Modelling and Forecasting the Yield Curve under Model uncertainty

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the explicit description of the cross-sectional dynamics of the interest rates. The intertemporal dynamics of the factors is then modeled as driven by long-run forces giving rise to enduring effects, and by medium- and short-run forces producing transitory effects. These forces are re-constructed in real time with a dynamic filter whose embedded feedback control recursively corrects for model uncertainty, including additive and parameter uncertainty and possible equation misspecifications and approximations. This correction sensibly enhances the robustness of the estimates and the accuracy of the out-of-sample forecasts, both at short and long forecast horizons. JEL Classification: G1, E4, C5Frequency decomposition, Model uncertainty, monetary policy, yield curve

Modelling and Forecasting the Yield Curve under Model uncertainty

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the explicit description of the cross-sectional dynamics of the interest rates. The intertemporal dynamics of the factors is then modeled as driven by long-run forces giving rise to enduring effects, and by medium- and short-run forces producing transitory effects. These forces are re-constructed in real time with a dynamic filter whose embedded feedback control recursively corrects for model uncertainty, including additive and parameter uncertainty and possible equation misspecifications and approximations. This correction sensibly enhances the robustness of the estimates and the accuracy of the out-of-sample forecasts, both at short and long forecast horizons

Role of the unstable directions in the equilibrium and aging dynamics of supercooled liquids

The connectivity of the potential energy landscape in supercooled atomic liquids is investigated through the calculation of the instantaneous normal modes spectrum and a detailed analysis of the unstable directions in configuration space. We confirm the hypothesis that the mode-coupling critical temperature is the $T$ at which the dynamics crosses over from free to activated exploration of configuration space. We also report the observed changes in the local connectivity of configuration space sampled during aging, following a temperature jump from a liquid to a glassy state.Comment: 5 pages, 3 figures. Phys. Rev. Lett., in pres

Large-signal device simulation in time- and frequency-domain: a comparison

The aim of this paper is to compare the most common time- and frequency-domain numerical techniques for the determination of the steady-state solution in the physics-based simulation of a semiconductor device driven by a time-periodic generator. The shooting and harmonic balance (HB) techniques are applied to the solution of the discretized drift-diffusion device model coupled to the external circuit embedding the semiconductor device, thus providing a fully nonlinear mixed mode simulation. The comparison highlights the strong and weak points of the two approaches, basically showing that the time-domain solution is more robust with respect to the initial condition, while the HB solution provides a more rapid convergence once the initial datum is close enough to the solution itsel

Surgical approach to abdominal wall defects: history and new trends

AbstractWe briefly outline the history of hernia surgery development from the Ebers Papyrus to modern prosthetic repairs. The rapid evolution of anatomical, physiological and pathogenetic concepts has involved the rapid evolution of surgical treatments. From hernia sack cauterization to sack ligation, posterior wall repair (Bassini), and prosthetic reinforcement there has been an evident improvement in surgical treatment results that has stimulated surgeons to find new technical solutions over time. The introduction of prosthetic repair, the laparoscopic revolution, the impact of local anesthesia and the diffusion of day surgery have been the main advances of the last 50 years. Searching for new gold standards, the introduction of new devices has also led to new complications and problems. Research of the last 10 years has been directed to overcome prosthetic repair complications, introducing every year new meshes and materials. Lightweight meshes, composite meshes and biologic meshes are novelties of the last few years. We also take a look at future trends

A NEW APPROACH TO DISCRETE-EVENT DYNAMIC SYSTEM THEORY

The paper presents an original formulation of discrete-event dynamic systems (DEDS) strictly consistent with the Kalman definition of dynamic systems. The paper starts with a clear definition of event as a pair (occurrence time, fact), where the time is a real number and the fact is an element of a set with algebraic properties. The introduction of the concept of event sequences and of suitable operations over their set allows to formulate DEDS as causal operators transforming input e\'ent sequences into output event sequences. The definition of a state for such operator allows to give a state representation of the input-output relation. The state representation is a state equation as in the standard continuous or discrete-time systems, and allows to compute the free and the forced responses of the system. The paper terminates by providing the elementary stability defmitions and the state equations of linear and time-invariant DEDS

Costruzione di un filtro ottimale per la ricerca di ammassi di galassie in survey fotometriche

Gli ammassi di galassie sono le strutture più grandi che possiamo osservare nell’Universo. La loro formazione deriva direttamente dalla crescita delle perturbazioni primordiali di densità e dal loro conseguente collasso gravitazionale indotto appunto dalla gravità. Gli ammassi di galassie sono molto importanti in Astrofisica in quanto possono essere considerati come dei laboratori per lo studio di molti aspetti fisici legati al gas, all’ICM e all’evoluzione delle galassie. Lo studio degli ammassi di galassie è molto importante anche per la Cosmologia in quanto è possibile effettuare delle stime sui parametri cosmologici ed ottenere dei vincoli sulla geometria dell’Universo andando a valutare la loro massa e la loro distribuzione nell’Universo. Diventa quindi fondamentale l’utilizzo di algoritmi che ci permettano di utilizzare i dati ottenuti dalle osservazioni per cercare ed individuare gli ammassi di galassie in modo tale da definire meglio la loro distribuzione nell’Universo. Le più recenti survey di galassie ci forniscono molteplici informazioni a riguardo delle galassie, come ad esempio la loro magnitudine in varie bande osservative, il loro colore, la loro velocità ecc. In questo lavoro abbiamo voluto testare la performance di un algoritmo Optimal Filtering nella ricerca degli ammassi di galassie utilizzando prima solo l’informazione della magnitudine delle galassie e successivamente anche l’informazione sul loro colore. Quello che abbiamo voluto fare, quindi, è stato valutare se l’utilizzo combinato della magnitudine delle galassie e del loro colore permette all’algoritmo di individuare più facilmente, e in numero maggiore, gli ammassi di galassie