The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach

ABSTRACT. This paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one market to another

How swelling debts give rise to a new type of politics in Vietnam

Vietnam has seen fast-rising debts, both domestic and external, in recent years. This paperreviews the literature on credit market in Vietnam, providing an up-to-date take on the domesticlending and borrowing landscape. The study highlights the strong demand for credit in both therural and urban areas, the ubiquity of informal lenders, the recent popularity of consumer financecompanies, as well as the government’s attempts to rein in its swelling public debt. Given thehigh level of borrowing, which is fueled by consumerism and geopolitics, it is inevitable that theamount of debt will soon be higher than the saving of the borrowers. Unlike the conventional wisdom that creditors have more bargaining power over the borrowers, we suggest that—albeitlacking a quantitative estimation—when the debts pile up so high that the borrowers could not repay, the power dynamics may reverse. In this new politics of debt, the lenders fear to lose the money's worth and continue to lend and feed the insolvent debtors. The result is a toxic lending/borrowing market and profound lessons, from which the developing world could learn

Quadratic Word Equations with Length Constraints, Counter Systems, and Presburger Arithmetic with Divisibility

Word equations are a crucial element in the theoretical foundation of constraint solving over strings, which have received a lot of attention in recent years. A word equation relates two words over string variables and constants. Its solution amounts to a function mapping variables to constant strings that equate the left and right hand sides of the equation. While the problem of solving word equations is decidable, the decidability of the problem of solving a word equation with a length constraint (i.e., a constraint relating the lengths of words in the word equation) has remained a long-standing open problem. In this paper, we focus on the subclass of quadratic word equations, i.e., in which each variable occurs at most twice. We first show that the length abstractions of solutions to quadratic word equations are in general not Presburger-definable. We then describe a class of counter systems with Presburger transition relations which capture the length abstraction of a quadratic word equation with regular constraints. We provide an encoding of the effect of a simple loop of the counter systems in the theory of existential Presburger Arithmetic with divisibility (PAD). Since PAD is decidable, we get a decision procedure for quadratic words equations with length constraints for which the associated counter system is \emph{flat} (i.e., all nodes belong to at most one cycle). We show a decidability result (in fact, also an NP algorithm with a PAD oracle) for a recently proposed NP-complete fragment of word equations called regular-oriented word equations, together with length constraints. Decidability holds when the constraints are additionally extended with regular constraints with a 1-weak control structure.Comment: 18 page

POLLUTION OF GROUNDWATER BY LEACHATE FROM DONG THANH LANDFILL DISPOSAL SITE

Joint Research on Environmental Science and Technology for the Eart

Warped Higgsless Models with IR--Brane Kinetic Terms

We examine a warped Higgsless $SU(2)_L\times SU(2)_R\times U(1)_{B-L}$ model in 5--$d$ with IR(TeV)--brane kinetic terms. It is shown that adding a brane term for the $U(1)_{B-L}$ gauge field does not affect the scale ($\sim 2-3$ TeV) where perturbative unitarity in $W_L^+ W_L^- \to W_L^+ W_L^-$ is violated. This term could, however, enhance the agreement of the model with the precision electroweak data. In contrast, the inclusion of a kinetic term corresponding to the $SU(2)_D$ custodial symmetry of the theory delays the unitarity violation in $W_L^\pm$ scattering to energy scales of $\sim 6-7$ TeV for a significant fraction of the parameter space. This is about a factor of 4 improvement compared to the corresponding scale of unitarity violation in the Standard Model without a Higgs. We also show that null searches for extra gauge bosons at the Tevatron and for contact interactions at LEP II place non-trivial bounds on the size of the IR-brane terms.Comment: 23 pages, 8 figure

The Essential Interactions in Oxides and Spectral Weight Transfer in Doped Manganites

We calculate the value of the Fr\"ohlich electron-phonon interaction in manganites, cuprates, and some other charge-transfer insulators and show that this interaction is much stronger than any relevant magnetic interaction. A polaron shift due to the Fr\"ohlich interaction, which is about 1 eV, suggests that carriers in those systems are small (bi)polarons at all temperatures and doping levels, in agreement with the oxygen isotope effect and other data. An opposite conclusion, recently suggested in the literature, is shown to be incorrect. The frequency and temperature dependence of the optical conductivity of ferromagnetic manganites is explained within the framework of the bipolaron theory.Comment: 6 pages, REVTeX 3.1 with 3 eps-figures. Journal versio

High prevalence of bronchiectasis is linked to HTLV-1-associated inflammatory disease.

BACKGROUND: Human T-lymphotropic virus type 1 (HTLV-1), a retrovirus, is the causative agent of HTLV-1-associated myelopathy/tropical spastic paraparesis (HAM/TSP) and adult T-cell leukaemia/lymphoma (ATLL). The reported association with pulmonary disease such as bronchiectasis is less certain. METHODS: A retrospective case review of a HTLV-1 seropositive cohort attending a national referral centre. The cohort was categorised into HTLV-1 symptomatic patients (SPs) (ATLL, HAM/TSP, Strongyloidiasis and HTLV associated inflammatory disease (HAID)) and HTLV-1 asymptomatic carriers (ACs). The cohort was reviewed for diagnosis of bronchiectasis. RESULT: 34/246 ACs and 30/167 SPs had been investigated for respiratory symptoms by computer tomography (CT) with productive cough +/- recurrent chest infections the predominant indications. Bronchiectasis was diagnosed in one AC (1/246) and 13 SPs (2 HAID, 1 ATLL, 10 HAM/TSP) (13/167, RR 19.2 95 % CI 2.5-14.5, p = 0.004) with high resolution CT. In the multivariate analysis ethnicity (p = 0.02) and disease state (p < 0.001) were independent predictors for bronchiectasis. The relative risk of bronchiectasis in SPs was 19.2 (95 % CI 2.5-14.5, p = 0.004) and in HAM/TSP patients compared with all other categories 8.4 (95 % CI 2.7-26.1, p = 0.0002). Subjects not of African/Afro-Caribbean ethnicity had an increased prevalence of bronchiectasis (RR 3.45 95 % 1.2-9.7, p = 0.02). CONCLUSIONS: Bronchiectasis was common in the cohort (3.4 %). Risk factors were a prior diagnosis of HAM/TSP and ethnicity but not HTLV-1 viral load, age and gender. The spectrum of HTLV-associated disease should now include bronchiectasis and HTLV serology should be considered in patients with unexplained bronchiectasis