank of Australia, that ensure the system’s smooth running, which is essential to a modern economy. The text has been significantly revised to take into account changes in the financial world."---publisher website Table of Contents 1. The financial system - an overview 2. The Monetary Authorities 3. The Reserve Bank of Australia and interest rates 4. The level of interest rates 5. Mathematics of finance 6. Bond Prices and interest rate risk 7. The Structure of Interest Rates 8. Money Markets 9. Bond Markets 10. Equity Markets

Capitalisation of interest on short term loan “irreconcilable with what is right”

Higher than usual rates of interest charged by lenders on short term loans is not of itself considered to be a penalty or evidence of unconscionable conduct. These types of lenders often charge higher rates to take account of increased losses from higher than usual defaults by borrowers.

Long-term assessment of efficacy of permeable pond covers for odour reduction

Three anaerobic ponds used to store and treat piggery wastes were fully covered with permeable materials manufactured from polypropylene geofabric, polyethylene shade cloth and supported straw. The covers were assessed in terms of efficacy in reducing odour emission rates over a 40-month period. Odour samples were collected from the surface of the covers, the surface of the exposed liquor and from the surface of an uncovered (control) pond at one of the piggeries. Relative to the emission rate of the exposed liquor at each pond, the polypropylene, shade cloth and straw covers reduced average emission rates by 76%, 69% and 66% respectively. At the piggery with an uncovered control pond, the polypropylene covers reduced average odour emission rates by 50% and 41% respectively. A plausible hypothesis, consistent with likely mechanisms for the odour reduction and the olfactometric method used to quantifying the efficacy of the covers, is offered.

The effects of habitat fragmentation on the demography and population genetic structure of Uromys Caudimaculatus

Habitat fragmentation can have an impact on a wide variety of biological processes including abundance, life history strategies, mating system, inbreeding and genetic diversity levels of individual species. Although fragmented populations have received much attention, ecological and genetic responses of species to fragmentation have still not been fully resolved. The current study investigated the ecological factors that may influence the demographic and genetic structure of the giant white-tailed rat (Uromys caudimaculatus) within fragmented tropical rainforests. It is the first study to examine relationships between food resources, vegetation attributes and Uromys demography in a quantitative manner. Giant white-tailed rat densities were strongly correlated with specific suites of food resources rather than forest structure or other factors linked to fragmentation (i.e. fragment size). Several demographic parameters including the density of resident adults and juvenile recruitment showed similar patterns. Although data were limited, high quality food resources appear to initiate breeding in female Uromys. Where data were sufficient, influx of juveniles was significantly related to the density of high quality food resources that had fallen in the previous three months. Thus, availability of high quality food resources appear to be more important than either vegetation structure or fragment size in influencing giant white-tailed rat demography. These results support the suggestion that a species’ response to fragmentation can be related to their specific habitat requirements and can vary in response to local ecological conditions. In contrast to demographic data, genetic data revealed a significant negative effect of habitat fragmentation on genetic diversity and effective population size in U. caudimaculatus. All three fragments showed lower levels of allelic richness, number of private alleles and expected heterozygosity compared with the unfragmented continuous rainforest site. Populations at all sites were significantly differentiated, suggesting restricted among population gene flow. The combined effects of reduced genetic diversity, lower effective population size and restricted gene flow suggest that long-term viability of small fragmented populations may be at risk, unless effective management is employed in the future. A diverse range of genetic reproductive behaviours and sex-biased dispersal patterns were evident within U. caudimaculatus populations. Genetic paternity analyses revealed that the major mating system in U. caudimaculatus appeared to be polygyny at sites P1, P3 and C1. Evidence of genetic monogamy, however, was also found in the three fragmented sites, and was the dominant mating system in the remaining low density, small fragment (P2). High variability in reproductive skew and reproductive success was also found but was less pronounced when only resident Uromys were considered. Male body condition predicted which males sired offspring, however, neither body condition nor heterozygosity levels were accurate predictors of the number of offspring assigned to individual males or females. Genetic spatial autocorrelation analyses provided evidence for increased philopatry among females at site P1, but increased philopatry among males at site P3. This suggests that male-biased dispersal occurs at site P1 and female-biased dispersal at site P3, implying that in addition to mating systems, Uromys may also be able to adjust their dispersal behaviour to suit local ecological conditions. This study highlights the importance of examining the mechanisms that underlie population-level responses to habitat fragmentation using a combined ecological and genetic approach. The ecological data suggested that habitat quality (i.e. high quality food resources) rather than habitat quantity (i.e. fragment size) was relatively more important in influencing giant white-tailed rat demographics, at least for the populations studied here . Conversely, genetic data showed strong evidence that Uromys populations were affected adversely by habitat fragmentation and that management of isolated populations may be required for long-term viability of populations within isolated rainforest fragments.

Labor market reform and the changing structure of wage determination in China's state sector during the 1980s

China's market-oriented labor market reform has been in place for about one and a half decades. This study uses individual data for 1981 and 1987 to examine the success of the first half of the reform program. Success is evaluated by examining changes in the wage setting structure in the state-owned sector over the reform period. Have the market reforms stimulated worker incentives by increasing the returns to human capital acquisition? Has the wage structure altered to more closely mimic that of a market economy? In 1987, there is evidence of a structural change in the system of wage determination, with slightly increased rates of return to human capital. However, changes in industrial wage differentials appear to play the dominant role. It is argued that this may be due to labor market reforms, in particular the introduction of the profit related bonus scheme.J. Comp. Econom.,December 1997,25(3), pp. 403–421. Australian National University, Canberra, ACT0200, Australia and University of Tasmania, Hobart, Tasmania, Australia, and University of Aberdeen, Old Aberdeen, Scotland AB24 3QY.

Solid-state structure of some substituted hexahydro-1,4:5,8-diepoxy­naphthalenes

The structure of several carboxy-substituted hexahydro-1,4:5,8-diepoxynaphthalenes have been solved with X-ray crystallography, in some cases confirming previously contentious structures. The compounds of interest are constructed in efficient one-step 2 × [4+2] cycloaddition reactions from furan and acetylene carboxylate derivatives.

Time to face the fats : What can mass spectrometry reveal about the structure of lipids and their interactions with proteins?

Since the 1950s, X-ray crystallography has been the mainstay of structural biology, providing detailed atomic-level structures that continue to revolutionize our understanding of protein function. From recent advances in this discipline, a picture has emerged of intimate and specific interactions between lipids and proteins that has driven renewed interest in the structure of lipids themselves and raised intriguing questions as to the specificity and stoichiometry in lipid-protein complexes. Herein we demonstrate some of the limitations of crystallography in resolving critical structural features of ligated lipids and thus determining how these motifs impact protein binding. As a consequence, mass spectrometry must play an important and complementary role in unraveling the complexities of lipid-protein interactions. We evaluate recent advances and highlight ongoing challenges towards the twin goals of (1) complete structure elucidation of low, abundant, and structurally diverse lipids by mass spectrometry alone, and (2) assignment of stoichiometry and specificity of lipid interactions within protein complexes.

The short-term impact of curative colorectal cancer treatment on physical activity, functional status and quality of life: A systematic review protocol

REVIEW QUESTION/OBJECTIVE The quantitative objectives are to identify the impact of curative colorectal cancer treatment (surgery or adjuvant therapy) on physical activity, functional status and quality of life within one year of treatment or diagnosis. INCLUSION CRITERIA Types of participants: This review will consider studies that include individuals aged 18 years and over who have been diagnosed with colorectal cancer. Types of intervention(s)/phenomena of interest: This review will consider studies that evaluate the impact of curative colorectal cancer treatment: surgery and/or adjuvant therapy. Types of outcomes: This review will consider studies that include the following outcome measures assessed within one year of diagnosis or treatment: Physical activity - any bodily movement produced by skeletal muscles resulting in energy expenditure. Physical activity is not exclusive to exercise; activities can also be walking, housework, occupational or leisure. Physical activity can be measured objectively using pedometers or accelerometers, or subjectively using self-reported measures. Functional status – measured as the capacity to perform all activities of daily living such as walking, showering, and eating; and instrumental activities of daily living such as (but not limited to) grocery shopping, housekeeping and laundry. Quality of life – defined as the individual meaning of mental, physical and psychosocial wellbeing, as measured by validated tools such as SF-36, EORTC-QLQ-C30, or FACT-C.

Impact of automatic region-of-interest coding on perceived quality in mobile video

At present, the most reliable method to obtain end-user perceived quality is through subjective tests. In this paper, the impact of automatic region-of-interest (ROI) coding on perceived quality of mobile video is investigated. The evidence, which is based on perceptual comparison analysis, shows that the coding strategy improves perceptual quality. This is particularly true in low bit rate situations. The ROI detection method used in this paper is based on two approaches: - (1) automatic ROI by analyzing the visual contents automatically, and; - (2) eye-tracking based ROI by aggregating eye-tracking data across many users, used to both evaluate the accuracy of automatic ROI detection and the subjective quality of automatic ROI encoded video. The perceptual comparison analysis is based on subjective assessments with 54 participants, across different content types, screen resolutions, and target bit rates while comparing the two ROI detection methods. The results from the user study demonstrate that ROI-based video encoding has higher perceived quality compared to normal video encoded at a similar bit rate, particularly in the lower bit rate range.

New dimeric supramolecular structure of mixed (phthalocyaninato)(porphyrinato)-europium(III) sandwiches : preparation and spectroscopic characteristics

The mixed double-decker Eu\[Pc(15C5)4](TPP) (1) was obtained by base-catalysed tetramerisation of 4,5-dicyanobenzo-15-crown-5 using the half-sandwich complex Eu(TPP)(acac) (acac = acetylacetonate), generated in situ, as the template. For comparative studies, the mixed triple-decker complexes Eu2\[Pc(15C5)4](TPP)2 (2) and Eu2\[Pc(15C5)4]2(TPP) (3) were also synthesised by the raise-by-one-story method. These mixed ring sandwich complexes were characterised by various spectroscopic methods. Up to four one-electron oxidations and two one-electron reductions were revealed by cyclic voltammetry (CV) and differential pulse voltammetry (DPV). As shown by electronic absorption and infrared spectroscopy, supramolecular dimers (SM1 and SM3) were formed from the corresponding double-decker 1 and triple-decker 3 in the presence of potassium ions in MeOH/CHCl3.