Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is simultaneously a linear combination of yields and the quadratic variation of the spot rate. However, we find empirically that the A1(3) SV model generates a time series for the variance state variable that is strongly negatively correlated with a GARCH estimate of the quadratic variation of the spot rate process. We then investigate affine models that exhibit "unspanned stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai and Singleton (2001). This representation has several advantages, including: (I) the state variables have simple physical interpretations such as level, slope and curvature, (ii) their dynamics remain affine and tractable, (iii) the model is econometrically identifiable, (iv) model-insensitive estimates of the state vector process implied from the term structure are readily available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to exhibit USV.

Prison as Seen by Convict Criminologists

Most criminologists tend to base their view of prison on ideological assumptions gathered from secondary sources, with at best limited entry to the prison world. They nearly always get it wrong, as they systematically exclude the perspectives and real life experiences of their human subjects. These academic researchers have contributed to poor public policy that promotes the violent repression of prisoners in the USA and other countries. In response, Convict Criminologists are ex‐convicts working as criminology and criminal justice professors, along with “non‐con” associates, that insist that as a means for societies to develop humane, effective, and cost efficient prisons, we must develop ways to incorporate the voice of prisoners in our theorizing about, policy recommendations for, and management of the prison

Evidence of basin-and-range extensional tectonics in the Sierra Nevada: The Durrwood Meadows swarm, Tulare county, California (1983-1984)

An extensive earthquake swarm occurred at Durrwood Meadows in the southern Sierra Nevada of eastern California during late 1983 and 1984. It was located within a 100-km-long linear belt of seismicity that cuts through the southern Sierra Nevada along a north-southward strike. This seismic belt has been characterized by swarms and was one of the most seismically active features in southern California during 1984. The Durrwood Meadows swarm itself was characterized by a complex spatial distribution and a simple pattern of focal mechanisms. At the beginning of the swarm, the earthquakes were located along a northwestward trend; later, periods of high seismicity were distributed along a northeastward trend forming a Y-shaped structure, and along other, northward and northwestward trends. In spite of this spatial complexity, the focal mechanisms of the 35 M_L ≧ 3.0 earthquakes within the swarm are all similar to each other, with almost pure normal faulting along a north-southward strike. The strikes of the nodal planes in the focal mechanisms and the spatial distribution of epicenters form an en-echelon pattern. The consistency of the focal mechanisms with each other and the en-echelon pattern of epicenters imply a homogenous stress field and a discontinuous fault structure. The 100-km-long linear belt of seismicity in an area with no throughgoing fault structure is interpreted as a basin-and-range normal fault beginning to form within the Sierra Nevada

A Multi-wavelength Study of the Host Environment of SMBHB 4C+37.11

4C+37.11, at z=0.055 shows two compact radio nuclei, imaged by VLBI at 7mas separation, making it the closest known resolved super-massive black hole binary (SMBHB). An important question is whether this unique object is young, caught on the way to a gravitational in-spiral and merger, or has `stalled' at 7pc. We describe new radio/optical/X-ray observations of the massive host and its surrounding X-ray halo. These data reveal X-ray/optical channels following the radio outflow and large scale edges in the X-ray halo. These structures are promising targets for further study which should elucidate their relationship to the unique SMBHB core.Comment: To appear in the Astrophysical Journa

Process for synthesizing enediynes

A process for synthesizing enediynes is provided. Specifically, the formed enediynes contain a hex-3-ene-1,5-diynyl group. Production of the enediynes involves adding a base to a propargylic halide in the presence of a chelating agent, which causes a carbenoid coupling-elimination sequence of the propargylic halides. A carbenoid destabilizing agent can also be added to the reaction mixture in order to enhance yield. Acyclic and cyclic enediynes can be synthesized according to this process. The enediynes are useful compounds that can be used in a variety of applications including use in the production of anti-tumor agents