Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure. The advantages of this method are first, that, unlike classical principal component analysis, common factors can be estimated without assuming that the volatility of the factors is constant; and second, that the factor structure can be decomposed into permanent and transitory common factors. We conclude that only permanent factors are relevant for modeling the dynamics of interest rates, and that the common principal component approach appears to be more accurate than the classical principal component one to estimate the risk factor structure.Term Structure of Interest Rates, Principal Component Analy-sis, Common Principal Component Analysis

Viscoelastic model for the dynamic structure of binary systems

This paper presents the viscoelastic model for the Ashcroft-Langreth dynamic structure factors of liquid binary mixtures. We also provide expressions for the Bhatia-Thornton dynamic structure factors and, within these expressions, show how the model reproduces both the dynamic and the self-dynamic structure factors corresponding to a one-component system in the appropriate limits (pseudobinary system or zero concentration of one component). In particular we analyze the behavior of the concentration-concentration dynamic structure factor and longitudinal current, and their corresponding counterparts in the one-component limit, namely, the self dynamic structure factor and self longitudinal current. The results for several lithium alloys with different ordering tendencies are compared with computer simulations data, leading to a good qualitative agreement, and showing the natural appearance in the model of the fast sound phenomenon.Comment: 20 pages, 19 figures, submitted to PR

On Form Factors in nested Bethe Ansatz systems

We investigate form factors of local operators in the multi-component Quantum Non-linear Schr\"odinger model, a prototype theory solvable by the so-called nested Bethe Ansatz. We determine the analytic properties of the infinite volume form factors using the coordinate Bethe Ansatz solution and we establish a connection with the finite volume matrix elements. In the two-component models we derive a set of recursion relations for the "magnonic form factors", which are the matrix elements on the nested Bethe Ansatz states. In certain simple cases (involving states with only one spin-impurity) we obtain explicit solutions for the recursion relations.Comment: 34 pages, v2 (minor modifications

Extraction of the underlying structure of systematic risk from non-Gaussian multivariate financial time series using independent component analysis: Evidence from the Mexican stock exchange

Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA) to estimate the pervasive risk factors that explain the returns on stocks in the Mexican Stock Exchange. The extracted systematic risk factors are considered within a statistical definition of the Arbitrage Pricing Theory (APT), which is tested by means of a two-stage econometric methodology. Using the extracted factors, we find evidence of a suitable estimation via ICA and some results in favor of the APT.Peer ReviewedPostprint (published version

Development of reliability prediction technique for semiconductor diodes

New fundamental technique of reliability prediction for semiconductor diodes based on realistic mathematical models can be applied to component failure rate prediction including mechanical degradation, electrical degradation, environmental stress factors, and electrical load stress factors

Electromagnetic form factors of the ρ\rho meson in a light-front constituent quark model

The electromagnetic form factors of the $\rho$ meson are evaluated adopting a relativistic constituent quark model based on the light-front formalism, and using a meson wave function with the high-momentum tail generated by the one-gluon-exchange interaction. The breakdown of the rotational covariance for the one-body component of the current operator is investigated and the sensitivity of the ratio of the $\rho$-meson form factors to the pion (charge) form factor to the spin-dependent component of the effective $q \bar{q}$ interaction is illustrated.Comment: 8 pages, latex file, 4 figures available as a separate .uu fil

Asset-pricing models and economic risk premia: a decomposition

The risk premia assigned to economic (nontraded) risk factors can be decomposed into three parts: (i) the risk premia on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of the candidate pricing kernel of a given model and the factors; and (iii) (minus) the mispricing assigned by the candidate pricing kernel to the maximum-correlation mimicking portfolios. The first component is the same across asset-pricing models and is typically estimated with little (absolute) bias and high precision. The second component, on the other hand, is essentially arbitrary and can be estimated with large (absolute) biases and low precisions by multi-beta models with nontraded factors. This second component is also sensitive to the criterion minimized in estimation. The third component is estimated reasonably well, both for models with traded and nontraded factors. We conclude that the economic risk premia assigned by multi-beta models with nontraded factors can be very unreliable. Conversely, the risk premia on maximum-correlation portfolios provide more reliable indications of whether a nontraded risk factor is priced. These results hold for both the constant and the time-varying components of the factor risk premia.

Experience, Expectations and Hindsight: Evidence of a Cognitive Wedge in Stated Preference Retrospectives

This paper combines fishing trip decisions - made before observing trip outcomes - with responses to set of double-bounded dichotomous choice CV questions regarding the outcome of the trip, to explore cognitive elements of choice and their implications for decision modeling and welfare analysis. Extending the approach taken by McConnell et al. (1999), wherein the unobserved component of random utility is linked between the trip decision and the retrospective trip evaluation, we decompose the unobserved component into linked and independent elements, and make the linked component a function of cognitive factors hypothesized as affecting differences between the RP and SP responses. Results suggest that a significant "wedge" exists between the closely related trip decision and its retrospective valuation, and that this wedge is not fully explained by factors such as experience, recall, and unobserved time costs.

Human Associations Help to Detect Conventionalized Multiword Expressions

In this paper we show that if we want to obtain human evidence about conventionalization of some phrases, we should ask native speakers about associations they have to a given phrase and its component words. We have shown that if component words of a phrase have each other as frequent associations, then this phrase can be considered as conventionalized. Another type of conventionalized phrases can be revealed using two factors: low entropy of phrase associations and low intersection of component word and phrase associations. The association experiments were performed for the Russian language