890 resultados para Nelson and Siegel model


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The appealing feature of the arbitrage-free Nelson-Siegel model of the yield curve is the ability to capture movements in the yield curve through readily interpretable shifts in its level, slope or curvature, all within a dynamic arbitrage-free framework. To ensure that the level, slope and curvature factors evolve so as not to admit arbitrage, the model introduces a yield-adjustment term. This paper shows how the yield-adjustment term can also be decomposed into the familiar level, slope and curvature elements plus some additional readily interpretable shape adjustments. This means that, even in an arbitrage-free setting, it continues to be possible to interpret movements in the yield curve in terms of level, slope and curvature influences. © 2014 © 2014 Taylor & Francis.

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For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields

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Esta pesquisa busca testar a eficácia de uma estratégia de arbitragem de taxas de juros no Brasil baseada na utilização do modelo de Nelson-Siegel dinâmico aplicada à curva de contratos futuros de taxa de juros de 1 dia da BM&FBovespa para o período compreendido entre 02 de janeiro de 2008 e 03 de dezembro de 2012. O trabalho adapta para o mercado brasileiro o modelo original proposto por Nelson e Siegel (1987), e algumas de suas extensões e interpretações, chegando a um dos modelos propostos por Diebold, Rudebusch e Aruoba (2006), no qual estimam os parâmetros do modelo de Nelson-Siegel em uma única etapa, colocando-o em formato de espaço de estados e utilizando o Filtro de Kalman para realizar a previsão dos fatores, assumindo que o comportamento dos mesmos é um VAR de ordem 1. Desta maneira, o modelo possui a vantagem de que todos os parâmetros são estimados simultaneamente, e os autores mostraram que este modelo possui bom poder preditivo. Os resultados da estratégia adotada foram animadores quando considerados para negociação apenas os 7 primeiros vencimentos abertos para negociação na BM&FBovespa, que possuem maturidade máxima próxima a 1 ano.

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This project is an extension of a previous CRC project (220-059-B) which developed a program for life prediction of gutters in Queensland schools. A number of sources of information on service life of metallic building components were formed into databases linked to a Case-Based Reasoning Engine which extracted relevant cases from each source.

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In an empirical test and extension of Klein Conn and Sorra’s model of innovation implementation effectiveness, we apply structural equation modelling to identify the generalizability of their data-modified model in comparison with their theorised model. We examined the implementation of various types of innovations in a sample of 135 organizations. We found that the data supported the original model rather than the data-modified model, such that implementation climate mediated polices and practices and implementation effectiveness, while implementation effectiveness partially mediated the relationship between implementation climate and innovation effectiveness. Furthermore, we extend their model to suggest that non-financial resources availability plays a critical role in implementation policies and practices.

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Tested D. J. Kavanagh's (1983) depression model's explanation of response to cognitive-behavioral treatment among 19 20–60 yr old Ss who received treatment and 24 age-matched Ss who were assigned to a waiting list. Measures included the Beck Depression Inventory and self-efficacy (SE) and self-monitoring scales. Rises in SE and self-monitored performance of targeted skills were closely associated with the improved depression scores of treated Ss. Improvements in the depression of waiting list Ss occurred through random, uncontrolled events rather than via a systematic increase in specific skills targeted in treatment. SE regarding assertion also predicted depression scores over a 12-wk follow-up.

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In condition-based maintenance (CBM), effective diagnostics and prognostics are essential tools for maintenance engineers to identify imminent fault and to predict the remaining useful life before the components finally fail. This enables remedial actions to be taken in advance and reschedules production if necessary. This paper presents a technique for accurate assessment of the remnant life of machines based on historical failure knowledge embedded in the closed loop diagnostic and prognostic system. The technique uses the Support Vector Machine (SVM) classifier for both fault diagnosis and evaluation of health stages of machine degradation. To validate the feasibility of the proposed model, the five different level data of typical four faults from High Pressure Liquefied Natural Gas (HP-LNG) pumps were used for multi-class fault diagnosis. In addition, two sets of impeller-rub data were analysed and employed to predict the remnant life of pump based on estimation of health state. The results obtained were very encouraging and showed that the proposed prognosis system has the potential to be used as an estimation tool for machine remnant life prediction in real life industrial applications.

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Objective: The emergency medical system (EMS) can be defined as a comprehensive, coordinated and integrated system of care for patients suffering acute illness and injury. The aim of the present paper is to describe the evolution of the Queensland Emergency Medical System (QEMS) and to recommend a strategic national approach to EMS development. Methods: Following the formation of the Queensland Ambulance Service in 1991, a state EMS committee was formed. This committee led the development and approval of the cross portfolio QEMS policy framework that has resulted in dynamic policy development, system monitoring and evaluation. This framework is led by the Queensland Emergency Medical Services Advisory Committee. Results: There has been considerable progress in the development of all aspects of the EMS in Queensland. These developments have derived from the improved coordination and leadership that QEMS provides and has resulted in widespread satisfaction by both patients and stakeholders. Conclusions: The strategic approach outlined in the present paper offers a model for EMS arrangements throughout Australia. We propose that the Council of Australian Governments should require each state and Territory to maintain an EMS committee. These state EMS committees should have a broad portfolio of responsibilities. They should provide leadership and direction to the development of the EMS and ensure coordination and quality of outcomes. A national EMS committee with broad representation and broad scope should be established to coordinate the national development of Australia's EMS.

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The study described in this paper developed a model of animal movement, which explicitly recognised each individual as the central unit of measure. The model was developed by learning from a real dataset that measured and calculated, for individual cows in a herd, their linear and angular positions and directional and angular speeds. Two learning algorithms were implemented: a Hidden Markov model (HMM) and a long-term prediction algorithm. It is shown that a HMM can be used to describe the animal's movement and state transition behaviour within several “stay” areas where cows remained for long periods. Model parameters were estimated for hidden behaviour states such as relocating, foraging and bedding. For cows’ movement between the “stay” areas a long-term prediction algorithm was implemented. By combining these two algorithms it was possible to develop a successful model, which achieved similar results to the animal behaviour data collected. This modelling methodology could easily be applied to interactions of other animal species.

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Measuring the comparative sustainability levels of cities, regions, institutions and projects is an essential procedure in creating sustainable urban futures. This paper introduces a new urban sustainability assessment model: “The Sustainable Infrastructure, Land-use, Environment and Transport Model (SILENT)”. The SILENT Model is an advanced geographic information system and indicator-based comparative urban sustainability indexing model. The model aims to assist planners and policy makers in their daily tasks in sustainable urban planning and development by providing an integrated sustainability assessment framework. The paper gives an overview of the conceptual framework and components of the model and discusses the theoretical constructs, methodological procedures, and future development of this promising urban sustainability assessment model.

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A combined specular reflection and diffusion model using the radiosity technique was developed to calculate road traffic noise level on residential balconies. The model is capable of numerous geometrical configurations for a single balcony situated in the centre of a street canyon. The geometry of the balcony and the street can be altered with width,length and height. The model was used to calculate for three different geometrical and acoustic absorption characteristics for a balcony. The calculated results are presented in this paper.

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Process modeling is an emergent area of Information Systems research that is characterized through an abundance of conceptual work with little empirical research. To fill this gap, this paper reports on the development and validation of an instrument to measure user acceptance of process modeling grammars. We advance an extended model for a multi-stage measurement instrument development procedure, which incorporates feedback from both expert and user panels. We identify two main contributions: First, we provide a validated measurement instrument for the study of user acceptance of process modeling grammars, which can be used to assist in further empirical studies that investigate phenomena associated with the business process modeling domain. Second, in doing so, we describe in detail a procedural model for developing measurement instruments that ensures high levels of reliability and validity, which may assist fellow scholars in executing their empirical research.

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From Pontryagin’s Maximum Principle to the Duke Kahanamoku Aquatic Complex; we develop the theory and generate implementable time efficient trajectories for a test-bed autonomous underwater vehicle (AUV). This paper is the beginning of the journey from theory to implementation. We begin by considering pure motion trajectories and move into a rectangular trajectory which is a concatenation of pure surge and pure sway. These trajectories are tested using our numerical model and demonstrated by our AUV in the pool. In this paper we demonstrate that the above motions are realizable through our method, and we gain confidence in our numerical model. We conclude that using our current techniques, implementation of time efficient trajectories is likely to succeed.