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.

Testing of a novel flexible concrete arch system

This paper describes the testing of a novel flexible masonry concrete arch system which requires no centering in the construction phase or steel reinforcement in the long-term. The arch is constructed from a 'flat pack' system by use of a polymer reinforcement for supporting the self-weight of the concrete voussoirs and behaves as a masonry arch once in the arch form. The paper outlines the construction of a prototype arch and load testing of the backfilled arch ring. Some comparisons to the results from analysis software have been made. The arch had a load carrying capacity far in excess of the current Highways Agency (United Kingdom) design wheel loads.

FLEXIBLE OMNIVORY IN DIKEROGAMMARUS VILLOSUS (SOWINSKY, 1894) (AMPHIPODA) - AMPHIPOD PILOT SPECIES PROJECT (AMPIS) REPORT 5

Feeding in Dikerogammarus villosus (Sowinsky, 1894) males was observed in the field and recorded on video in the laboratory. The following feeding modes were recognized: detritus feeding, grazing, particle feeding, coprophagy, predation on benthic and free swimming invertebrates, predation on fish eggs and larvae, as well as feeding on byssus threads of the zebra mussel, Dreissena polymorpha (Pallas, 1771). The feeding methods are described and illustrated with screenshots of video recordings. The very flexible feeding modes of D. villosus, which make diet switches possible, form a trait that must be an important factor in the invasion success of this Ponto-Caspian gammaridean species, and may thus explain for a great deal its high ecosystem impact.

Ring-opening polymerisation of silver-diphosphine [M2L3] coordination cages to give [M2L3](infinity) coordination polymers

[M2L3] coordination cages and linear [M2L3]infinity polymers of the rigid, bridging diphosphines bis(diphenylphosphino)acetylene (dppa) and trans-1,2-bis(diphenylphosphino)ethylene (dppet) with silver(I) salts have been investigated in the solution and solid states. Unlike flexible diphosphines, 1:1 dppa/AgX mixtures do not selectively form discrete [Ag2(diphos)2(X)2] macrocycles; instead dynamic mixtures of one-, two- and three-coordinate complexes are formed. However, 3:2 dppa/AgX ratios (X = SbF6. BF4, O3SCF3 or NO3) do lead selectively to new [M2L3] triply bridged cage complexes [Ag2(dppa)3(X)2] 1a-d (X = SbF6 a, BF4 b, O3SCF3 c, NO3 d), which do not exhibit Ag-P bond dissociation at room temperature on the NMR time scale (121 MHz). Complexes la-d were characterised by X-ray crystallography and were found to have small internal cavities, helical conformations and multiple intramolecular aromatic interactions. The nucleophilicity of the anion subtly influences the cage shape: Increasing nucleophilicity from SbF6 (1a) through BF4 (1b) and O3SCF3 (1c) to NO3 (1d) increases the pyramidal distortion at the AgP3 centres, stretching the cage framework (with Ag...Ag distances increasing from 5.48 in 1a to 6.21 A in 1d) and giving thinner internal cavities. Crystal packing strongly affected the size of the helical twist angle, and no correlation between this parameter and the Ag-Ag distance was observed. When crystalline 1c was stored in its supernatant for 16 weeks, conversion occured to the isostoichiometric [M2L3]infinity coordination polymer [Ag(dppa)2Ag(dppa)(O3SCF3)2]infinity (1c'). X-ray crystallography revealed a structure with ten-membered Ag2(dppa)2 rings linked into infinite one-dimensional chains by a third dppa unit. The clear structural relationship between this polymer and the precursor cage 1c suggests a novel example of ring-opening polymerisation. With dppet, evidence for discrete [M2L3] cages was also found in solution, although 31P NMR spectroscopy suggested some Ag-P bond dissociation. On crystallisation, only the corresponding ring-opened polymeric structures [M2L3]infinity could be obtained. This may be because the greater steric bulk of dppet versus dppa destabilises the cage and favours the ring-opening polymerisation.

DFT and in situ EXAFS investigation of gold/ceria-zirconia low-temperature water gas shift catalysts: Identification of the nature of the active form of gold

A combined experimental and theoretical investigation of the nature of the active form of gold in oxide-supported gold catalysts for the water gas shift reaction has been performed. In situ extended X-ray absorption fine structure (EXAFS) and X-ray absorption near-edge structure (XANES) experiments have shown that in the fresh catalysts the gold is in the form of highly dispersed gold ions. However, under water gas shift reaction conditions, even at temperatures as low as 100 degrees C, the evidence from EXAFS and XANES is only 14 consistent with rapid, and essentially complete, reduction of the gold to form metallic clusters containing about 50 atoms. The presence of Au-Ce distances in the EXAFS spectra, and the fact that about 15% of the gold atoms can be reoxidized after exposure to air at 150 degrees C, is indicative of a close interaction between a fraction (ca. 15%) of the gold atoms and the oxide support. Density functional theory (DFT) calculations are entirely consistent with this model and suggest that an important aspect of the active and stable form of gold under water gas shift reaction conditions is the location of a partially oxidized gold (Audelta+) species at a cerium cation vacancy in the surface of the oxide support. It is found that even with a low loading gold catalysts (0.2%) the fraction of ionic gold under water gas shift conditions is below the limit of detection by XANES (<5%). It is concluded that under water gas shift reaction conditions the active form of gold comprises small metallic gold clusters in intimate contact with the oxide support.