322 research outputs found
Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set
No full textThis paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two modelling choices, namely the imposition of no-arbitrage restrictions and the size of the information set used to extract factors, on the forecasting performance. Using US yield curve data, we find that both no-arbitrage and large info help in forecasting but no model uniformly dominates the other. No-arbitrage models are more useful at shorter horizon for shorter maturities. Large information sets are more useful at longer horizons and longer maturities. We also find evidence for a significant feedback from yield curve models to macroeconomic variables that could be exploited for macroeconomic forecasting
Fault detection and fault-tolerant control for nonlinear systems
No full textLinlin Li addresses the analysis and design issues of observer-based FD and FTC for nonlinear systems. The author analyses the existence conditions for the nonlinear observer-based FD systems to gain a deeper insight into the construction of FD systems. Aided by the T-S fuzzy technique, she recommends different design schemes, among them the L_inf/L_2 type of FD systems. The derived FD and FTC approaches are verified by two benchmark processes. Contents Overview of FD and FTC Technology Configuration of Nonlinear Observer-Based FD Systems Design of L2 nonlinear Observer-Based FD Systems Design of Weighted Fuzzy Observer-Based FD Systems FTC Configurations for Nonlinear Systems< Application to Benchmark Processes Target Groups Researchers and students in the field of engineering with a focus on fault diagnosis and fault-tolerant control fields The Author Dr. Linlin Li completed her dissertation under the supervision of Prof. Steven X. Ding at the Faculty of Engineering, University of Duisburg-Essen, Germany
Co-movements of Shanghai and New York Stock prices by time-varying regressions
No full textWe estimate a time-varying regression model to study the relationship between returns in the Shanghai and New York stock markets, with possible inclusion of lagged returns. The parameters of the regressions reveal that the effect of the current stock return for New York on that for Shanghai steadily increases after the 1997 Asian financial crisis and turns significantly and persistently positive after 2002, when China entered WTO. The effect of the current return for Shanghai on New York also becomes significantly positive and increasing after 2002. The upward trend has been interrupted during the recent global financial crisis, but reaches the level of about 0.4 to 0.5 in 2010 for both markets. Our results show that China’s stock market has become more and more integrated into the world market in the past twenty years, with interruptions occurring during the recent global economic downturn.China; globalization; rate of return; stock markets; time-varying parameter regression
The Introduction of the Euro and Inflation: Cross-country Differences in Perceived Inflation
No full textThis dissertation thesis examines the divergence of perceived inflation, measured by the EU Consumer Surveys, and officially measured inflation after the introduction of cash euro in several eurozone countries. Two groups of countries are tested in the thesis -- countries accepting the euro in 2002 and countries providing the changeover in later years. The main goal of the thesis is to test cross-country differences between officially measured and perceived inflation with respect to economic, social and cultural specifics of the countries in the eurozone, while main focus is given to examining the differences between the above-mentioned two groups of countries. The results obtained could help to derive policy conclusions for the other EU countries which have not yet accepted the common currency
An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
No full textThis paper proposes an affine term structure model in a stochastic volatility setting. It provides a useful modeling tool to bridge the two strands of macroeconomic and finance research: the DSGE-VAR with stochastic volatility and the macro-finance model of term structure. In the model, the state vector follows a VAR; its innovations are conditional normal with a time-varying variance-covariance following a Wishart Autoregression process, which directly drives the risk price in the stochastic discount factor. In this setting, the yield curve under no-arbitrage is determined both by the state vector and its stochastic volatility-covolatility matrix. A DSGE-VAR with stochastic volatility can readily be cast into the state of this term structure model. Simulation of the baseline model shows that: 1) two factors are sufficient to fully reproduce all typical shapes of the yield curve; 2) Volatility and Covolatility has sizable effect on medium to long maturity yields; 3) volatility is a curvature factor of the yield curve, and the net effect of a multivariate variance-covariance matrix is also a curvature factor; 4) expected excess returns are explicitly linked to the volatility-covolatility of state innovations; 5) the model can well explain the bond yield "conundrum" in 2004-2005, where the long term interest rate remains low while short term rate keeps rising continuously
中国实际利率与通胀预期的期限结构：基于无套利宏观金融模型的研究
No full text The information of real interest rates and expected inflation is important to China’s monetary policy and investors’ decision. In this paper, we extract the term structure of real interest rates and expected inflation from the yield curve of China’s Treasury bond market by constructing a no-arbitrage macro finance model. We find that China’s real interest rates of various maturities from January 2005 to April 2012 have been persistently negative, reflecting the loose monetary policy and imperfection in the market mechanism of interest rates formation. When compared to existing indices of expected inflation, the expected inflation implied by our method is highly close in terms of level and variation. And the implied expected inflation also coincides with the business cycle of inflation fluctuation in China. The advantage of our method is that expected inflation of different future horizons can be constructed, which provides richer information than single index to policy makers and market participants. Key words: Term structure of interest rates, Real interest rates, Expected inflatio
Analiza modelowania, technik i funkcji chińskiej jarmułki
No full textThe Chinese skullcap is a kind of headgear for men specific to China, which prevailed in the dynasties of Ming, Qing and the Republic of China. Its modellings fall into two types: flat-topped and peaked, and its lining is divided into hard and soft to fit the different needs of each season. Through analysis of the physical objects that have remained to this day, it reveals that four types of Chinese skullcap can fit well with t he human head, covering half of the forehead. By means of analysing and carding of the crafting techniques of the peaked Chinese skullcap with a hard inner lining, it could be found that it is precise in material selection and fine in making, which is the embodiment of the increasingly approaching perfection of traditional headgear techniques. The modelling and production techniques of the Chinese skullcap also reflect its unique practical, aesthetic and social functions, displaying the philosophy of "the integration of beauty and practicality" in Chinese headgear art.Chińska jarmułka to rodzaj nakrycia głowy dla mężczyzn charakterystyczny dla Chin, które noszone było w dynastiach Ming, Qing i Republice Chińskiej. Jej modele dzielą się na dwa typy: płaskie i z daszkiem, a podszewka jest podzielona na twardą i miękką, tak aby dopasować się do różnych potrzeb. Analiza fizycznych obiektów, które zachowały się do dziś, pokazuje, że cztery rodzaje chińskiej jarmułki dobrze pasują do ludzkiej głowy, pokrywając połowę czoła. Analizując techniki rzemieślnicze chińskiej jarmułki szpiczastej z twardą podszewką wewnętrzną, można było stwierdzić, że była ona precyzyjna w doborze materiałów i w wykonaniu. Techniki modelowania i produkcji chińskiej jarmułki odzwierciedlają również jej unikalne funkcje praktyczne, estetyczne i społeczne, ukazując filozofię „integracji piękna i praktyczności” w chińskiej sztuce nakryć głowy
The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models
No full textWe derive the discrete-time arbitrage-free Nelson-Siegel class of term structure models with an exact solution and proof of uniqueness. We design a fast and reliable estimation procedure based on reduced-dimension optimization with multistep embedded regressions. After an analytical illustration, we also show empirically that arbitrage-free restrictions have a bounded advantage for in-sample fit and out-of-sample forecast, compared to its reduced-form counterpart. However, the arbitrage-free model is a powerful tool for analysing risk premia associated with Level, Slope and Curvature factors. Our empirical results have interesting implications for both the US bond yield conundrum of 2004-05 and the recent financial crisis.
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