The role of no-arbitrage on forecasting: lessons from a parametric term structure model

Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, dynamic term structure models, equipped with stronger economic structure, have been mainly adopted to price derivatives and explain empirical stylized facts. In this paper, we combine flavors of those two classes of models to test if no-arbitrage affects forecasting. We construct cross section (allowing arbitrages) and arbitrage-free versions of a parametric polynomial model to analyze how well they predict out-of-sample interest rates. Based on U.S. Treasury yield data, we find that no-arbitrage restrictions significantly improve forecasts. Arbitrage-free versions achieve overall smaller biases and Root Mean Square Errors for most maturities and forecasting horizons. Furthermore, a decomposition of forecasts into forward-rates and holding return premia indicates that the superior performance of no-arbitrage versions is due to a better identification of bond risk premium.

Economic cycles and term structure: application to Brazil

The objective of this work is to describe the behavior of the economic cycle in Brazil through Markov processes which can jointly model the slope factor of the yield curve, obtained by the estimation of the Nelson-Siegel Dynamic Model by the Kalman filter and a proxy variable for economic performance, providing some forecasting measure for economic cycles

Occupational tasks and changes in the wage structure

This paper argues that changes in the returns to occupational tasks have contributed to changes in the wage distribution over the last three decades. Using Current Population Survey (CPS) data, we first show that the 1990s polarization of wages is explained by changes in wage setting between and within occupations, which are well captured by tasks measures linked to technological change and offshorability. Using a decomposition based on Firpo, Fortin, and Lemieux (2009), we find that technological change and deunionization played a central role in the 1980s and 1990s, while offshorability became an important factor from the 1990s onwards.

Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Capital structure in Brazil : review of studies during the period of 1988-2003

A systematic review was made of studies regarding the capital structure in Brazil during the period of 1988-2003. The recurring themes relate to the static tradeoff and pecking order in various moments of the economy, the fiscal benefits of indebtedness and interest on privately-owned capital, and the inefficacies of the stock market. The Brazilian companies enjoy little leverage as compared to other emerging markets. BNDES is responsible for 5% of the gross formation of fixed capital. The funding of resources occurs at opportune moments, and the financing decision may precede that of investment. Efficacy of the judiciary system and company transparency positively affect access to credit.

Morphometry and ultra-structure of the intestinal mucosa of broilers fed different additives

This study aimed at evaluating the effect of the use of different growth promoters on the morphometry and ultra-structure of the intestinal mucosa of 42-day-old broilers. A total number of 36 male Cobb broilers was distributed in a randomized experimental design with a 3 x 3 factorial arrangement, with 3 prebiotic and 3 probiotic sources in the feed, summing up 9 treatments, with 4 replicates each. There was a significant interaction (P<0.01) among the studied factor for villi height (VH) in all intestinal segments, and for crypt depth (CD) in the duodenum and the ileum. In the duodenum, higher villi were obtained in the control group, with the combination of B. subtilis and prebiotics, and with the single use of MOS+OA. No VH differences were observed between the control group and those fed prebiotics. In the jejunum, the highest villi were obtained with the use of the bacterial pool, followed by the control group, and by the use of B. subtilis. Higher villi were also obtained in the control group and in the groups fed MOS, when B. subtilis was used in combination with prebiotics, and when the bacterial pool was used individually or in combination with MOS. In the ileum, the highest villi were obtained with the individual use of B. subtilis, and when MOS+OA or MOS were individually used or in combination with the bacterial pool. As to duodenal CID, deeper crypts were observed in the control group and in those fed B. subtilis or MOS+OA. In the ileum, deeper crypts were also found in the control group and those fed B. subtilis. Deeper crypts were also found when the bacterial pool was individually used or in combination with MOS+OA, and with the individual use of MOS. It was concluded that the use of growth promoters was beneficial to Increase intestinal villi height when Bacillus subtilis was used in combination with prebiotics. The other growth promoters (MOS+OA, MOS, and bacterial pool), can be individually used in most situations. The tested growth promoters did not influence intestinal villi density.

Short communication: Principal components and factor analytic models for test-day milk yield in Brazilian Holstein cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Diversity and structure of Ephemeroptera, Plecoptera and Trichoptera (Insecta) assemblages from riffles in mountain streams of Central Brazil

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Structural modeling and mutational analysis of yeast eukaryotic translation initiation factor 5A reveal new critical residues and reinforce its involvement in protein synthesis

Eukaryotic translation initiation factor 5A (eIF5A) is a protein that is highly conserved and essential for cell viability. This factor is the only protein known to contain the unique and essential amino acid residue hypusine. This work focused on the structural and functional characterization of Saccharomyces cerevisiae eIF5A. The tertiary structure of yeast eIF5A was modeled based on the structure of its Leishmania mexicana homologue and this model was used to predict the structural localization of new site-directed and randomly generated mutations. Most of the 40 new mutants exhibited phenotypes that resulted from eIF-5A protein-folding defects. Our data provided evidence that the C-terminal alpha-helix present in yeast eIF5A is an essential structural element, whereas the eIF5A N-terminal 10 amino acid extension not present in archaeal eIF5A homologs, is not. Moreover, the mutants containing substitutions at or in the vicinity of the hypusine modification site displayed nonviable or temperature-sensitive phenotypes and were defective in hypusine modification. Interestingly, two of the temperature-sensitive strains produced stable mutant eIF5A proteins - eIF5A(K56A) and eIF5A(Q22H,L93F)- and showed defects in protein synthesis at the restrictive temperature. Our data revealed important structural features of eIF5A that are required for its vital role in cell viability and underscored an essential function of eIF5A in the translation step of gene expression.

Static simulation of bulk and selected surfaces of anatase TiO2

A theoretical investigation has been carried out to characterize bulk and selected surfaces of anatase TiO2. The calculations are performed using a B3LYP hybrid functional and 6-31G basis set within the periodic density functional approximation. Optimization procedures have been employed to determine the equilibrium geometry of the crystal and slab surface models. The compressibility, band structure, and the bulk and surface charge distributions are reported. The surface relative energies are identified to follow the sequence: (001) < (101) < (100) much less than (110) < < < (111), from the most stable surface to the least stable one. Relaxation of (001) and (101) surfaces are moderate, with no displacements exceeding; approximate to0.19 Angstrom. The theoretical results are compared with previous theoretical studies and available experimental data. (C) 2001 Elsevier B.V. B.V. All rights reserved.

Continuously deformable topological structure

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

High power factor dimmable electronic ballast for multiple tubular fluorescent lamps

This paper presents a dimmable electronic ballast designed for multiple fluorescent lamps applications. A ZCS-PWM Boost rectifier and a classical resonant Full-Bridge inverter compose this new electronic ballast, providing conditions for the obtaining of high input power-factor, and soft-switching processes for all semiconductor devices employed in the structure. The instantaneous average input current control technique is employed in the Boost rectifier. Concerning the Full-Bridge inverter, it is controlled by the imposition of phase-shift in the current processed through the sets of resonant filters + lamps, according to an adaptation in a specially designed control IC, called IR2159. Experimental results are presented in order to validate the analyses developed in this paper.

Force and displacement transmissibility of a nonlinear isolator with high-static-low-dynamic-stiffness

Engineers often face the challenge of reducing the level of vibrations experienced by a given payload or those transmitted to the support structure to which a vibrating source is attached. In order to increase the range over which vibrations are isolated, soft mounts are often used in practice. The drawback of this approach is the static displacement may be too large for reasons of available space for example. Ideally, a vibration isolator should have a high-static stiffness, to withstand static loads without too large a displacement, and at the same time, a low dynamic stiffness so that the natural frequency of the system is as low as possible which will result in an increased isolation region. These two effects are mutually exclusive in linear isolators but can be overcome if properly configured nonlinear isolators are used. This paper is concerned with the characterisation of such a nonlinear isolator comprising three springs, two of which are configured to reduce the dynamic stiffness of the isolator. The dynamic behaviour of the isolator supporting a lumped mass is investigated using force and displacement transmissibility, which are derived by modelling the dynamic system as a single-degree-of-freedom system. This results in the system dynamics being approximately described by the Duffing equation. For a linear isolator, the dynamics of the system are the same regardless if the source of the excitation is a harmonic force acting on the payload (force transmissibility) or a harmonic motion of the base (displacement transmissibility) on which the payload is mounted. In this paper these two expressions are compared for the nonlinear isolator and it is shown that they differ. A particular feature of the displacement transmissibility is that the response is unbounded at the nonlinear resonance frequency unless the damping in the isolator is greater than some threshold value, which is not the case for force transmissibility. An explanation for this is offered in the paper. (C) 2011 Elsevier Ltd. All rights reserved.

Crystal structure of myotoxin II, a monomeric Lys49-Phospholipase A(2) homologue isolated from the venom of Cerrophidion (Bothrops) godmani

Lys49-Phospholipase A(2) (Lys49-PLA(2)) homologues damage membranes by a Ca2+-independent mechanism which does not involve catalytic activity. With the aim of determining the structural basis for this novel activity, we have solved the crystal structure of myotoxin-II, a Lys49-PLA(2) isolated from the venom of Cerrophidion (Bothrops) godmani (godMT-II) at 2.8 Angstrom resolution by molecular replacement. The final model has been refined to a final crystallografic residual (R-factor) of 18.8% (R-free = 28.2%), with excellent stereochemistry. godMT-II is also monomeric in the crystalline state, and small-angle X-ray scattering results demonstrate that the protein is monomeric in solution under fisicochemical conditions similar to those used in the crystallographic studies. (C) 1999 Academic Press.