Forecasting interest rates: A Comparative assessment of some second generation non-linear model

Modelling and forecasting of interest rates has traditionally proceeded in the framework of linear stationary models such as ARMA and VAR, but only with moderate success. We examine here four models which account for several specific features of real world asset prices such as non-stationarity and non-linearity. Our four candidate models are based respectively on wavelet analysis, mixed spectrum analysis, non-linear ARMA models with Fourier coefficients, and the Kalman filter. These models are applied to weekly data on interest rates in India, and their forecasting performance is evaluated vis-…-vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model emerges at the top, with wavelet and mixed spectrum models also showing considerable promise.Interest rates, wavelets, mixed spectra, non-linear ARMA, Kalman filter, GARCH, Forecast encompassing

FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS

Modelling and forecasting of interest rates has traditionally proceeded in the framework of linear stationary models such as ARMA and VAR, but only with moderate success. We examine here four models which account for several specific features of real world asset prices such as non-stationarity and non-linearity. Our four candidate models are based respectively on wavelet analysis, mixed spectrum analysis, non-linear ARMA models with Fourier coefficients, and the Kalman filter. These models are applied to weekly data on interest rates in India, and their forecasting performance is evaluated vis--vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model emerges at the top, with wavelet and mixed spectrum models also showing considerable promise.interest rates, wavelets, mixed spectra, non-linear ARMA, Kalman filter, GARCH, Forecast encompassing.

Quality interoperability within digital libraries: the DL.org perspective

Quality is the most dynamic aspect of DLs, and becomes even more complex with respect to interoperability. This paper formalizes the research motivations and hypotheses on quality interoperability conducted by the Quality Working Group within the EU-funded project DL.org (<a href="http://www.dlorg.eu">http://www.dlorg.eu/</a>). After providing a multi-level interoperability framework – adopted by DL.org - the authors illustrate key-research points and approaches on the way to the interoperability of DLs quality, grounding them in the DELOS Reference Model. By applying the DELOS Reference Model Quality Concept Map to their interoperability motivating scenario, the authors subsequently present the two main research outcomes of their investigation - the Quality Core Model and the Quality Interoperability Survey

Echoes of multiple outbursts of Sagittarius A* revealed by Chandra

The relatively rapid spatial and temporal variability of the X-ray radiation from some molecular clouds near the Galactic center shows that this emission component is due to the reflection of X-rays generated by a source that was luminous in the past, most likely the central supermassive black hole, Sagittarius A*. Studying the evolution of the molecular cloud reflection features is therefore a key element to reconstruct Sgr A*'s past activity. The aim of the present work is to study this emission on small angular scales in order to characterize the source outburst on short time scales. We use Chandra high-resolution data collected from 1999 to 2011 to study the most rapid variations detected so far, those of clouds between 5' and 20' from Sgr A* towards positive longitudes. Our systematic spectral-imaging analysis of the reflection emission, notably of the Fe Kalpha line at 6.4 keV and its associated 4-8 keV continuum, allows us to characterize the variations down to 15" angular scale and 1-year time scale. We reveal for the first time abrupt variations of few years only and in particular a short peaked emission, with a factor of 10 increase followed by a comparable decrease, that propagates along the dense filaments of the Bridge cloud. This 2-year peaked feature contrasts with the slower 10-year linear variations we reveal in all the other molecular structures of the region. Based on column density constraints, we argue that these two different behaviors are unlikely to be due to the same illuminating event. The variations are likely due to a highly variable active phase of Sgr A* sometime within the past few hundred years, characterized by at least two luminous outbursts of a few-year time scale and during which the Sgr A* luminosity went up to at least 10^39 erg/s.Comment: 17 pages, 16 figures, Accepted for publication in Astronomy & Astrophysic

Variation of the X-ray non-thermal emission in the Arches cloud

The origin of the iron fluorescent line at 6.4 keV from an extended region surrounding the Arches cluster is debated and the non-variability of this emission up to 2009 has favored the low-energy cosmic-ray origin over a possible irradiation by hard X-rays. By probing the variability of the Arches cloud non-thermal emission in the most recent years, including a deep observation in 2012, we intend to discriminate between the two competing scenarios. We perform a spectral fit of XMM-Newton observations collected from 2000 to 2013 in order to build the Arches cloud lightcurve corresponding to both the neutral Fe Kalpha line and the X-ray continuum emissions. We reveal a 30% flux drop in 2012, detected with more than 4 sigma significance for both components. This implies that a large fraction of the studied non-thermal emission is due to the reflection of an X-ray transient source.Comment: 5 pages, 3 figures, accepted for publication in MNRAS Letter

Correspondence analysis of two transition tables

The case of two transition tables is considered, that is two square asymmetric matrices of frequencies where the rows and columns of the matrices are the same objects observed at three different time points. Different ways of visualizing the tables, either separately or jointly, are examined. We generalize an existing idea where a square matrix is descomposed into symmetric and skew-symmetric parts to two matrices, leading to a decomposition into four components: (1) average symmetric, (2) average skew-symmetric, (3) symmetric difference from average, and (4) skew-symmetric difference from average. The method is illustrated with an artificial example and an example using real data from a study of changing values over three generations.Correspondence analysis, matrix decomposition, skew-symmetry, transition matrices

Dust Emission from Active Galactic Nuclei

Unified schemes of active galactic nuclei (AGN) require an obscuring dusty torus around the central source, giving rise to Seyfert 1 line spectrum for pole-on viewing and Seyfert 2 characteristics in edge-on sources. Although the observed IR is in broad agreement with this scheme, the behavior of the 10 micron silicate feature and the width of the far-IR emission peak remained serious problems in all previous modeling efforts. We show that these problems find a natural explanation if the dust is contained in about 5-10 clouds along radial rays through the torus. The spectral energy distributions (SED) of both type 1 and type 2 sources are properly reproduced from different viewpoints of the same object if the visual optical depth of each cloud is larger than about 60 and the clouds' mean free path increases roughly in proportion to radial distance.Comment: 11 pages, submitted to ApJ Letter

Non-Cognitive Abilities and Spanish Regional Differences in Student Performance in PISA 2009

The goal of this paper is to analyze the role that non-cognitive skills and, in particular, regional differences in those skills, play on the observed differences in 15-year-old student’s academic performance, across Spanish regions, on PISA 2009. Previous research has shown the relevance of differences in student’s personal, family and school characteristics in accounting for academic differences across Spanish regions but it has also found that a sizeable part of the observed differences remained unexplained. We have found that differences in the distribution of certain non-cognitive skills associated to academic performance like focus, perseverance and resilience play a prominent role in accounting for differences in student performance in PISA 2009. We observe these skills by developing new measures of student effort on standardized tests. In particular, our estimates suggest that a standard deviation reduction in the dispersion of non-cognitive skills across Spanish regions would lead to a 25% reduction in the magnitude of the observed differences in student performance across regions. This is a relevant effect as, for example, a one standard deviation reduction in the regional dispersion of parent’s educational levels or occupational status would only lead to at most a 2% reduction in the magnitude of observed differences in performance on PISA across Spanish regions. Put plainly, a substantial portion of the regional variation in test scores appears attributable to effort on the PISA test, and not necessarily just differences in actual knowledge

Absorption lines from magnetically-driven winds in X-ray binaries

High resolution X-ray spectra of black hole X-ray binaries (BHBs) show blueshifted absorption lines from disk winds which seem to be equatorial. Winds occur in the Softer (disk-dominated) states of the outburst and are less prominent or absent in the Harder (power-law dominated) states. We use self-similar magneto-hydrodynamic (MHD) accretion-ejection models to explain the disk winds in BHBs. In our models, the density at the base of the outflow from the accretion disk is not a free parameter, but is determined by solving the full set of dynamical MHD equations. Thus the physical properties of the outflow are controlled by the global structure of the disk. We studied different MHD solutions characterized by different values of (a) the disk aspect ratio ($\varepsilon$) and (b) the ejection efficiency ($p$). We use two kinds of MHD solutions depending on the absence (cold solution) or presence (warm solution) of heating at the disk surface. Such heating could be from e.g. dissipation of energy due to MHD turbulence in the disk or from illumination. We use each of these MHD solutions to predict the physical parameters of an outflow; put limits on the ionization parameter ($\xi$), column density and timescales, motivated by observational results; and thus select regions within the outflow which are consistent with the observed winds. The cold MHD solutions cannot account for winds due to their low ejection efficiency. But warm solutions can explain the observed physical quantities in the wind because they can have sufficiently high values of $p$ ($\gtrsim 0.1$, implying larger mass loading at the base of the outflow). Further from our thermodynamic equilibrium curve analysis for the outflowing gas, we found that in the Hard state a range of $\xi$ is thermodynamically unstable, and had to be excluded. This constrain made it impossible to have any wind at all, in the Hard state.Comment: 16 Pages, 10 figures in the main body and 4 figures in the appendix. Accepted for publication in A&