Asymmetric Shocks, Long-term Bonds and Sovereign Default

We present a sovereign default model with asymmetric shocks and long-term bonds, and solve the model using discrete state dynamic programming. As result, our model matches the Argentinean economy over period 1993Q1-2001Q4 quite well. We show that our model can match high default frequency, high debt/output ratio and other cyclical features, such as countercyclical interest rate and trade balance in emerging countries. Moreover, with asymmetric shocks we are able to match high sovereign spread level and low spread volatility simultaneously in one model, which is till now not well solved. As another contribution of our paper, we propose a simulation-based approach to approximate transition function of output shocks between finite states, which is an indispensable step in discrete state dynamic programming. Comparing to Tauchen’s method, our approach is very flexible in transforming various econometric models to finite state transition function, so that our approach can be widely used in simulating different kinds of discrete state shocks.Sovereign Default; Asymmetric Shocks; Transition Function; Long-term Bonds

Flood Routing Based on Diffusion Wave Equation Using Lattice Boltzmann Method

AbstractOne-dimensional diffusion wave equation is a simplified form of the full Saint Venant equations by neglecting the inertia terms. In this study, the Lattice Boltzmann method for the linear diffusion wave equation was developed. In order to verify the calculation accuracy of it, the analytical solution and Muskingum method were also introduced. Excellent agreement was obtained between observed data and numerical prediction. The results show that the Lattice Boltzmann method is a very competitive method for solving diffusion wave equation in terms of computational efficiency and accuracy

Kinematics of the Anterior Cruciate Ligament (ACL) and ACL Graft

The anterior cruciate ligament (ACL) is one of the four main ligaments of the knee and is the most important ligament for knee’s stability. ACL injury has an annual incidence of more than 200,000 cases with approximately 100,000 of these knees having ACL reconstruction annually in the United States alone. However, the behaviors of the ACL and the graft in knees were still debated. There is still no golden standard in choosing appropriate reconstruction techniques, such as the position and orientation of the graft. Tunnel enlargement, and graft failure could happen after reconstruction if the ACL graft was improperly placed. To have better knowledge of the behavior of the intact ACL during flexion-extension and under external loads, this dissertation measured the strain of two bundles of the ACL by using two different measurement methods. This dissertation also measured graft position in the femoral tunnel during knee motions and under different external loadings. This graft position information provides insight into ACL graft behavior and function and may be important for determining appropriate rehabilitation time. Last, a finite element (FE) model was constructed and used to simulate the graft behavior in reconstructed knees with boundary and loading conditions from corresponding cadaveric experiments. The geometry of the tibia and femur were obtained from CT imaging. An isotropic hyperelastic material was used to model the cylindrical graft. Three-dimensional joint kinematics were obtained via a six-degree-of-freedom robotic manipulator and were used for input into the computational model. Graft stress, tension as well as the location of the graft in the tunnel were calculated after the kinematics were applied

Headspace solid-phase microextraction and gas chromatography–mass spectrometry of volatile components of Chrysanthemum morifolium Ramat

Purpose: To extract and analyze the volatile components of Chrysanthemum morifolium Ramat. 'huaiju' by headspace solid-phase microextraction (HS-SPME) and gas chromatography–mass spectrometry (GC–MS).Methods: Volatile components were extracted by HS-SPME and identified by GC–MS. The relative contents of the components were determined by area normalization.Results: The enhanced SPME conditions of C. morifolium involved sample extraction using a 65 μm polydimethylsiloxane/divinylbenzene extraction fiber after balancing for 40 min at 80 °C. A total of 48 components of the essential oil were identified. The major constituents are 2,6,6-trimethylbicyclo[3.1.1]hept-2-en-4-ol, acetate (15.90 %), 4,6,6-trimethyl-bicyclo[3.1.1]hept-3-en-2-one (14.86 %), 2,7,7-trimethyl-bicyclo[3.1.1]hept-2-en-6-one (13.08 %), and cyclohexene,3-(1,5-dimethyl-4-hexenyl)-6- methylene (5.97 %).Conclusion: HS-SPME and GC–MS are convenient, rapid, and reliable approaches for analyzing the volatile components of C. morifolium.Keywords: Chrysanthemum morifolium Ramat., Headspace Solid-phase Microextraction, Gas Chromatography–Mass Spectrometry, Volatile componen

Bayesian Analysis of a Triple-Threshold GARCH Model with Application in Chinese Stock Market

We construct one triple-threshold GARCH model to analyze the asymmetric response of mean and conditional volatility. In parameter estimation, we apply Griddy-Gibbs sampling method, which require less work in selection of starting values and pre-run. As we apply this model in Chinese stock market, we find that 12-days-average return plays an important role in defining different regimes. While the down regime is characterized by negative 12-days-average return, the up regime has positive 12-days-average return. The conditional mean responds differently between down and up regime. In down regime, the return at date t is affected negatively by lag 2 negative return, while in up regime the return responds significantly to both positive and negative lag 1 past return. Moreover, our model shows that volatility reacts asymmetrically to positive and negative innovations, and this asymmetric reaction varies between down and up regimes. In down regime, volatility becomes more volatile when negative innovation impacts the market than when positive one does, while in up regime positive innovation leads to more volatile market than negative one

Asymmetric Shocks, Long-term Bonds and Sovereign Default

We present a sovereign default model with asymmetric shocks and long-term bonds, and solve the model using discrete state dynamic programming. As result, our model matches the Argentinean economy over period 1993Q1-2001Q4 quite well. We show that our model can match high default frequency, high debt/output ratio and other cyclical features, such as countercyclical interest rate and trade balance in emerging countries. Moreover, with asymmetric shocks we are able to match high sovereign spread level and low spread volatility simultaneously in one model, which is till now not well solved. As another contribution of our paper, we propose a simulation-based approach to approximate transition function of output shocks between finite states, which is an indispensable step in discrete state dynamic programming. Comparing to Tauchen’s method, our approach is very flexible in transforming various econometric models to finite state transition function, so that our approach can be widely used in simulating different kinds of discrete state shocks

Asymmetric Shocks, Long-term Bonds and Sovereign Default

We present a sovereign default model with asymmetric shocks and long-term bonds, and solve the model using discrete state dynamic programming. As result, our model matches the Argentinean economy over period 1993Q1-2001Q4 quite well. We show that our model can match high default frequency, high debt/output ratio and other cyclical features, such as countercyclical interest rate and trade balance in emerging countries. Moreover, with asymmetric shocks we are able to match high sovereign spread level and low spread volatility simultaneously in one model, which is till now not well solved. As another contribution of our paper, we propose a simulation-based approach to approximate transition function of output shocks between finite states, which is an indispensable step in discrete state dynamic programming. Comparing to Tauchen’s method, our approach is very flexible in transforming various econometric models to finite state transition function, so that our approach can be widely used in simulating different kinds of discrete state shocks