Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates

In this paper we examine the order of integration of EuroSterling interest rates by employing techniques that can allow for a structural break under the null and/or alternative hypothesis of the unit-root tests. In light of these results, we investigate the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates employing two techniques, one of which allows for the possibility of a break in the mean of the cointegrating relationship. The aim of the paper is to investigate whether or not the interest rate series can be viewed as I(1) processes and furthermore, to consider whether there has been a structural break in the series. We also determine whether, if we allow for a break in the cointegration analysis, the results are consistent with those obtained when a break is not allowed for. The main results reported in this paper support the conjecture that the ‘short’ Euro-currency rates are characterised as I(1) series that exhibit a structural break on or near Black Wednesday, 16 September 1992, whereas the ‘long’ rates are I(1) series that do not support the presence of a structural break. The evidence from the cointegration analysis suggests that tests of the expectations hypothesis based on data sets that include the ERM crisis period, or a period that includes a structural break, might be problematic if the structural break is not explicitly taken into account in the testing framework.

Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors

This paper considers the effect of GARCH errors on the tests proposed byPerron (1997) for a unit root in the presence of a structural break. We assessthe impact of degeneracy and integratedness of the conditional varianceindividually and find that, apart from in the limit, the testing procedure isinsensitive to the degree of degeneracy but does exhibit an increasingover-sizing as the process becomes more integrated. When we consider the GARCHspecifications that we are likely to encounter in empirical research, we findthat the Perron tests are reasonably robust to the presence of GARCH and donot suffer from severe over-or under-rejection of a correct null hypothesis.

Ice crystals growing from vapor in supercooled clouds between −2.5° and −22°C: testing current parameterization methods using laboratory data

The physical and empirical relationships used by microphysics schemes to control the rate at which vapor is transferred to ice crystals growing in supercooled clouds are compared with laboratory data to evaluate the realism of various model formulations. Ice crystal growth rates predicted from capacitance theory are compared with measurements from three independent laboratory studies. When the growth is diffusion- limited, the predicted growth rates are consistent with the measured values to within about 20% in 14 of the experiments analyzed, over the temperature range −2.5° to −22°C. Only two experiments showed significant disagreement with theory (growth rate overestimated by about 30%–40% at −3.7° and −10.6°C). Growth predictions using various ventilation factor parameterizations were also calculated and compared with supercooled wind tunnel data. It was found that neither of the standard parameterizations used for ventilation adequately described both needle and dendrite growth; however, by choosing habit-specific ventilation factors from previous numerical work it was possible to match the experimental data in both regimes. The relationships between crystal mass, capacitance, and fall velocity were investigated based on the laboratory data. It was found that for a given crystal size the capacitance was significantly overestimated by two of the microphysics schemes considered here, yet for a given crystal mass the growth rate was underestimated by those same schemes because of unrealistic mass/size assumptions. The fall speed for a given capacitance (controlling the residence time of a crystal in the supercooled layer relative to its effectiveness as a vapor sink, and the relative importance of ventilation effects) was found to be overpredicted by all the schemes in which fallout is permitted, implying that the modeled crystals reside for too short a time within the cloud layer and that the parameterized ventilation effect is too strong.

Testing isotherm models and recovering empirical relationships for adsorption in microporous carbons using virtual carbon models and grand canonical Monte Carlo simulations

Using the plausible model of activated carbon proposed by Harris and co-workers and grand canonical Monte Carlo simulations, we study the applicability of standard methods for describing adsorption data on microporous carbons widely used in adsorption science. Two carbon structures are studied, one with a small distribution of micropores in the range up to 1 nm, and the other with micropores covering a wide range of porosity. For both structures, adsorption isotherms of noble gases (from Ne to Xe), carbon tetrachloride and benzene are simulated. The data obtained are considered in terms of Dubinin-Radushkevich plots. Moreover, for benzene and carbon tetrachloride the temperature invariance of the characteristic curve is also studied. We show that using simulated data some empirical relationships obtained from experiment can be successfully recovered. Next we test the applicability of Dubinin's related models including the Dubinin-Izotova, Dubinin-Radushkevich-Stoeckli, and Jaroniec-Choma equations. The results obtained demonstrate the limits and applications of the models studied in the field of carbon porosity characterization.

Self-assembly of Fmoc-tetrapeptides based on the RGDS cell adhesion motif

Self-assembly in aqueous solution has been investigated for two Fmoc [Fmoc ¼ N-(fluorenyl)-9-methoxycarbonyl] tetrapeptides comprising the RGDS cell adhesion motif from fibronectin or the scrambled sequence GRDS. The hydrophobic Fmoc unit confers amphiphilicity on the molecules, and introduces aromatic stacking interactions. Circular dichroism and FTIR spectroscopy show that the self-assembly of both peptides at low concentration is dominated by interactions among Fmoc units, although Fmoc-GRDS shows b-sheet features, at lower concentration than Fmoc-RGDS. Fibre X-ray diffraction indicates b-sheet formation by both peptides at sufficiently high concentration. Strong alignment effects are revealed by linear dichroism experiments for Fmoc-GRDS. Cryo-TEM and smallangle X-ray scattering (SAXS) reveal that both samples form fibrils with a diameter of approximately 10 nm. Both Fmoc-tetrapeptides form self-supporting hydrogels at sufficiently high concentration. Dynamic shear rheometry enabled measurements of the moduli for the Fmoc-GRDS hydrogel, however syneresis was observed for the Fmoc-RGDS hydrogel which was significantly less stable to shear. Molecular dynamics computer simulations were carried out considering parallel and antiparallel b-sheet configurations of systems containing 7 and 21 molecules of Fmoc-RGDS or Fmoc-GRDS, the results being analyzed in terms of both intermolecular structural parameters and energy contributions.

Stress testing credit risk: the Great Depression scenario

By employing Moody’s corporate default and rating transition data spanning the last 90 years we explore how much capital banks should hold against their corporate loan portfolios to withstand historical stress scenarios. Specifically, we will focus on the worst case scenario over the observation period, the Great Depression. We find that migration risk and the length of the investment horizon are critical factors when determining bank capital needs in a crisis. We show that capital may need to rise more than three times when the horizon is increased from 1 year, as required by current and future regulation, to 3 years. Increases are still important but of a lower magnitude when migration risk is introduced in the analysis. Further, we find that the new bank capital requirements under the so-called Basel 3 agreement would enable banks to absorb Great Depression-style losses. But, such losses would dent regulatory capital considerably and far beyond the capital buffers that have been proposed to ensure that banks survive crisis periods without government support.

Effect of food models and low-temperature storage on the adhesion of Lactobacillus rhamnosus GG to Caco-2 cells

This study evaluated the effects of fat and sugar levels on the surface properties of Lactobacillus rhamnosus GG during storage in food model systems, simulating yogurt and ice cream, and related them with the ability of the bacterial cells to adhere to Caco-2 cells. Freeze-dried L. rhamnosus GG cells were added to the model food systems and stored for 7 days. The bacterial cells were analyzed for cell viability, hydrophobicity, ζ potential, and their ability to adhere to Caco-2 cells. The results indicated that the food type and its composition affected the surface and adhesion properties of the bacterial cells during storage, with yogurt being a better delivery vehicle than ice cream in terms of bacterial adhesion to Caco-2 cells. The most important factor influencing bacterial adhesion was the storage time rather than the levels of fats and sugars, indicating that conformational changes were taking place on the surface of the bacterial cells during storage.

Regulation of platelet biology by platelet endothelial cell adhesion molecule-1.

Platelet endothelial cell adhesion molecule-1 (PECAM-1), an immunoreceptor tyrosine-based inhibitory motif containing receptor, plays diverse and apparently contradictory roles in regulating the response of platelets to stimuli; inhibiting platelet response to immunoreceptor tyrosine-based activation motif and G protein-coupled receptor signalling following stimulation with collagen, adenosine diphosphate, and thrombin, as well as enhancing integrin outside-in signalling. These dual, and opposing, roles suggest an important and complex role for PECAM-1 in orchestrating platelet response to vascular damage. Indeed, during thrombus formation, the influence of PECAM-1 on the multiple signalling pathways combines leading to a relatively large inhibitory effect on thrombus formation.

Testing of fibre composite leaf spring for heavy axle loads

This paper presents the results of quasi-static and dynamic testing of glass fiber-reinforced polyester leaf suspension for rail freight vehicles named Euroleaf. The principal elements of the suspension's design and manufacturing process are initially summarized. Comparison between quasi-static tests and finite element predictions are then presented. The Euroleaf suspension have been mounted on a tipper wagon and tested dynamically at tare and full load on a purpose-built shaker rig. A shaker rig dynamic testing methodology has been pioneered for rail vehicles, which follows closely road vehicle suspension dynamic testing methodology. The use and evaluation of this methodology have demonstrated that the Euroleaf suspension is dynamically much softer than steel suspensions even though it is statically much stiffer. As a consequence, the suspension dynamic loading at laden loading conditions is reduced compared to the most advanced steel leaf suspension over shaker rig track tests.

Adaptive recursive control of a soil testing load frame

Recursive Learning Control (RLC) has the potential to significantly reduce the tracking error in many repetitive trajectory applications. This paper presents an application of RLC to a soil testing load frame where non-adaptive techniques struggle with the highly nonlinear nature of soil. The main purpose of the controller is to apply a sinusoidal force reference trajectory on a soil sample with a high degree of accuracy and repeatability. The controller uses a feedforward control structure, recursive least squares adaptation algorithm and RLC to compensate for periodic errors. Tracking error is reduced and stability is maintained across various soil sample responses.

Testing the statistical significance of sector & regional diversification

The question as to whether it is better to diversify a real estate portfolio within a property type across the regions or within a region across the property types is one of continuing interest for academics and practitioners alike. The current study, however, is somewhat different from the usual sector/regional analysis taking account of the fact that holdings in the UK real estate market are heavily concentrated in a single region, London. As a result this study is designed to investigate whether a real estate fund manager can obtain a statistically significant improvement in risk/return performance from extending out of a London based portfolio into firstly the rest of the South East of England and then into the remainder of the UK, or whether the manger would be better off staying within London and diversifying across the various property types. The results indicating that staying within London and diversifying across the various property types may offer performance comparable with regional diversification, although this conclusion largely depends on the time period and the fund manager’s ability to diversify efficiently.