Simulation Methods of Stochastic Volatility Interest Rate Term Structure

A term structure model bearing features of stochastic volatility and stochastic mean drift with jump （SVJ-SD model for short） is built in the paper to describe the stochastic behavior of interest rates.Based on sample data of an interest rate of national bond repurchase,maximum likelihood （ML）,linear Kalman filter and efficient method of moments （EMM） are used to estimate the model.While ML works well for simple models,it may lead to considerable deviation in parameter estimation when dynamic risks of interest rates are considered in them.Linear Kalman filter is a tractable and reasonably accurate technique for estimation cases where ML was not feasible.Moreover,when compared with the first two approaches,using EMM can obtain better parameter estimates for complex models with non-affine structures.

Perturbation Analysis of Structured Least Squares Problems and Its Application in Calibration of Interest Rate Term Structure

A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivity of changing the knots for curve fitting of interest rate term structure by cubic spline.Numerical experiments are given to illustrate the sharpness of this bound.

Term Structure of Interest Rates Based on Artificial Neural Network

In light of the nonlinear approaching capability of artificial neural networks （ ANN）, the term structure of interest rates is predicted using The generalized regression neural network （GRNN） and back propagation （BP） neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek＇s model and Cox-Ingersoll-Ross （CIR） model. The comparison reveals that neural network models outperform Vasicek＇s model and CIR model, which are more precise and closer to the real market situation.

Modelling the Term Structure of Hong Kong Inter-Bank Offered Rates （HIBOR）

Different single-factor models are used to estimate the term structure of Hong Kong Inter-Bank Offered Rates （HIBOR）. These models use stochastic differential equations which effectively reflect market characteristics of short- and long-term interest rates, such as capability of mean reversion and interest rate level fluctuation. For the period from 2005 to early 2007, the economy of Hong Kong had been relatively stable with pretty low volatilities in interest rate. However, starting from 2008 to beginning of 2012, the Hong Kong and the world economies had been steering from relatively stable to fluctuations, the 2008 financial tsunami initiated by the U,S. had been causing financial instability globally. With the U.S： government taking quantitative easing monetary policy, U.S. interest rates fluctuated and submerged rapidly. Volatility of HIBOR was extremely sensitive to fluctuation of U.S. interest rates, since Hong Kong dollar exchange rate has been pegged with U.S. dollar. In short, during the period of early 2008 to early 2012, volatility of short-term interest rate was extremely sensitive. Obviously, the term structure of interest rate for these two periods had made major shift, combining the two periods would lead to unfavorable econometric results.

RETRACTED: Nuclear Structure Study of Odd-Odd Yttrium Nuclei within Interacting-Boson Fermi-Fermion Model (IBFFM)

Short Retraction NoticeThe paper does not meet the standards of "Journal of Applied Mathematics and Physics". This article has been retracted to straighten the academic record. In making this decision the Editorial Board follows COPE's Retraction Guidelines. The aim is to promote the circulation of scientific research by offering an ideal research publication platform with due consideration of internationally accepted standards on publication ethics. The Editorial Board would like to extend its sincere apologies for any inconvenience this retraction may have caused.Editor guiding this retraction: Prof. Wen-Xiu Ma (EiC of JAMP)The full retraction notice in PDF is preceding the original paper, which is marked "RETRACTED".

Volatility Structures of ForwardRates and the Dynamics of the TermStructure:a Multifactor Case

For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a finite-dimensional state variable Markov process. In the deterministic volatility case, we interpret then-factor model as a sum ofn unidimensional models.

Empirical Estimation of Term Structure of Interbank Rates in China

Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.

Modelling time series properties of Australian lending interest rates

The purpose of this paper is to examine the time series properties of Australian residential mortgage interest rates, and in doing so, establish whether or not selected home loan rates （product-level monthly home loan interest rates for CBA） exhibit the expected cyclical and seasonal variations and whether seasonality, if present, is stochastic or deterministic. In particular, due to a well established presence of cyclicality in financial markets＇ interest rates and strong correlation between financial markets＇ interest rates and home loan interest rates, the paper presumes that cyclicality is also to be found in home loan interest rates. Furthermore, the paper tests the hypothesis that home loan interest rates, for selected products, exhibit the three identified （＂Spring＂, ＂Autumn＂ and ＂The end of the Financial Year＂） season-related interest rate reductions. The paper uses a structural time series modelling approach and product-level home loan interest rates data from one of the biggest banks in Australia, Commonwealth Bank of Australia （CBA）. As expected, the results overall confirm the existence of cyclicality in home loan interest rates. With respect to the seasonality of home loan interest rate, although most of the analysed variables show the presence of statistically significant seasonal factors, the majority of the statistically significant seasonal factors observed cannot be attributed to any of the three considered seasonal effects.

Structured scene modeling using micro stereo vision system with large field of view

This paper presents a method for structured scene modeling using micro stereo vision system with large field of view. The proposed algorithm includes edge detection with Canny detector, line fitting with principle axis based approach, finding corresponding lines using feature based matching method, and 3D line depth computation.

LINEAR FILTERING FOR VASICEK TERM STRUCTURE MODEL WITH SEQUENTIALLY CORRELATED NOISE

When Kalman filter is used in the estimation of Vasicek term structure of interest rates,it is usual to assume that the measurement noise is uncorrelated.Study results are more favorable to the assumption of correlated measurement noise.An augmented state Kalman filter form for Vasicek model is proposed to optimally estimate the unobservable state variable with the assumption of correlated measurement noise.Empirical results indicate that the model with sequentially correlated measurement noise can more accurately describe the dynamics of the term structure of interest rates.

EXPERIMENTAL STUDY OF MEASUREMENT FOR DISSIPATION RATE SCALING EXPONENT IN HEATED WALL TURBULENCE

Experimental investigations have been devoted to the study of scaling law of coarse-grained dissipation rate structure function for velocity and temperature fluctuation of non-isotropic and inhomogeneous turbulent flows at moderate Reynolds number. Much attention has been paid to the case of turbulent boundary layer, which is typically the non-istropic and inhomogeneous trubulence because of the dynamically important existence of organized coherent structure burst process in the near wall region . Longitudinal velocity and temperature have been measured at different vertical positions in turbulent boundary layer over a heated and unheated flat plate in a wind tunnel using hot wire anemometer. The influence of non-isotropy and inhomogeneity and heating the wall on the scaling law of the dissipation rate structure function is studied because of the existence of organized coherent structure burst process in the near wall region . The scaling law of coarse-grained dissipation rate structure function is foun

Modeling of Heat Transfer and Steam Condensation Inside a Horizontal Flattened Tube

This work investigates the steam condensation phenomena in an air-cooled condenser.The considered horizontal flattened tube has a 30 mm hydraulic diameter,and its length is a function of the steam quality with a limit value between 0.95 and 0.05.The mass flow rate ranges from 4 to 40 kg/m^(2).s with a saturated temperature spanning an interval from 40°C to 80°C.A special approach has been implemented using the Engineering Equation Solver(EES)to solve a series of equations for the two-phase flow pattern and the related heat transfer coefficients.A wavy-stratified structure of the two-phase flow has been found when the mass rate was between 4 and 24 kg/m^(2).s.In contrast,an initially annular flow is gradually converted into a wavy stratified flow(due to the condensation process taking place inside the flattened tube)when the considered range ranges from 32 to 40 kg/m^(2).s.

Effects of Multicollinearity on Type I Error of Some Methods of Detecting Heteroscedasticity in Linear Regression Model

Heteroscedasticity and multicollinearity are serious problems when they exist in econometrics data. These problems exist as a result of violating the assumptions of equal variance between the error terms and that of independence between the explanatory variables of the model. With these assumption violations, Ordinary Least Square Estimator (OLS) will not give best linear unbiased, efficient and consistent estimator. In practice, there are several structures of heteroscedasticity and several methods of heteroscedasticity detection. For better estimation result, best heteroscedasticity detection methods must be determined for any structure of heteroscedasticity in the presence of multicollinearity between the explanatory variables of the model. In this paper we examine the effects of multicollinearity on type I error rates of some methods of heteroscedasticity detection in linear regression model in other to determine the best method of heteroscedasticity detection to use when both problems exist in the model. Nine heteroscedasticity detection methods were considered with seven heteroscedasticity structures. Simulation study was done via a Monte Carlo experiment on a multiple linear regression model with 3 explanatory variables. This experiment was conducted 1000 times with linear model parameters of β0 = 4 , β1 = 0.4 , β2= 1.5 and β3 = 3.6. Five (5) levels of mulicollinearity are with seven (7) different sample sizes. The method’s performances were compared with the aids of set confidence interval (C.I.) criterion. Results showed that whenever multicollinearity exists in the model with any forms of heteroscedasticity structures, Breusch-Godfrey (BG) test is the best method to determine the existence of heteroscedasticity at all chosen levels of significance.

Application and Model of Term Structure of Stochastic Interest Rate Based on the Inflation Rate

In this paper, we build the arbitrage-free term structure model on the inflation rate, and discuss the relations between the arbitrage-free term structure and the equivalent martingale measure. The volatility terms of diffusion processes of the real forward interest rate, the nominal forward interest rate and the inflation index （Jarrow and Yildirim, 2003） are extended into many dimensional Brownian motions. Moreover, as we derive the differential equations of three-factor term structure, our results are generalized. At last, the analytic solutions of European option can be deduced on the inflation rate.

汇率变动、OFDI与出口贸易--中国与欧亚经济联盟经贸关系的经验分析

巩固和发展同欧亚经济联盟的经贸合作关系对于促进“一带一路”倡议的深远发展具有重要意义。作者基于新经济地理学理论,结合引入汇率因素的结构化贸易引力模型,在理论层面上构建了汇率变动、OFDI与出口贸易关系的理论模型并提出研究假设,将汇率变动划分为汇率水平变动与汇率波动,引入第三方汇率波动并细化为区域邻国汇率波动、中美汇率波动和中欧汇率波动三方面,采用2003—2017年中国与欧亚经济联盟成员国贸易和投资面板数据,运用全面可行广义最小二乘法(FGLS)、工具变量法(2SLS、GMM和LIML)等估计方法实证检验了汇率变动、OFDI对出口贸易的影响以及异质性汇率变动条件下OFDI的出口效应。通过研究发现:中国对欧亚经济联盟OFDI与出口贸易呈现互补关系;汇率波动对出口贸易产生显著抑制作用,而汇率水平变动影响则不显著;区域经济一体化显著降低中国对欧亚经济联盟的出口贸易;引入第三方汇率波动变量,发现第三方汇率波动效应具有异质性,区域邻国汇率波动有助于促进中国对欧亚经济联盟的出口,而中美与中欧汇率波动影响并不显著。利用国际贸易标准货物分类(SITC)将出口产品分为初级产品、劳动密集型产品和资本密集型产品,进一步探究OFDI对异质性产品出口贸易的影响,发现中国对欧亚经济联盟OFDI与不同类型的产品均具有显著互补关系,汇率水平变动对不同类型产品出口影响仍然不显著;双边汇率波动、区域经济一体化显著抑制中国与欧亚经济联盟的出口贸易,同时在考虑第三方汇率波动的情形下,双边汇率波动对初级产品的影响程度增强,对劳动和资本密集型产品的影响减弱;第三方汇率波动对不同类型产品的影响具有异质性,初级产品中第三方汇率波动均显著促进出口;劳动密集型产品中第三方汇率波动均无显著影响;资本密集型产品中仅有邻国汇率波动促进出口。设定汇率变动、第三方汇率波动和区域经济一体化与OFDI的交互项模型,实证检验了异质性汇率变动条件下中国对欧亚经济联盟OFDI的出口效应,研究发现OFDI出口效应中,汇率波动具有显著抑制效应,区域经济一体化和汇率水平变动影响不显著;第三方汇率波动效应具有异质性,区域邻国汇率波动显著抑制OFDI的出口效应,而中美和中欧汇率波动影响不显著。

PMCMC for Term Structure of Interest Rates under Markov Regime Switching and Jumps

A parameter estimation method,called PMCMC in this paper,is proposed to estimate a continuous-time model of the term structure of interests under Markov regime switching and jumps.There is a closed form solution to term structure of interest rates under Markov regime.However,the model is extended to be a CKLS model with non-closed form solutions which is a typical nonlinear and non-Gaussian state-space model(SSM)in the case of adding jumps.Although the difficulty of parameter estimation greatly prevents from researching models,we prove that the nonlinear and non-Gaussian state-space model has better performances in studying volatility.The method proposed in this paper will be implemented in simulation and empirical study for SHIBOR.Empirical results illustrate that the PMCMC algorithm has powerful advantages in tackling the models.

Estimation for Jump-diffusion Term Structure of Interest Rate for China Government Bond Market

This paper examines the term structure of interest rate empirically, and discovers that jump-diffusion process is better than pure diffusion process when describing the stochastic behavior of interest rate, which including jump risk. Using two-stage method to estimate the term structure of China government bond market. Fitting the initial term structure with B-spline approximation method, and then as input to jump-diffusion model parameter estimation. The result accounts for that term structure with jump can explain the actual conditions of China government bond market.

A Comparative Study of Land Economy under Different Ownerships in China

This paper creates a land economy model under the framework of the consistent growth theory to investigate the impacts of different forms of ownership on longterm economic equilibrium.As demonstrated under the model,in an economy of private ownership that allows the free transfer of land,land gradually becomes concentrated in the hands of a few;income growth deriving from technological progress merely contributes to the wealth and consumption of landowners;landless workers will struggle at the level of subsistence.An economy of public or collective ownership that forbids the transfer of land can ensure basic social equity.However,in a collective economy without a contract system,population is likely to grow excessively and thus requires external restraint.The conclusions of our model suggest that the long-term welfare and growth effect under collective ownership with a contract system is superior to those under private ownership and pure public ownership.

Nonaffine Network Structural Model for Molten Low-Density Polyethylene and High-Density Polyethylene in Oscillatory Shear

We propose molten polymer's entanglement network deformation to be nonaffine and use transient network structural theory with the revised Liu's kinetics rate equation and the revised upper convected Maxwell constitutive equation to establish a nonaffine network structural constitutive model for studying the rheological behavior of molten Low Density Polyethylene (LDPE) and High Density Polyethylene (HDPE) in oscillatory shear. As a result, when the strain amplitude or frequency increases, the shear stress amplitude increases. At the same time, the accuracy of the nonaffine network model is higher than that of affine network model. It is clear that there is a small amount of nonaffine network deformation for LDPE melts which have long chain branches, and there is a larger amount of nonaffine network deformation in oscillatory shear for HDPE melts which has no long chain branches. So we had better consider the network deformation nonaffine when we establish the constitutive equations of polymer melts in oscillatory shear.

Long-Term Cumulative Damage Model of Historical Timber Member under Varying Hygrothermal Environment

A long-term damage cumulative model for the duration of load effect of structural timber is proposed in this paper, which is economical in analysis as well as involving long-term hygrothermal effect. Based on the Miner linear damage cumulative theory, the cumulative damage model is applied to analyze the annual hygrothermal, daily cyclic thermal and daily cyclic relative humidity＇s effect on load-duration behavior and to calculate the sum of damage in one year. The results indicate that the annual and daily hygrothermal effect should be taken into consideration when calculating the damage accumulation, in which the influence levels from large to small are annual hygrothermal, daily relative humidity and daily thermal effect, Considering both annual and daily hygrothermal variations as external loads the long-term model is determined. Its application to service-life prediction of a historic timber structure verifies the feasibility and high-efficiency of the proposed approach.