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.

Spectral Frame Analysis and Learning through Graph Structure

This dissertation investigates the connection between spectral analysis and frame theory. When considering the spectral properties of a frame, we present a few novel results relating to the spectral decomposition. We first show that scalable frames have the property that the inner product of the scaling coefficients and the eigenvectors must equal the inverse eigenvalues. From this, we prove a similar result when an approximate scaling is obtained. We then focus on the optimization problems inherent to the scalable frames by first showing that there is an equivalence between scaling a frame and optimization problems with a non-restrictive objective function. Various objective functions are considered, and an analysis of the solution type is presented. For linear objectives, we can encourage sparse scalings, and with barrier objective functions, we force dense solutions. We further consider frames in high dimensions, and derive various solution techniques. From here, we restrict ourselves to various frame classes, to add more specificity to the results. Using frames generated from distributions allows for the placement of probabilistic bounds on scalability. For discrete distributions (Bernoulli and Rademacher), we bound the probability of encountering an ONB, and for continuous symmetric distributions (Uniform and Gaussian), we show that symmetry is retained in the transformed domain. We also prove several hyperplane-separation results. With the theory developed, we discuss graph applications of the scalability framework. We make a connection with graph conditioning, and show the in-feasibility of the problem in the general case. After a modification, we show that any complete graph can be conditioned. We then present a modification of standard PCA (robust PCA) developed by Cand\`es, and give some background into Electron Energy-Loss Spectroscopy (EELS). We design a novel scheme for the processing of EELS through robust PCA and least-squares regression, and test this scheme on biological samples. Finally, we take the idea of robust PCA and apply the technique of kernel PCA to perform robust manifold learning. We derive the problem and present an algorithm for its solution. There is also discussion of the differences with RPCA that make theoretical guarantees difficult.

Which-path problem for one and two particles with two degrees of freedom and a relation between transverse spatial structure and group velocity of light

Quantum mechanics, optics and indeed any wave theory exhibits the phenomenon of interference. In this thesis we present two problems investigating interference due to indistinguishable alternatives and a mostly unrelated investigation into the free space propagation speed of light pulses in particular spatial modes. In chapter 1 we introduce the basic properties of the electromagnetic field needed for the subsequent chapters. In chapter 2 we review the properties of interference using the beam splitter and the Mach-Zehnder interferometer. In particular we review what happens when one of the paths of the interferometer is marked in some way so that the particle having traversed it contains information as to which path it went down (to be followed up in chapter 3) and we review Hong-Ou-Mandel interference at a beam splitter (to be followed up in chapter 5). In chapter 3 we present the first of the interference problems. This consists of a nested Mach-Zehnder interferometer in which each of the free space propagation segments are weakly marked by mirrors vibrating at different frequencies [1]. The original experiment drew the conclusions that the photons followed disconnected paths. We partition the description of the light in the interferometer according to the number of paths it contains which-way information about and reinterpret the results reported in [1] in terms of the interference of paths spatially connected from source to detector. In chapter 4 we briefly review optical angular momentum, entanglement and spontaneous parametric down conversion. These concepts feed into chapter 5 in which we present the second of the interference problems namely Hong-Ou-Mandel interference with particles possessing two degrees of freedom. We analyse the problem in terms of exchange symmetry for both boson and fermion pairs and show that the particle statistics at a beam splitter can be controlled for suitably chosen states. We propose an experimental test of these ideas using orbital angular momentum entangled photons. In chapter 6 we look at the effect that the transverse spatial structure of the mode that a pulse of light is excited in has on its group velocity. We show that the resulting group velocity is slower than the speed of light in vacuum for plane waves and that this reduction in the group velocity is related to the spread in the wave vectors required to create the transverse spatial structure. We present experimental results of the measurement of this slowing down using Hong-Ou-Mandel interference.

A four-dimensional analysis of the thermal structure in the Gulf of Lion

The Theoretical and Experimental Tomography in the Sea Experiment (THETIS 1) took place in the Gulf of Lion to observe the evolution of the temperature field and the process of deep convection during the 1991-1992 winter. The temperature measurements consist, of moored sensors, conductivity-temperature-depth and expendable bathythermograph surveys, ana acoustic tomography. Because of this diverse data set and since the field evolves rather fast, the analysis uses a unified framework, based on estimation theory and implementing a Kalman filter. The resolution and the errors associated with the model are systematically estimated. Temperature is a good tracer of water masses. The time-evolving three-dimensional view of the field resulting from the analysis shows the details of the three classical convection phases: preconditioning, vigourous convection, and relaxation. In all phases, there is strong spatial nonuniformity, with mesoscale activity, short timescales, and sporadic evidence of advective events (surface capping, intrusions of Levantine Intermediate Water (LIW)). Deep convection, reaching 1500 m, was observed in late February; by late April the field had not yet returned to its initial conditions (strong deficit of LIW). Comparison with available atmospheric flux data shows that advection acts to delay the occurence of convection and confirms the essential role of buoyancy fluxes. For this winter, the deep. mixing results in an injection of anomalously warm water (Delta T similar or equal to 0.03 degrees) to a depth of 1500 m, compatible with the deep warming previously reported.

Formal function and phrase structure in contemporary music : Pierre Boulez’s late solo works and Sean Clarke’s "Lucretia Overture" and "4 Impromptus"

Cette thèse présente une théorie de la fonction formelle et de la structure des phrases dans la musique contemporaine, théorie qui peut être utilisée aussi bien comme outil analytique que pour créer de nouvelles œuvres. Deux concepts théoriques actuels aident à clarifier la structure des phrases : les projections temporelles de Christopher Hasty et la théorie des fonctions formelles de William Caplin, qui inclut le concept de l’organisation formelle soudée versus lâche (tight-knit vs. loose). Les projections temporelles sont perceptibles grâce à l’accent mis sur les paramètres secondaires, comme le style du jeu, l’articulation et le timbre. Des sections avec une organisation formelle soudée ont des projections temporelles claires, qui sont créées par la juxtaposition des motifs distincts, généralement sous la forme d'une idée de base en deux parties. Ces projections organisent la musique en phrases de présentation, en phrases de continuité et finalement, à des moments formels charnières, en phrases cadentielles. Les sections pourvues d’une organisation plus lâche tendent à présenter des projections et mouvements harmoniques moins clairs et moins d’uniformité motivique. La structure des phrases de trois pièces tardives pour instrument soliste de Pierre Boulez est analysée : Anthèmes I pour violon (1991-1992) et deux pièces pour piano, Incises (2001) et une page d’éphéméride (2005). Les idées proposées dans le présent document font suite à une analyse de ces œuvres et ont eu une forte influence sur mes propres compositions, en particulier Lucretia Overture pour orchestre et 4 Impromptus pour flûte, saxophone soprano et piano, qui sont également analysés en détail. Plusieurs techniques de composition supplémentaires peuvent être discernés dans ces deux œuvres, y compris l'utilisation de séquence mélodiques pour contrôler le rythme harmonique; des passages composés de plusieurs couches musicales chacun avec un structure de phrase distinct; et le relâchement de l'organisation formelle de matériels récurrents. Enfin, la composition de plusieurs autres travaux antérieurs a donné lieu à des techniques utilisées dans ces deux œuvres et ils sont brièvement abordés dans la section finale.

Imperfect indifference : the rhythm, structure and politics of neutrality

Cette thèse propose l’émergence d’une poésie de l’entre deux dans la littérature expérimentale, en suivant ses développements du milieu du vingtième siècle jusqu'au début du vingt-et-unième. Cette notion d’entre-deux poétique se fonde sur une théorie du neutre (Barthes, Blanchot) comme ce qui se situe au delà ou entre l'opposition et la médiation. Le premier chapitre retrace le concept de monotonie dans la théorie esthétique depuis la période romantique où il est vu comme l'antithèse de la variabilité ou tension poétique, jusqu’à l’émergence de l’art conceptuel au vingtième siècle où il se déploie sans interruption. Ce chapitre examine alors la relation de la monotonie à la mélancolie à travers l’analyse de « The Anatomy of Monotony », poème de Wallace Stevens tiré du recueil Harmonium et l’œuvre poétique alphabet de Inger Christensen. Le deuxième chapitre aborde la réalisation d’une poésie de l’entre-deux à travers une analyse de quatre œuvres poétiques qui revisitent l’usage de l’index du livre paratextuel: l’index au long poème “A” de Louis Zukofsky, « Index to Shelley's Death » d’Alan Halsey qui apparait à la fin de l’oeuvre The Text of Shelley's Death, Cinema of the Present de Lisa Robertson, et l’oeuvre multimédia Via de Carolyn Bergvall. Le troisième chapitre retrace la politique de neutralité dans la théorie de la traduction. Face à la logique oppositionnelle de l’original contre la traduction, il propose hypothétiquement la réalisation d’une troisième texte ou « l’entre-deux », qui sert aussi à perturber les récits familiers de l’appropriation, l’absorption et l’assimilation qui effacent la différence du sujet de l’écrit. Il examine l’oeuvre hybride Secession with Insecession de Chus Pato et Erin Moure comme un exemple de poésie de l’entre-deux. A la fois pour Maurice Blanchot et Roland Barthes, le neutre représente un troisième terme potentiel qui défie le paradigme de la pensée oppositionnelle. Pour Blanchot, le neutre est la différence amenée au point de l’indifférence et de l’opacité de la transparence tandis que le désire de Barthes pour le neutre est une utopie lyrique qui se situe au-delà des contraintes de but et de marquage. La conclusion examine comment le neutre correspond au conditions de liberté gouvernant le principe de créativité de la poésie comme l’acte de faire sans intention ni raison.

Analysis and control of transient spectra using time-dependent density functional theory.

215 p.

CONSTRAINTS ON THE LITHOSPHERIC STRUCTURE OF MID OCEAN RIDGES FROM OCEANIC CORE COMPLEX MORPHOLOGY

The Mid-oceanic ridge system is a feature unique to Earth. It is one of the fundamental components of plate tectonics and reflects interior processes of mantle convection within the Earth. The thermal structure beneath the mid-ocean ridges has been the subject of several modeling studies. It is expected that the elastic thickness of the lithosphere is larger near the transform faults that bound mid-ocean ridge segments. Oceanic core complexes (OCCs), which are generally thought to result from long-lived fault slip and elastic flexure, have a shape that is sensitive to elastic thickness. By modeling the shape of OCCs emplaced along a ridge segment, it is possible to constraint elastic thickness and therefore the thermal structure of the plate and how it varies along-axis. This thesis builds upon previous studies that utilize thin plate flexure to reproduce the shape of OCCs. I compare OCC shape to a suite of models in which elastic thickness, fault dip, fault heave, crustal thickness, and axial infill are systematically varied. Using a grid search, I constrain the parameters that best reproduce the bathymetry and/or the slope of ten candidate OCCs identified along the 12°—15°N segment of the Mid-Atlantic Ridge. The lithospheric elastic thicknesses that explains these OCCs is thinner than previous investigators suggested and the fault planes dip more shallowly in the subsurface, although at an angle compatible with Anderson’s theory of faulting. No relationships between model parameters and an oceanic core complexes location within a segment are identified with the exception that the OCCs located less than 20km from a transform fault have slightly larger elastic thickness than OCCs in the middle of the ridge segment.

Un poison même à petite dose : étude de la structure latente et des facteurs développementaux du sadisme sexuel

Les délinquants sexuels sadiques sont généralement décrits comme une entité clinique particulière commettant des délits graves. Or, la notion même de sadisme sexuel pose un nombre important de problèmes. Parmi ceux-ci, on retrouve des problèmes de validité et de fidélité. Perçu comme une maladie dont on est atteint ou pas, le sadisme a été étudié comme si les sadiques étaient fondamentalement différents. À l’heure actuelle, plusieurs travaux laissent croire que la majorité des troubles psychologiques se présentent comme une différence d'intensité (dimension) plutôt qu’une différence de nature (taxon). Même si la conception médicale prévaut encore en ce qui concerne le sadisme sexuel, plusieurs évoquent l’idée qu’il pourrait être mieux conceptualisé à l’aide d’une approche dimensionnelle. En parallèle, nos connaissances sur les facteurs contributifs au développement du sadisme sexuel sont limitées et reposent sur de faibles appuis empiriques. Jusqu'à présent, très peu d'études se sont intéressées aux facteurs menant au développement du sadisme sexuel et encore moins ont tenté de valider leurs théories. En outre, nos connaissances proviennent majoritairement d'études de cas portant sur les meurtriers sexuels, un sous-groupe très particulier de délinquants fréquemment motivé par des intérêts sexuels sadiques. À notre connaissance, aucune étude n'a proposé jusqu'à présent de modèle développemental portant spécifiquement sur le sadisme sexuel. Pourtant, l'identification de facteurs liés au développement du sadisme sexuel est essentielle dans notre compréhension ainsi que dans l'élaboration de stratégie d'intervention efficace. La présente thèse s'inscrit dans un contexte visant à clarifier le concept de sadisme sexuel. Plus spécialement, nous nous intéressons à sa structure latente, à sa mesure et à ses origines développementales. À partir d'un échantillon de 514 délinquants sexuels évalué au Massachusetts Treatment Center, la viabilité d’une conception dimensionnelle du sadisme sexuel sera mise à l’épreuve à l'aide d'analyses taxométriques permettant d'étudier la structure latente d'un construit. Dans une seconde étape, à l'aide d'analyses de Rasch et d'analyses appartenant aux théories de la réponse à l'item à deux paramètres, nous développerons la MTC Sadism Scale (MTCSS), une mesure dimensionnelle du sadisme sexuel. Dans une troisième et dernière étape, un modèle développemental sera élaboré à l'aide d'équations structurales. La présente thèse permettra de contribuer à la clarification du concept de sadisme sexuel. Une clarification de la structure latente et des facteurs développementaux permettra de saisir les devis de recherche les plus à même de capturer les aspects essentiels. En outre, ceci permettra d'identifier les facteurs pour lesquels une intervention est la plus appropriée pour réduire la récidive, ou la gravité de celle-ci.

On the critical point structure of eigenfunctions belonging to the first nonzero eigenvalue of a genus two closed hyperbolic surface

We develop a method based on spectral graph theory to approximate the eigenvalues and eigenfunctions of the Laplace-Beltrami operator of a compact riemannian manifold -- The method is applied to a closed hyperbolic surface of genus two -- The results obtained agree with the ones obtained by other authors by different methods, and they serve as experimental evidence supporting the conjectured fact that the generic eigenfunctions belonging to the first nonzero eigenvalue of a closed hyperbolic surface of arbitrary genus are Morse functions having the least possible total number of critical points among all Morse functions admitted by such manifolds

Ligand effects on the structure and vibrational properties of the thiolated Au18 cluster

Most of the studies devoted to thiolated gold clusters suppose that their core and Au-S framework do not suffer from distortion independently of the protecting ligands (-SR) and it is assumed as correct to simplify the ligand as SCH3. In this work is delivered a systematic study of the structure and vibrational properties (IR and Raman) of the Au18(SR)14 cluster. The pursued goal is to understand the dependency of the displayed vibrational properties of the thiolated Au18 cluster with the ligands type. A set of six ligands was considered during calculations of the vibrational properties based on density functional theory (DFT) and in its dispersioncorrected approach (DFT-D)

ADVANCED COMPUTATIONAL MODELING OF THE INTERNAL STRUCTURE OF SMART WIND-TURBINE BLADES

Implementation of stable aeroelastic models with the ability to capture the complex features of Multi concept smartblades is a prime step in reducing the uncertainties that come along with blade dynamics. The numerical simulations of fluid structure interaction can thus be used to test a realistic scenarios comprising of full-scale blades at a reasonably low computational cost. A code which was a combination of two advanced numerical models was designed and was run with the help of paralell HPC supercomputer platform. The first model was based on a variation of dimensional reduction technique proposed by Hodges and Yu. This model was the one to record the structural response of heterogenous composite blades. This technique reduces the geometrical complexities of the heterogenous blade section into a stiffness matrix for an equivalent beam. This derived equivalent 1-D strain energy matrix is similar to the actual 3-D strain energy matrix in an asymptotic sense. As this 1-D matrix helps in accurately modeling the blade structure as a 1-D finite element problem, this substantially redues the computational effort and subsequently the computational cost that are required to model the structural dynamics at each step. Second model comprises of implementation of the Blade Element Momentum Theory. In this approach we map all the velocities and the forces with the help of orthogonal matrices that help in capturing the large deformations and the effects of rotations in calculating the aerodynamic forces. This ultimately helps us to take into account the complex flexo torsional deformations. In this thesis we have succesfully tested these computayinal tools developed by MTU’s research team lead by for the aero elastic analysis of wind-turbine blades. The validation in this thesis is majorly based on several experiments done on NREL-5MW blade, as this is widely accepted as a benchmark blade in the wind industry. Along with the use of this innovative model the internal blade structure was also changed to add up to the existing benefits of the already advanced numerical models.

The Relationship between Job Structure, Burnout, and Coping Methods among Public School county Bus Drivers, Bus Aides, Mechanics, and Clerical Workers

The purpose of this study was to examine the relationship between the structure of jobs and burnout, and to assess to what extent, if any this relationship was moderated by individual coping methods. This study was supported by the Karasek's (1998) Job Demand-Control-Support theory of work stress as well as Maslach and Leiter's (1993) theory of burnout. Coping was examined as a moderator based on the conceptualization of Lazarus and Folkman (1984). Two overall overarching questions framed this study: (a) what is the relationship between job structure, as operationalized by job title, and burnout across different occupations in support services in a large municipal school district? and (b) To what extent do individual differences in coping methods moderate this relationship? This study was a cross-sectional study of county public school bus drivers, bus aides, mechanics, and clerical workers (N = 253) at three bus depot locations within the same district using validated survey instruments for data collection. Hypotheses were tested using simultaneous regression analyses. Findings indicated that there were statistically significant and relevant relationships among the variables of interest; job demands, job control, burnout, and ways of coping. There was a relationship between job title and physical job demands. There was no evidence to support a relationship between job title and psychological demands. Furthermore, there was a relationship between physical demands, emotional exhaustion and personal accomplishment; key indicators of burnout. Results showed significant correlations between individual ways of coping as a moderator between job structure, operationalized by job title, and individual employee burnout adding empirical evidence to the occupational stress literature. Based on the findings, there are implications for theory, research, and practice. For theory and research, the findings suggest the importance of incorporating transactional models in the study of occupational stress. In the area of practice, the findings highlight the importance of enriching jobs, increasing job control, and providing individual-level training related to stress reduction.

Ranganathan’s Layers of Classification Theory and the FASDA Model of Classification

Describes four waves of Ranganathan’s dynamic theory of classification. Outlines components that distinguish each wave, and porposes ways in which this understanding can inform systems design in the contemporary environment, particularly with regard to interoperability and scheme versioning. Ends with an appeal to better understanding the relationship between structure and semantics in faceted classification schemes and similar indexing languages.