This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

We consider Sharpe’s one factor model of asset returns and its extension to K factors in order to explain theoretically why diversification can fail. This model can be used to explain nonlinear dependence amongst the assets in a portfolio. The result is intimately related to the tail...

Liquid-phase sintering (LPS) is a consolidation process for metallic and ceramic powders. At given temperature conditions, the process occurs with constant amount of liquid phase. However, the evolution of solid-particle shape is observed, namely, the rounding of particles and the growth of big...

The PDFs for energy dissipation rates, extracted by Kaneda and Ishihara from their 40963 DNS for fully developed turbulence, are analyzed within the framework of multifractal probability density function theory (MPDFT) to a high accuracy. MPDFT is a statistical mechanical ensemble theory for...

Necessary and sufficient conditions for packing dimension preservation under transformations which are distribution functions of random variables with Q˜-representation are given.

We use a recently developed cluster algorithm for the Baxter–Wu model to study characteristic features of its behavior. Magnetic scaling properties of the model are investigated for second-order phase transitions. We improve significantly the accuracy of Monte Carlo simulation results and we...