The stability of interest rate processes

This paper presents a careful reexamination of Chan, Karolyi, Longstaff, and Sanders (CKLS 1992). By redefining the possible regime shift period in line with evidence from known policy changes and past empirical research, we find evidence that contradicts the major results in their paper. The widely cited conclusion of their paper is that the elasticity of interest rate volatility is 1.5. CKLS also concluded that there was no structural shift in the interest rate process after October 1979. When the structural shift period is defined to be temporary and coincident with the Federal Reserve Experiment of October 1979 through September 1982, we find that there is strong evidence of a structural break. Furthermore, we find evidence that, contrary to CKLS's claim, a moderately elastic interest rate process can capture the dependence of volatility on the level of interest rates, while highly elastic models cannot. In particular, this study finds support for the square-root CIR process. These results are robust to changes in the short-rate data used and the treatment of outliers.Econometric models ; Interest rates ; Money

Calibration of the visible and near-infrared channels of the NOAA-9 AVHRR using high-altitude aircraft measurements from August 1985 and October 1986

Visible and near infrared wavelength sensors mounted on operational satellites now in use do not have onboard absolute calibration devices. One means of establishing an in-orbit calibration for a satellite sensor is to make simultaneous measurement of a bright, relatively uniform scene along the satellite view vector from a calibrated instrument on board a high altitude aircraft. Herein, aircraft data were recorded over White Sands, New Mexico at satellite overpass time. Comparison of the coincident aircraft and orbiting satellite data for the visible and near infrared wavelength channels of the NOAA-9 Advanced Very High Resolution Radiometer shows that the calibration of the visible channel was unchanged from prelaunch values, but that the near infrared channel has degraded 6 percent by Aug. 1985. By Oct. 1986 the visible channel had degraded 13 percent and the near infrared channel had degraded 19 percent

Visible and near-infrared channel calibration of the GOES-6 VISSR using high-altitude aircraft measurements

Present and future visible and near-infrared wavelength sensors mounted on operational satellites do not have on-board absolute calibration devices. One means of establishing an in-orbit calibration for a satellite sensor is to make simultaneous measurements of a bright, relatively uniform scene along the satellite view vector from a calibrated instrument on board a high altitude aircraft. Aircraft data were recorded over White Sands, New Mexico, and the coincident aircraft and orbiting satellite data is compared for the visible and near-infrared wavelength channel of the GOES-6 Visible Infrared Spin-Scan Radiometer

Clinical studies of beta-thromboglobulin

Beta-thromboglobulin is a platelet specific protein of molecular weight 35,000, stored in the alpha granules and released during aggregation. Its precise function is unknown but it may act as a 'packing protein' in the alpha granules. Radioimmuno¬ assays to measure it in plasma and urine have been developed. Meticulous techniques of processing and sampling are necessary to prevent artefactual release. In healthy subjects the upper limit of the normal range is 80 ng/ml in plasma and 0.21 ng/ml in urine. If the (3TG concentration of the plasma is artificially elevated it is cleared exponentially with a plasma half life of about 80 mins. Only a tiny proportion of the infused dose appears in the urine. Many drugs are known to affect platelet function but Aspirin, although it has a potent anti-aggregatory action, has no effect on the plasma 3TG concentration. Heparin, however, may produce raised plasma $TG concentrations some hours after injection. Only 65$TG concentrations on the day of presentation. The degree of rise in concentration was related to the presence of pulmonary embolism but not to the duration of symptoms or the extent of the thrombus. However, 85% of patients with venous thromboembolism had elevated urinary $TG concentrations and so the urinary 0TG concentration is a more valuable diagnostic test of venous thromboembolism than the plasma concentration. Operation had a considerable effect on plasma STG concentration which was most marked in patients undergoing vascular surgery. Many factors affected the plasma concentrations following operation but major infections produce the greatest rise. A small, but statistically insignificant rise occurred at the time of development 125 of deep vein thrombosis diagnosed by the I fibrinogen uptake test. The other factors affecting the plasma STG concentration in the post operative period grossly limited its value in the diagnosis of post operative deep vein thrombosis. It was likewise of little value in the identification of graft thrombosis in those undergoing arterial reconstructions. The urinary STG assay had similar disadvantages to the plasma assay in the post operative period. The study on patients with atherosclerosis revealed that many had elevated plasma concentrations regardless of the clinical extent of the disease but most patients had normal urine concentrations. The assessments of plasma and urinary STG concentrations are a sensitive measure of platelet activity in experimental situations but the many factors which affect them and the relatively short plasma half life severely limit their clinical use

The classical capacity of quantum thermal noise channels to within 1.45 bits

We find a tight upper bound for the classical capacity of quantum thermal noise channels that is within $1/\ln 2$ bits of Holevo's lower bound. This lower bound is achievable using unentangled, classical signal states, namely displaced coherent states. Thus, we find that while quantum tricks might offer benefits, when it comes to classical communication they can only help a bit.Comment: Two pages plus a bi

An assessment of the mantle and slab components in the magmas of an oceanic arc volcano: Raoul Volcano, Kermadec arc

Raoul Volcano occupies a simple oceanic subduction setting in the northern part of the Kermadec arc on the Pacific–Australian convergent plate boundary. The primary inputs to the magmatic system that feeds the volcano are a subduction component derived from the subducting old Pacific oceanic lithosphere and its veneer of pelagic sediment, and the overlying peridotitic mantle wedge. Conservative trace elements that are very incompatible during mantle melting are relatively depleted in Raoul lavas indicating a source that has been depleted during an earlier melting event. Major element co-variations indicate magma genesis by 25% near fractional melting of a mantle source that is weakly depleted (2% melt extraction) relative to a fertile MORB source. An important influence on the composition of the mantle component is progressive melt extraction coupled with minimal advection of fresh material into the sub-arc zone followed by melt extraction from a melting column beneath the spreading centre of an adjacent back arc basin. High field strength element and rare earth element systematics indicate involvement of a subduction-related component of constant composition. Two fluid components can be distinguished, one enriched in large ion lithophile elements inferred to be an aqueous fluid that is continuously added to the ascending melt column and the other a less mobile fluid that transfers Th. A homogeneous subduction-related component of constant composition and magnitude arises if the slab-derived flux migrates from the slab–mantle interface to the sub-arc melting column by repeated episodes of amphibole formation and decomposition its composition is then governed by the distribution coefficients of pyroxene and its magnitude by the degree of amphibole saturation of mantle peridotite. The results from Raoul Volcano are comparable to those from other oceanic subduction-related arcs such as South Sandwich and Marianas suggesting that this is a general model for oceanic arcs

Persistence of Tripartite Nonlocality for Non-inertial Observers

We consider the behaviour of bipartite and tripartite non-locality between fermionic entangled states shared by observers, one of whom uniformly accelerates. We find that while fermionic entanglement persists for arbitrarily large acceleration, the Bell/CHSH inequalities cannot be violated for sufficiently large but finite acceleration. However the Svetlichny inequality, which is a measure of genuine tripartite non-locality, can be violated for any finite value of the acceleration.Comment: 4 pages, pdflatex, 2 figure