Revisiting the predictability of bond risk premia

This paper investigates the source of predictability of bond risk premia by means of long-term forward interest rates. We show that the predictive ability of forward rates could be due to the high serial correlation and cross-correlation of bond prices. We show that the predictive ability of forward rates could be due to the high serial correlation and cross-correlation of bond prices. After a simple reparametrization of models used to predict spot rates or excess returns, we find that forward rates exhibit much less predictive power than previously recorded. Furthermore, our economic value analysis indicates that there are no economic gains to mean-variance investors who use the predictions of these models in a stylized dynamic asset allocation strategy.Bonds ; Bond market ; Risk

The empirical failure of the expectations hypothesis of the term structure of bond yields

This paper tests the expectations hypothesis (EH) using US monthly data for bond yields spanning the 1952-2003 sample period and ranging in maturity from 1 month to 10 years. We apply the Lagrange multiplier test developed by Bekaert and Hodrick (2001) and extend it to increase the test power: (a) by introducing economic variables as conditioning information; and (b) by using more than two bond yields in the model and testing the EH jointly on more than one pair of yields. While the conventional bivariate procedure provides mixed results, the more powerful testing procedures suggest rejection of the EH throughout the maturity spectrum examined. ; Earlier titles: Testing the expectations hypothesis: some new evidence, New evidence on the expectations hypothesis of the term structure of bond yieldsRational expectations (Economic theory)

Federal Funds Rate Prediction

Recent research has reported that both the federal funds rate futures market and the federal funds target contain valuable information for explaining the behavior of the US effective federal funds rate. A parallel literature on interest rate modelling has recorded evidence that the dynamics of interest rates displays significant regime-switching behavior. In this paper we produce out of sample forecasts of the federal funds rate at horizons up to 8 weeks ahead using linear and nonlinear, regime-switching equilibrium correction models of the funds rate and employing both point and density measures of forecast accuracy. We cannot discriminate among the models considered in terms of point forecast accuracy. However, in terms of density forecast accuracy, we find that the term structure model of the federal funds futures rate is significantly better than the other models considered, and that regime-switching models provide a substantial forecasting improvement relative to their linear counterparts and relative to individual series of the futures rate.federal funds rate, term structure of interest rates, forecasting, nonlinearity

Identifying Unmaintained Projects in GitHub

Background: Open source software has an increasing importance in modern software development. However, there is also a growing concern on the sustainability of such projects, which are usually managed by a small number of developers, frequently working as volunteers. Aims: In this paper, we propose an approach to identify GitHub projects that are not actively maintained. Our goal is to alert users about the risks of using these projects and possibly motivate other developers to assume the maintenance of the projects. Method: We train machine learning models to identify unmaintained or sparsely maintained projects, based on a set of features about project activity (commits, forks, issues, etc). We empirically validate the model with the best performance with the principal developers of 129 GitHub projects. Results: The proposed machine learning approach has a precision of 80%, based on the feedback of real open source developers; and a recall of 96%. We also show that our approach can be used to assess the risks of projects becoming unmaintained. Conclusions: The model proposed in this paper can be used by open source users and developers to identify GitHub projects that are not actively maintained anymore.Comment: Accepted at 12th International Symposium on Empirical Software Engineering and Measurement (ESEM), 10 pages, 201

Al2O3/ZrO2/Y3Al5O12 composites. A high-temperature mechanical characterization

An Al2O3/5 vol%·ZrO2/5 vol%·Y3Al5O12 (YAG) tri-phase composite was manufactured by surface modification of an alumina powder with inorganic precursors of the second phases. The bulk materials were produced by die-pressing and pressureless sintering at 1500 °C, obtaining fully dense, homogenous samples, with ultra-fine ZrO2 and YAG grains dispersed in a sub-micronic alumina matrix. The high temperature mechanical properties were investigated by four-point bending tests up to 1500 °C, and the grain size stability was assessed by observing the microstructural evolution of the samples heat treated up to 1700 °C. Dynamic indentation measures were performed on as-sintered and heat-treated Al2O3/ZrO2/YAG samples in order to evaluate the micro-hardness and elastic modulus as a function of re-heating temperature. The high temperature bending tests highlighted a transition from brittle to plastic behavior comprised between 1350 and 1400 °C and a considerable flexural strength reduction at temperatures higher than 1400 °C; moreover, the microstructural investigations carried out on the re-heated samples showed a very limited grain growth up to 1650 °C

Plasma Processing of Large Curved Surfaces for SRF Cavity Modification

Plasma based surface modification of niobium is a promising alternative to wet etching of superconducting radio frequency (SRF) cavities. The development of the technology based on Cl2/Ar plasma etching has to address several crucial parameters which influence the etching rate and surface roughness, and eventually, determine cavity performance. This includes dependence of the process on the frequency of the RF generator, gas pressure, power level, the driven (inner) electrode configuration, and the chlorine concentration in the gas mixture during plasma processing. To demonstrate surface layer removal in the asymmetric non-planar geometry, we are using a simple cylindrical cavity with 8 ports symmetrically distributed over the cylinder. The ports are used for diagnosing the plasma parameters and as holders for the samples to be etched. The etching rate is highly correlated with the shape of the inner electrode, radio-frequency (RF) circuit elements, chlorine concentration in the Cl2/Ar gas mixtures, residence time of reactive species and temperature of the cavity. Using cylindrical electrodes with variable radius, large-surface ring-shaped samples and d.c. bias implementation in the external circuit we have demonstrated substantial average etching rates and outlined the possibility to optimize plasma properties with respect to maximum surface processing effect

Thermal equilibrium of two quantum Brownian particles

The influence of the environment in the thermal equilibrium properties of a bipartite continuous variable quantum system is studied. The problem is treated within a system-plus-reservoir approach. The considered model reproduces the conventional Brownian motion when the two particles are far apart and induces an effective interaction between them, depending on the choice of the spectral function of the bath. The coupling between the system and the environment guarantees the translational invariance of the system in the absence of an external potential. The entanglement between the particles is measured by the logarithmic negativity, which is shown to monotonically decrease with the increase of the temperature. A range of finite temperatures is found in which entanglement is still induced by the reservoir.Comment: 8 pages, 1 figur