Yield-factor volatility models

The term structure of interest rates is often summarized using a handful of yield factors that capture shifts in the shape of the yield curve. In this paper, we develop a comprehensive model for volatility dynamics in the level, slope, and curvature of the yield curve that simultaneously includes level and GARCH effects along with regime shifts. We show that the level of the short rate is useful in modeling the volatility of the three yield factors and that there are significant GARCH effects present even after including a level effect. Further, we find that allowing for regime shifts in the factor volatilities dramatically improves the model’s fit and strengthens the level effect. We also show that a regime-switching model with level and GARCH effects provides the best out-of-sample forecasting performance of yield volatility. We argue that the auxiliary models often used to estimate term structure models with simulation-based estimation techniques should be consistent with the main features of the yield curve that are identified by our model.

Art and the sublime : the paradox of indeterminacy unknowing and (dis)orientation in the presentation of the unpresentable

the (dis)orientation of thought in its encounter with art can be understood as the direct result of an encounter with indeterminacy as a lack in meaning. As an artist I am aware of how this indeterminacy impacts on the perceived value and authority of the artistic voice and in particular its value as a research voice. This paper explores this indeterminacy of meaning, as a profound and disturbing unknowing characteristic of the sublime and argues its value to advanced thought and for any methodological understanding of practice-led research. Lyotard described the sublime as an ‘understanding’ through which art and its associated practices may be able to resist an all too easy assimilation by the public as just a consumer commodity. His thought represents an attempt to both politically and philosophically understand art’s, and particularly abstract painting’s, affect as a state of profound and positive unknowing. To talk of the sublime in art is to speak of the suspension of any comfortable certainty in being and instead to engage with the real as a limit to meaning and knowing. It is to talk of the presentation of the unpresentable as a momentary but significant dissolution of representation. This understanding of the sublime is then further explored through the cultural phenomena of the monochrome painting and applied to the work of the two contemporary artists, Franz Erhard Walter and Günter Umberg. Initially the monochrome was understood as an attempt to go beyond traditional representation and present the unpresentable. In the one hundred years or so since that initial move this understanding has broadened. The monochrome now presents itself as a genre or even project within visual art but it still has much to teach us. In the concretely abstract and performative artworks of Franz Erhard Walter and Günter Umberg, traces of this ambition remain and their work can be seen to pose questions probing our understandings and experiences of artistic meaning, its value and the real.

Demographic category membership and leadership in small groups : a social identity analysis

Developing the social identity theory of leadership (e.g., [Hogg, M. A. (2001). A social identity theory of leadership. Personality and Social Psychology Review, 5, 184–200]), an experiment (N=257) tested the hypothesis that as group members identify more strongly with their group (salience) their evaluations of leadership effectiveness become more strongly influenced by the extent to which their demographic stereotype-based impressions of their leader match the norm of the group (prototypicality). Participants, with more or less traditional gender attitudes (orientation), were members, under high or low group salience conditions (salience), of non-interactive laboratory groups that had “instrumental” or “expressive” group norms (norm), and a male or female leader (leader gender). As predicted, these four variables interacted significantly to affect perceptions of leadership effectiveness. Reconfiguration of the eight conditions formed by orientation, norm and leader gender produced a single prototypicality variable. Irrespective of participant gender, prototypical leaders were considered more effective in high then low salience groups, and in high salience groups prototypical leaders were more effective than less prototypical leaders. Alternative explanations based on status characteristics and role incongruity theory do not account well for the findings. Implications of these results for the glass ceiling effect and for a wider social identity analysis of the impact of demographic group membership on leadership in small groups are discussed.

Perceptions of aging across 26 cultures and their culture-level associates

College students (N = 3,435) in 26 cultures reported their perceptions of age-related changes in physical, cognitive, and socioemotional areas of functioning and rated societal views of aging within their culture. There was widespread cross-cultural consensus regarding the expected direction of aging trajectories with (1) perceived declines in societal views of aging, physical attractiveness, the ability to perform everyday tasks, and new learning, (2) perceived increases in wisdom, knowledge, and received respect, and (3) perceived stability in family authority and life satisfaction. Cross-cultural variations in aging perceptions were associated with culture-level indicators of population aging, education levels, values, and national character stereotypes. These associations were stronger for societal views on aging and perceptions of socioemotional changes than for perceptions of physical and cognitive changes. A consideration of culture-level variables also suggested that previously reported differences in aging perceptions between Asian and Western countries may be related to differences in population structure.

Intraaortic balloon pump counterpulsation and cerebral autoregulation : an observational study

The use of Intra-aortic counterpulsation is a well established supportive therapy for patients in cardiac failure or after cardiac surgery. Blood pressure variations induced by counterpulsation are transmitted to the cerebral arteries, challenging cerebral autoregulatory mechanisms in order to maintain a stable cerebral blood flow. This study aims to assess the effects on cerebral autoregulation and variability of cerebral blood flow due to intra-aortic balloon pump and inflation ratio weaning.

Theoretical critique of the work of art : co-producers in research

The ways in which the "traditional" tension between words and artwork can be perceived has huge implications for understanding the relationship between critical or theoretical interpretation, art and practice, and research. Within the practice-led PhD this can generate a strange sense of disjuncture for the artist-researcher particularly when engaged in writing the exegesis. This paper aims to explore this tension through an introductory investigation of the work of the philosopher Andrew Benjamin. For Benjamin criticism completes the work of art. Criticism is, with the artwork, at the centre of our experience and theoretical understanding of art – in this way the work of art and criticism are co-productive. The reality of this co-productivity can be seen in three related articles on the work of American painter Marcia Hafif. In each of these articles there are critical negotiations of just how the work of art operates as art and theoretically, within the field of art. This focus has important ramifications for the writing and reading of the exegesis within the practice-led research higher degree. By including art as a significant part of the research reporting process the artist-researcher is also staking a claim as to the critical value of their work. Rather than resisting the tension between word and artwork the practice-led artist-researcher need to embrace the co-productive nature of critical word and creative work to more completely articulate their practice and its significance as research. The ideal venue and opportunity for this is the exegesis.

Why common factors in international bond returns are not so common

This paper analyzes the common factor structure of US, German, and Japanese Government bond returns. Unlike previous studies, we formally take into account the presence of country-specific factors when estimating common factors. We show that the classical approach of running a principal component analysis on a multi-country dataset of bond returns captures both local and common influences and therefore tends to pick too many factors. We conclude that US bond returns share only one common factor with German and Japanese bond returns. This single common factor is associated most notably with changes in the level of domestic term structures. We show that accounting for country-specific factors improves the performance of domestic and international hedging strategies.

Methods and preliminary results for a data linkage project to determine long-term survival after intensive care unit admission

Aims: To describe a local data linkage project to match hospital data with the Australian Institute of Health and Welfare (AIHW) National Death Index (NDI) to assess longterm outcomes of intensive care unit patients. Methods: Data were obtained from hospital intensive care and cardiac surgery databases on all patients aged 18 years and over admitted to either of two intensive care units at a tertiary-referral hospital between 1 January 1994 and 31 December 2005. Date of death was obtained from the AIHW NDI by probabilistic software matching, in addition to manual checking through hospital databases and other sources. Survival was calculated from time of ICU admission, with a censoring date of 14 February 2007. Data for patients with multiple hospital admissions requiring intensive care were analysed only from the first admission. Summary and descriptive statistics were used for preliminary data analysis. Kaplan-Meier survival analysis was used to analyse factors determining long-term survival. Results: During the study period, 21 415 unique patients had 22 552 hospital admissions that included an ICU admission; 19 058 surgical procedures were performed with a total of 20 092 ICU admissions. There were 4936 deaths. Median follow-up was 6.2 years, totalling 134 203 patient years. The casemix was predominantly cardiac surgery (80%), followed by cardiac medical (6%), and other medical (4%). The unadjusted survival at 1, 5 and 10 years was 97%, 84% and 70%, respectively. The 1-year survival ranged from 97% for cardiac surgery to 36% for cardiac arrest. An APACHE II score was available for 16 877 patients. In those discharged alive from hospital, the 1, 5 and 10-year survival varied with discharge location. Conclusions: ICU-based linkage projects are feasible to determine long-term outcomes of ICU patients

Rephrasing voice : art, practice-led research and the limits and sites of articulacy

While my PhD is practice-led research, it is my contention that such an inquiry cannot develop as long as it tries to emulate other models of research. I assert that practice-led research needs to account for an epistemological unknown or uncertainty central to the practice of art. By focusing on what I call the artist's 'voice,' I will show how this 'voice' is comprised of a dual motivation—'articulate' representation and 'inarticulate' affect—which do not even necessarily derive from the artist. Through an analysis of art-historical precedents, critical literature (the work of Jean-François Lyotard and Andrew Benjamin, the critical methods of philosophy, phenomenology and psychoanalysis) as well as of my own painting and digital arts practice, I aim to demonstrate how this unknown or uncertain aspect of artistic inquiry can be mapped. It is my contention that practice-led research needs to address and account for this dualistic 'voice' in order to more comprehensively articulate its unique contribution to research culture.

Alternative explanations of the volatility trend : Are they really that different?

We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There has been much academic interest in this topic, but no convincing explanation has arisen. Our goal is to pull together the many competing explanations currently proposed in the literature to delermine which, if any, are capable of explaining the volatility trend. We find that many of the different explanations capture the same unusual trend around the Millennium. We find that many of the variables are very highly correlated and it is thus difficult to disentangle their relalive ability to exlplain the time-series behavior in volatility. It seems thai all of the variables that track average volatility well do so mainly by capturing changes in the post-1994 period. These variables have no time-series explanatory power in the pre-1995 years, questioning the underlying idea that any of the explanations currently plesented in the literature can track the trend in volatility over long periods.

Guided chaos : path planning and control for a UAV-forced landing

In recent years, unmanned aerial vehicles (UAVs) have been widely used in combat, and their potential applications in civil and commercial roles are also receiving considerable attention by industry and the research community. There are numerous published reports of UAVs used in Earth science missions [1], fire-fighting [2], and border security [3] trials, with other speculative deployments, including applications in agriculture, communications, and traffic monitoring. However, none of these UAVs can demonstrate an equivalent level of safety to manned aircraft, particularly in the case of an engine failure, which would require an emergency or forced landing. This may be arguably the main factor that has prevented these UAV trials from becoming full-scale commercial operations, as well as restricted operations of civilian UAVs to only within segregated airspace.

Conditional coskewness and asset pricing

We explore the empirical usefulness of conditional coskewness to explain the cross-section of equity returns. We find that coskewness is an important determinant of the returns to equity, and that the pricing relationship varies through time. In particular we find that when the conditional market skewness is positive investors are willing to sacrifice 7.87% annually per unit of gamma (a standardized measure of coskewness risk) while they only demand a premium of 1.80% when the market is negatively skewed. A similar picture emerges from the coskewness factor of Harvey and Siddique (Harvey, C., Siddique, A., 2000a. Conditional skewness in asset pricing models tests. Journal of Finance 65, 1263–1295.) (a portfolio that is long stocks with small coskewness with the market and short high coskewness stocks) which earns 5.00% annually when the market is positively skewed but only 2.81% when the market is negatively skewed. The conditional two-moment CAPM and a conditional Fama and French (Fama, E., French, K., 1992. The cross-section of expected returns. Journal of Finance 47,427465.) three-factor model are rejected, but a model which includes coskewness is not rejected by the data. The model also passes a structural break test which many existing asset pricing models fail.

Performing for (and against) the microphone : personal takes : producing a credible vocal

This contribution proposes the effect of the studio practice compiling vocals from many takes on the performance of vocalists.

Accurate silhouettes for surveillance : improved motion segmentation using graph cuts

Silhouettes are common features used by many applications in computer vision. For many of these algorithms to perform optimally, accurately segmenting the objects of interest from the background to extract the silhouettes is essential. Motion segmentation is a popular technique to segment moving objects from the background, however such algorithms can be prone to poor segmentation, particularly in noisy or low contrast conditions. In this paper, the work of [3] combining motion detection with graph cuts, is extended into two novel implementations that aim to allow greater uncertainty in the output of the motion segmentation, providing a less restricted input to the graph cut algorithm. The proposed algorithms are evaluated on a portion of the ETISEO dataset using hand segmented ground truth data, and an improvement in performance over the motion segmentation alone and the baseline system of [3] is shown.