The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Linlin Niu - One of the best experts on this subject based on the ideXlab platform.
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adaptive dynamic nelson siegel term Structure Model with applications
Journal of Econometrics, 2014Co-Authors: Ying Chen, Linlin NiuAbstract:We propose an Adaptive Dynamic Nelson–Siegel (ADNS) Model to adaptively detect parameter changes and forecast the yield curve. The Model is simple yet flexible and can be safely applied to both stationary and nonstationary situations with different sources of parameter changes. For the 3- to 12-months ahead out-of-sample forecasts of the US yield curve from 1998:1 to 2010:9, the ADNS Model dominates both the popular reduced-form and affine term Structure Models; compared to random walk prediction, the ADNS steadily reduces the forecast error measurements by between 20% and 60%. The locally estimated coefficients and the identified stable subsamples over time align with policy changes and the timing of the recent financial crisis.
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adaptive dynamic nelson siegel term Structure Model with applications
Research Papers in Economics, 2013Co-Authors: Ying Chen, Linlin NiuAbstract:We propose an Adaptive Dynamic Nelson-Siegel (ADNS) Model to adaptively forecast the yield curve. The Model has a simple yet flexible Structure and can be safely applied to both stationary and nonstationary situations with different sources of change. For the 3- to 12-months ahead out-of-sample forecasts of the US yield curve from 1998:1 to 2010:9, the ADNS Model dominates both the dynamic Nelson-Siegel (DNS) and random walk Models, reducing the forecast error measurements by between 30 and 60 percent. The locally estimated coefficients and the identified stable subsamples over time align with policy changes and the timing of the recent financial crisis.
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adaptive dynamic nelson siegel term Structure Model with applications
Social Science Research Network, 2013Co-Authors: Ying Chen, Linlin NiuAbstract:We propose an Adaptive Dynamic Nelson-Siegel (ADNS) Model to adaptively detect parameter changes and forecast the yield curve. The Model is simple yet flexible and can be safely applied to both stationary and nonstationary situations with different sources of parameter changes. For the 3- to 12-months ahead out-of-sample forecasts of the US yield curve from 1998:1 to 2010:9, the ADNS Model dominates both the popular reduced-form and affine term Structure Models; compared to random walk prediction, the ADNS steadily reduces the forecast error measurements by between 25 and 60 percent. The locally estimated coefficients and the identified stable subsamples over time align with policy changes and the timing of the recent financial crisis.
Ahmet K Karagozoglu - One of the best experts on this subject based on the ideXlab platform.
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pricing eurodollar futures options using the bdt term Structure Model the effect of yield curve smoothing
Social Science Research Network, 2001Co-Authors: Turan G Bali, Ahmet K KaragozogluAbstract:This paper focuses on pricing Eurodollar futures options using the single-factor Black, Derman, and Toy (1990) term Structure Model with particular emphasis on yield curve smoothing. Of the various approaches, the maximum smoothness forward rate approach developed by Adams and van Deventer (1994), cubic yield spline and linear interpolation are used to produce finely spaced binomial trees. We compare the pricing accuracy associated with the use of yield curve smoothing techniques within the BDT framework. The findings provide the first supporting evidence that using a forward rate curve with maximum smoothness together with a time-varying volatility Structure improves best the performance of the BDT Model. The empirical results are found to be robust across factors affecting the option price such as time-to-expiration, moneyness, and trading volume.
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pricing eurodollar futures options using the bdt term Structure Model the effect of yield curve smoothing
Journal of Futures Markets, 2000Co-Authors: Turan G Bali, Ahmet K KaragozogluAbstract:This article focuses on pricing Eurodollar futures options using the single‐factor Black, Derman, and Toy (1990) term Structure Model with particular emphasis on yield curve smoothing. Of the various approaches, the maximum smoothness forward rate approach developed by Adams and van Deventer (1994), cubic yield spline, and linear interpolation are used to produce finely spaced binomial trees. We compare the pricing accuracy associated with the use of yield curve smoothing techniques within the BDT framework. The findings provide the first supporting evidence that using a forward rate curve with maximum smoothness together with a time‐varying volatility Structure improves best the performance of the BDT Model. The empirical results are found to be robust across factors affecting the option price such as time‐to‐expiration, moneyness, and trading volume. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:293–306, 2000
Ying Chen - One of the best experts on this subject based on the ideXlab platform.
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adaptive dynamic nelson siegel term Structure Model with applications
Journal of Econometrics, 2014Co-Authors: Ying Chen, Linlin NiuAbstract:We propose an Adaptive Dynamic Nelson–Siegel (ADNS) Model to adaptively detect parameter changes and forecast the yield curve. The Model is simple yet flexible and can be safely applied to both stationary and nonstationary situations with different sources of parameter changes. For the 3- to 12-months ahead out-of-sample forecasts of the US yield curve from 1998:1 to 2010:9, the ADNS Model dominates both the popular reduced-form and affine term Structure Models; compared to random walk prediction, the ADNS steadily reduces the forecast error measurements by between 20% and 60%. The locally estimated coefficients and the identified stable subsamples over time align with policy changes and the timing of the recent financial crisis.
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adaptive dynamic nelson siegel term Structure Model with applications
Research Papers in Economics, 2013Co-Authors: Ying Chen, Linlin NiuAbstract:We propose an Adaptive Dynamic Nelson-Siegel (ADNS) Model to adaptively forecast the yield curve. The Model has a simple yet flexible Structure and can be safely applied to both stationary and nonstationary situations with different sources of change. For the 3- to 12-months ahead out-of-sample forecasts of the US yield curve from 1998:1 to 2010:9, the ADNS Model dominates both the dynamic Nelson-Siegel (DNS) and random walk Models, reducing the forecast error measurements by between 30 and 60 percent. The locally estimated coefficients and the identified stable subsamples over time align with policy changes and the timing of the recent financial crisis.
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adaptive dynamic nelson siegel term Structure Model with applications
Social Science Research Network, 2013Co-Authors: Ying Chen, Linlin NiuAbstract:We propose an Adaptive Dynamic Nelson-Siegel (ADNS) Model to adaptively detect parameter changes and forecast the yield curve. The Model is simple yet flexible and can be safely applied to both stationary and nonstationary situations with different sources of parameter changes. For the 3- to 12-months ahead out-of-sample forecasts of the US yield curve from 1998:1 to 2010:9, the ADNS Model dominates both the popular reduced-form and affine term Structure Models; compared to random walk prediction, the ADNS steadily reduces the forecast error measurements by between 25 and 60 percent. The locally estimated coefficients and the identified stable subsamples over time align with policy changes and the timing of the recent financial crisis.
Fernando Lizarralde - One of the best experts on this subject based on the ideXlab platform.
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a variable Structure Model reference robust control without a prior knowledge of high frequency gain sign
Automatica, 2008Co-Authors: R. R. Costa, Fernando LizarraldeAbstract:The design of a variable Structure Model reference robust control without a prior knowledge of high frequency gain sign is presented. Based on an appropriate monitoring function, a switching scheme for some control signals is proposed. It is shown that after a finite number of switching, the tracking error converges to zero at least exponentially for plants with relative degree one or converges exponentially to a small residual set for plants with higher relative degree, and the input disturbance can be completely rejected without affecting the tracking performance.
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Variable Structure Model reference adaptive control for systems with unknown high frequency gain
42nd IEEE International Conference on Decision and Control (IEEE Cat. No.03CH37475), 2003Co-Authors: R. R. Costa, Fernando LizarraldeAbstract:In this paper, we consider the design of a variable Structure Model reference adaptive control (VS-MRAC) for plants with relative degree one without the knowledge of the sign of the plant high frequency gain. A switching method for the control signal, based on an appropriate monitoring function, is proposed. As a result, we show that after a finite number of switchings, the tracking error converges to zero at least exponentially. Interestingly enough, if the initial conditions of some states of the closed-loop system are zero, we show that at most one switching is needed.
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new results on output feedback variable Structure Model reference adaptive control design and stability analysis
IEEE Transactions on Automatic Control, 1997Co-Authors: Liu Hsu, Fernando Lizarralde, A D De AraujoAbstract:The variable Structure Model-reference adaptive control(VS-MRAC) redesign and stability analysis, presented previously by the authors (1993) for the case of plants with relative degree n*/spl les/2, is generalized to the case of arbitrary n*/spl ges/1. This paper presents a complete stability analysis in the general case. The redesign is based on the explicit consideration of input disturbances which may include the disturbance originated by the uncertainty of the plant high-frequency gain. This leads to a considerably simpler and less restrictive stability analysis as well as to a systematic controller design for external disturbance rejection. The overall error system is globally exponentially stable with respect to a small residual set. Robustness to unModeled dynamics is also discussed.
Shunsuke Takemura - One of the best experts on this subject based on the ideXlab platform.
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centroid moment tensor inversions of offshore earthquakes using a three dimensional velocity Structure Model slip distributions on the plate boundary along the nankai trough
Geophysical Journal International, 2020Co-Authors: Shunsuke Takemura, Katsuhiko Shiomi, Takeshi Kimura, Ryo Okuwaki, Tatsuya Kubota, Akemi NodaAbstract:Due to complex three-dimensional (3D) heterogeneous Structures, conventional one-dimensional (1D) analysis techniques using onshore seismograms can yield incorrect estimation of earthquake source parameters, especially dip angles and centroid depths of offshore earthquakes. Combining long-term onshore seismic observations and numerical simulations of seismic wave propagation in a 3D Model, we conducted centroid moment tensor (CMT) inversions of earthquakes along the Nankai Trough between April 2004 and August 2019 to evaluate decade-scale seismicity. Green???s functions for CMT inversions of earthquakes with moment magnitudes of 4.3???6.5 were evaluated using finite-difference method simulations of seismic wave propagation in the regional 3D velocity Structure Model. Significant differences of focal mechanisms and centroid depths between previous 1D and our 3D catalogues were found in the solutions of offshore earthquakes. By introducing the 3D Structures of the low-velocity accretionary prism and the Philippine Sea Plate, dip angles and centroid depths for offshore earthquakes were well-constrained. Teleseismic CMT also provides robust solutions but our regional 3D CMT could provide better constraints of dip angles. Our 3D CMT catalogue and published slow earthquake catalogues depicted spatial distributions of slip behaviours on the plate boundary along the Nankai Trough. The regular and slow interplate earthquakes were separately distributed, with these distributions reflecting the heterogeneous distribution of effective strengths along the Nankai Trough plate boundary. By comparing the spatial distribution of seismic slip on the plate boundary with the slip-deficit rate distribution, regions with strong coupling were clearly identified.
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Moment tensor inversion of the 2016 southeast offshore Mie earthquake in the Tonankai region using a three-dimensional velocity Structure Model: effects of the accretionary prism and subducting oceanic plate
SpringerOpen, 2018Co-Authors: Shunsuke Takemura, Hisahiko Kubo, Tatsuhiko Saito, Takeshi Kimura, Katsuhiko ShiomiAbstract:Abstract The southeast offshore Mie earthquake occurred on April 1, 2016 near the rupture area of the 1944 Tonankai earthquake, where seismicity around the interface of the Philippine Sea plate had been very low until this earthquake. Since this earthquake occurred outside of seismic arrays, the focal mechanism and depth were not precisely constrained using a one-dimensional velocity Model, as in a conventional approach. We conducted a moment tensor inversion of this earthquake by using a three-dimensional velocity Structure Model. Before the analysis of observed data, we investigated the effects of offshore heterogeneous Structures such as the seawater, accretionary prism, and subducting oceanic plate by using synthetic seismograms in a full three-dimensional Model and simpler Models. The accretionary prism and subducting oceanic plate play important roles in the moment tensor inversion for offshore earthquakes in the subduction zone. Particularly, the accretionary prism, which controls the excitation and propagation of long-period surface waves around the offshore region, provides better estimations of the centroid depths and focal mechanisms of earthquakes around the Nankai subduction zone. The result of moment tensor inversion for the 2016 southeast offshore Mie earthquake revealed low-angle thrust faulting with a moment magnitude of 5.6. According to geophysical surveys in the Nankai Trough, our results suggest that the rupture of this earthquake occurred on the interface of the Philippine Sea plate, rather than on a mega-splay fault. Detailed comparisons of first-motion polarizations provided additional constraints of the rupture that occurred on the interface of the Philippine Sea plate
