Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates

Reducible diffusions (RDs) are nonlinear transformations of analytically solvable Basic Diffusions (BDs). Hence, by construction RDs are analytically tractable and flexible diffusion processes. Existing literature on RDs has mostly focused on time-homogeneous transformations, which to a significant extent fail to explore the full potential of RDs from both theoretical and practical points of view. In this paper, we propose flexible and economically justifiable time variations to the transformations of RDs. Concentrating on the Constant Elasticity Variance (CEV) RDs, we consider nonlinear dynamics for our time-varying transformations with both deterministic and stochastic designs. Such time variations can greatly enhance the flexibility of RDs while maintaining sufficient tractability of the resulting models. In the meantime, our modeling approach enjoys the benefits of classical inferential techniques such as the Maximum Likelihood (ML). Our application to the UK and the US short-term interest rates suggests that from an empirical point of view time-varying transformations are highly relevant and statistically significant. We expect that the proposed models can describe more truthfully the dynamic time-varying behavior of economic and financial variables and potentially improve out-of-sample forecasts significantly.

The long-term impacts of fisheries on epifaunal assemblage function and structure, in a special area of conservation

Fisheries can have profound effects on epifaunal community function and structure. We analysed the results from five dive surveys (1975–1976, 1980, 1983, 2003 and 2007), taken in a Special Area of Conservation, Strangford Lough, Northern Ireland before and after a ten year period of increased trawling activity between 1985 and 1995. There were no detectable differences in the species richness or taxonomic distinctiveness before (1975–1983) and after (2003–2007) this period. However, there was a shift in the epifaunal assemblage between the surveys in 1975–1983 and 2003–2007. In general, the slow-moving, or sessile, erect, filterfeeders were replaced by highly mobile, swimming, scavengers and predators. There were declines in the frequency of the fished bivalve Aequipecten opercularis and the non-fished bivalves Modiolus modiolus and Chlamys varia and some erect sessile invertebrates between the surveys in 1975–1983 and 2003–2007. In contrast, there were increases in the frequency of the fished and reseeded bivalves Pecten maximus and Ostrea edulis, the fished crabs Cancer pagurus and Necora puber and the non-fished sea stars Asterias rubens, Crossaster papposus and Henricia oculata between the surveys in 1975–1983 and 2003–2007. We suggest that these shifts could be directly and indirectly attributed to the long-termimpacts of trawl fishing gear, although increases in the supply of discarded bait and influxes of sediment may also have contributed to changes in the frequency of some taxa. These results suggest that despite their limitations, historical surveys and repeat sampling over long periods can help to elucidate the inferred patterns in the epifaunal community. The use of commercial fishing gear was banned from two areas in Strangford Lough in 2011, making it a model ecosystem for assessing the long-term recovery of the epifaunal community from the impacts of mobile and pot fishing gear.

Modeled structure of the whole regulator G-protein signaling-2

There is an increasing interest towards the mechanism by which regulators of G-protein signaling regulate signals of G-protein-coupled receptors. RGS2 is a regulator of Gq protein signaling (RGS), the N-terminal region of which is known to contain determinants for G protein-coupled receptor recognition, but its structure is still unknown. To understand the molecular basis for this recognition, the three-dimensional model of RGS2, including N-terminal region and RGS box, was modeled. For this, RGS4 box structure and data from circular dichroism study of RGS2 N-terminal region were used. Then, membrane-targeting activity of the RGS2 amphipathic helix contained in the N-terminal region was investigated. Furthermore, in cellulo study provided first evidence that an internal sequence within the N-terminal region of RGS2 is involved in RGS2 regulation of cholecystokinin receptor-2 signal. RGS2 modeled structure can now serve to study molecular recognition of RGS2 by signaling molecules. © 2006 Elsevier Inc. All rights reserved.

Evidence That Interspecies Polymorphism in the Human and Rat Cholecystokinin Receptor-2 Affects Structure of the Binding Site for the Endogenous Agonist Cholecystokinin

The cholecystokinin (CCK) receptor-2 exerts very important central and peripheral functions by binding the neuropeptides cholecystokinin or gastrin. Because this receptor is a potential therapeutic target, great interest has been devoted to the identification of efficient antagonists. However, interspecies genetic polymorphism that does not alter cholecystokinin-induced signaling was shown to markedly affect activity of synthetic ligands. In this context, precise structural study of the agonist binding site on the human cholecystokinin receptor-2 is a prerequisite to elucidating the molecular basis for its activation and to optimizing properties of synthetic ligands. In this study, using site-directed mutagenesis and molecular modeling, we delineated the binding site for CCK on the human cholecystokinin receptor-2 by mutating amino acids corresponding to that of the rat homolog. By doing so, we demonstrated that, although resembling that of rat homolog, the human cholecystokinin receptor-2 binding site also displays important distinct structural features that were demonstrated by susceptibility to several point mutations (F120A, Y189A, H207A). Furthermore, docking of CCK in the human and rat cholecystokinin receptor-2, followed by dynamic simulations, allowed us to propose a plausible structural explanation of the experimentally observed difference between rat and human cholecystokinin-2 receptors.

Micro-environmental change as a trigger for granite decay in offshore Irish lighthouses: implications for the long-term preservation of operational historic buildings.

Following automation of lighthouses around the coastline of Ireland, reports of accelerated deterioration of interior granite stonework have increased significantly with an associated deterioration in the historic structure and rise in related maintenance costs. Decay of granite stone- work primarily occurs through granular disintegration with the effective grusification of granite surfaces. A decay gradient exists within the towers whereby the condition of granite in the lower levels is much worse than elsewhere. The lower tower levels are also regions with highest rela- tive humidity values and greatest salt concentrations. Data indicate that post-automation decay may have been trig- gered by a change in micro-environmental conditions within the towers associated with increased episodes of condensation on stone surfaces. This in turn appears to have facilitated deposition and accumulation of hygro- scopic salts (e.g. NaCl) giving rise to widespread evidence of deliquescence in the lower tower levels. Evidence indicates that the main factors contributing to accelerated deterioration of interior granite stonework are changes in micro-environmental conditions, salt weathering, chemical weathering through the corrosive effect of strongly alkaline conditions on alumino-silicate minerals within the granite and finally, the mica-rich characteristics of the granite itself which increases its structural and chemical susceptibility to subaerial weathering processes by creating points of weakness within the granite. This case study demonstrates how seemingly minor changes in micro-environmental conditions can unintentionally trigger the rapid and extensive deterioration of a previously stable rock type and threaten the long-term future of nationally iconic opera- tional historic structures.

Simultaneous, long-term monitoring of valve and cardiac activity in the blue mussel Mytilus edulis exposed to copper

Valve and cardiac activity were simultaneously measured in the blue mussel (Mytilus edulis) in response to 10 d copper exposure. Valve movements, heart rates and heart-rate variability were obtained non-invasively using a Musselmonitor(R) (valve activity) and a modified version of the Computer-Aided Physiological Monitoring system (CAPMON; cardiac activity). After 2 d exposure of mussels (4 individuals per treatment group) to a range of dissolved copper concentrations (0 to 12.5 mu M as CuCl2) median valve positions (% open) and median heart rates (beats per minute) declined as a function of copper concentration. Heart-rate variability (coefficient of variation for interpulse durations) rose in a concentration-dependent manner. The 48 h EC50 values (concentrations of copper causing 50% change) for valve positions, heart rates and heart-rate variability were 2.1, 0.8, and 0.06 mu M, respectively. Valve activity was weakly correlated with both heart rate (r = 0.48 +/- 0.02) and heart-rate variability (r = 0.32 +/- 0.06) for control individuals (0 mu M Cu2+). This resulted from a number of short enclosure events that did not coincide with a change in cardiac activity. Exposure of mussels to increasing copper concentrations (greater than or equal to 0.8 mu M) progressively reduced the correlation between valve activity and heart rates (r = 0 for individuals dosed with greater than or equal to 6.3 mu M Cu2+), while correlations between valve activity and heart-rate variability were unaffected. The poor correlations resulted from periods of valve flapping that were not mimicked by similar fluctuations in heart rate or heart-rate variability. The data suggest that the copper-induced bradycardia observed in mussels is not a consequence of prolonged valve closure.

ISOLATION AND PRIMARY STRUCTURE OF A NOVEL AVIAN PANCREATIC-POLYPEPTIDE FROM 5 SPECIES OF EURASIAN CROW

Chicken pancreatic polypeptide is the prototype of the neuropeptide Y (NPY)/PP superfamily of regulatory peptides. This polypeptide was appended the descriptive term avian, despite the presence of some 8600 extant species of bird. Additional primary structures from other avian species, including turkey, goose and ostrich, would suggest that the primary structure of this polypeptide has been highly-conserved during avian evolution. Avian pancreatic polypeptides structurally-characterised to date have distinctive primary structural features unique to this vertebrate group including an N-terminal glycyl residue and a histidyl residue at position 34. The crow family, Corvidae, is representative of the order Passeriformes, generally regarded as the most evolutionarily recent and diverse avian taxon. Pancreatic polypeptide has been isolated from pancreatic tissues from five representative Eurasian species (the magpie, Pica pica; the jay, Garrulus glandarius; the hooded crow, Corvus corone; the rook, Corvus frugilegus; the jackdaw, Corvus monedula) and subjected to structural analyses. Mass spectroscopy estimated the molecular mass of each peptide as 4166 +/- 2 Da. The entire primary structures of 36 amino acid residue peptides were established in single gas-phase sequencing runs. The primary structures of pancreatic polypeptides from all species investigated were identical: APAQPAYPGDDAPVEDLLR-FYNDLQQYLNVVTRPRY. The peptides were deemed to be amidated due to their full molar cross-reactivity with the amide-requiring PP antiserum employed. The molecular mass (4165.6 Da), calculated from the sequences, was in close agreement with mass spectroscopy estimates. The presence of an N-terminal alanyl residue and a prolyl residue at position 34 differentiates crow PP from counterparts in other avian species. These residues are analogous to those found in most mammalian analogues. These data suggest that the term avian, appended to the chicken peptide, is no longer tenable due to the presence of an Ala1, Pro34 peptide in five species from the largest avian order. These data might also suggest that, in keeping with the known structure/activity requirements of this peptide family, crow PP should interact identically to mammalian analogues on mammalian receptors.

The geometry and ionization structure of the wind in the eclipsing nova-like variables RW Tri and UX UMa

The UV spectra of nova-like variables are dominated by emission from the accretion disk, modified by scattering in a wind emanating from the disk. Here, we model the spectra of RW Tri and UX UMa, the only two eclipsing nova-like variables which have been observed with the Hubble Space Telescope in the far-ultraviolet, in an attempt to constrain the geometry and the ionization structure of their winds. Using our Monte Carlo radiative transfer code, we computed spectra for simply parameterized axisymmetric biconical outflow models and were able to find plausible models for both systems. These reproduce the primary UV resonance lines-N v, Si iv, and C iv-in the observed spectra in and out of eclipse. The distribution of these ions in the wind models is similar in both cases as is the extent of the primary scattering regions in which these lines are formed. The inferred mass-loss rates are 6%-8% of the mass accretion rates for the systems. We discuss the implication of our point models for our understanding of accretion disk winds in cataclysmic variables. © 2010. The American Astronomical Society. All rights reserved.

Calculated and observed long term performance of Leneghans embankment

This paper presents the finite element (FE) analysis of the consolidation of the foundation of an embankment constructed over soft clay deposit which shows significant time dependent behaviour and was improved with prefabricated vertical drains. To assess the capability of a simple elastic viscoplastic (EVP) model to predict the long term performance of a geotechnical structure constructed on soft soils, a well documented (Leneghans) embankment was analyzed to predict its long term behaviour characteristics. Two fully coupled two dimensional (2D) plane strain FE analyses have been carried out. In one of these, the foundation of the embankment was modelled with a relatively simpler time dependent EVP model and in the other one, for comparison purposes, the foundation soil was modelled with elasto-plastic Modified Cam-clay (MCC) model. Details of the analyses and the results are discussed in comparison with the field performance. Predictions from the creep (EVP) model were found to be better than those from Elasto-plastic (MCC) analysis. However, the creep analysis requires an additional parameter and additional computational time and resources. © 2011 Taylor & Francis.

Effect of geosynthetic reinforcement creep on the long term performance of an embankment

Geo-synthetic reinforcements are often used to enhance the stability of geotechnical structures such as embankments. These geosynthetic polymers often show significant creep deformational behaviour. In the short-term performance of a geotechnical structure, it may not play a significant role. However, while dealing with the long term behaviour, it is necessary to investigate its effect. In this paper two plane strain fully coupled finite element analysis have been conducted; one with and the other without taking into account of the creep behaviour of geosynthetics. A well documented field case of Leneghans embankment (Geogrid improved wide embankment constructed near Sydney, Australia in 1990s) have been used for this purpose. It is evident from the analyses that though the geosynthetic reinforcements may play a vital role in the performance/stability of an embankment in the early days (during and after construction), its contribution may become insignificant with time and the creep of geo-synthetic may not play a significant role in the long term stability. © 2012 American Society of Civil Engineers.

The internal structure of asteroid (25143) Itokawa as revealed by detection of YORP spin-up *’**

Context. Near-Earth asteroid (25143) Itokawa was visited by the Hayabusa spacecraft in 2005, resulting in a highly detailed shape and surface topography model. This model has led to several predictions for the expected radiative torques on this asteroid, suggesting that its spin rate should be decelerating. Aims. To detect changes in rotation rate that may be due to YORP-induced radiative torques, which in turn may be used to investigate the interior structure of the asteroid. Methods. Through an observational survey spanning 2001 to 2013 we obtained rotational lightcurve data at various times over the last five close Earth-approaches of the asteroid. We applied a polyhedron-shape-modelling technique to assess the spin-state of the asteroid and its long term evolution. We also applied a detailed thermophysical analysis to the shape model determined from the Hayabusa spacecraft. Results. We have successfully measured an acceleration in Itokawa's spin rate of dω/dt = (3.54 ± 0.38) × 10 rad day, equivalent to a decrease of its rotation period of ~45 ms year. From the thermophysical analysis we find that the centre-of-mass for Itokawa must be shifted by ~21 m along the long-axis of the asteroid to reconcile the observed YORP strength with theory. Conclusions. This can be explained if Itokawa is composed of two separate bodies with very different bulk densities of 1750 ± 110 kg m and 2850 ± 500 kg m, and was formed from the merger of two separate bodies, either in the aftermath of a catastrophic disruption of a larger differentiated body, or from the collapse of a binary system. We therefore demonstrate that an observational measurement of radiative torques, when combined with a detailed shape model, can provide insight into the interior structure of an asteroid. Futhermore, this is the first measurement of density inhomogeneity within an asteroidal body, that reveals significant internal structure variation. A specialised spacecraft is normally required for this.

Any versus long-term prescribing of high risk medications in older people using 2012 Beers Criteria: results from three cross-sectional samples of primary care records for 2003/4, 2007/8 and 2011/12

Background: High risk medications are commonly prescribed to older US patients. Currently, less is known about high risk medication prescribing in other Western Countries, including the UK. We measured trends and correlates of high risk medication prescribing in a subset of the older UK population (community/institutionalized) to inform harm minimization efforts. Methods: Three cross-sectional samples from primary care electronic clinical records (UK Clinical Practice Research Datalink, CPRD) in fiscal years 2003/04, 2007/08 and 2011/12 were taken. This yielded a sample of 13,900 people aged 65 years or over from 504 UK general practices. High risk medications were defined by 2012 Beers Criteria adapted for the UK. Using descriptive statistical methods and regression modelling, prevalence of ‘any’ (drugs prescribed at least once per year) and ‘long-term’ (drugs prescribed all quarters of year) high risk medication prescribing and correlates were determined. Results: While polypharmacy rates have risen sharply, high risk medication prevalence has remained stable across a decade. A third of older (65+) people are exposed to high risk medications, but only half of the total prevalence was long-term (any = 38.4 % [95 % CI: 36.3, 40.5]; long-term = 17.4 % [15.9, 19.9] in 2011/12). Long-term but not any high risk medication exposure was associated with older ages (85 years or over). Women and people with higher polypharmacy burden were at greater risk of exposure; lower socio-economic status was not associated. Ten drugs/drug classes accounted for most of high risk medication prescribing in 2011/12. Conclusions: High risk medication prescribing has not increased over time against a background of increasing polypharmacy in the UK. Half of patients receiving high risk medications do so for less than a year. Reducing or optimising the use of a limited number of drugs could dramatically reduce high risk medications in older people. Further research is needed to investigate why the oldest old and women are at greater risk. Interventions to reduce high risk medications may need to target shorter and long-term use separately.