On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Diving behaviour of a reptile (Crocodylus johnstoni) in the wild: Interactions with heart rate and body temperature

The differences in physical properties of air and water pose unique behavioural and physiological demands on semiaquatic animals. The aim of this study was to describe the diving behaviour of the freshwater crocodile Crocodylus johnstoni in the wild and to assess the relationships between diving, body temperature, and heart rate. Time-depth recorders, temperature-sensitive radio transmitters, and heart rate transmitters were deployed on each of six C. johnstoni (4.0-26.5 kg), and data were obtained from five animals. Crocodiles showed the greatest diving activity in the morning (0600-1200 hours) and were least active at night, remaining at the water surface. Surprisingly, activity pattern was asynchronous with thermoregulation, and activity was correlated to light rather than to body temperature. Nonetheless, crocodiles thermoregulated and showed a typical heart rate hysteresis pattern (heart rate during heating greater than heart rate during cooling) in response to heating and cooling. Additionally, dive length decreased with increasing body temperature. Maximum diving length was 119.6 min, but the greatest proportion of diving time was spent on relatively short (

Stable production of hyaluronic acid in Streptococcus zooppidemicus chemostats operated at high dilution rate

Hyaluronic acid is routinely produced through fermentation of both Group A and C streptococci. Despite significant production costs associated with short fermentations and removal of contaminating proteins released during entry into stationary phase, hyaluronic acid is typically produced in batch rather than continuous culture. The main reason is that hyaluronic acid synthesis has been found to be unstable in continuous culture except at very low dilution rates. Here, we investigated the mechanisms underlying this instability and developed a stable, high dilution rate (0.4 h(-1)) chemostat process for both chemically defined and complex media operating for more than 150 h of production. In chemically defined medium, the product yield was 25% higher in chemostat cultures than in conventional batch culture when arginine or glucose was the limiting substrate. In contrast, glutamine limitation resulted in higher ATP requirements and a yield similar to that observed in batch culture. In complex, glucose-limited medium, ATP requirements were greatly reduced but biomass synthesis was favored over hyaluronic acid and no improvement in hyaluronic acid yield was observed. The successful establishment of continuous culture at high dilution rate enables both commercial production at reduced cost and a more rational characterization and optimization of hyaluronic acid production in streptococci. (c) 2005 Wiley Periodicals, Inc.

Improved physical performance in older adults undertaking a short-term programme of high-velocity resistance training

Background: The age-related loss of muscle power in older adults is greater than that of muscle strength and is associated with a decline in physical performance. Objective: To investigate the effects of a short-term high-velocity varied resistance training programme on physical performance in healthy community-dwelling adults aged 60-80 years. Methods: Subjects undertook exercise (EX; n = 15) or maintained customary activity (controls, CON; n = 10) for 8 weeks. The EX group trained 2 days/week using machine weights for three sets of eight repetitions at 35, 55, and 75% of their one-repetition maximum (the maximal weight that an individual can lift once with acceptable form) for seven upper- and lower-body exercises using explosive concentric movements. Results: Fourteen EX and 10 CON subjects completed the study. Dynamic muscle strength significantly increased (p = 0.001) in the EX group for all exercises (from 21.4 +/- 9.6 to 82.0 +/- 59.2%, mean +/- SD) following training, as did knee extension power (p < 0.01). Significant improvement occurred for the EX group in the floor rise to standing (10.4 &PLUSMN; 11.5%, p = 0.004), usual 6-metre walk (6.6 &PLUSMN; 8.2%, p = 0.010), repeated chair rise (10.4 &PLUSMN; 15.6%, p = 0.013), and lift and reach (25.6 &PLUSMN; 12.1%, p = 0.002) performance tasks but not in the CON group. Conclusions: Progressive resistance training that incorporates rapid rate-of-force development movements may be safely undertaken in healthy older adults and results in significant gains in muscle strength, muscle power, and physical performance. Such improvements could prolong functional independence and improve the quality of life. Copyright (C) 2005 S. Karger AG, Basel.

Reduced between-hospital variation in short term survival after acute myocardial infarction: the result of improved cardiac care?

Objectives: To re-examine interhospital variation in 30 day survival after acute myocardial infarction ( AMI) 10 years on to see whether the appointment of new cardiologists and their involvement in emergency care has improved outcome after AMI. Design: Retrospective cohort study. Setting: Acute hospitals in Scotland. Participants: 61 484 patients with a first AMI over two time periods: 1988 - 1991; and 1998 - 2001. Main outcome measures: 30 day survival. Results: Between 1988 and 1991, median 30 day survival was 79.2% ( interhospital range 72.1 - 85.1%). The difference between highest and lowest was 13.0 percentage points ( age and sex adjusted, 12.1 percentage points). Between 1998 and 2001, median survival rose to 81.6% ( and range decreased to 78.0 - 85.6%) with a difference of 7.6 ( adjusted 8.8) percentage points. Admission hospital was an independent predictor of outcome at 30 days during the two time periods ( p< 0.001). Over the period 1988 - 1991, the odds ratio for death ranged, between hospitals, from 0.71 ( 95% confidence interval ( CI) 0.58 to 0.88) to 1.50 ( 95% CI 1.19 to 1.89) and for the period 1998 - 2001 from 0.82 ( 95% CI 0.60 to 1.13) to 1.46 ( 95% CI 1.07 to 1.99). The adjusted risk of death was significantly higher than average in nine of 26 hospitals between 1988 and 1991 but in only two hospitals between 1998 and 2001. Conclusions: The average 30 day case fatality rate after admission with an AMI has fallen substantially over the past 10 years in Scotland. Between-hospital variation is also considerably less notable because of better survival in the previously poorly performing hospitals. This suggests that the greater involvement of cardiologists in the management of AMI has paid dividends.

Accuracy of strain rate techniques for ientification of viability at dobutamine stress echo: A follow-up study after revascularization

Background. Myocardial viability (VM) assessment based on wall motion scoring (WMS) with dobutamine echo (DbE) is difficult and subjective. New quantitative techniques such as strain rate imaging (SRI) correspond with isotopic techniques but their ability to predict functional recovery (FR) after revascularization is unclear. Methods. Stable post-MI pts (n=43, age 63±9, EF 36±6%) underwent SRI during DbE. WMS evidence of VM was based on lowdose augmentation at DbE. SR, end-systolic strain (ESS), post-systolic strain (PSS) and timing were analyzed at rest and low dose in abnormal segts. Pts were followed for 9±12 months; FR was defined as segt improvement on post-revascularization images. Results: Of 180 segts with abnormal resting function, 83 showed FR and 97 did not. Resting parameters were not predictive of recovery; resting post-systolic shortening had a sensitivity and specificity