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.

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.

The Coefficient of Variance as an index of L2 lexical processing skill

The Coefficient of Variance (mean standard deviation/mean Response time) is a measure of response time variability that corrects for differences in mean Response time (RT) (Segalowitz & Segalowitz, 1993). A positive correlation between decreasing mean RTs and CVs (rCV-RT) has been proposed as an indicator of L2 automaticity and more generally as an index of processing efficiency. The current study evaluates this claim by examining lexical decision performance by individuals from three levels of English proficiency (Intermediate ESL, Advanced ESL and L1 controls) on stimuli from four levels of item familiarity, as defined by frequency of occurrence. A three-phase model of skill development defined by changing rCV-RT.values was tested. Results showed that RTs and CVs systematically decreased as a function of increasing proficiency and frequency levels, with the rCV-RT serving as a stable indicator of individual differences in lexical decision performance. The rCV-RT and automaticity/restructuring account is discussed in light of the findings. The CV is also evaluated as a more general quantitative index of processing efficiency in the L2.

Task Complexity and Variation in L2 Learner’s Oral Discourse

There are many factors which affect the L2 learner’s performance at the levels of phonology, morphology and syntax. Consequently when L2 learners attempt to communicate in the target language, their language production will show systematic variability across the above mentioned linguistic domains. This variation can be attributed to some factors such as interlocutors, topic familiarity, prior knowledge, task condition, planning time and tasks types. This paper reports the results of an on going research investigating the issue of variability attributed to the task type. It is hypothesized that the particular type of task learners are required to perform will result in variation in their performance. Results of the statistical analyses of this study investigating the issue of variation in the performance of twenty L2 learners at the English department of Tabriz University provided evidence in support of the hypothesis that performance of L2 learners show systematic variability attributed to task.

Metabolite mean transit times in the liver as predicted by various models of hepatic elimination

Predicted area under curve (AUC), mean transit time (MTT) and normalized variance (CV2) data have been compared for parent compound and generated metabolite following an impulse input into the liver, Models studied were the well-stirred (tank) model, tube model, a distributed tube model, dispersion model (Danckwerts and mixed boundary conditions) and tanks-in-series model. It is well known that discrimination between models for a parent solute is greatest when the parent solute is highly extracted by the liver. With the metabolite, greatest model differences for MTT and CV2 occur when parent solute is poorly extracted. In all cases the predictions of the distributed tube, dispersion, and tasks-in-series models are between the predictions of the rank and tube models. The dispersion model with mixed boundary conditions yields identical predictions to those for the distributed tube model (assuming an inverse gaussian distribution of tube transit times). The dispersion model with Danckwerts boundary conditions and the tanks-in series models give similar predictions to the dispersion (mixed boundary conditions) and the distributed tube. The normalized variance for parent compound is dependent upon hepatocyte permeability only within a distinct range of permeability values. This range is similar for each model but the order of magnitude predicted for normalized variance is model dependent. Only for a one-compartment system is the MIT for generated metabolite equal to the sum of MTTs for the parent compound and preformed metabolite administered as parent.

DNA packaging by L1 and L2 capsid proteins of bovine papillomavirus type 1

Encapsidation of circular DNA by papillomavirus capsid protein was investigated in Cos-1 cells. Plasmids carrying both an SV40 origin of replication (or) and an E. coli on were introduced into Cos-1 cells by DNA transfection. PV capsid proteins were supplied in trans by recombinant vaccinia viruses. Pseudovirions were purified from infected cells and their packaged DNA was extracted and used to transform E. coil as an indication of packaging efficacy. VLPs assembled from BPV-1 L1 alone packaged little plasmid DNA, whereas VLPs assembled from BPV-1 L1+L2 packaged plasmid DNA at least 50 times more effectively. BPV-1 L1+L2 VLPs packaged a plasmid containing BPV-1 sequence 8.2 +/- 3.1 times more effectively than a plasmid without BW sequences. Using a series of plasmid constructs comprising a core BPV-1 sequence and spacer DNA it was demonstrated that BW VLPs could accommodate a maximum of about 10.2 kb of plasmid DNA, and that longer closed circular DNA was truncated to produce less dense virions with shorter plasmid sequences. The present study suggests that packaging of genome within PV virions involves interaction of L2 protein with specific DNA sequences, and demonstrates that PV pseudovirions have the potential to be used as DNA delivery vectors for plasmids of up to 10.2 kb. (C) 1998 Academic Press.

Regional and total body bone mineral density in elite collegiate male swimmers

Back,ground To examine the role of long-term swimming exercise on regional and total body bone mineral density (BMD) in men. Methods. Experimental design: Cross-sectional. Setting: Musculoskeletal research laboratory at a medical center, Participants:We compared elite collegiate swimmers (n=11) to age-, weight-, and height-matched non-athletic controls (n=11), Measures: BMD (g/cm(2)) of the lumbar spine L2-4, proximal femur (femoral neck, trochanter, Ward's triangle), total body and various subregions of the total body, as well as regional and total body fat and bone mineral-free lean mass (LM) was assessed by dual-energy X-ray absorptiometry (DXA, Hologic QDR 1000/W). Results. Swimmers, who commenced training at 10.7+/-3.7 yrs (mean+/-SD) and trained for 24.7+/-4.2 hrs per week, had a greater amount of LM (p<0.05), lower fat mass (p<0.001) and percent body fat (9.5 vs 16.2 %, p<0.001) than controls. There was no significant difference between groups for regional or total body BRID, In stepwise multiple regression analysis, body weight was a consistent independent predictor of regional and total body BMD, Conclusions. These results suggest that long-term swimming is not an osteogenic mode of training in college-aged males. This supports our previous findings in young female swimmers who displayed no bone mass benefits despite long-standing athletic training.

Transport properties of strongly correlated metals: A dynamical mean-field approach

The temperature dependence of the transport properties of the metallic phase of a frustrated Hubbard model on the hypercubic lattice at half-filling is calculated. Dynamical mean-held theory, which maps the Hubbard model onto a single impurity,Anderson model that is solved self-consistently, and becomes exact in the limit of large dimensionality, is used. As the temperature increases there is a smooth crossover from coherent Fermi liquid excitations at low temperatures to incoherent excitations at high temperatures. This crossover leads to a nonmonotonic temperature dependence for the resistance, thermopower, and Hall coefficient, unlike in conventional metals. The resistance smoothly increases from a quadratic temperature dependence at low temperatures to large values which can exceed the Mott-Ioffe-Regel value ha/e(2) (where a is a lattice constant) associated with mean free paths less than a lattice constant. Further signatures of the thermal destruction of quasiparticle excitations are a peak in the thermopower and the absence of a Drude peak in the optical conductivity. The results presented here are relevant to a wide range of strongly correlated metals, including transition metal oxides, strontium ruthenates, and organic metals.

Dynamics of trapped Bose-Einstein condensates: Beyond the mean-field

Since dilute Bose gas condensates were first experimentally produced, the Gross-Pitaevskii equation has been successfully used as a descriptive tool. As a mean-field equation, it cannot by definition predict anything about the many-body quantum statistics of condensate. We show here that there are a class of dynamical systems where it cannot even make successful predictions about the mean-field behavior, starting with the process of evaporative cooling by which condensates are formed. Among others are parametric processes, such as photoassociation and dissociation of atomic and molecular condensates.