115 resultados para Zero-coupon yield curve
em Queensland University of Technology - ePrints Archive
Resumo:
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.
Resumo:
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
Resumo:
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.
Resumo:
Nanoindentation is a useful technique for probing the mechanical properties of bone, and finite element (FE) modeling of the indentation allows inverse determination of elasto-plastic constitutive properties. However, FE simulations to date have assumed frictionless contact between indenter and bone. The aim of this study was to explore the effect of friction in simulations of bone nanoindentation. Two dimensional axisymmetric FE simulations were performed using a spheroconical indenter of tip radius 0.6m and angle 90°. The coefficient of friction between indenter and bone was varied between 0.0 (frictionless) and 0.3. Isotropic linear elasticity was used in all simulations, with bone elastic modulus E=13.56GPa and Poisson’s ratio =0.3. Plasticity was incorporated using both Drucker-Prager and von Mises yield surfaces. Friction had a modest effect on the predicted force-indentation curve for both von Mises and Drucker-Prager plasticity, reducing maximum indenter displacement by 10% and 20% respectively as friction coefficient was increased from zero to 0.3 (at a maximum indenter force of 5mN). However, friction has a much greater effect on predicted pile-up after indentation, reducing predicted pile-up from 0.27m to 0.11m with a von Mises model, and from 0.09m to 0.02m with Drucker-Prager plasticity. We conclude that it is important to include friction in nanoindentation simulations of bone.
Resumo:
Nanoindentation is a useful technique for probing the mechanical properties of bone, and finite element (FE) modeling of the indentation allows inverse determination of elasto-plastic constitutive properties. However, all but one FE study to date have assumed frictionless contact between indenter and bone. The aim of this study was to explore the effect of friction in simulations of bone nanoindentation. Two dimensional axisymmetric FE simulations were performed using a spheroconical indenter of tip radius 0.6 m and angle 90°. The coefficient of friction between indenter and bone was varied between 0.0 (frictionless) and 0.3. Isotropic linear elasticity was used in all simulations, with bone elastic modulus E=13.56GPa and Poisson‟s ratio f 0.3. Plasticity was incorporated using both Drucker-Prager and von Mises yield surfaces. Friction had a modest effect on the predicted force-indentation curve for both von Mises and Drucker-Prager plasticity, reducing maximum indenter displacement by 10% and 20% respectively as friction coefficient was increased from zero to 0.3 (at a maximum indenter force of 5mN). However, friction has a much greater effect on predicted pile-up after indentation, reducing predicted pile-up from 0.27 to 0.11 m with a von Mises model, and from 0.09 to 0.02 m with Drucker-Prager plasticity. We conclude that it is potentially important to include friction in nanoindentation simulations of bone if pile-up is used to compare simulation results with experiment.
Resumo:
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.