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

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

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

Tactics for Reasoning modulo AC in Coq

We present a set of tools for rewriting modulo associativity and commutativity (AC) in Coq, solving a long-standing practical problem. We use two building blocks: first, an extensible reflexive decision procedure for equality modulo AC; second, an OCaml plug-in for pattern matching modulo AC. We handle associative only operations, neutral elements, uninterpreted function symbols, and user-defined equivalence relations. By relying on type-classes for the reification phase, we can infer these properties automatically, so that end-users do not need to specify which operation is A or AC, or which constant is a neutral element.Comment: 16

The XMM-Newton view of the central degrees of the Milky Way

The deepest XMM-Newton mosaic map of the central 1.5 deg of the Galaxy is presented, including a total of about 1.5 Ms of EPIC-pn cleaned exposures in the central 15" and about 200 ks outside. This compendium presents broad-band X-ray continuum maps, soft X-ray intensity maps, a decomposition into spectral components and a comparison of the X-ray maps with emission at other wavelengths. Newly-discovered extended features, such as supernova remnants (SNRs), superbubbles and X-ray filaments are reported. We provide an atlas of extended features within +-1 degree of Sgr A*. We discover the presence of a coherent X-ray emitting region peaking around G0.1-0.1 and surrounded by the ring of cold, mid-IR-emitting material known from previous work as the "Radio Arc Bubble" and with the addition of the X-ray data now appears to be a candidate superbubble. Sgr A's bipolar lobes show sharp edges, suggesting that they could be the remnant, collimated by the circumnuclear disc, of a SN explosion that created the recently discovered magnetar, SGR J1745-2900. Soft X-ray features, most probably from SNRs, are observed to fill holes in the dust distribution, and to indicate a direct interaction between SN explosions and Galactic center (GC) molecular clouds. We also discover warm plasma at high Galactic latitude, showing a sharp edge to its distribution that correlates with the location of known radio/mid-IR features such as the "GC Lobe". These features might be associated with an inhomogeneous hot "atmosphere" over the GC, perhaps fed by continuous or episodic outflows of mass and energy from the GC region.Comment: MNRAS published online. See www.mpe.mpg.de/heg/gc/ for a higher resolution version of the figure