Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Shape and chemically anisotropic colloidal particles: A theoretical study of their structure, phase behavior, and slow dynamics

A detailed non-equilibrium state diagram of shape-anisotropic particle fluids is constructed. The effects of particle shape are explored using Naive Mode Coupling Theory (NMCT), and a single particle Non-linear Langevin Equation (NLE) theory. The dynamical behavior of non-ergodic fluids are discussed. We employ a rotationally frozen approach to NMCT in order to determine a transition to center of mass (translational) localization. Both ideal and kinetic glass transitions are found to be highly shape dependent, and uniformly increase with particle dimensionality. The glass transition volume fraction of quasi 1- and 2- dimensional particles fall monotonically with the number of sites (aspect ratio), while 3-dimensional particles display a non-monotonic dependence of glassy vitrification on the number of sites. Introducing interparticle attractions results in a far more complex state diagram. The ideal non-ergodic boundary shows a glass-fluid-gel re-entrance previously predicted for spherical particle fluids. The non-ergodic region of the state diagram presents qualitatively different dynamics in different regimes. They are qualified by the different behaviors of the NLE dynamic free energy. The caging dominated, repulsive glass regime is characterized by long localization lengths and barrier locations, dictated by repulsive hard core interactions, while the bonding dominated gel region has short localization lengths (commensurate with the attraction range), and barrier locations. There exists a small region of the state diagram which is qualified by both glassy and gel localization lengths in the dynamic free energy. A much larger (high volume fraction, and high attraction strength) region of phase space is characterized by short gel-like localization lengths, and long barrier locations. The region is called the attractive glass and represents a 2-step relaxation process whereby a particle first breaks attractive physical bonds, and then escapes its topological cage. The dynamic fragility of fluids are highly particle shape dependent. It increases with particle dimensionality and falls with aspect ratio for quasi 1- and 2- dimentional particles. An ultralocal limit analysis of the NLE theory predicts universalities in the behavior of relaxation times, and elastic moduli. The equlibrium phase diagram of chemically anisotropic Janus spheres and Janus rods are calculated employing a mean field Random Phase Approximation. The calculations for Janus rods are corroborated by the full liquid state Reference Interaction Site Model theory. The Janus particles consist of attractive and repulsive regions. Both rods and spheres display rich phase behavior. The phase diagrams of these systems display fluid, macrophase separated, attraction driven microphase separated, repulsion driven microphase separated and crystalline regimes. Macrophase separation is predicted in highly attractive low volume fraction systems. Attraction driven microphase separation is charaterized by long length scale divergences, where the ordering length scale determines the microphase ordered structures. The ordering length scale of repulsion driven microphase separation is determined by the repulsive range. At the high volume fractions, particles forgo the enthalpic considerations of attractions and repulsions to satisfy hard core constraints and maximize vibrational entropy. This results in site length scale ordering in rods, and the sphere length scale ordering in Janus spheres, i.e., crystallization. A change in the Janus balance of both rods and spheres results in quantitative changes in spinodal temperatures and the position of phase boundaries. However, a change in the block sequence of Janus rods causes qualitative changes in the type of microphase ordered state, and induces prominent features (such as the Lifshitz point) in the phase diagrams of these systems. A detailed study of the number of nearest neighbors in Janus rod systems reflect a deep connection between this local measure of structure, and the structure factor which represents the most global measure of order.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed time-varying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible real-time term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Tobacco and alcohol use in adolescents with unplanned pregnancies: relation with family structure, tobacco and alcohol use at home and by friends.

Background: Recent publications show that smoking and alcohol use among adolescents with unplanned pregnancy is increasing and the causes need to be further studied. Objective: To determine the association between living in a non-intact family household and the presence of smokers and consumers of alcoholic beverages in the adolescents’ environment with smoking and consuming alcoholic beverages in adolescents with unplanned pregnancies. Methods: A cross-sectional study was carried out among 785 pregnant adolescents, aged 13-19 years. Data was collected by trained interviewers using a self-administered questionnaire. The association was determined using multivariate logistic regression analysis. Results: In adolescents with unplanned pregnancies, the prevalence of active smoking was 21.2% and of alcohol consumption, 41.5%. The percentage of smoking at home was 57.4% and alcohol consumption, 77.5%. Approximately, 80.3% of adolescents with unplanned pregnancies had friends who smoked and 90.6% consumed alcoholic beverages. Multivariate logistic regression analysis shows that having friends who smoke or who consume alcoholic beverages is the most important risk factor for substance use in adolescents with unplanned pregnancies. Smoking and alcohol consumption at home are not associated with smoking in adolescents with unplanned pregnancies. Conclusion: Socializing with friends who smoke and/or consume alcoholic beverages constitutes the most important risk factor for substance use among adolescents with unplanned pregnancies.

Proton Form Factor Puzzle and the CEBAF Large Acceptance Spectrometer(CLAS) Two-Photon Exchange Experiment

The electromagnetic form factors are the most fundamental observables that encode information about the internal structure of the nucleon. The electric ($G_{E}$) and the magnetic ($G_{M}$) form factors contain information about the spatial distribution of the charge and magnetization inside the nucleon. A significant discrepancy exists between the Rosenbluth and the polarization transfer measurements of the electromagnetic form factors of the proton. One possible explanation for the discrepancy is the contributions of two-photon exchange (TPE) effects. Theoretical calculations estimating the magnitude of the TPE effect are highly model dependent, and limited experimental evidence for such effects exists. Experimentally, the TPE effect can be measured by comparing the ratio of positron-proton elastic scattering cross section to that of the electron-proton $\large(R = \frac{\sigma (e^{+}p)}{\sigma (e^{-}p)}\large)$. The ratio $R$ was measured over a wide range of kinematics, utilizing a 5.6 GeV primary electron beam produced by the Continuous Electron Beam Accelerator Facility (CEBAF) at Jefferson Lab. This dissertation explored dependence of $R$ on kinematic variables such as squared four-momentum transfer ($Q^{2}$) and the virtual photon polarization parameter ($\varepsilon$). A mixed electron-positron beam was produced from the primary electron beam in experimental Hall B. The mixed beam was scattered from a liquid hydrogen (LH$_{2}$) target. Both the scattered lepton and the recoil proton were detected by the CEBAF Large Acceptance Spectrometer (CLAS). The elastic events were then identified by using elastic scattering kinematics. This work extracted the $Q^{2}$ dependence of $R$ at high $\varepsilon$ ($\varepsilon > $ 0.8) and the $\varepsilon$ dependence of $R$ at $\langle Q^{2} \rangle \approx 0.85$ GeV$^{2}$. In these kinematics, our data confirm the validity of the hadronic calculations of the TPE effect by Blunden, Melnitchouk, and Tjon. This hadronic TPE effect, with additional corrections contributed by higher excitations of the intermediate state nucleon, largely reconciles the Rosenbluth and the polarization transfer measurements of the electromagnetic form factors.

Surface irregularity factor as a parameter to evaluate the fatigue damage state of CFRP

This work presents an optical non-contact technique to evaluate the fatigue damage state of CFRP structures measuring the irregularity factor of the surface. This factor includes information about surface topology and can be measured easily on field, by techniques such as optical perfilometers. The surface irregularity factor has been correlated with stiffness degradation, which is a well-accepted parameter for the evaluation of the fatigue damage state of composite materials. Constant amplitude fatigue loads (CAL) and realistic variable amplitude loads (VAL), representative of real in- flight conditions, have been applied to “dog bone” shaped tensile specimens. It has been shown that the measurement of the surface irregularity parameters can be applied to evaluate the damage state of a structure, and that it is independent of the type of fatigue load that has caused the damage. As a result, this measurement technique is applicable for a wide range of inspections of composite material structures, from pressurized tanks with constant amplitude loads, to variable amplitude loaded aeronautical structures such as wings and empennages, up to automotive and other industrial applications.

The hierarchic structure of fears: A cross-cultural replication with the fear survey schedule in a portuguese sample

A confirmatory attempt is made to assess the validity of a hierarchic structural model of fears. Using a sample comprising 1,980 adult volunteers in Portugal, the present study set out to delineate the multidimensional structure and hierarchic organization of a large set of feared stimuli by contrasting a higher-order model comprising general fear at the highest level against a first-order model and a unitary fear model. Following a refinement of the original model, support was found for a five-factor model on a first-order level, namely (1) Social fears, (2) Agoraphobic fears, (3) Fears of bodily injury, death and illness, (4) Fears of display to aggressive scenes, and (5) Harmless animals fears. These factors in turn loaded on a General fear factor at the second-order level. However, the firstorder model was as parsimonious as a hierarchic higher-order model. The hierarchic model supports a quantitative hierarchic approach which decomposes fear disorders into agoraphobic, social, and specific (animal and bloodinjury) fears.

Covariant Spectator Theory and Hadron Structure

We present the first results of a study on meson spectroscopy using a covariant formalism based on the Covariant Spectator Theory. Our approach is derived directly in Minkowski space and it approximates the Bethe–Salpeter equation by taking effectively into account the contributions from both ladder and crossed ladder diagrams in the $q\bar{q}$ interaction kernel. A general Lorentz structure of the kernel is tested and chiral constraints on the kernel are discussed. Results for the pion form factor are also presented.

Chiral-symmetry Breaking and Pion Structure in the Covariant Spectator Theory

We introduce a covariant approach in Minkowski space for the description of quarks and mesons that exhibits both chiral-symmetry breaking and confinement. In a simple model for the interquark interaction, the quark mass function is obtained and used in the calculation of the pion form factor. We study the effects of the mass function and the different quark pole contributions on the pion form factor.

Quinn’s Leadership Roles: A Confirmatory Factor Analysis Study in Portuguese Health Services

Purpose: To evaluate psychometric properties of Quinn’s leadership questionnaire (CFV questionnaire; 1988) to the Portuguese health services. Design: Cross-sectional study, using the Quinn’s leadership questionnaire, administered to registered nurses and physicians in Portuguese health care services (N = 687). Method: Self-administered survey applied to two samples. In the first (of convenience; N = 249 Portuguese health professionals) were performed exploratory factor and reliability analysis to the CFV questionnaire. In the second sample (stratified; N = 50 surgical units of 33 Portuguese hospitals) was performed confirmatory factor analysis using LISREL 8.80. Findings: The first sample supported an eight-factor solution accounting for 65.46% of the variance, in an interpretable factorial structure (loadings> .50), with Cronbach’s α upper than .79. This factorial structure, replicated with the second sample, showed reasonable fit for each of the 8 leadership roles, quadrants, and global model. The models evidenced, generally, nomological validity, with scores between good and acceptable (.235 < x2/df < 2.055 e .00 < RMSEA < .077). Conclusions: Quinn’s leadership questionnaire presented good reliability and validity for the eight leadership roles, showing to be suitable for use in hospital health care context. Key-Words: Leadership; Quinn’s CVF questionnaire; health services; Quinn’s competing values.

Stress Concentration Factor and Fatigue Life Evaluation in offshore tubular KT-Joints

In the last few decades, offshore field has grown fast especially after the notable development of technologies, explorations of oil and gas in deep water and the high concern of offshore companies in renewable energy mainly Wind Energy. Fatigue damage was noticed as one of the main problems causing failure of offshore structures. The purpose of this research is to focus on the evaluation of Stress Concentration Factor and its influence on Fatigue Life for 2 tubular KT-Joints in offshore Jacket structure using different calculation methods. The work is done by using analytical calculations, mainly Efthymiou’s formulations, and numerical solutions, FEM analysis, using ABAQUS software. As for the analytical formulations, the calculations were done according to the geometrical parameters of each method using excel sheets. As for the numerical model, 2 different types of tubular KT-Joints are present where for each model 5 shell element type, 3 solid element type and 3 solid-with-weld element type models were built on ABAQUS. Meshing was assigned according to International Institute of Welding (IIW) recommendations, 5 types of mesh element, to evaluate the Hot-spot stresses. 23 different types of unitary loading conditions were assigned, 9 axial, 7 in-plane bending moment and 7 out-plane bending moment loads. The extraction of Hot-spot stresses and the evaluation of the Stress Concentration Factor were done using PYTHON scripting and MATLAB. Then, the fatigue damage evaluation for a critical KT tubular joint based on Simplified Fatigue Damage Rule and Local Approaches (Strain Damage Parameter and Stress Damage Parameter) methods were calculated according to the maximum Stress Concentration Factor conducted from DNV and FEA methods. In conclusion, this research helped us to compare different results of Stress Concentration Factor and Fatigue Life using different methods and provided us with a general overview about what to study next in the future.

A new concept for a Sport-Coupè car developed with the Industrial Design Structure method (IDeS)

The aim of this study, conducted in collaboration with Lawrence Technological University in Detroit, is to create, through the method of the Industrial Design Structure (IDeS), a new concept for a sport-coupe car, based on a restyling of a retro model (Ford Mustang 1967). To date, vintage models of cars always arouse great interest both for the history behind them and for the classic and elegant style. Designing a model of a vehicle that can combine the charm of retro style with the innovation and comfort of modern cars would allow to meet the needs and desires of a large segment of the market that today is forced to choose between past and future. Thanks to a well-conceived concept car an automaker company is able to express its future policy, to make a statement of intent as, such a prototype, ticks all the boxes, from glamour and visual wow-factor to technical intrigue and design fascination. IDeS is an approach that makes use of many engineering tools to realize a study developed on several steps that must be meticulously organized and timed. With a deep analysis of the trends dominating the automotive industry it is possible to identify a series of product requirements using quality function deployment (QFD). The considerations from this first evaluation led to the definition of the technical specifications via benchmarking (BM) and top-flop analysis (TFA). Then, the structured methodology of stylistic design engineering (SDE) is applied through six phases: (1) stylistic trends analysis; (2) sketches; (3) 2D CAD drawings; (4) 3D CAD models; (5) virtual prototyping; (6) solid stylistic model. Finally, Developing the IDeS method up to the final stages of Prototypes and Testing you get a product as close as possible to the ideal vehicle conceptualized in the initial analysis.

Changes In Chromatin Structure In Nih 3t3 Cells Induced By Valproic Acid And Trichostatin A.

Valproic acid (VPA) and trichostatin A (TSA) are known histone deacetylase inhibitors (HDACIs) with epigenetic activity that affect chromatin supra-organization, nuclear architecture, and cellular proliferation, particularly in tumor cells. In this study, chromatin remodeling with effects extending to heterochromatic areas was investigated by image analysis in non-transformed NIH 3T3 cells treated for different periods with different doses of VPA and TSA under conditions that indicated no loss of cell viability. Image analysis revealed chromatin decondensation that affected not only euchromatin but also heterochromatin, concomitant with a decreased activity of histone deacetylases and a general increase in histone H3 acetylation. Heterochromatin protein 1-α (HP1-α), identified immunocytochemically, was depleted from the pericentromeric heterochromatin following exposure to both HDACIs. Drastic changes affecting cell proliferation and micronucleation but not alteration in CCND2 expression and in ratios of Bcl-2/Bax expression and cell death occurred following a 48-h exposure of the NIH 3T3 cells particularly in response to higher doses of VPA. Our results demonstrated that even low doses of VPA (0.05 mM) and TSA (10 ng/ml) treatments for 1 h can affect chromatin structure, including that of the heterochromatin areas, in non-transformed cells. HP1-α depletion, probably related to histone demethylation at H3K9me3, in addition to the effect of VPA and TSA on histone H3 acetylation, is induced on NIH 3T3 cells. Despite these facts, alterations in cell proliferation and micronucleation, possibly depending on mitotic spindle defects, require a longer exposure to higher doses of VPA and TSA.

In Vitro And In Vivo Anti-angiogenic Effects Of Hydroxyurea.

Hydroxyurea (HU), or hydroxycarbamide, is used for the treatment of some myeloproliferative and neoplastic diseases, and is currently the only drug approved by the FDA for use in sickle cell disease (SCD). Despite the relative success of HU therapy for SCD, a genetic disorder of the hemoglobin β chain that results in red-cell sickling, hemolysis, vascular inflammation and recurrent vasoocclusion, the exact mechanisms by which HU actuates remain unclear. We hypothesized that HU may modulate endothelial angiogenic processes, with important consequences for vascular inflammation. The effects of HU (50-200 μM; 17-24 h) on endothelial cell functions associated with key steps of angiogenesis were evaluated using human umbilical vein endothelial cell (HUVEC) cultures. Expression profiles of the HIF1A gene and the miRNAs 221 and 222, involved in endothelial function, were also determined in HUVECs following HU administration and the direct in vivo antiangiogenic effects of HU were assessed using a mouse Matrigel-plug neovascularization assay. Following incubation with HU, HUVECs exhibited high cell viability, but displayed a significant 75% inhibition in the rate of capillary-like-structure formation, and significant decreases in proliferative and invasive capacities. Furthermore, HU significantly decreased HIF1A expression, and induced the expression of miRNA 221, while downregulating miRNA 222. In vivo, HU reduced vascular endothelial growth factor (VEGF)-induced vascular development in Matrigel implants over 7 days. Findings indicate that HU is able to inhibit vessel assembly, a crucial angiogenic process, both in vitro and in vivo, and suggest that some of HU's therapeutic effects may occur through novel vascular mechanisms.

Matrix Metalloproteinases And Left Ventricular Function And Structure In Spinal Cord Injured Subjects.

Subjects with spinal cord injury (SCI) exhibit impaired left ventricular (LV) diastolic function, which has been reported to be attenuated by regular physical activity. This study investigated the relationship between circulating matrix metalloproteinases (MMPs) and tissue inhibitors of MMPs (TIMPs) and echocardiographic parameters in SCI subjects and the role of physical activity in this regard. Forty-two men with SCI [19 sedentary (S-SCI) and 23 physically-active (PA-SCI)] were evaluated by clinical, anthropometric, laboratory, and echocardiographic analysis. Plasmatic pro-MMP-2, MMP-2, MMP-8, pro-MMP-9, MMP-9, TIMP-1 and TIMP-2 levels were determined by enzyme-linked immunosorbent assay and zymography. PA-SCI subjects presented lower pro-MMP-2 and pro-MMP-2/TIMP-2 levels and improved markers of LV diastolic function (lower E/Em and higher Em and E/A values) than S-SCI ones. Bivariate analysis showed that pro-MMP-2 correlated inversely with Em and directly with E/Em, while MMP-9 correlated directly with LV mass index and LV end-diastolic diameter in the whole sample. Following multiple regression analysis, pro-MMP-2, but not physical activity, remained associated with Em, while MMP-9 was associated with LV mass index in the whole sample. These findings suggest differing roles for MMPs in LV structure and function regulation and an interaction among pro-MMP-2, diastolic function and physical activity in SCI subjects.