Machine learning Gaussian short rate

Dissertação para obtenção do Grau de Doutor em Estatística e Gestão do Risco

On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Stochastic growth and monetary policy: the impacts on the term structure of interest rates

This paper builds a simple, empirically-verifiable rational expectations model for term structure of nominal interest rates analysis. It solves an stochastic growth model with investment costs and sticky inflation, susceptible to the intervention of the monetary authority following a policy rule. The model predicts several patterns of the term structure which are in accordance to observed empirical facts: (i) pro-cyclical pattern of the level of nominal interest rates; (ii) countercyclical pattern of the term spread; (iii) pro-cyclical pattern of the curvature of the yield curve; (iv) lower predictability of the slope of the middle of the term structure; and (v) negative correlation of changes in real rates and expected inflation at short horizons.

On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Poly lactic-co-glycolic acid controlled delivery of Disulfiram to target liver cancer stem-like cells

Disulfiram (DS), an anti-alcoholism drug, shows very strong cytotoxicity in many cancer types. However its clinical application in cancer treatment is limited by the very short half-life in the bloodstream. In this study, we developed a poly lactic-co-glycolic acid (PLGA)-encapsulated DS protecting DS from the degradation in the bloodstream. The newly developed DS-PLGA was characterized. The DS-PLGA has very satisfactory encapsulation efficiency, drug-loading content and controlled release rate in vitro. PLGA encapsulation extended the half-life of DS from shorter than 2 minutes to 7 hours in serum. In combination with copper, DS-PLGA significantly inhibited the liver cancer stem cell population. CI-isobologram showed a remarkable synergistic cytotoxicity between DS-PLGA and 5-FU or Sorafenib. It also demonstrated very promising anticancer efficacy and antimetastatic effect in liver cancer mouse model. Both DS and PLGA are FDA approved products for clinical application. Our study may lead to repositioning of DS into liver cancer treatment.

Lingual kinematic strategies used to increase speech rate: Comparisons between younger and older adults

The primary objective of this study was to assess the lingual kinematic strategies used by younger and older adults to increase rate of speech. It was hypothesised that the strategies used by the older adults would differ from the young adults either as a direct result of, or in response to a need to compensate for, age-related changes in the tongue. Electromagnetic articulography was used to examine the tongue movements of eight young (M526.7 years) and eight older (M567.1 years) females during repetitions of /ta/ and /ka/ at a controlled moderate rate and then as fast as possible. The younger and older adults were found to significantly reduce consonant durations and increase syllable repetition rate by similar proportions. To achieve these reduced durations both groups appeared to use the same strategy, that of reducing the distances travelled by the tongue. Further comparisons at each rate, however, suggested a speed-accuracy trade-off and increased speech monitoring in the older adults. The results may assist in differentiating articulatory changes associated with normal aging from pathological changes found in disorders that affect the older population.

Age-Related Maximum Heart Rate Among Ischemic and Nonischemic Heart Failure Patients Receiving beta-Blockade Therapy

Background: Equations to predict maximum heart rate (HRmax) in heart failure (HF) patients receiving beta-adrenergic blocking (BB) agents do not consider the cause of HF. We determined equations to predict HRmax in patients with ischemic and nonischemic HF receiving BB therapy. Methods and Results: Using treadmill cardiopulmonary exercise testing, we studied HF patients receiving BB therapy being considered for transplantation from 1999 to 2010. Exclusions were pacemaker and/or implantable defibrillator, left ventricle ejection fraction (LVEF) >50%, peak respiratory exchange ratio (RER) <1.00, and Chagas disease. We used linear regression equations to predict HRmax based on age in ischemic and nonischemic patients. We analyzed 278 patients, aged 47 +/- 10 years, with ischemic (n = 75) and nonischemic (n = 203) HF. LVEF was 30.8 +/- 9.4% and 28.6 +/- 8.2% (P = .04), peak VO2 16.9 +/- 4.7 and 16.9 +/- 5.2 mL kg(-1) min(-1) (P = NS), and the HRmax 130.8 +/- 23.3 and 125.3 +/- 25.3 beats/min (P = .051) in ischemic and nonischemic patients, respectively. We devised the equation HRmax = 168 - 0.76 x age (R-2 = 0.095; P = .007) for ischemic HF patients, but there was no significant relationship between age and HRmax in nonischemic HF patients (R-2 = 0.006; P = NS). Conclusions: Our study suggests that equations to estimate HRmax should consider the cause of HF. (J Cardiac Fail 2012;18:831-836)

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Association of follicle stimulating hormone receptor promoter with ovarian response in IVF-ET patients

Background: Poor ovarian response phenomenon has been observed in some of the in vitro fertilization-embryo transfer patients. Some investigations found that follicle stimulating hormone receptor (FSHR) gene plays a role in the process, but no direct evidence shows the correlation between genotypes of FSHR and ovarian response. Objective: Exploring the molecular mechanism behind the mutation of FSHR promoter association with ovarian granulosa cells and poor ovarian response. Materials and Methods: This cross sectional study was performed using 158 women undergoing the controlled short program ovarian stimulation for IVF treatment. The 263 bp DNA fragments before the follicle stimulating hormone (FSH) receptor 5' initiation site were sequenced in the patients under IVF cycle, 70 of which had poor ovarian response and 88 showed normal ovarian responses. Results: With a mutation rate of 40%, 63 in 158 cases showed a 29th site G→A point mutation; among the mutated cases, the mutation rate of the poor ovarian responders was significantly higher than the normal group (60% versus 23.9%; χ2=21.450, p<0.001). Besides, the variability was also obvious in antral follicle count, and ovum pick-ups. The estradiol peak values and the number of mature eggs between the two groups had significant difference. However, there was no obvious variability (t=0.457, p=0.324) in the basic FSH values between the two groups (normal group, 7.2±2.3 U/L; mutation group, 7.1±2.0 U/L). Conclusion: The activity of FSHR promoter is significantly affected by the 29th site G→A mutation that will weaken promoter activity and result in poor response to FSH.

Fault current test of a bifilar Bi-2212 bulk coil

A bifilar Bi-2212 bulk coil with parallel shunt resistor was tested under fault current condition using a 3 MVA single-phase transformer in a 220 V-60 Hz line achieving fault current peak of 8 kA. The fault current tests are performed from steady state peak current of 200 A by applying controlled short circuits up to 8 kA varying the time period from one to six cycles. The test results show the function of the shunt resistor providing homogeneous quench behavior of the HTS coil besides its intrinsic stabilizing role. The limiting current ratio achieves a factor 4.2 during 5 cycles without any degradation.

Three essays on the term structure of interest rates

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

Quantiles of the Realized Stock-Bond Correlation

Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi…ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent …financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi…cations: C22; G01; G11; G12