Scaling the volatility of credit spreads: evidence from Australian dollar eurobonds

The linear rescaling of the variance of an asset's return is used by many asset pricing models when an annualised risk coefficient is required. However, this approach may not be appropriate for time series, which are not independent and identically distributed (IID). This paper investigates the scaling relationships for daily credit spreads, from January 1995 to May 1998, between AAA-, AA-, and A-rated Australian dollar denominated Eurobonds with maturities of 2, 5, 7, and 10 years. The credit spread return all display similar scaling properties with the estimated standard deviation, based upon a scaling at the square root of time, significantly underestimating the actual level of risk predicted from a normal distribution. These results have implications for risk managers and trading of credit spread instruments.

Expectations and liquidity in Yen bond markets

The relationship between daily yields on Japanese government bonds (JGBs), and high grade (AA and AAA) yen eurobonds is investigated. We find the cointegration vector differs slightly from the expected order predicted by the expectations hypothesis and attribute this to differing degrees of liquidity in the eurobond and JGB markets. We conclude that the concentration of new Japanese government issues in maturities of five to ten years, combined with the practice by the authorities of holding a significant amount of outstanding bonds, has distorted the transmission process between different risk classes of bonds. An example of the dynamics of the credit spread on the ten-year AA eurobond is provided.

Biosynthesis, localization, and macromolecular arrangement of the plasmodium falciparum translocon of exported proteins (PTEX)

To survive within its host erythrocyte, Plasmodium falciparum must export hundreds of proteins across both its parasite plasma membrane and surrounding parasitophorous vacuole membrane, most of which are likely to use a protein complex known as PTEX (Plasmodium translocon of exported proteins). PTEX is a putative protein trafficking machinery responsible for the export of hundreds of proteins across the parasitophorous vacuole membrane and into the human host cell. Five proteins are known to comprise the PTEX complex, and in this study, three of the major stoichiometric components are investigated including HSP101 (a AAA+ ATPase), a protein of no known function termed PTEX150, and the apparent membrane component EXP2. We show that these proteins are synthesized in the preceding schizont stage (PTEX150 and HSP101) or even earlier in the life cycle (EXP2), and before invasion these components reside within the dense granules of invasive merozoites. From these apical organelles, the protein complex is released into the host cell where it resides with little turnover in the parasitophorous vacuole membrane for most of the remainder of the following cell cycle. At this membrane, PTEX is arranged in a stable macromolecular complex of >1230 kDa that includes an ∼600-kDa apparently homo-oligomeric complex of EXP2 that can be separated from the remainder of the PTEX complex using non-ionic detergents. Two different biochemical methods undertaken here suggest that PTEX components associate as EXP2-PTEX150-HSP101, with EXP2 associating with the vacuolar membrane. Collectively, these data support the hypothesis that EXP2 oligomerizes and potentially forms the putative membrane-spanning pore to which the remainder of the PTEX complex is attached.

Rapid determination of protein contents in microencapsulated fish oil supplements by ATR-FTIR spectroscopy and partial least square regression (PLSR) analysis

Following the recent success in quantitative analysis of essential fatty acid compositions in a commercial microencapsulated fish oil (?EFO) supplement, we extended the application of portable attenuated total reflection Fourier transform infrared (ATR-FTIR) spectroscopic technique and partial least square regression (PLSR) analysis for rapid determination of total protein contents-the other major component in most commercial ?EFO powders. In contrast to the traditional chromatographic methodology used in a routine amino acid analysis (AAA), the ATR-FTIR spectra of the ?EFO powder can be acquired directly from its original powder form with no requirement of any sample preparation, making the technique exceptionally fast, noninvasive, and environmentally friendly as well as being cost effective and hence eminently suitable for routine use by industry. By optimizing the spectral region of interest and number of latent factors through the developed PLSR strategy, a good linear calibration model was produced as indicated by an excellent value of coefficient of determination R2 = 0.9975, using standard ?EFO powders with total protein contents in the range of 140-450 mg/g. The prediction of the protein contents acquired from an independent validation set through the optimized PLSR model was highly accurate as evidenced through (1) a good linear fitting (R2 = 0.9759) in the plot of predicted versus reference values, which were obtained from a standard AAA method, (2) lowest root mean square error of prediction (11.64 mg/g), and (3) high residual predictive deviation (6.83) ranked in very good level of predictive quality indicating high robustness and good predictive performance of the achieved PLSR calibration model. The study therefore demonstrated the potential application of the portable ATR-FTIR technique when used together with PLSR analysis for rapid online monitoring of the two major components (i.e., oil and protein contents) in finished ?EFO powders in the actual manufacturing setting.

Reflectance response of tapered optical fiber coated with graphene oxide nanostructured thin film for aqueous ethanol sensing

In this work, optical sensing performance of tapered multimode fiber tip coated with graphene oxide (GO) nanostructured thin film towards aqueous ethanol with different concentrations is investigated. The tapering process of the optical fiber is done by a glass processing machine. The multimode optical fiber tip is dip-coated with GO and annealed at 70 °C to enhance the binding of the nanomaterials to the silica fiber. FESEM, Raman microscopy and XRD analyses are performed to micro-characterize the GO thin films. The morphology of the GO is observed to be in sheets forms. The reflectance response of the GO coated fiber tip is compared with the uncoated tip. The measurements are taken using a spectrophotometer in the optical wavelength range of 550-720 nm. The reflectance response of the GO coated fiber tip reduced proportionally, upon exposure to ethanol with concentration range of 5-80%. The dynamic response of the developed sensor showed strong reversibility and repeatability when it is exposed to ethanol with concentrations of 5%, 20% and 40% in distilled water. At room temperature, the sensor shows fast response and recovery as low as 19 and 25 s, respectively. © 2014 Elsevier B.V.