Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

Testing the expectations theory of the term structure in threshold models

We test the expectations theory of the term structure of U.S. interest rates in nonlinear systems. These models allow the response of the change in short rates to past values of the spread to depend upon the level of the spread. The nonlinear system is tested against a linear system, and the results of testing the expectations theory in both models are contrasted. We find that the results of tests of the implications of the expectations theory depend on the size and sign of the spread. The long maturity spread predicts future changes of the short rate only when it is high.

Pricing the option adjust spread of Brazilian Eurobonds

This paper presents results of a pricing system to compute the option adjusted spread ("DAS") of Eurobonds issued by Brazilian firms. The system computes the "DAS" over US treasury rates taktng imo account the embedded options present on these bonds. These options can be calls ("callable bond"), puts ("putable bond") or combinations ("callable and putable bond"). The pricing model takes into account the evolution of the term structure along time, is compatible with the observable market term structure and is able to compute risk measures such as duration and convexity, and pricing and hedging of options on these bonds. Examples show the ejJects of the embedded options on the spread and risk measures as well as the ejJects on the spread due to variations on the volatility parameters ofthe short rate.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Seed with and without Partial Tegument Removal and Substrate Affect Germination of Castanea sativa

Portuguese chestnut (Castanea sativa) is used for forest products, raw nuts and processed flour, paste, and candy. We studied the influence on germination efficiency of seed with and without partial tegument removal combined with different substrate composition (coconut fiber, pine compost and vermiculite) at São Paulo State University, Campus of Botucatu, São Paulo, Brazil. Randomized blocks were used in a factorial scheme 3x2 (three substrates x two seed types) consisting of six treatments with five replications (twelve seeds). Seeds were sowed in expanded polystyrene trays, with 72 cells, and maintained at 25 C under controlled environment. Rate, time elapsed and speed of seed germination was submitted to ANOVA and the average compared using Tukey's 5% test of probability and curves adjusted based on Gompertz regression. Coconut fiber or vermiculite associated with seed without partial tegument removal showed the highest germination rate, and coconut fiber with or without partial tegument removal displayed the fastest speed of seed germination.

Fault current test of a bifilar Bi-2212 bulk coil

A bifilar Bi-2212 bulk coil with parallel shunt resistor was tested under fault current condition using a 3 MVA single-phase transformer in a 220 V-60 Hz line achieving fault current peak of 8 kA. The fault current tests are performed from steady state peak current of 200 A by applying controlled short circuits up to 8 kA varying the time period from one to six cycles. The test results show the function of the shunt resistor providing homogeneous quench behavior of the HTS coil besides its intrinsic stabilizing role. The limiting current ratio achieves a factor 4.2 during 5 cycles without any degradation.

Kinetics and mechanism of the forward and reverse reactions between N,N′-dimethyl-4,4′-bipyridinium and hexacyanoferrate(II)

The kinetics of the hexacyanoferrate(III)-N,N′-dimethyl-4,4′-bipyridinium radical (MV+) reaction was studied by a laser flash photolysis technique. The radical was generated, in the presence of Fe(CN)6 3-, by quenching the excited state *Ru(bpy)3 2+ with MV2+. The second-order rate constant for the Fe(CN)6 3--MV+ reaction is (7.6 ± 0.5) × 109 M-1 s-1 at 23°C and ionic strength 0.10 M. Comparison with the rate constants calculated for the diffusion-controlled reaction (4.7 × 109 M-1 s-1) and the activation-controlled reaction (5.2 × 1012 M-1 s-1, on the basis of self-exchange rate constants of 8.0 × 105 M-1 s-1 and 1.9 × 104 M-1 s-1 for the MV2+/+ and Fe(CN)6 3-/4- couples, respectively) leads to the conclusion that the Fe(CN)6 3--MV+ reaction is diffusion controlled. The rate constant for the Fe(CN)6-MV2+ reaction, calculated from the rate constant for the Fe(CN)6 3--MV+ reaction and the appropriate equilibrium constant, is 2.4 × 10-5 M-1 s-1 at 23°C and ionic strength 0.10 M. Microscopic reversibility considerations require that the Fe(CN)6 4--MV2+ reaction be controlled by the dissociation of the successor complex Fe(CN)6 3-|MV+. The thermal and optical electron transfers in the ion pair Fe(CN)6 4-|MV2+ and in related systems are analyzed and discussed. © 1982 American Chemical Society.

Avaliação do desempenho de compósitos de PPA/Fibra de vidro para aplicação em bombas de óleo de motores de motocicletas

Pós-graduação em Ciência e Tecnologia de Materiais - FC

MECHANICAL TESTING DEVICE FOR VISCOELASTIC BIOMATERIALS

Nearly all biologic tissues exhibit viscoelastic behavior. This behavior is characterized by hysteresis in the response of the material to load or strain. This information can be utilized in extrapolation of life expectancy of vascular implant materials including native tissues and synthetic materials. This behavior is exhibited in many engineering materials as well such as the polymers PTFE, polyamide, polyethylene, etc. While procedures have been developed for evaluating the engineering polymers the techniques for biologic tissues are not as mature. There are multiple reasons for this. A major one is a cultural divide between the medical and engineering communities. Biomedical engineers are beginning to fill that void. A digitally controlled drivetrain designed to evaluate both elastic and viscoelastic characteristics of biologic tissues has been developed. The initial impetus for the development of this device was to evaluate the potential for human umbilical tissue to serve as a vascular graft material. The consequence is that the load frame is configured for membrane type specimens with rectangular dimensions of no more than 25mm per side. The designed load capacity of the drivetrain is to impose an axial load of 40N on the specimen. This drivetrain is capable of assessing the viscoelastic response of the specimens by four different test modes: stress relaxation, creep, harmonic induced oscillations, and controlled strain rate tests. The fluorocarbon PTFE has mechanical properties commensurate with vascular tissue. In fact, it has been used for vascular grafts in patients who have been victims of various traumas. Hardware and software validation of the device was accomplished by testing PTFE and comparing the results to properties that have been published by both researchers and manufacturers.

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Treatment of adolescents with early-onset schizophrenia spectrum disorders: in search of a rational, evidence-informed approach

Purpose of review: We aimed to review literature on the efficacy and tolerability of psychosocial and psychopharmacological interventions in youth with early-onset schizophrenia spectrum disorders (EOS). A rationale for pragmatic psychopharmacology in EOS, including dosing, switching and adverse effect monitoring and management, is provided. Recent findings: Three randomized controlled trials (RCTs) over the last 8 years demonstrated benefits of psychosocial interventions (i.e. psychoeducation, cognitive remediation, cognitive behavioural therapy) for EOS without clear advantages of one psychosocial treatment over another. Six large, placebo-controlled, short-term RCTs over the last 4 years demonstrated that aripiprazole, olanzapine, paliperidone, quetiapine and risperidone, but not ziprasidone, were superior to placebo. Except for clozapine's superiority in treatment-refractory EOS, efficacy appeared similar across studied first-generation and second-generation antipsychotics, but tolerability varied greatly across individual agents. Summary: Antipsychotics are efficacious in the treatment of EOS. Given the lack of efficacy differences between antipsychotics (except for clozapine for treatment-refractory EOS), we propose that tolerability considerations need to guide choice of antipsychotics. Further and longer-term efficacy and effectiveness studies are urgently needed that should also explore pharmacologic and nonpharmacologic augmentation strategies.

Sedimentological and geochemical characteristics of upper Cretaceous and lower Tertiary sediments of ODP Hole 108-661A

Based on sedimentological and geochemical data, the Upper Cretaceous and Tertiary sequence at Ocean Drilling Program Site 661 was subdivided into four intervals: Interval I (Campanian age) is characterized by sediments deposited below the calcite compensation depth (CCD) inside a high-productivity area and well-oxygenated bottom waters, indicated by the absence of carbonate, the major occurrence of zeolites and opal-CT, and intense bioturbation. Very fine-grained siliciclastic sediments and the lack of any erosional features suggest a low-energy environment. The terrigenous fraction was probably supplied by winds from the nontropical areas in South Africa. Interval II (Maestrichtian age) is characterized by high-amplitude variations in the carbonate content indicative of a deposition above the CCD, superimposed by (climate-controlled) short-term fluctuations of the CCD. The absence of both zeolites and opal-CT imply a position of Site 661 outside high-productivity areas. The first occurrence of higher amounts of kaolinite (especially during the middle Maestrichtian) suggests the onset of a terrigenous sediment supply from tropical areas. Interval III (between uppermost Cretaceous to early Tertiary) is characterized by the absence of carbonate and zeolites, interpreted as deposition below the CCD and outside an oceanic high-productivity belt. The kaolinite-over-illite dominance suggests a terrigenous sediment supply from tropical areas. Interval IV (between early Tertiary and Miocene age) is characterized by the occurrence of black manganeserich layers, major nodules/pebbles, and erosional surfaces, indicating phases of extremely reduced sediment accumulation and bottom-current activities. In the lower part of this interval (?Eocene age), higher amounts of zeolites occur, which suggest a higher oceanic productivity caused by equatorial upwelling. The source area of the terrigenous sediment fraction at Site 661 was the tropical region of northwest Africa, as suggested by the kaolinite-over-illite dominance.

Oxidation and stabilisation chemistry of metallocene-based polyolefins during melt processing

Metallocene catalyzed linear low density polyethylene (m-LLDPE) is a new generation of olefin copolymer. Based on the more recently developed metallocene-type catalysts, m-LLDPE can be synthesized with exactly controlled short chain branches and stereo-regular microstructure. The unique properties of these polymers have led to their applications in many areas. As a result, it is important to have a good understanding of the oxidation mechanism of m-LLDPE during melt processing in order to develop more effective stabilisation systems and continue to increase the performance of the material. The primary objectives of this work were, firstly, to investigate the oxidative degradation mechanisms of m-LLDPE polymers having different comonomer (I-octene) content during melt processing. Secondly, to examine the effectiveness of some commercial antioxidants on the stabilisation of m-LLDPE melt. A Ziegler-polymerized LLDPE (z-LLDPE) based on the same comonomer was chosen and processed under the same conditions for comparison with the metallocene polymers. The LLDPE polymers were processed using an internal mixer (torque rheometer, TR) and a co-rotating twin-screw extruder (TSE). The effects of processing variables (time, temperature) on the rheological (MI, MWD, rheometry) and molecular (unsaturation type and content, carbonyl compounds, chain branching) characteristics of the processed polymers were examined. It was found that the catalyst type (metallocene or Ziegler) and comonomer content of the polymers have great impact on their oxidative degradation behavior (crosslinking or chain scission) during melt processing. The metallocene polymers mainly underwent chain scission at lower temperature (<220°C) but crosslinking became predominant at higher temperature for both TR and TSE processed polymers. Generally, the more comonomers the m-LLDPE contains, a larger extent of chain scission can be expected. In contrast, crosslinking reactions were shown to be always dominant in the case of the Ziegler LLDPE. Furthermore, it is clear that the molecular weight distribution (MWD) of all LLDPE became broader after processing and tended generally to be broader at elevated temperatures and more extrusion passes. So, it can be concluded that crosslinking and chain scission are temperature dependent and occur simultaneously as competing reactions during melt processing. Vinyl is considered to be the most important unsaturated group leading to polymer crosslinking as its concentration in all the LLDPE decreased after processing. Carbonyl compounds were produced during LLDPE melt processing and ketones were shown to be the most imp0l1ant carbonyl-containing products in all processed polymers. The carbonyl concentration generally increased with temperature and extrusion passes, and the higher carbonyl content fonned in processed z-LLDPE and m-LLDPE polymers having higher comonomer content indicates their higher susceptibility of oxidative degradation. Hindered phenol and lactone antioxidants were shown to be effective in the stabilization of m-LLDPE melt when they were singly used in TSE extrusion. The combination of hindered phenol and phosphite has synergistic effect on m-LLDPE stabilization and the phenol-phosphite-Iactone mixture imparted the polymers with good stability during extrusion, especially for m-LLDPE with higher comonomer content.

Bioengineered Approaches to Prevent Hypertrophic Scar Contraction

Burn injuries in the United States account for over one million hospital admissions per year, with treatment estimated at four billion dollars. Of severe burn patients, 30-90% will develop hypertrophic scars (HSc). Current burn therapies rely upon the use of bioengineered skin equivalents (BSEs), which assist in wound healing but do not prevent HSc. HSc contraction occurs of 6-18 months and results in the formation of a fixed, inelastic skin deformity, with 60% of cases occurring across a joint. HSc contraction is characterized by abnormally high presence of contractile myofibroblasts which normally apoptose at the completion of the proliferative phase of wound healing. Additionally, clinical observation suggests that the likelihood of HSc is increased in injuries with a prolonged immune response. Given the pathogenesis of HSc, we hypothesize that BSEs should be designed with two key anti-scarring characterizes: (1) 3D architecture and surface chemistry to mitigate the inflammatory microenvironment and decrease myofibroblast transition; and (2) using materials which persist in the wound bed throughout the remodeling phase of repair. We employed electrospinning and 3D printing to generate scaffolds with well-controlled degradation rate, surface coatings, and 3D architecture to explore our hypothesis through four aims.

In the first aim, we evaluate the impact of elastomeric, randomly-oriented biostable polyurethane (PU) scaffold on HSc-related outcomes. In unwounded skin, native collagen is arranged randomly, elastin fibers are abundant, and myofibroblasts are absent. Conversely, in scar contractures, collagen is arranged in linear arrays and elastin fibers are few, while myofibroblast density is high. Randomly oriented collagen fibers native to the uninjured dermis encourage random cell alignment through contact guidance and do not transmit as much force as aligned collagen fibers. However, the linear ECM serves as a system for mechanotransduction between cells in a feed-forward mechanism, which perpetuates ECM remodeling and myofibroblast contraction. The electrospinning process allowed us to create scaffolds with randomly-oriented fibers that promote random collagen deposition and decrease myofibroblast formation. Compared to an in vitro HSc contraction model, fibroblast-seeded PU scaffolds significantly decreased matrix and myofibroblast formation. In a murine HSc model, collagen coated PU (ccPU) scaffolds significantly reduced HSc contraction as compared to untreated control wounds and wounds treated with the clinical standard of care. The data from this study suggest that electrospun ccPU scaffolds meet the requirements to mitigate HSc contraction including: reduction of in vitro HSc related outcomes, diminished scar stiffness, and reduced scar contraction. While clinical dogma suggests treating severe burn patients with rapidly biodegrading skin equivalents, these data suggest that a more long-term scaffold may possess merit in reducing HSc.

In the second aim, we further investigate the impact of scaffold longevity on HSc contraction by studying a degradable, elastomeric, randomly oriented, electrospun micro-fibrous scaffold fabricated from the copolymer poly(l-lactide-co-ε-caprolactone) (PLCL). PLCL scaffolds displayed appropriate elastomeric and tensile characteristics for implantation beneath a human skin graft. In vitro analysis using normal human dermal fibroblasts (NHDF) demonstrated that PLCL scaffolds decreased myofibroblast formation as compared to an in vitro HSc contraction model. Using our murine HSc contraction model, we found that HSc contraction was significantly greater in animals treated with standard of care, Integra, as compared to those treated with collagen coated-PLCL (ccPLCL) scaffolds at d 56 following implantation. Finally, wounds treated with ccPLCL were significantly less stiff than control wounds at d 56 in vivo. Together, these data further solidify our hypothesis that scaffolds which persist throughout the remodeling phase of repair represent a clinically translatable method to prevent HSc contraction.

In the third aim, we attempt to optimize cell-scaffold interactions by employing an anti-inflammatory coating on electrospun PLCL scaffolds. The anti-inflammatory sub-epidermal glycosaminoglycan, hyaluronic acid (HA) was used as a coating material for PLCL scaffolds to encourage a regenerative healing phenotype. To minimize local inflammation, an anti-TNFα monoclonal antibody (mAB) was conjugated to the HA backbone prior to PLCL coating. ELISA analysis confirmed mAB activity following conjugation to HA (HA+mAB), and following adsorption of HA+mAB to the PLCL backbone [(HA+mAB)PLCL]. Alican blue staining demonstrated thorough HA coating of PLCL scaffolds using pressure-driven adsorption. In vitro studies demonstrated that treatment with (HA+mAB)PLCL prevented downstream inflammatory events in mouse macrophages treated with soluble TNFα. In vivo studies using our murine HSc contraction model suggested positive impact of HA coating, which was partiall impeded by the inclusion of the TNFα mAB. Further characterization of the inflammatory microenvironment of our murine model is required prior to conclusions regarding the potential for anti-TNFα therapeutics for HSc. Together, our data demonstrate the development of a complex anti-inflammatory coating for PLCL scaffolds, and the potential impact of altering the ECM coating material on HSc contraction.

In the fourth aim, we investigate how scaffold design, specifically pore dimensions, can influence myofibroblast interactions and subsequent formation of OB-cadherin positive adherens junctions in vitro. We collaborated with Wake Forest University to produce 3D printed (3DP) scaffolds with well-controlled pore sizes we hypothesized that decreasing pore size would mitigate intra-cellular communication via OB-cadherin-positive adherens junctions. PU was 3D printed via pressure extrusion in basket-weave design with feature diameter of ~70 µm and pore sizes of 50, 100, or 150 µm. Tensile elastic moduli of 3DP scaffolds were similar to Integra; however, flexural moduli of 3DP were significantly greater than Integra. 3DP scaffolds demonstrated ~50% porosity. 24 h and 5 d western blot data demonstrated significant increases in OB-cadherin expression in 100 µm pores relative to 50 µm pores, suggesting that pore size may play a role in regulating cell-cell communication. To analyze the impact of pore size in these scaffolds on scarring in vivo, scaffolds were implanted beneath skin graft in a murine HSc model. While flexural stiffness resulted in graft necrosis by d 14, cellular and blood vessel integration into scaffolds was evident, suggesting potential for this design if employed in a less stiff material. In this study, we demonstrate for the first time that pore size alone impacts OB-cadherin protein expression in vitro, suggesting that pore size may play a role on adherens junction formation affiliated with the fibroblast-to-myofibroblast transition. Overall, this work introduces a new bioengineered scaffold design to both study the mechanism behind HSc and prevent the clinical burden of this contractile disease.

Together, these studies inform the field of critical design parameters in scaffold design for the prevention of HSc contraction. We propose that scaffold 3D architectural design, surface chemistry, and longevity can be employed as key design parameters during the development of next generation, low-cost scaffolds to mitigate post-burn hypertrophic scar contraction. The lessening of post-burn scarring and scar contraction would improve clinical practice by reducing medical expenditures, increasing patient survival, and dramatically improving quality of life for millions of patients worldwide.