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

Design of Resistivity Instrumentation for a He3 Cryostat and its Application to the Charge Density Wave Superconductor CuxTiSe2

Fermi patches in quasi-two dimensional charge density waves (CDW) have not described the connection to superconductivity (SC) according to theory adequately at this point in time. The connection between CDW and SC in the quasi-two dimensional material CuxTiSe2 is an interesting one which might reveal mechanisms in unconventional superconductors. A previous Brock graduate student grew crystals of CuxTiSe2. The precise doping of the samples was not known. In order to determine the doping parameter x in CuxTiSe2, a sensitive resistivity measurement system was necessary. A new resistivity measurement system was designed and implemented utilizing an Infrared Labs HDL-10 He3 cryostat. By comparing with data from the literature, doping of two samples was investigated using the new measurement system and a Quantum Design Magnetic Property Measurement System (MPMS). Methods for determining the doping revealed that the old resistivity system would not be able to determine the CDW transition temperature of highly doped samples or doping for elongated samples due to electronic noise. Doping in one sample was found to be between x=0.06 and x=0.065. Values of doping in the second sample had a discrepancy but could be explained by incorrect sample orientation.

Forecasting Containerized Traffic for the Port of Montreal (1981-1995)

Le But de Ce Rapport Est de Presenter L'approche Utilisee Par les Auteurs Pour Effectuer des Previsions a Long Terme du Trafic de Conteneurs Outre-Mer, Pour le Port de Montreal. Cette Approche Suppose D'abord L'estimation du Trafic de Conteneurs Par Categories de Marchandise, Par Origine et Destination, au Cours des Annees Recentes. Ensuite, Nous Avons Obtenu des Previsions du Trafic de Conteneurs Pour 1995, En Nous Basant Sur des Anticipations Relatives aux Tendances Generales du Commerce Exterieur Canadien et a la Composition de Ces Echanges, Par Groupes de Marchandises. Nous Avons Egalement du Effectuer des Projections Sur L'evolution Probable des Taux de Conteneurisation, En Tenant Compte des Diverses Marchandises et Egalement des Partenaires Commerciaux Impliques. Nous Avons Aussi Considere L'evolution Possible des Frontieres de la Zone D'influence (\"Hinterland\") du Port de Montreal. L'importance du Trafic Genere Par le Midwest des Etats Unis a Augmente Considerablement au Cours de la Derniere Decennie, a Cause D'un Certain Nombre de Facteurs Institutionnels. Nos Previsions du Trafic de Conteneurs, Pour le Port de Montreal, Dependent Donc,En Grande Partie, de L'eventualite Que le Midwest des Etats Unis Demeure Dans la Zone D'influence du Port de Montreal. Finalement, Nous Presentons Deux Scenarios de Previsions. le Premier de Ces Scenarios Suppose Que la Position Concurrentielle Actuelle du Port de Montreal Demeure Virtuellement Inchangee. le Second Scenario Suppose la Disparition D'une Importante Entreprise de Transport de Conteneurs, Situee a Montreal.

"Empirical Analysis of Jumps Contribution to Volatility Forecasting Using High Frequency Data".

Rapport de recherche présenté à la Faculté des arts et des sciences en vue de l'obtention du grade de Maîtrise en sciences économiques.

Vector flow mapping using plane wave ultrasound imaging

Les diagnostics cliniques des maladies cardio-vasculaires sont principalement effectués à l’aide d’échographies Doppler-couleur malgré ses restrictions : mesures de vélocité dépendantes de l’angle ainsi qu’une fréquence d’images plus faible à cause de focalisation traditionnelle. Deux études, utilisant des approches différentes, adressent ces restrictions en utilisant l’imagerie à onde-plane, post-traitée avec des méthodes de délai et sommation et d’autocorrélation. L’objectif de la présente étude est de ré-implémenté ces méthodes pour analyser certains paramètres qui affecte la précision des estimations de la vélocité du flux sanguin en utilisant le Doppler vectoriel 2D. À l’aide d’expériences in vitro sur des flux paraboliques stationnaires effectuées avec un système Verasonics, l’impact de quatre paramètres sur la précision de la cartographie a été évalué : le nombre d’inclinaisons par orientation, la longueur d’ensemble pour les images à orientation unique, le nombre de cycles par pulsation, ainsi que l’angle de l’orientation pour différents flux. Les valeurs optimales sont de 7 inclinaisons par orientation, une orientation de ±15° avec 6 cycles par pulsation. La précision de la reconstruction est comparable à l’échographie Doppler conventionnelle, tout en ayant une fréquence d’image 10 à 20 fois supérieure, permettant une meilleure caractérisation des transitions rapides qui requiert une résolution temporelle élevée.

Quantitative ultrasound imaging during shear wave propagation for application related to breast cancer diagnosis

Dans le contexte de la caractérisation des tissus mammaires, on peut se demander ce que l’examen d’un attribut en échographie quantitative (« quantitative ultrasound » - QUS) d’un milieu diffusant (tel un tissu biologique mou) pendant la propagation d’une onde de cisaillement ajoute à son pouvoir discriminant. Ce travail présente une étude du comportement variable temporel de trois paramètres statistiques (l’intensité moyenne, le paramètre de structure et le paramètre de regroupement des diffuseurs) d’un modèle général pour l’enveloppe écho de l’onde ultrasonore rétrodiffusée (c.-à-d., la K-distribution homodyne) sous la propagation des ondes de cisaillement. Des ondes de cisaillement transitoires ont été générés en utilisant la mèthode d’ imagerie de cisaillement supersonique ( «supersonic shear imaging » - SSI) dans trois fantômes in-vitro macroscopiquement homogènes imitant le sein avec des propriétés mécaniques différentes, et deux fantômes ex-vivo hétérogénes avec tumeurs de souris incluses dans un milieu environnant d’agargélatine. Une comparaison de l’étendue des trois paramètres de la K-distribution homodyne avec et sans propagation d’ondes de cisaillement a montré que les paramètres étaient significativement (p < 0,001) affectès par la propagation d’ondes de cisaillement dans les expériences in-vitro et ex-vivo. Les résultats ont également démontré que la plage dynamique des paramétres statistiques au cours de la propagation des ondes de cisaillement peut aider à discriminer (avec p < 0,001) les trois fantômes homogènes in-vitro les uns des autres, ainsi que les tumeurs de souris de leur milieu environnant dans les fantômes hétérogénes ex-vivo. De plus, un modéle de régression linéaire a été appliqué pour corréler la plage de l’intensité moyenne sous la propagation des ondes de cisaillement avec l’amplitude maximale de déplacement du « speckle » ultrasonore. La régression linéaire obtenue a été significative : fantômes in vitro : R2 = 0.98, p < 0,001 ; tumeurs ex-vivo : R2 = 0,56, p = 0,013 ; milieu environnant ex-vivo : R2 = 0,59, p = 0,009. En revanche, la régression linéaire n’a pas été aussi significative entre l’intensité moyenne sans propagation d’ondes de cisaillement et les propriétés mécaniques du milieu : fantômes in vitro : R2 = 0,07, p = 0,328, tumeurs ex-vivo : R2 = 0,55, p = 0,022 ; milieu environnant ex-vivo : R2 = 0,45, p = 0,047. Cette nouvelle approche peut fournir des informations supplémentaires à l’échographie quantitative statistique traditionnellement réalisée dans un cadre statique (c.-à-d., sans propagation d’ondes de cisaillement), par exemple, dans le contexte de l’imagerie ultrasonore en vue de la classification du cancer du sein.

(1−x)MgAl2O4-xTiO2 dielectrics for microwave and millimeter wave applications

The MgAl2O4 ceramics were prepared by the conventional solid-state ceramic route and the dielectric properties studied in the microwave frequency region (3–13 GHz). The phase purity and crystal structure were identified using the X-ray diffraction technique. The MgAl2O4 spinel ceramics show interesting microwave dielectric properties (εr = 8.75, Qux f = 68 900 GHz (loss tangent = 0.00017 at 12.3 GHz), τf =−75 ppm/◦C). The MgAl2O4 has high negative τf, which precludes its immediate use in practical applications. Hence the microwave dielectric properties of MgAl2O4 spinels were tailored by adding different mole fractions of TiO2. The εr and Q factor of the mixed phases were increased with the molar addition of TiO2 into the spinel to form mixtures based on (1−x)MgAl2O4-xTiO2 (x = 0.0−1.0). For x = 0.25 in (1−x)MgAl2O4-xTiO2, the microwave quality factor reaches a maximum value of Qux f = 105 400 GHz (loss tangent = 0.00007 at 7.5 GHz) where εr and τf are 11.035 and −12 ppm/◦C, respectively. The microwave dielectric properties of the newly developed 0.75MgAl2O4-0.25TiO2 dielectric is superior to several commercially available low loss dielectric substrates.

Evanescent Wave Fibre Optic Sensors for Trace Analysis of Fe3+ in Water

In this communication, we discuss the details of fabricating an off-line fibre optic sensor (FOS) based on evanescent wave absorption for detecting trace amounts of Fe3+ in water. Two types of FOS are developed; one type uses the unclad portion of a multimode silica fibre as the sensing region whereas the other employs the microbent portion of a multimode plastic fibre as the sensing region. Sensing is performed by measuring the absorption of the evanescent wave in a reagent medium surrounding the sensing region. To evaluate the relative merits of the two types of FOS in Fe3+ sensing, a comparative study of the sensors is made, which reveals the superiority of the latter in many respects, such as smaller sensing length, use of a double detection scheme (for detecting both core and cladding modes) and higher sensitivity of cladding mode detection at an intermediate range of concentration along with the added advantage that plastic fibres are inexpensive. A detection limit of 1 ppb is observed in both types of fibre and the range of detection can be as large as 1 ppb–50 ppm. All the measurements are carried out using a LabVIEW set-up.

Evanescent wave fibre optic sensors for trace analysis of Fe3+ in water

In this communication, we discuss the details of fabricating an off-line fibre optic sensor (FOS) based on evanescent wave absorption for detecting trace amounts of Fe3+ in water. Two types of FOS are developed; one type uses the unclad portion of a multimode silica fibre as the sensing region whereas the other employs the microbent portion of a multimode plastic fibre as the sensing region. Sensing is performed by measuring the absorption of the evanescent wave in a reagent medium surrounding the sensing region. To evaluate the relative merits of the two types of FOS in Fe3+ sensing, a comparative study of the sensors is made, which reveals the superiority of the latter in many respects, such as smaller sensing length, use of a double detection scheme (for detecting both core and cladding modes) and higher sensitivity of cladding mode detection at an intermediate range of concentration along with the added advantage that plastic fibres are inexpensive. A detection limit of 1 ppb is observed in both types of fibre and the range of detection can be as large as 1 ppb–50 ppm. All the measurements are carried out using a LabVIEW set-up.

Evanescent wave fibre optic sensors for trace analysis of Fe3+ in water

In this communication, we discuss the details of fabricating an off-line fibre optic sensor (FOS) based on evanescent wave absorption for detecting trace amounts of Fe3+ in water. Two types of FOS are developed; one type uses the unclad portion of a multimode silica fibre as the sensing region whereas the other employs the microbent portion of a multimode plastic fibre as the sensing region. Sensing is performed by measuring the absorption of the evanescent wave in a reagent medium surrounding the sensing region. To evaluate the relative merits of the two types of FOS in Fe3+ sensing, a comparative study of the sensors is made, which reveals the superiority of the latter in many respects, such as smaller sensing length, use of a double detection scheme (for detecting both core and cladding modes) and higher sensitivity of cladding mode detection at an intermediate range of concentration along with the added advantage that plastic fibres are inexpensive. A detection limit of 1 ppb is observed in both types of fibre and the range of detection can be as large as 1 ppb–50 ppm. All the measurements are carried out using a LabVIEW set-up.

Evanescent wave fibre optic sensors for trace analysis of Fe3+ in water

In this communication, we discuss the details of fabricating an off-line fibre optic sensor (FOS) based on evanescent wave absorption for detecting trace amounts of Fe3+ in water. Two types of FOS are developed; one type uses the unclad portion of a multimode silica fibre as the sensing region whereas the other employs the microbent portion of a multimode plastic fibre as the sensing region. Sensing is performed by measuring the absorption of the evanescent wave in a reagent medium surrounding the sensing region. To evaluate the relative merits of the two types of FOS in Fe3+ sensing, a comparative study of the sensors is made, which reveals the superiority of the latter in many respects, such as smaller sensing length, use of a double detection scheme (for detecting both core and cladding modes) and higher sensitivity of cladding mode detection at an intermediate range of concentration along with the added advantage that plastic fibres are inexpensive. A detection limit of 1 ppb is observed in both types of fibre and the range of detection can be as large as 1 ppb–50 ppm. All the measurements are carried out using a LabVIEW set-up.