APPLICATION OF THE KALMAN FILTER FOR ESTIMATING CONTINUOUS TIME TERM STRUCTURE MODELS: THE CASE OF UK AND GERMANY

The purpose of this paper is to see how the term structure of interest rates has evolved in the sterling and euro treasury bond markets over the period 1999-2003. German bonds have been used as a proxy for euro-denominated bonds. A state-space representation for the single-factor Cox, Ingersoll and Ross (1985) model is employed to analyse the intertemporal dynamics of the term structure. Quasi-maximum likelihood estimates of the model parameters are obtained by using the Kalman filter to calculate the likelihood function. Results of the empirical analysis show that while the unobserved instantaneous interest rate exhibits mean reverting behaviour in both the UK and Germany, the mean reversion of the interest rate process has been relatively slower in the UK. The volatility component, which shocks the process at each step in time is also higher in the UK as compared to Germany.

AN INVESTIGATION INTO THE LINKAGES BETWEEN EURO AND STERLING SWAP SPREADS

This paper examines the causal relationship between euro and sterling swap spreads during the period January, 1999 to March, 2003. The absence of any correlation between changes in the two swap spreads would indicate that credit risk factors are country-specific. But euro swap spreads showed some correlation with the interest rate differentials between the two markets. Both spreads follow a GARCH process but sterling swap spreads reacted more intensely to market movements and were more volatile than their euro counterparts. There was evidence of mild volatility transmission from the sterling swap spreads to the euro swap spreads but the causality was one sided.

Modeling of electron mobility of gan at low temperature and low electric field

An analytical model at low temperature and low field electron mobility of GaN has been developed. The electron mobility in GaN have been calculated using Relaxation Time Approximation method considering elastic process of acoustic phonon deformation potential scattering, acoustic piezoelectric scattering and ionized impurity scattering, neutral impurity scattering, dislocation scattering. Ionized impurity scattering has been treated beyond the Born approximation using Dingle and Brooks- Herring analysis. The compensation ratio is used as a parameter with a realistic charge neutrality condition. Degeneracy is very important factor as it is used to imply different statistics (Maxwell – Boltzmann or Fermi – Dirac) at different temperature. Generalized M-B statistics are used throughout because the samples we have used to compare our results are highly Non-degenarate. The result shows that, the proposed model can accurately predict the electron mobility as a function of both the carrier concentration and the temperature upto 200 K. The discrepancy of this model above temperature 200 K presumably results from the following factors: ignoring the role of optical phonon, at low temperature consideration of parabolic band i.e. neglecting the effect of inter-velly scattering and ignoring the effect of very few interfacial charges in the degenerate layer at the GaN-substrate interface. When you are citing the document, use the following link http://essuir.sumdu.edu.ua/handle/123456789/2791

A novel Method for mounting Gunn Diode in Active Slot-Ring Antenna

An Active Slot-Ring Antenna (ASRA) has been studied through experiments and analysis in order to find the optimum location of the active device so that the best performance in antenna characteristics is realized in terms of power radiated and power received. Analyses have been carried out in terms of equivalent {ABCD} matrix parameters. Radiation pattern and locking characteristics of the ASRA have been measure and presented in support of the analytical methods. Keywords: Active Slot-Ring Antenna (ASRA), Gunn diode, Bias tuning, Radiation pattern