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

The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market

Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2 weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market. We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms.

New insights into Crustal Contributions to Large-volume Rhyolite Generation in the Mid-Tertiary Sierra Madre Occidental Province, Mexico, revealed by U Pb Geochronology

Voluminous (≥3·9 × 105 km3), prolonged (∼18 Myr) explosive silicic volcanism makes the mid-Tertiary Sierra Madre Occidental province of Mexico one of the largest intact silicic volcanic provinces known. Previous models have proposed an assimilation–fractional crystallization origin for the rhyolites involving closed-system fractional crystallization from crustally contaminated andesitic parental magmas, with <20% crustal contributions. The lack of isotopic variation among the lower crustal xenoliths inferred to represent the crustal contaminants and coeval Sierra Madre Occidental rhyolite and basaltic andesite to andesite volcanic rocks has constrained interpretations for larger crustal contributions. Here, we use zircon age populations as probes to assess crustal involvement in Sierra Madre Occidental silicic magmatism. Laser ablation-inductively coupled plasma-mass spectrometry analyses of zircons from rhyolitic ignimbrites from the northeastern and southwestern sectors of the province yield U–Pb ages that show significant age discrepancies of 1–4 Myr compared with previously determined K/Ar and 40Ar/39Ar ages from the same ignimbrites; the age differences are greater than the errors attributable to analytical uncertainty. Zircon xenocrysts with new overgrowths in the Late Eocene to earliest Oligocene rhyolite ignimbrites from the northeastern sector provide direct evidence for some involvement of Proterozoic crustal materials, and, potentially more importantly, the derivation of zircon from Mesozoic and Eocene age, isotopically primitive, subduction-related igneous basement. The youngest rhyolitic ignimbrites from the southwestern sector show even stronger evidence for inheritance in the age spectra, but lack old inherited zircon (i.e. Eocene or older). Instead, these Early Miocene ignimbrites are dominated by antecrystic zircons, representing >33 to ∼100% of the dated population; most antecrysts range in age between ∼20 and 32 Ma. A sub-population of the antecrystic zircons is chemically distinct in terms of their high U (>1000 ppm to 1·3 wt %) and heavy REE contents; these are not present in the Oligocene ignimbrites in the northeastern sector of the Sierra Madre Occidental. The combination of antecryst zircon U–Pb ages and chemistry suggests that much of the zircon in the youngest rhyolites was derived by remelting of partially molten to solidified igneous rocks formed during preceding phases of Sierra Madre Occidental volcanism. Strong Zr undersaturation, and estimations for very rapid dissolution rates of entrained zircons, preclude coeval mafic magmas being parental to the rhyolite magmas by a process of lower crustal assimilation followed by closed-system crystal fractionation as interpreted in previous studies of the Sierra Madre Occidental rhyolites. Mafic magmas were more probably important in providing a long-lived heat and material flux into the crust, resulting in the remelting and recycling of older crust and newly formed igneous materials related to Sierra Madre Occidental magmatism.

Nonlinear analysis for the pre- and post-yield behaviour of a composite structure with the refined plastic hinge approach

The computational technique of the full ranges of the second-order inelastic behaviour evaluation of steel-concrete composite structure is not always sought forgivingly, and therefore it hinders the development and application of the performance-based design approach for the composite structure. To this end, this paper addresses of the advanced computational technique of the higher-order element with the refined plastic hinges to capture the all-ranges behaviour of an entire steel-concrete composite structure. Moreover, this paper presents the efficient and economical cross-section analysis to evaluate the element section capacity of the non-uniform and arbitrary composite section subjected to the axial and bending interaction. Based on the same single algorithm, it can accurately and effectively evaluate nearly continuous interaction capacity curve from decompression to pure bending technically, which is the important capacity range but highly nonlinear. Hence, this cross-section analysis provides the simple but unique algorithm for the design approach. In summary, the present nonlinear computational technique can simulate both material and geometric nonlinearities of the composite structure in the accurate, efficient and reliable fashion, including partial shear connection and gradual yielding at pre-yield stage, plasticity and strain-hardening effect due to axial and bending interaction at post-yield stage, loading redistribution, second-order P-δ and P-Δ effect, and also the stiffness and strength deterioration. And because of its reliable and accurate behavioural evaluation, the present technique can be extended for the design of the high-strength composite structure and potentially for the fibre-reinforced concrete structure.

Genetic studies of body mass index yield new insights for obesity biology

Obesity is heritable and predisposes to many diseases. To understand the genetic basis of obesity better, here we conduct a genome-wide association study and Metabochip meta-analysis of body mass index (BMI), a measure commonly used to define obesity and assess adiposity, in up to 339,224 individuals. This analysis identifies 97 BMI-associated loci (P < 5 × 10−8), 56 of which are novel. Five loci demonstrate clear evidence of several independent association signals, and many loci have significant effects on other metabolic phenotypes. The 97 loci account for ~2.7% of BMI variation, and genome-wide estimates suggest that common variation accounts for >20% of BMI variation. Pathway analyses provide strong support for a role of the central nervous system in obesity susceptibility and implicate new genes and pathways, including those related to synaptic function, glutamate signalling, insulin secretion/action, energy metabolism, lipid biology and adipogenesis.

Appendiceal sonography in children: A retrospective analysis as a platform for potential implementation of diagnostic categories

- Background Sonography is an important diagnostic tool in children with suspected appendicitis. Reported accuracy and appendiceal visualisation rates vary significantly, as does the management of equivocal ultrasound findings. The aim of this study was to audit appendiceal sonography at a tertiary children's hospital, and provide baseline data for a future prospective study. - Summary of work Records of children who underwent ultrasound studies for possible appendicitis between January 2008 and December 2010 were reviewed. Variables included patient demographics, sonographic appendix characteristics, and secondary signs. Descriptive statistics and analysis using ANOVA, Mann-Whitney U test, and ROC curves were performed. Mater Human Research Ethic Committee approval was granted. - Summary of results There were 457 eligible children. Using a dichotomous diagnostic model (including equivocal results), sensitivity was 89.6%, specificity 91.6%, and diagnostic yield of 40.7%. ROC curve analysis of a 6mm diameter cut-off was 0.88 AUC (95% CI 0.80 to 0.95). - Discussion and conclusions Sonography is an accurate test for acute appendicitis in children, with a high sensitivity and negative predictive value. A diameter of 6mm as an absolute cut-off in a binary model can lead to false findings. Results were compared with available literature. Recent publications propose categorising diameter1 and integrating secondary signs2 to improve accuracy and provide more meaningful results to clinicians. This study will be a benchmark for future studies with multiple diagnostic categorisation.