Dynamic spillovers between the term structure of interest rates,bitcoin,and safe‑haven currencies

This study examines the connectedness between the US yield curve components(i.e.,level,slope,and curvature),exchange rates,and the historical volatility of the exchange rates of the main safe-haven fiat currencies(Canada,Switzerland,EURO,Japan,and the UK)and the leading cryptocurrency,the Bitcoin.Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility.The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks.Meanwhile,the curvature of the yield curve and the Japanese Yen,Swiss Franc,and British Pound act mainly as net receivers.Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level,slope,and curvature,and from any main currency investigated.These findings hint that Bitcoin might provide hedging benefits.However,similar to the static analysis,our dynamic analysis shows that during different periods and particularly in stressful times,Bitcoin is far from being isolated from other currencies or the yield curve components.The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress.Evidence supporting this contention is the substantially increased connectedness due to policy shocks,political uncertainty,and systemic crisis,implying no empirical support for Bitcoin’s safe-haven property during stress times.The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times,Bitcoin has the property of a diversifier.The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.

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.

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.

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.

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.

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.

A study on physical property of crustal material and seismogenic environment in northeastern Pamir

2-D crustal structure and velocity ratio are obtained by processing S-wave data from two wide-angle reflec-tion/refraction profiles in and around Jiashi in northeastern Pamir, with the result of P-wave data taken into con-sideration. The result shows that: 1) Average crustal velocity ratio is obviously higher in Tarim block than in West Kunlun Mts. and Tianshan fold zone, which reflects its crustal physical property of 'hardness' and stability. The relatively low but normai velocity ratio (Poisson's ratio) of the lower crust indicates that the 'downward thrusting' of Tarim basin is the main feature of crustal movement in this area. 2) The rock layer in the upper crust of Tianshan fold zone is relatively 'soft', which makes it prone to rupture and stress energy release. This is the primary tectonic factor for the concentration of small earthquakes in this area. 3) Jiashi is located right over the apex or the inflection point of the updoming lower crustal interface C and the crust-mantle boundary, which is the deep struc-tural background for the occurrence of strong earthquakes. The alternate variation of vp/vs near the block bounda-ries and the complicated configuration of the interfaces in the upper and middie part of the upper crust form a par-ticular structural environment for the Jiashi strong earthquake swarm. vp/vs is comparatively high and shear modulus is low at the focal region, which may be the main reason for the low stress drop of the Jiashi strong earthquake swarm.

Determining pledged loan-to-value ratio:an option pricing perspective

Background:We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method.Methods:The basic idea is that the present value of the pledged loan payoff is equal to a put option’s value.While the interest rate is fixed and the loan is without coupon,we analyzed the pledged loan-to-value ratioin the option pricing perspective and got it that the pledged loan-to-value ratio is decided by term,excessreturn,and the value volatility of the pledge.Next,we extended the same work to coupon loan and portfoliopledge circumstances.For zero coupon and fixed interest rate circumstances,we performed a numericalanalysis.Results:Our results indicate the following:the pledged loan-to-value ratio is a convex decreasing function ofthe term;and the pledged loan-to-value ratio is a concave decreasing function of the value volatility of the pledge;and the pledged loan-to-value ratio is a concave increasing function of the risk premium.For floating interest rate circumstances,we should specify the function form between the loan interest and the risk-free rate.Conclusions:The scientific measurement of the pledged loan-to-value ratio means that simple rules of thumb or the VaR method may lead to mispricing,which could create the possibility of arbitrage.In this way,a new direction for trading derivative products of pledges will be provided.

PRICING OF MULTIPLE DEFAULTABLE BOND

In this paper a generalized defaultable bond pricing formula is derived by assuming that there exists a defaultable forward rate term structure and that firms in the economy interact when default occurs.Generally,The risk-neutral default intensity λ Q is not equal to the empirical or actual default intensity λ.This paper proves that multiple default intensities are invariant under equivalent martingale transformation,given a well-diversified portfolio corresponding to the defaultable bond.Thus one can directly apply default intensities and fractional losses empirically estimated to the evaluation of defaultable bonds or contingent claims.

The term structure of Sharpe ratios and arbitragefree asset pricing in continuous time

Motivated by financial and empirical arguments and in order to introduce a more flexible methodology of pricing,we provide a new approach to asset pricing based on Backward Volterra equations.The approach relies on an arbitrage-free and incomplete market setting in continuous time by choosing non-unique pricing measures depending either on the time of evaluation or on the maturity of payoffs.We show that in the latter case the dynamics can be captured by a time-delayed backward stochastic Volterra integral equation here introduced which,to the best of our knowledge,has not yet been studied.We then prove an existence and uniqueness result for time-delayed backward stochastic Volterra integral equations.Finally,we present a Lucas-type consumption-based asset pricing model that justifies the emergence of stochastic discount factors matching the term structure of Sharpe ratios.

GENERALIZED STOCHASTIC DURATION INMARKOVIAN HEATH-JARROW-MORTONFRAMEWORK

This paper focuses on how to measure the interest rate risk. The conventional measure methods of interest rate risk are reviewed and the duration concept is generalized to stochastic duration in the Markovian HJM framework. The generalized stochastic duration of the coupon bond is defined as the time to maturity of a zero coupon bond having the same instantaneous variance as the coupon bond. According to this definition., the authors first present the framework of Markovian HJM model, then deduce the measures of stochastic duration in some special cases which cover some extant interest term structure.

Empirical Study on Information Asymmetry Based on Chinese Forward Exchange Rate Market

Many published studies have considered information asymmetry between domestic and foreign investors about local assets in the stock market, particularly in developed markets. The present study proposes a new perspective to address the issue in the case of China ＂s forward exchange rate market. Following the framework of Clarida and Taylor （1997）, the term structures of exchange rates in the domestic forward and the non-deliverable forward markets are constructed and then applied to predict future spot exchange rates based on a vector equilibrium correction model By comparing the forecast accuracy on the basis of the root mean square error and the mean absolute error, it is shown that dynamic out-of- sample forecasts of the domestic forward market are superior to those of the non-deliverable forward market, suggesting that domestic investors are better informed than foreign investors. The result has several important policy implications, especially for exchange rate determination.