scholarly journals A Robust Analysis of the Risk-Structure of Equilibrium Term Structures of Bond Yields

Author(s):  
Anh Le ◽  
Kenneth J. Singleton
1967 ◽  
Vol 22 (2) ◽  
pp. 346
Author(s):  
John M. Culbertson ◽  
David Durand

2003 ◽  
Vol 06 (08) ◽  
pp. 885-903 ◽  
Author(s):  
CAIO IBSEN RODRIGUES DE ALMEIDA ◽  
ANTONIO MARCOS DUARTE ◽  
CRISTIANO AUGUSTO COELHO FERNANDES

Principal Component Analysis (PCA) has been traditionally used for identifying the most important factors driving term structures of interest rates movements. Once one maps the term structure dynamics, it can be used in many applications. For instance, portfolio allocation, Asset/Liability models, and risk management, are some of its possible uses. This approach presents very simple implementation algorithm, whenever a time series of the term structure is disposable. Nevertheless, in markets where there is no database for discount bond yields available, this approach cannot be applied. In this article, we exploit properties of an orthogonal decomposition of the term structure to sequentially estimate along time, term structures of interest rates in emerging markets. The methodology, named Legendre Dynamic Model (LDM), consists in building the dynamics of the term structure by using Legendre Polynomials to drive its movements. We propose applying LDM to obtain time series for term structures of interest rates and to study their behavior through the behavior of the Legendre Coefficients levels and first differences properly normalized (Legendre factors). Under the hypothesis of stationarity and serial independence of the Legendre factors, we show that there is asymptotic equivalence between LDM and PCA, concluding that LDM captures PCA as a particular case. As a numerical example, we apply our technique to Brazilian Brady and Global Bond Markets, briefly study the time series characteristics of their term structures, and identify the intensity of the most important basic movements of these term structures.


Author(s):  
Francis X. Diebold ◽  
Glenn D. Rudebusch

This chapter highlights aspects of the vibrant ongoing research program associated with the ideas developed in earlier chapters. It begins with a collage-style sketch of work involving Bayesian analysis, functional form for factor loadings, term structures of credit spreads, and nonlinearities. It then discusses in greater detail the incorporation of more than three yield factors. Next, it treats stochastic volatility in both dynamic Nelson–Siegel model (DNS) and arbitrage-free DNS (AFNS) environments, with some attention to the issue of unspanned stochastic volatility. Finally, it discusses the incorporation of macroeconomic fundamentals in their relation to bond yields. It also introduces aspects of modeling real versus nominal yields in DNS/AFNS environments, a theme treated in detail in Chapter 5.


2018 ◽  
Author(s):  
Andrew Meldrum ◽  
Marek Andrzej Raczko ◽  
Peter Spencer
Keyword(s):  

Author(s):  
D. P. Gangwar ◽  
Anju Pathania

This work presents a robust analysis of digital images to detect the modifications/ morphing/ editing signs by using the image’s exif metadata, thumbnail, camera traces, image markers, Huffman codec and Markers, Compression signatures etc. properties. The details of the whole methodology and findings are described in the present work. The main advantage of the methodology is that the whole analysis has been done by using software/tools which are easily available in open sources.


Author(s):  
Mary Youssef

This book examines questions of identity, nationalism, and marginalization in the contemporary Egyptian novel from a postcolonial lens. Under colonial rule, the Egyptian novel invoked a sovereign nation-state by basking in its perceived unity. After independence, the novel professed disenchantment with state practices and unequal class and gender relations, without disrupting the nation’s imagined racial and ethno-religious homogeneity. This book identifies a trend in the twenty-first-century Egyptian novel that shatters this singular view, with the rise of a new consciousness that presents Egypt as fundamentally heterogeneous. Through a robust analysis of “new-consciousness” novels by authors like Idris ᶜAli, Bahaᵓ Tahir, Miral al-Tahawi, and Yusuf Zaydan, the author argues that this new consciousness does not only respond to predominant discourses of difference and practices of differentiation along the axes of race, ethno-religion, class, and gender by bringing the experiences of Nubian, Amazigh, Bedouin, Coptic, Jewish, and women minorities to the fore of Egypt’s literary imaginary, but also heralds the cacophony of voices that collectively cried for social justice from Tahrir Square in Egypt’s 2011-uprising. This study responds to the changing iconographic, semiotic, and formal features of the Egyptian novel. It fulfills the critical task of identifying an emergent novelistic genre and develops historically reflexive methodologies that interpret new-consciousness novels and their mediatory role in formalizing and articulating their historical moment. By adopting this context-specific approach to studying novelistic evolution, this book locates some of the strands that have been missing from the complex whole of Egypt’s culture and literary history.


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