Principal component and second generation wavelet analysis of Treasury yield curve evolution

Prices of U.S. Treasury securities vary over time and across maturities. When the market in Treasurys is sufficiently complete and frictionless, these prices may be modeled by a function time and maturity. A cross-section of this function for time held fixed is called the yield curve; the aggregate of these sections is the evolution of the yield curve. This dissertation studies aspects of this evolution. ^ There are two complementary approaches to the study of yield curve evolution here. The first is principal components analysis; the second is wavelet analysis. In both approaches both the time and maturity variables are discretized. In principal components analysis the vectors of yield curve shifts are viewed as observations of a multivariate normal distribution. The resulting covariance matrix is diagonalized; the resulting eigenvalues and eigenvectors (the principal components) are used to draw inferences about the yield curve evolution. ^ In wavelet analysis, the vectors of shifts are resolved into hierarchies of localized fundamental shifts (wavelets) that leave specified global properties invariant (average change and duration change). The hierarchies relate to the degree of localization with movements restricted to a single maturity at the base and general movements at the apex. Second generation wavelet techniques allow better adaptation of the model to economic observables. Statistically, the wavelet approach is inherently nonparametric while the wavelets themselves are better adapted to describing a complete market. ^ Principal components analysis provides information on the dimension of the yield curve process. While there is no clear demarkation between operative factors and noise, the top six principal components pick up 99% of total interest rate variation 95% of the time. An economically justified basis of this process is hard to find; for example a simple linear model will not suffice for the first principal component and the shape of this component is nonstationary. ^ Wavelet analysis works more directly with yield curve observations than principal components analysis. In fact the complete process from bond data to multiresolution is presented, including the dedicated Perl programs and the details of the portfolio metrics and specially adapted wavelet construction. The result is more robust statistics which provide balance to the more fragile principal components analysis. ^

Discrete time models of the term structure of interest rates and interest rate contingent claims

In this study, discrete time one-factor models of the term structure of interest rates and their application to the pricing of interest rate contingent claims are examined theoretically and empirically. The first chapter provides a discussion of the issues involved in the pricing of interest rate contingent claims and a description of the Ho and Lee (1986), Maloney and Byrne (1989), and Black, Derman, and Toy (1990) discrete time models. In the second chapter, a general discrete time model of the term structure from which the Ho and Lee, Maloney and Byrne, and Black, Derman, and Toy models can all be obtained is presented. The general model also provides for the specification of an additional model, the ExtendedMB model. The third chapter illustrates the application of the discrete time models to the pricing of a variety of interest rate contingent claims. In the final chapter, the performance of the Ho and Lee, Black, Derman, and Toy, and ExtendedMB models in the pricing of Eurodollar futures options is investigated empirically. The results indicate that the Black, Derman, and Toy and ExtendedMB models outperform the Ho and Lee model. Little difference in the performance of the Black, Derman, and Toy and ExtendedMB models is detected. ^

The Real Failure Rate of Restaurants

A common assumption in the restaurant industry is that restaurants fail at an exceedingly high rate. However, statistical research to support this assumption is limited. The authors present a study of 10 years in the life of three markets and offer new data for managers to consider.

Estimation of global beta and tests of capital asset pricing models

With the rapid globalization and integration of world capital markets, more and more stocks are listed in multiple markets. With multi-listed stocks, the traditional measurement of systematic risk, the domestic beta, is not appropriate since it only contain information from one market. ^ Prakash et al. (1993) developed a technique, the global beta, to capture information from multiple markets wherein the stocks are listed. In this study, the global betas are obtained as well as domestic betas for 704 multi-listed stocks from 59 world equity markets. Welch tests show that domestic betas are not equal across markets, therefore, global beta is more appropriate in a global investment setting. ^ The traditional Capital Asset Pricing Models (CAPM) is also tested with regards to both domestic beta and global beta. The results generally support the positive relationship between stocks returns and global beta while tend to reject this relationship between stocks returns and domestic beta. Further tests of International CAPM with domestic beta and global beta strengthen the conclusion.^

Synthesis of aromatic monothiols and aromatic dithiols to increase the folding rate and yield of disulfide containing proteins

Most pharmaceutically relevant proteins and many extracellular proteins contain disulfide bonds. Formation of the correct disulfide bonds is essential for stability in almost all cases. Disulfide containing proteins can be rapidly and inexpensively overexpressed in bacteria. However, the overexpressed proteins usually form aggregates inside the bacteria, called inclusion bodies, which contains inactive and non-native protein. To obtain native protein, inclusion bodies need to be isolated and resolubilized, and then the resulting protein refolded in vitro. In vitro protein folding is aided by the addition of a redox buffer, which is composed of a small molecule disulfide and/or a small molecule thiol. The most commonly used redox buffer contains reduced and oxidized glutathione. Recently, aliphatic dithiols and aromatic monothiols have been employed as redox buffers. Aliphatic dithiols improved the yield of native protein as compared to the aliphatic thiol, glutathione. Dithiols mimic the in vivo protein folding catalyst, protein disulfide isomerase, which has two thiols per active site. Furthermore, aromatic monothiols increased the folding rate and yield of lysozyme and RNase A relative to glutathione. By combining the beneficial properties of aliphatic dithiols and aromatic monothiols, aromatic dithiols were designed and were expected to increase in vitro protein folding rates and yields. Aromatic monothiols (1-4) and their corresponding disulfides (5-8), two series of ortho- and para-substituted ethylene glycol dithiols (9-15), and a series of aromatic quaternary ammonium salt dithiols (16-17) were synthesized on a multigram scale. Monothiols and disulfides (1-8) were utilized to fold lysozyme and bovine pancreatic trypsin inhibitor. Dithiols (11-17) were tested for their ability to fold lysozyme. At pH 7.0 and pH 8.0, and high protein concentration (1 mg/mL), aromatic dithiols (16, 17) and a monothiol (3) significantly enhanced the in vitro folding rate and yield of lysozyme relative to the aliphatic thiol, glutathione. Additionally, aromatic dithiols (16, 17) significantly enhance the folding yield as compared to the corresponding aromatic monothiol (3). Thus, the folding rate and yield enhancements achieved in in vitro protein folding at high protein concentration will decrease the volume of renaturation solution required for large scale processes and consequently reduce processing time and cost.

The effect of iron oxide nanoparticles on the fate and transformation of arsenic in aquatic environments

Iron oxides and arsenic are prevalent in the environment. With the increase interest in the use of iron oxide nanoparticles (IONPs) for contaminant remediation and the high toxicity of arsenic, it is crucial that we evaluate the interactions between IONPs and arsenic. The goal was to understand the environmental behavior of IONPs in regards to their particle size, aggregation and stability, and to determine how this behavior influences IONPs-arsenic interactions. ^ A variety of dispersion techniques were investigated to disperse bare commercial IONPs. Vortex was able to disperse commercial hematite nanoparticles into unstable dispersions with particles in the micrometer size range while probe ultrasonication dispersed the particles into stable dispersions of nanometer size ranges for a prolonged period of time. Using probe ultrasonication and vortex to prepare IONPs suspensions of different particle sizes, the adsorption of arsenite and arsenate to bare hematite nanoparticles and hematite aggregates were investigated. To understand the difference in the adsorptive behavior, adsorption kinetics and isotherm parameters were determined. Both arsenite and arsenate were capable of adsorbing to hematite nanoparticles and hematite aggregates but the rate and capacity of adsorption is dependent upon the hematite particle size, the stability of the dispersion and the type of sorbed arsenic species. Once arsenic was adsorbed onto the hematite surface, both iron and arsenic can undergo redox transformation both microbially and photochemically and these processes can be intertwined. Arsenic speciation studies in the presence of hematite particles were performed and the effect of light on the redox process was preliminary quantified. The redox behavior of arsenite and arsenate were different depending on the hematite particle size, the stability of the suspension and the presence of environmental factors such as microbes and light. The results from this study are important and have significant environmental implications as arsenic mobility and bioavailability can be affected by its adsorption to hematite particles and by its surface mediated redox transformation. Moreover, this study furthers our understanding on how the particle size influences the interactions between IONPs and arsenic thereby clarifying the role of IONPs in the biogeochemical cycling of arsenic.^

Synthesis of aromatic monothiols to increase the folding rate and yields of disulfide-containing proteins

Almost all pharmaceutically relevant proteins and many extracellular proteins contain disulfide bonds, which are essential for protein functions. In many cases, disulfidecontaining proteins are produced via in vitro protein folding that involves the oxidation of reduced protein to native protein, a complex process. The in vitro folding of reduced lysozyme has been extensively studied as a model system because native lysozyme is small, inexpensive, and has only four disulfide bonds. The folding of reduced lysozyme is conducted with the aid of a redox buffer consisting of a small molecule disulfide and a small molecule thiol, such as oxidized and reduced glutathione. Herein, in vitro folding rates and yields of lysozyme obtained in the presence of a series of aromatic thiols and oxidized glutathione are compared to those obtained with reduced and oxidized glutathione. Results showed that aromatic thiols significantly increase the folding rate of lysozyme compared to glutathione.

The Effect of Iron Oxide Nanoparticles on the Fate and Transformation of Arsenic in Aquatic Environments

Iron oxides and arsenic are prevalent in the environment. With the increase interest in the use of iron oxide nanoparticles (IONPs) for contaminant remediation and the high toxicity of arsenic, it is crucial that we evaluate the interactions between IONPs and arsenic. The goal was to understand the environmental behavior of IONPs in regards to their particle size, aggregation and stability, and to determine how this behavior influences IONPs-arsenic interactions. A variety of dispersion techniques were investigated to disperse bare commercial IONPs. Vortex was able to disperse commercial hematite nanoparticles into unstable dispersions with particles in the micrometer size range while probe ultrasonication dispersed the particles into stable dispersions of nanometer size ranges for a prolonged period of time. Using probe ultrasonication and vortex to prepare IONPs suspensions of different particle sizes, the adsorption of arsenite and arsenate to bare hematite nanoparticles and hematite aggregates were investigated. To understand the difference in the adsorptive behavior, adsorption kinetics and isotherm parameters were determined. Both arsenite and arsenate were capable of adsorbing to hematite nanoparticles and hematite aggregates but the rate and capacity of adsorption is dependent upon the hematite particle size, the stability of the dispersion and the type of sorbed arsenic species. Once arsenic was adsorbed onto the hematite surface, both iron and arsenic can undergo redox transformation both microbially and photochemically and these processes can be intertwined. Arsenic speciation studies in the presence of hematite particles were performed and the effect of light on the redox process was preliminary quantified. The redox behavior of arsenite and arsenate were different depending on the hematite particle size, the stability of the suspension and the presence of environmental factors such as microbes and light. The results from this study are important and have significant environmental implications as arsenic mobility and bioavailability can be affected by its adsorption to hematite particles and by its surface mediated redox transformation. Moreover, this study furthers our understanding on how the particle size influences the interactions between IONPs and arsenic thereby clarifying the role of IONPs in the biogeochemical cycling of arsenic.

Class Size Reduction for the State of Florida: Is This the Solution for a Better Education?

Smaller class sizes have a positive impact on student achievement but Florida struggles with the problem of how to achieve smaller classes. Through a review of the literature, this paper discusses some of the programs currently used across the US, with the focus on Florida. Conclusions and implications are presented.

The Influence of Purchase Confidence on Information Source Selection: Implications for Hospitality Industry

Whether the product of choice is a restaurant, vacation resort or hotel, it is important for hospitality marketers to understand how consumers treat purchase decisions and the influence purchase confidence and situation play on that decision. This study investigated the role purchase confidence plays with knowledge in the selection of sources of information during purchase decisions. The results indicate sources of information are perceived differently by consumers and depending on the purchase situation, subjective knowledge is influenced by purchase confidence affecting the source of information considered when making a purchase decision. The results also indicated that those with high purchase confidence and subjective knowledge will rely on themselves as a source when making a purchase rather than a retail clerk or published material.

Variables affecting government debt: A comparison of certificates of participation, tax -exempt revenue bonds and tax -exempt general obligation bonds

This dissertation analyzed and compared variables affecting interest rate and yield of certificates of participation, tax-exempt revenue bonds and tax-exempt general obligation bonds. The study employed qualitative and quantitative analysis methods. ^ Qualitative research methods included surveys, interviews and focus groups. The survey solicited debt load information from 67 Florida school districts (21 responded) and addressed the question which districts used certificates of participation and why. Eight individuals with experience dealing with all three debt instruments were interviewed. A follow-up focus group of six school district financial officers gathered additional data. Results from the qualitative methods revealed school districts used certificates of participation based on millage authority amount available relative to overall tax base. Also identified was the belief of a significant difference in certificates of participation costs and the other two debt instrument types. ^ The study's quantitative methods analyzed 1998 and 1999 initial issues of Moody's AAA rated certificates of participation, tax-exempt revenue bonds and tax-exempt general obligation bonds. Through an analysis of covariance (ANCOVA), the study examined interest rates and yields while controlling for the covariates of credit enhancement, issue size, and maturity date. The analysis identified no significant difference between interest rates of certificates of participation and tax-exempt general obligation bonds (p < 0.05). There was a significant difference between interest rates of tax-exempt revenue bonds and tax-exempt general obligation bonds. This study discerned no significant difference between yield on certificates of participation and tax-exempt general obligation bonds. It identified a difference in yield between both certificates of participation and tax-exempt general obligation bonds compared with tax-exempt revenue bonds. ^ The study found COPs to have lesser overall costs than RV bonds. COPs also have a quicker entry into the market resulting in construction cost savings. The study found policy implications such as investment portfolio limitations and public choice issues about using COPs as a mechanism to grow government. ^

A Conference on The 200th Anniversary of the Birth of Gertrud is Gómez de Avellaneda: A Celebration of Nineteenth-Century Cuban Literature

This flyer promotes the event "A Conference on The 200th Anniversary of the Birth of Gertrud is Gómez de Avellaneda: A Celebration of Nineteenth-Century Cuban Literature" cosponsored by the Cuban Research Institute and the Department of Modern Languages at Florida International University.