Is the Short Rate Drift Actually Nonlinear?

Virtually all existing continuous-time, single-factor term structure models are based on a short rate process that has a linear drift function. However, there is no strong a priori argument in favor of linearity, and Stanton (1997) and Ait-Sahalia (1996) employ nonparametric estimation techniques to conclude that the drift function of the short rate contains important nonlinearities. Comparatively little is known about the finite-sample properties of these estimators, particularly when they are applied to frequent sampling of a very persistent process, like short term interest rates. In this paper, we apply these estimators to simulated sample paths of a square-root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in by Stanton (1997) and Ait-Sahalia (1996). These results, along with the results of a simple GMM estimation procedure applied to the Stanton and Ait-Sahalia data sets, imply that nonlinearity of the short rate drift is not a robust stylized fact.term structure, continuous-time

Universal joint-measurement uncertainty relation for error bars

We formulate and prove a new, universally valid uncertainty relation for the necessary error bar widths in any approximate joint measurement of position and momentum

Orbit targeting specialist function: Level C formulation requirements

A definition of the level C requirements for onboard maneuver targeting software is provided. Included are revisions of the level C software requirements delineated in JSC IN 78-FM-27, Proximity Operations Software; Level C Requirements, dated May 1978. The software supports the terminal phase midcourse (TPM) maneuver, braking and close-in operations as well as supporting computation of the rendezvous corrective combination maneuver (NCC), and the terminal phase initiation (TPI). Specific formulation is contained here for the orbit targeting specialist function including the processing logic, linkage, and data base definitions for all modules. The crew interface with the software is through the keyboard and the ORBIT-TGT display

X-type and Y-type junction stability in domain wall networks

We develop an analytic formalism that allows one to quantify the stability properties of X-type and Y-type junctions in domain wall networks in two dimensions. A similar approach might be applicable to more general defect systems involving junctions that appear in a range of physical situations, for example, in the context of F- and D-type strings in string theory. We apply this formalism to a particular field theory, Carter's pentavac model, where the strength of the symmetry breaking is governed by the parameter $|\epsilon|< 1$. We find that for low values of the symmetry breaking parameter X-type junctions will be stable, whereas for higher values an X-type junction will separate into two Y-type junctions. The critical angle separating the two regimes is given by \alpha_c = 293^{\circ}\sqrt{|\epsilon|} and this is confirmed using simple numerical experiments. We go on to simulate the pentavac model from random initial conditions and we find that the dominant junction is of \ytype for |\epsilon| \geq 0.02 and is of \xtype for |\epsilon| \leq 0.02$. We also find that for small$\epsilon$the evolution of the number of domain walls$\qsubrm{N}{dw}$in Minkowski space does not follow the standard$\propto t^{-1}$scaling law with the deviation from the standard lore being more pronounced as$\epsilon$is decreased. The presence of dissipation appears to restore the$t^{-1}$ lore.Comment: 24 pages, 13 figures; typos fixe

Using Proxies for the Short Rate: When are Three Months Like an Instant?

The dynamics of the unobservable "short" or "instantaneous" rate of interest are frequently estimated using a proxy variable. We show the biases resulting from this practice (the "proxy" problem) are related to the derivatives of the proxy with respect to the short rate and the (inverse) function from the proxy to the short rate. Analytic results show that the proxy problem is not economically significant for single- factor affine models, for parameter values consistent with US data. In addition, for the two-factor affine model of Longstaff and Schwartz (1992), the proxy problem is only economically significant for pricing discount bonds with maturities of more than 5 years. We also describe two different procedures which can be used to assess the magnitude of the proxy problem in more general interest rate models. Numerical evaluation of a nonlinear single-factor model suggests that the proxy problem can significantly affect both estimates of the diffusion function and discount bond prices.interest rates, proxies, term structure

Suppression of spin-pumping by a MgO tunnel-barrier

Spin-pumping generates pure spin currents in normal metals at the ferromagnet (F)/normal metal (N) interface. The efficiency of spin-pumping is given by the spin mixing conductance, which depends on N and the F/N interface. We directly study the spin-pumping through an MgO tunnel-barrier using the inverse spin Hall effect, which couples spin and charge currents and provides a direct electrical detection of spin currents in the normal metal. We find that spin-pumping is suppressed by the tunnel-barrier, which is contrary to recent studies that suggest that the spin mixing conductance can be enhanced by a tunnel-barrier inserted at the interface