Forecasting the Yield Curve of Government Bonds: A Comparative Study

For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields

The measurement of the optical absorption cross section of photosystem 1 and photosystem 2 from whole live cells of porphyridium cruentum, in light state 1 and light state 2

The optical cross section of PS I in whole cells of Porphyridium cruentum (UTEX 161), held in either state 1 or state 2, was determined by measuring the change in absorbance at 820nm, an indication of P700+; the X-section of PS2 was determined by measuring the variable fluorescence, (Fv-Fo)/Fo, from PS2. Both cross-sections were 7 determined by fitting Poisson distribution equations to the light saturation curves obtained with single turnover laser flashes which varied in intensity from zero to a level where maximum yield occurred. Flash wavelengths of 574nm, 626nm, and 668nm were used, energy absorbed by PBS, by PBS and chla, and by chla respectively. There were two populations of both PSi and PS2. A fraction of PSi is associated with PBS, and a fraction of PS2 is free from PBS. On the transition S1->S2, only with PBS-absorbed energy (574nm) did the average X-section of PSi increase (27%), and that of PS2 decrease (40%). The fraction of PSi associated with PBS decreased, from 0.65 to 0.35, and the Xsection of this associated PS 1 increased, from 135±65 A2 to 400±300A2. The cross section of PS2 associated with PBS decreased from 150±50 A2 to 85±45 A2, but the fraction of PS2 associated with PBS, approximately 0.75, did not change significantly. The increase in PSi cross section could not be completely accounted for by postulating that several PSi are associated with a single PBS and that in the transition to state2, fewer PSi share the same number of PBS, resulting in a larger X-section. It is postulated that small changes occur in the attachment of PS2 to PBS causing energy to be diverted to the attached PSi. These experiments support neither the mobile-PBS model of state transitions nor that of spillover. From cross section changes there was no evidence of energy transfer from PS2 to PSi with 668nm light. The decrease in PS2 fluorescence which occurred at this wavelength cannot be explained by energy transfer; another explanation must be sought. No explanation was found for an observed decrease in PSi yield at high flash intensities.

Comparison of non-HDL cholesterol and waist circumference vs. triglyceride levels and waist circumference in predicting coronary heart disease risk

BACKGROUND: Dyslipidemia is recognized as a major cause of coronary heart disease (CHD). Emerged evidence suggests that the combination of triglycerides (TG) and waist circumference can be used to predict the risk of CHD. However, considering the known limitations of TG, non-high-density lipoprotein (non-HDL = Total cholesterol - HDL cholesterol) cholesterol and waist circumference model may be a better predictor of CHD. PURPOSE: The Framingham Offspring Study data were used to determine if combined non-HDL cholesterol and waist circumference is equivalent to or better than TG and waist circumference (hypertriglyceridemic waist phenotype) in predicting risk of CHD. METHODS: A total of3,196 individuals from Framingham Offspring Study, aged ~ 40 years old, who fasted overnight for ~ 9 hours, and had no missing information on nonHDL cholesterol, TG levels, and waist circumference measurements, were included in the analysis. Receiver Operator Characteristic Curve (ROC) Area Under the Curve (AUC) was used to compare the predictive ability of non-HDL cholesterol and waist circumference and TG and waist circumference. Cox proportional-hazards models were used to examine the association between the joint distributions of non-HDL cholesterol, waist circumference, and non-fatal CHD; TG, waist circumference, and non-fatal CHD; and the joint distribution of non-HDL cholesterol and TG by waist circumference strata, after adjusting for age, gender, smoking, alcohol consumption, diabetes, and hypertension status. RESULTS: The ROC AUC associated with non-HDL cholesterol and waist circumference and TG and waist circumference are 0.6428 (CI: 0.6183, 0.6673) and 0.6299 (CI: 0.6049, 0.6548) respectively. The difference in the ROC AVC is 1.29%. The p-value testing if the difference in the ROC AVCs between the two models is zero is 0.10. There was a strong positive association between non-HDL cholesterol and the risk for non-fatal CHD within each TO levels than that for TO levels within each level of nonHDL cholesterol, especially in individuals with high waist circumference status. CONCLUSION: The results suggest that the model including non-HDL cholesterol and waist circumference may be superior at predicting CHD compared to the model including TO and waist circumference.

Zero-sum problems in finite cyclic groups

The purpose of this thesis is to investigate some open problems in the area of combinatorial number theory referred to as zero-sum theory. A zero-sequence in a finite cyclic group G is said to have the basic property if it is equivalent under group automorphism to one which has sum precisely IGI when this sum is viewed as an integer. This thesis investigates two major problems, the first of which is referred to as the basic pair problem. This problem seeks to determine conditions for which every zero-sequence of a given length in a finite abelian group has the basic property. We resolve an open problem regarding basic pairs in cyclic groups by demonstrating that every sequence of length four in Zp has the basic property, and we conjecture on the complete solution of this problem. The second problem is a 1988 conjecture of Kleitman and Lemke, part of which claims that every sequence of length n in Zn has a subsequence with the basic property. If one considers the special case where n is an odd integer we believe this conjecture to hold true. We verify this is the case for all prime integers less than 40, and all odd integers less than 26. In addition, we resolve the Kleitman-Lemke conjecture for general n in the negative. That is, we demonstrate a sequence in any finite abelian group isomorphic to Z2p (for p ~ 11 a prime) containing no subsequence with the basic property. These results, as well as the results found along the way, contribute to many other problems in zero-sum theory.

Competing demands for a complex system : photosystem II repair, photoprotection and quantum yield

Photosynthesis in general is a key biological process on Earth and Photo system II (PSII) is an important component of this process. PSII is the only enzyme capable of oxidizing water and is largely responsible for the primordial build-up and present maintenance of the oxygen in the atmosphere. This thesis endeavoured to understand the link between structure and function in PSII with special focus on primary photochemistry, repair/photodamage and spectral characteristics. The deletion of the PsbU subunit ofPSII in cyanobacteria caused a decoupling of the Phycobilisomes (PBS) from PSII, likely as a result of increased rates of PSII photodamage with the PBS decoupling acting as a measure to protect PSII from further damage. Isolated fractions of spinach thylakoid membranes were utilized to characterize the heterogeneity present in the various compartments of the thylakoid membrane. It was found that the pooled PSIILHCII pigment populations were connected in the grana stack and there was also a progressive decrease in the reaction rates of primary photochemistry and antennae size of PSII as the sample origin moved from grana to stroma. The results were consistent with PSII complexes becoming damaged in the grana and being sent to the stroma for repair. The dramatic quenching of variable fluorescence and overall fluorescent yield of PSII in desiccated lichens was also studied in order to investigate the mechanism by which the quenching operated. It was determined that the source of the quenching was a novel long wavelength emitting external quencher. Point mutations to amino acids acting as ligands to chromophores of interest in PSII were utilized in cyanobacteria to determine the role of specific chromophores in energy transfer and primary photochemistry. These results indicated that the Hl14 ligated chlorophyll acts as the 'trap' chlorophyll in CP47 at low temperature and that the Q130E mutation imparts considerable changes to PSII electron transfer kinetics, essentially protecting the complex via increased non-radiative charge Photosynthesis in general is a key biological process on Earth and Photo system II (PSII) is an important component of this process. PSII is the only enzyme capable of oxidizing water and is largely responsible for the primordial build-up and present maintenance of the oxygen in the atmosphere. This thesis endeavoured to understand the link between structure and function in PSII with special focus on primary photochemistry, repair/photodamage and spectral characteristics. The deletion of the PsbU subunit ofPSII in cyanobacteria caused a decoupling of the Phycobilisomes (PBS) from PSII, likely as a result of increased rates of PSII photodamage with the PBS decoupling acting as a measure to protect PSII from further damage. Isolated fractions of spinach thylakoid membranes were utilized to characterize the heterogeneity present in the various compartments of the thylakoid membrane. It was found that the pooled PSIILHCII pigment populations were connected in the grana stack and there was also a progressive decrease in the reaction rates of primary photochemistry and antennae size of PSII as the sample origin moved from grana to stroma. The results were consistent with PSII complexes becoming damaged in the grana and being sent to the stroma for repair. The dramatic quenching of variable fluorescence and overall fluorescent yield of PSII in desiccated lichens was also studied in order to investigate the mechanism by which the quenching operated. It was determined that the source of the quenching was a novel long wavelength emitting external quencher. Point mutations to amino acids acting as ligands to chromophores of interest in PSII were utilized in cyanobacteria to determine the role of specific chromophores in energy transfer and primary photochemistry. These results indicated that the Hl14 ligated chlorophyll acts as the 'trap' chlorophyll in CP47 at low temperature and that the Q130E mutation imparts considerable changes to PSII electron transfer kinetics, essentially protecting the complex via increased non-radiative charge.

The Terroir of Winter Hardiness: Investigation of Winter Hardiness, Water Metrics, and Yield of Riesling and Cabernet Franc in the Niagara Region Using Geomatic Technologies

Grapevine winter hardiness is a key factor in vineyard success in many cool climate wine regions. Winter hardiness may be governed by a myriad of factors in addition to extreme weather conditions – e.g. soil factors (texture, chemical composition, moisture, drainage), vine water status, and yield– that are unique to each site. It was hypothesized that winter hardiness would be influenced by certain terroir factors , specifically that vines with low water status [more negative leaf water potential (leaf ψ)] would be more winter hardy than vines with high water status (more positive leaf ψ). Twelve different vineyard blocks (six each of Riesling and Cabernet franc) throughout the Niagara Region in Ontario, Canada were chosen. Data were collected during the growing season (soil moisture, leaf ψ), at harvest (yield components, berry composition), and during the winter (bud LT50, bud survival). Interpolation and mapping of the variables was completed using ArcGIS 10.1 (ESRI, Redlands, CA) and statistical analyses (Pearson’s correlation, principal component analysis, multilinear regression) were performed using XLSTAT. Clear spatial trends were observed in each vineyard for soil moisture, leaf ψ, yield components, berry composition, and LT50. Both leaf ψ and berry weight could predict the LT50 value, with strong positive correlations being observed between LT50 and leaf ψ values in eight of the 12 vineyard blocks. In addition, vineyards in different appellations showed many similarities (Niagara Lakeshore, Lincoln Lakeshore, Four Mile Creek, Beamsville Bench). These results suggest that there is a spatial component to winter injury, as with other aspects of terroir, in the Niagara region.