On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Simultaneous observations of ionospheric quasiperiodic scintillations from short and long meridional baselines using VHF transmissions from transit satellites

For the first time it was possible to observe regular quasiperiodic scintillations (QPS) in VHF radio-satellite transmissions from orbiting satellites simultaneously at short (2.1 km) and long (121 km) meridional baselines in the vicinity of a typical mid-latitude station (Brisbane; 27.5degreesS and 152.9degreesE geog. and 35.6degrees invar.lat.), using three sites (St. Lucia-S, Taringa-T in Brisbane and Boreen Pt.-B, north of Brisbane). A few pronounced quasiperiodic (QP) events were recorded showing unambiguous regular structures at the sites which made it possible to deduce a time displacement of the regular fading minimum at S, T and B. The QP structure is highly dependent on the geometry of the ray-path from a satellite to the observer which is manifested as a change of a QP event from symmetrical to non-symmetrical for stations separated by 2.1 km, and to a radical change in the structure of the event over a distance of 121 km. It is suggested the short-duration intense QP events are due to a Fresnel diffraction (or a reflection mechanism) of radio-satellite signals by a single ionospheric irregularity in a form of an ellipsoid with a large ionization gradient along the major axis. The structure of a QP event depends on the angle of viewing of the irregular blob from a radio-satellite. In view of this it is suggested that the reported variety of the ionization formation, responsible for different types of QPS, is only apparent but not real. (C) 2003 Elsevier Science Ltd. All rights reserved.