Analysis of Second-order Statistics Based Semi-blind Channel Estimation in CDMA Channels

The performance of second order statistics (SOS) based semi-blind channel estimation in long-code DS-CDMA systems is analyzed. The covariance matrix of SOS estimates is obtained in the large system limit, and is used to analyze the large-sample performance of two SOS based semi-blind channel estimation algorithms. A notion of blind estimation efficiency is also defined and is examined via simulation results.Comment: To be presented at the 2005 Conference on Information Sciences and System

Information Asymmetry, Corporate Debt Financing and Optimal Investment Decisions: A Reduced Form Approach

Under the assumption of information asymmetry between market investors and firm managers, a reduced form model of a firm is developed in order to derive optimal investment strategies and capital structures while taking into account the effects of dividend policies and taxes. The motivation of the reduced form approach lies in its empirical implementation tractability. Closed-form solutions for debt issuance prices and debt values from firm managers' perspective are derived. Considering the inconsistency between the two prices incurred from the asymmetric information, a firm's problem of optimal investment risk determination is presented and solved by trading off two opposing effects: asset substitution and default cost. Furthermore, the optimal dividend policy and tax benefits from debt interest payment are also considered, and the application of the model in portfolio management is discussed. Finally, two simple examples are provided. Under these two specific settings, the optimal investment policies are derived explicitly to illustrate the implementation of the model proposed in this paper and demonstrate the general consistency of the results implied by our methodology and the traditional structural framework.Credir Risk, Information Asymmetry, Reduced Form Approach

Credit Risk Modeling and the Term Structure of Credit Spreads

In this paper, by applying the potential approach to characterizing default risk, a class of simple affine and quadratic models is presented to provide a unifying framework of valuing both risk-free and defaultable bonds. It has been shown that the established models can accommodate the existing intensity based credit risk models, while incorporating a security-specific credit information factor to capture the idiosyncratic default risk as well as the one from market-wide influence. The models have been calibrated using the integrated data of both treasury rates and the average bond yields in different rating classes. Filtering technique and the quasi maximum likelihood estimator (QMLE) are applied jointly to the problem of estimating the structural parameters of the affine and quadratic models. The asymptotic properties of the QMLE are analyzed under two criteria: asymptotic optimality under the Kullback-Leibler criterion, and consistency. Relative empirical performance of the two models has been investigated. It turns out that the quadratic model outperforms the affine model in explaining the historical yield behavior of both Treasury and corporate bonds, while producing a larger error in fitting cross-sectional bond spread curves. Moreover, a modified fat-tail affine model is also proposed to improve the cross-sectional term structure fitting abilities of the existing models. Meanwhile, our empirical study provides complete estimates of risk-premia for both market risk and credit default risk including jump event risk.Credit Risk, Credit Spread, Filtering Technique, Affine and Quadratic Models

Effective action approach to the p-band Mott insulator and superfluid transition

Motivated by the recent experiment on p-orbital band bosons in optical lattices, we study theoretically the quantum phases of Mott insulator and superfluidity in two-dimensions. The system features a novel superfluid phase with transversely staggered orbital current at weak interaction, and a Mott insulator phase with antiferro-orbital order at strong coupling and commensurate filling. We go beyond mean field theory and derive from a microscopic model an effective action that is capable of describing both the p-band Mott insulating and superfluid phases in strong coupling. We further calculate the excitation spectra near the quantum critical point and find two gapless modes away from the tip of the Mott lobe but four gapless modes at the tip. Our effective theory reveals how the phase coherence peak builds up in the Mott regime when approaching the critical point. We also discuss the finite temperature phase transition of p-band superfluidity.Comment: 9+epsilon pages, 7 figures, one appendix added, accepted by Phys. Rev.