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The aim of this study is to investigate the possibility of predicting the yield curves of sandstones considering only a few key mechanical parameters, and more importantly microstructural properties. Porous rocks are modeled as a set of 2D circular grains subjected to radial and axial stresses that reflect the external forces applied on the material. The contact between individual grains define local planes. The sample is assumed to yield at the inception of nonlinear response on one of these planes, when local stresses reach either shear, tensile, or compressive limit values. A Mohr–Coulomb criterion is considered, with a tensile cutoff and a limitation on the maximum allowable shear stress. The parameters of the developed yield equations are then divided into two groups. The first category relates to the microstructure of the material: porosity, grain radius, intergranular contacts radius, and intensification factor. The second category contains a set of four mechanical properties: the cohesion, the friction angle, the maximum shear, and the compressive limit. While the first set differs from one sandstone to another, the second one is assumed to be the same for all sandstones showing similar mineral compositions. The experimental data for five sandstones, Berea, Boise, Darley Dale, Diemelstadt, and Rothbach, are gathered from the literature. The mechanical parameters are calculated based on Rothbach sandstone experimental data. Satisfactory predictions of the yield limits for the remaining sandstones are obtained from their microstructural characteristics. [ABSTRACT FROM AUTHOR]

This study focuses on the rheological behavior of a cellulose nanocrystal gel. This system [5 wt. % cellulose nanocrystal (CNC) + 20 mM NaCl] is proved to be thixotropic, and the detected shear force tightly depends on the growth and break-up of the aggregates of CNC rods. From strain-controlled experiments, a nonmonotonic steady-state flow curve with a minimum stress value of ≈33 Pa is found, and the negative slope of stress versus shear rate suggests the existence of shear bands. From stress-controlled experiments (creep), the "static yield stress" is determined to be 67.5 ± 2.5 Pa. This difference proves that the local minimum stress of the flow curve does not coincide with the "static yield stress" determined by creep tests. However, this minimum stress can maintain flow provided that the material is already in a yielded state. At nominal shear rates below about 100 s−1, shearing is suggested to be localized in a shear band rather than over the whole material. The "dynamic yield stress" is found as "the minimum stress to maintain flow," or the onset of shear banding. Moreover, wall slip also occurs at low nominal shear rates which is related to the interaction between the dynamic microstructure of the CNC gel and the wall: it is hypothesized that the low shear rates allow the CNC aggregates to extensively grow and, thus, the oversized CNC aggregates detach from the asperities of the wall. Our finding of the robust connection between yielding, thixotropy, wall slip, and shear banding shall shed new light on the nature of the nonmonotonic flow curves of yield stress and thixotropic materials. [ABSTRACT FROM AUTHOR]

A novel methodology to investigate the fine structure of interest rates based on Machine Learning techniques is discussed. The aim is to capture in an unsupervised way the common stochastic structure that drives the dynamics of interest rates of different maturities. The proposed approach is based on the Wasserstein barycenter, a powerful tool of analysis that allows us to construct, from a set of assigned probability distributions, a single probability distribution that captures the essential features of the whole set. To identify common stochastic factors, a Gaussian Mixture Model is fitted to the Wasserstein barycenter by maximum likelihood using the Expectation-Maximization algorithm with an initialization strategy based on Graph Machine Learning techniques. A fine-tuning of single-maturity interest rates is discussed in an attempt to capture maturity-specific stochastic factors. The proposed analysis also gives us the opportunity to test the hypothesis of a market segmentation into a short-term segment, the money market, and a long-term segment, the capital market, each with its own segment-specific stochastic factors. The methodology is tested on the US zero-coupon Treasury yield curve. The results obtained seem to show that most of the stochastic nature of the dynamics of the US zero-coupon yield curve can be captured by a three-component Gaussian Mixture Model describing the Wasserstein barycenter of the short-term segment of the yield curve. [ABSTRACT FROM AUTHOR]

Background: Mechanical ventilation (MV) is a critical intervention in ICUs, but timely and successful weaning from MV is a challenging process. Accurate prediction of weaning outcomes can significantly improve patient management and resource utilization. Ultrasound measured Diaphragmatic excursion (DE) has emerged as a promising predictor of weaning success. The purpose of this study is to evaluate the effectiveness of DE measurements in predicting weaning outcomes in mechanically ventilated patients. Methodology: This analytical cross-sectional study included 30 patients undergoing spontaneous breathing trials (SBT) as part of their weaning process from MV in an ICU setting. DE was measured using ultrasound during the SBT. Independent sample T test was done to know the mean difference between the variables. Receiver Operating Characteristic (ROC) curve analysis was done to evaluate the predictive power of DE. Statistical significance was determined using p-values, with p < 0.05 considered significant. Results: The mean DE among weaning success patients was 2.5±0.62 cm and of weaning failure patients was 1.5± 0.37 cm. The mean difference of DE between success and failure patients was found to be significant [p = 0.0008]. ROC curve analysis yielded an AUC of 0.932 at a cutoff of 1.8cm with sensitivity of 81.8% and specificity of 87.5%, demonstrating good predictive power of DE for weaning outcomes. Conclusion: Diaphragmatic excursion measured via ultrasound has a real potential for predicting weaning success in mechanically ventilated patients. Its regular assessment can assist clinical decisionmaking, potentially improving patient outcomes and ICU efficiency. [ABSTRACT FROM AUTHOR]

Perovskite type nanocrystals of La2 − xInxCuO4 were prepared by using the combustion method. The magnetic, optical, morphology, structural, and vibrational characteristics were investigated using techniques like XRD, FE-SEM, FTIR, VSM, EDX, and DRS-UV. The development of the pure La2CuO4 perovskite structure was established by XRD analysis. When there is an increase in the indium ion concentration (x = 0.00 to 0.25), orthorhombic phase takes place. The orthorhombic structure crystallite size is from 54 to 38 nm, respectively. The oxidation states of the synthesized nanoparticles were carried out via X-ray photoelectron spectroscopy (XPS). TG-DTA studies confirmed weight loss and exothermic transitions. Because of quantum confinement phenomena, the direct band gap energy increases with an increase in In3+ ion content (1.70 to 1.73 eV) and that was calculated using the Kubelka–Munk method. The La2CuO4 system demonstrates the formation of nanoscale crystalline grains with fused grain boundaries, resulting in the presence of pores and pore walls. The magnetization-field method yields hysteresis curves at room temperature (RT) that indicate the existence of ferro/paramagnetic characteristics. [ABSTRACT FROM AUTHOR]

The Nelson–Siegel and the Svensson models are two widely used models for the term structure of interest rates. These models are quite simple and intuitive, but fitting them to market data is numerically challenging and various difficulties have been reported. In this paper, we provide a novel mathematical analysis of the fitting problem based on parametric optimization. We formulate the fitting problem as a separable nonlinear least-squares problem, in which the linear parameters can be eliminated. We provide a thorough discussion on the conditioning of the inner part of the reformulated problem and show that many of the reported difficulties encountered when solving it are inherent to the problem formulation itself and cannot be tackled by choosing a particular optimization algorithm. Our stability analysis provides novel insights that we use to show that some of the ill-conditioning can be avoided, and that a suitably chosen penalty approach can be used to address the remaining ill-conditioning. Numerical results indicate that this approach has the expected impact while being independent of any choice of a particular optimization algorithm. We further establish smoothness properties of the reduced objective function, putting global optimization methods for the reduced problem on a sound mathematical basis. [ABSTRACT FROM AUTHOR]

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Forecasts of professional forecasters are anomalous: they are biased, and forecast errors are autocorrelated and predictable by forecast revisions. We propose that these anomalies arise because professional forecasters do not know the model that generates the data. We show that Bayesian agents learning about hard-to-learn features of the world can generate all the prominent aggregate anomalies emphasized in the literature. We show this for professional forecasts of nominal interest rates and Congressional Budget Office forecasts of gross domestic product growth. Our learning model for interest rates can explain observed deviations from the expectations hypothesis of the term structure without relying on time variation in risk premia. [ABSTRACT FROM AUTHOR]

Catastrophe (CAT) bonds necessitate a robust construction with regard to the estimated probability measure of their triggering parameter. This article concentrates on earthquakes as the primary natural catastrophe of concern. By leveraging the geometry of active faults for estimating default probability, we utilize seismic event information spanning up to 15,000 years in the past—thereby surpassing the restricted time range of available historical catalogs commonly used in other analyses, which typically cover only a few hundred years. This article introduces the design and pricing methodology of CAT bonds employing autoregressive neural networks, extending the standard VAR Nelson-Siegel model for yield curves. It presents a case study focused on the region of Greece, estimating that an additional spread of approximately 500 basis points over LIBOR constitutes the minimum premium required to attract an investor to undertake the associated risk. This premium could be absorbed by insured parties as an alternative to the conventional insurance process. [ABSTRACT FROM AUTHOR]

Treasury yields have fallen since the 1980s. Standard decompositions of Treasury yields into expected short-term interest rates and term premiums suggest term premiums account for much of the decline. In an alternative real-time decomposition, term premiums have fluctuated in a stable range, while long-run expected short-term interest rates have fallen. For example, a real-time decomposition of the 10-year Treasury yield shows term premiums essentially equal in late 2013 and 2023, while the long-run value of expected short-term interest rates is estimated to have fallen in a manner similar to the FOMC's Summary of Economic Projections and estimates from research on long-run neutral interest rates. These results suggest standard decompositions may overstate the role of term premiums in fluctuations of the yield curve. [ABSTRACT FROM AUTHOR]

Tau is an intrinsically disordered protein involved in several neurodegenerative diseases where a common hallmark is the appearance of tau aggregates in the brain. One common approach to elucidate the mechanisms behind the aggregation of tau has been to recapitulate in vitro the self-assembly process in a fast and reproducible manner. While the seeding of tau aggregation is prompted by negatively charged cofactors, the obtained fibrils are morphologically distinct from those found in vivo. The Tau AD core fragment (TADC, tau 306–378) has emerged as a new model and potential solution for the cofactor-free in vitro aggregation of tau. Here, we use TADC to further study this process combining multiple amyloid-detecting fluorophores and fibril bioimaging. We confirmed by transmission electron microscopy that this fragment forms fibrils after quiescent incubation at 37 °C. We then employed a panel of eight amyloid-binding fluorophores to query the formed species by acquiring their emission spectra. The results obtained showed that nearly all dyes detect TADC self-assembled species. However, the successful monitoring of TADC aggregation kinetics was limited to three fluorophores (X-34, Bis-ANS, and pFTAA) which yielded sigmoidal curves but different aggregation half-times, hinting to different species being detected. Altogether, this study highlights the potential of using multiple extrinsic fluorescent probes, alone or in combination, as tools to further clarify mechanisms behind the aggregation of amyloidogenic proteins. [ABSTRACT FROM AUTHOR]

In this article, we analyse the forecasting performance of several parametric extensions of the popular Dynamic Nelson–Siegel (DNS) model for the yield curve. Our focus is on the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macroeconomic variables. We also consider the role of several popular restrictions on the dynamics of the factors. Using a novel dataset of end‐of‐month continuously compounded Treasury yields on US zero‐coupon bonds and frequentist estimation based on the extended Kalman filter, we show that a second decay parameter does not contribute to better forecasts. In concordance with the preferred habitat theory, we also show that the best forecasting model depends on the maturity. For short maturities, the best performance is obtained in a heteroscedastic model with a time‐varying decay parameter. However, for long maturities, neither the time‐varying decay nor the heteroscedasticity plays any role, and the best forecasts are obtained in the basic DNS model with the shape of the yield curve depending on macroeconomic activity. Finally, we find that assuming non‐stationary factors is helpful in forecasting at long horizons. [ABSTRACT FROM AUTHOR]

This paper presents a comprehensive study on the implementation and analysis of PID controllers in an automated voltage regulator (AVR) system. A novel tuning technique, Virtual Time response-based iterative gain evaluation and re-design (V-Tiger), is introduced to iteratively adjust PID gains for optimal control performance. The study begins with the development of a mathematical model for the AVR system and initialization of PID gains using the Pessen Integral Rule. Virtual time-response analysis is then conducted to evaluate system performance, followed by iterative gain adjustments using Particle Swarm Optimization (PSO) within the V-Tiger framework. MATLAB simulations are employed to implement various controllers, including the V-Tiger PID controller, and their performance is compared in terms of transient response, stability, and control signal generation. Robustness analysis is conducted to assess the system's stability under uncertainties, and worst-case gain analysis is performed to quantify robustness. The transient response of the AVR with the proposed PID controller is compared with other heuristic controllers such as the Flower Pollination Algorithm, Teaching–Learning-based Optimization, Pessen Integral Rule, and Zeigler-Nichols methods. By measuring the peak closed-loop gain of the AVR with the controller and adding uncertainty to the AVR's field exciter and amplifier, the robustness of proposed controller is determined. Plotting the performance degradation curves yields robust stability margins and the accompanying maximum uncertainty that the AVR can withstand without compromising its stability or performance. Based on the degradation curves, robust stability margin of the V-Tiger PID controller is estimated at 3.5. The worst-case peak gains are also estimated using the performance degradation curves. Future research directions include exploring novel optimization techniques for further enhancing control performance in various industrial applications. [ABSTRACT FROM AUTHOR]

We study the phenomenon of strain hardening of 1565ch and AMg6 aluminum alloys of the Al – Mg system with high magnesium contents and 01570 and 1580 alloys with additions of scandium in the process of cold rolling of plates. We plot hardening curves approximated by the well-known empirical expressions in the form of power functions constructed with an accuracy sufficient for the engineering calculations of the characteristics of strength within the range of total relative compressions 0 – 35%. It was shown that, in the alloys alloyed with scandium, the phenomenon of hardening observed in the course of cold rolling is weaker than in alloys without scandium. [ABSTRACT FROM AUTHOR]

We study the role of preferred habitat in understanding the economic effects of the Federal Reserve's quantitative easing (QE). Using high-frequency identification and exploiting the structure of the primary market for US Treasuries, we isolate demand shocks that are transmitted solely through preferred habitat channels but otherwise mimic QE shocks. We document large localized yield curve effects when financial markets are disrupted. Our calibrated model, which embeds preferred habitat in a New Keynesian framework, can largely account for the observed financial effects of QE. QE is modestly stimulative for output and inflation, but alternative policy designs can generate stronger effects. [ABSTRACT FROM AUTHOR]

We present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or riskless rates. Unlike the classical Black–Scholes–Merton, we show that option pricing in the unified model differs depending on whether the replicating, self-financing portfolio uses riskless bonds or a single riskless bank account. We derive option price formulas and extend our analysis to the term structure of interest rates by deriving the pricing of zero-coupon bonds, forward contracts, and futures contracts. We identify a necessary condition for the unified model to support a perpetual derivative. Discrete binomial pricing under the unified model is also developed. In every scenario analyzed, we show that the unified model simplifies to the standard Black–Scholes–Merton pricing under specific limits and provides pricing in the Bachelier model limit. We note that the Bachelier limit within the unified model allows for positive riskless rates. The unified model prompts us to speculate on the possibility of a mixed multiplicative and additive deflator model for risk-neutral option pricing. [ABSTRACT FROM AUTHOR]

This article examines the performance of real estate investment trusts (REITs) vis-à-vis various benchmark indexes spanning from January 2010 to August 2022. It reveals that the monthly returns of REITs are explicable through systematic factor exposures, primarily linked to equity markets. This indicates a potential limitation in the diversification benefits typically sought by equity investors within the real estate market. Additionally, the article highlights the influence of changes in the slope of yield curve on REIT performance. During periods of COVID-19 induced lockdown and before the start of vaccinations, REITs exhibited a pronounced correlation with benchmarks, posing challenges to diversification strategies. Notably, diversified and industrial REITs displayed positive alphas, albeit not statistically significant, reflecting the impact of the COVID-19 pandemic. Conversely, healthcare REITs demonstrated a negative alpha during this period. Subsequent to the vaccination phase, most REIT categories demonstrated positive alphas, except healthcare and office REITs, according to the six-factor model. This transition signifies nuanced shifts in the performance dynamics of REITs in response to evolving market conditions. [ABSTRACT FROM AUTHOR]

We present a new quadratic Gaussian short rate model with a stochastic lower bound to capture changes in the yield curve including negative interest rates, associated with changes in monetary policy stances. We model the lower bound by a Brownian bridge pinned at zero at the initial time and at a random termination time, representing the first appearance of negative interest rates and the end date of an unconventional monetary policy, respectively. Within this framework, we derive a semi-analytical pricing formula for zero coupon bonds under the no-arbitrage condition. Our model estimation results using Japanese yield curve data show a good fit to the market data. Furthermore, the expected excess bond returns and the posterior distribution of the unconventional monetary policy duration computed from the model parameter and state variable estimates clarify the market's perspective on monetary policy developments. [ABSTRACT FROM AUTHOR]

It is of great significance to empirical test the expectation hypothesis of the term structure of interest rates. Most existing empirical literature using cointegration test with monthly data. With the easier access to high frequency data, using high frequency data to empirical test can reduce information loss and get more reliable conclusion. This paper proposes a new method which is called functional cointegration test and empirical test the expectation theory hypothesis using Chinese treasure yield daily data which contains 3001 trading days from 2011 to 2022 with 14 different maturities. The empirical results show that all 91 groups of different long-term and short-term interest rates combinations have significant cointegration relationship. The expectation theory hypothesis valid for all long-term and short-term interest rates combinations in China. This paper provides a new functional data analysis perspective for the empirical test of the expectation theory hypothesis, and also explores the application of functional data analysis in economic field. [ABSTRACT FROM AUTHOR]

This paper studies the influence of salience on nominal and real yield curves by introducing the salience effect in the Piazzesi and Schneider model (hereafter PS). We construct the salience values based on the expected consumption growth using U.S. data. We find that salience values are negatively correlated with the expected consumption growth rates. Based on U.S. data from 1960q1 to 2020q4, we find that the salience model can generate upward nominal and real yield curves within reasonable risk aversion coefficients (less than 10), as well as well-fitted average yields with actual data. The salience model compensates for the PS or recursive preference model’s inability to generate an upward nominal or real yield curve within reasonable risk aversion. Furthermore, we provide empirical support for model implications. [ABSTRACT FROM AUTHOR]

In this work, we have made experimental measurements of multiple-hump total electron emission yield (TEEY) curves on SiO2 thin films. A Monte-Carlo electron transport model, published in Gibaru et al., J. Electron Spectrosc. Relat. Phenom. 261, 147265 (2022), has been developed to analyze the physical reasons of such atypical behavior. It is shown that the multiple-hump TEEY curves of thin dielectric layers are due to internal recombination effects. However, such kind of phenomenon is demonstrated to be strongly correlated to the incident current density. This analysis reveals that the double-hump TEEY curves observed commonly on insulators are also most probably a measurement artifact, tied to the operating parameters of the electron gun. A careful choice of experimental parameters can eliminate this artifact, by using a constant current density that is also low enough to limit recombination effects. [ABSTRACT FROM AUTHOR]

We estimate a model-free term structure of the ex ante dividend risk premium by combining two data sets with different information about future dividends. We aggregate survey forecasts about future dividends for single companies over multiple horizons to construct a term structure of expected S&P 500 dividend growth rates. We use European call and put option prices on the S&P 500 to estimate the term structures of options-implied dividend growth rates and risk-free rates. Applying the method to 2004–2021 data offers a new, ex ante perspective on the conditional time variation of the term structure of the dividend risk premium. [ABSTRACT FROM AUTHOR]

Let us say that a coincidence involving two events, where one seems to predict the other, happens a number of times. How many times until it can be considered not only a coincidence, but a statistically significant pattern? We propose a framework to answer this question. Using the framework, we find that the number of times required is 7. We illustrate the practical application of our framework in the context of a very important phenomenon: When the percentage difference between 10-year and 3-month U.S. Treasury yields falls below zero, a U.S. recession appears to occur within the next 18 months. [ABSTRACT FROM AUTHOR]

Magnesium alloys show great promise in high-speed transport, aerospace, and military technology; however, their widespread adoption encounters challenges attributed to limitations such as poor plasticity and strength. This study examines the high-temperature deformation of semi-solid forged AZ91D magnesium alloy through a combination of experiments and simulations, with a focus on comprehending the influence of deformation conditions on dynamic recrystallization (DRX). The findings disclose that conspicuous signs of DRX manifest in the yield stress curve as strain increases. Additionally, decreasing the strain rate and temperature correlates with a reduction in both yield stress and peak strain, and the activation energy is 156.814 kJ/mol, while the critical strain and peak strain remain relatively consistent ( ε c = 0.66208 ε p ). Microstructural changes during high-temperature deformation and the onset of DRX are thoroughly examined through experimental methods. Moreover, a critical strain model for DRX and a predictive model for the volume fraction of DRX were formulated. These equations and models, validated through a combination of experiments and simulations, serve as invaluable tools for predicting the mechanical behavior and microstructural evolution, which also establishes a foundation for accurately predicting the deformation behavior of this alloy. By analyzing the hot deformation characteristics and dynamic compression mechanism of the newly developed semi-solid forging AZ91D magnesium alloy, a numerical simulation model can be effectively established. This model objectively reflects the changes and distributions of stress, strain, and rheological velocity, providing a scientific basis for selecting subsequent plastic deformation process parameters and designing mold structures. [ABSTRACT FROM AUTHOR]

Semiconductor manufacturing and technology testing are developing at different speeds, and yield loss due to inaccuracies in the testing process which has become an important issue. The integrated circuit test model is applied in this study using an iterative yield prediction method (IYP) to estimate the fabrication yield of future wafers based on their process parameters and electrical characteristics. Additionally, test guardband estimation (TGE) method is proposed to adjust the test guardband to maintain the desired product quality after testing. The proposed iterative yield prediction method is demonstrated using a set of parameters from the IEEE International Roadmap for Devices and Systems (IRDS) 2021. Evaluation of the specifications in the IRDS table reveal shows that IYP can demonstrate the appropriate yield curve as predicted. [ABSTRACT FROM AUTHOR]

Background: Aseptic loosening (AL) is a frequent complication after rotating hinge knee (RHK) prosthesis. Citak's ratio has recently been developed to describe and classify distal femoral morphology into 3 groups (A, B, C). It consists in a ratio between the diameters of the femoral canal at 20 cm from the knee joint line and at 2 cm from the adductor tubercle. The objective of the study was to identify whether the femoral distal anatomical shape described with this ratio represents a risk factor for AL in RHK prosthesis. Methods: Retrospective study of patients who had undergone primary or revision RHK prosthesis, with a follow-up of minimum 4 years. Citak's ratio was calculated, and patients were classified depending on its value. Univariate and bivariate statistical analysis was performed to identify AL risk factors. Receiver Operating Characteristics (ROC) analyses were conducted to examine diagnostic quality of the parameters of interest. Results: Thirty-three patients were included. Most of them females (ratio 26:7), with a mean age of 78.2 (SD 6.9). Three patients presented AL (rate of 9%), all of them classified into group C (100%). Citak's ratio was significantly related to the AL rate (p < 0.001), and so was the femoral canal diameter at 20 cm from the knee joint (p 0.010). The ROC curve analysis yielded an Area Under the Curve (AUC) of 0.922 (CI 95% 0.819–1.000) for the Citak´s ratio. Conclusion: The inner femoral diameter at 20 cm proximal to the knee joint line and Citak's ratio help indentify patients at risk of AL after RHK prosthesis, and thus a better planning of the surgery. [ABSTRACT FROM AUTHOR]

For decades, researchers have searched for an unsaturated soil effective stress that performs analogously to effective stress for saturated soils and provides some simplifications over net stress and suction approaches. A recent debate is whether problems identified with unsaturated soil effective stress can be resolved via elastoplastic analyses. Effective stress equations are reviewed and categorized as being based on volume change, shear strength, yield, or degree of saturation. These equations are evaluated for consistency with saturated soil effective stress expectations using the Barcelona basic model (BBM), simplified into an integrated elastoplastic framework using the modified state surface approach (MSSA). Under isotropic conditions, saturated soil constant volume and yield curves are coincident, and the effective stress principle applies. In contrast, unsaturated soil constant volume and yield curves diverge, which is at root to the indefinability of an effective stress for unsaturated soils. Although effective stress for saturated soils has been defined on the basis of volume change, unsaturated soil effective stress is often defined on shear strength or degree of saturation, with attempted extrapolation to more general volume change and yield responses. Effective stress equations, when used for constitutive modeling of unsaturated soils, cannot recover the form of saturated soil effective stress models, nor provide the often-asserted simplifications or analytical economies. It is demonstrated that volume change and/or yield can occur under any constant unsaturated soil effective stress. It is shown that it is impossible to define an effective stress for unsaturated soils that functions analogously to that of saturated soils. An effective stress approach for unsaturated soils is demonstrated to be, at most, a mathematical transformation, which may provide simplifications for some limited usages. [ABSTRACT FROM AUTHOR]

The evaluation and deduction of recommended cross section values allowing extension of the database to monitor energy and intensity parameters of charged particle beams is presented. Included are 53 charged particle (p, d, 3He, 4He) induced reactions on suited C, Al, Ti, Fe, Ni, Cu, Nb and Au targets. The new data allow more systematic simultaneous use of multiple reactions on the same target and promote the backings of electrodeposited and sedimented targets as monitoring aids. Where possible the energy range is extended to above 100 MeV. Integral yield curves over the studied energy range are derived and compared to experimentally measured yields at specific energy points. A comparison with the theoretical excitation curve prediction of the TALYS-code as available in the TENDL 2021–2023 libraries is shown. [ABSTRACT FROM AUTHOR]

We provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time‐series and cross‐sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional role of Treasury securities as liquid trading vehicles. These stylized facts provide empirical benchmarks that could help guide future theoretical and empirical work about the economics of safe assets in financial markets. [ABSTRACT FROM AUTHOR]

Coal pyrolysis is one such area in which additional insights would be beneficial for utilization improvements and pollution control. Here, coal is divided into four components by the full component classification method. Those components are the dense medium component (DMC), loose medium component (LMC), heavy component (HC), and light component. Reactive molecular dynamics simulations and thermogravimetric experiments were used to determine the pyrolysis mechanism and examine the differences in the thermal behavior and contribution of raw coal pyrolysis. The previously constructed molecular model of group components of coal was used in pyrolysis simulations from 100 to 3000 K with a heating rate of 10 K ps−1 and at higher temperatures for 500 ps. This high temperature enabled chemical reactions to occur within a practical simulation time. The results showed that the pyrolysis process of group components of coal begins with the shedding of small molecules and then undergoes thermal decomposition of the skeleton and pyrolytic fragments. The simulation results of ReaxFF molecular dynamics in the temperature range of 100–3000 K are in good agreement with the experimental results in the temperature range of 303–1073 K according to the comparison between the pyrolysis thermogravimetric curve and nonvolatile yield curve. This result shows that the molecular model of the group components of coal is reasonable and that the ReaxFF reactive force field is suitable for exploring group components of coal pyrolysis. The pyrolysis process of coal is inversely related to the pyrolysis process of group components. In the whole rapid decomposition stage, the gas mainly comes from LMC and DMC. When the temperature is approximately 2200 K, coal coke mainly comes from HC and DMC, and asphaltene and tar mainly comes from LMC. This work demonstrates a new methodology for investigating the overall behaviors and underlying complex mechanisms of the pyrolysis of different group components in coal. [ABSTRACT FROM AUTHOR]

To verify the predictive accuracy of existing strength criteria on true triaxial strength experimental data, understand the characteristics of different strength criteria, and provide a basis for selecting strength criteria for engineering applications, ten commonly used rock strength criteria were selected and divided into MC and HB types. The distribution characteristics of the yield surfaces and yield curves of different criteria were compared and analyzed in the principal stress space and the π plane. Afterwards, based on the least absolutely deviation method, these ten strength criteria were used to predict 32 sets of true triaxial rock strength experimental data. The results showed that the range of undetermined parameters for MC type strength criteria was small and easy to determine, while the range of undetermined parameter for HB type criteria was large and difficult to determine the search range, in addition, the fitting process may not converge. The fitting accuracy of strength criteria for true triaxial experimental data depends on the sensitivity of rock strength to the intermediate principal stress. PH and GP criteria are the most sensitive to changes of the intermediate principal stress, followed by MWC and ML criteria, MGC and ZZ criteria, MCJP and HBWW criteria. PH and GP criteria overestimate the effect of the intermediate principal stress, resulting in the largest prediction errors, while the other three-dimensional strength criteria have high prediction accuracy and no significant differences. The research results can provide scientific basis for engineering design, geological hazard prediction, and mineral resource development. [ABSTRACT FROM AUTHOR]

We derive arbitrage-free conditions for a parametric yield curve in the $ \mathcal {P} $ P -world, where market prices of risk are present. As in the Heath–Jarrow–Morton (HJM) theory, we impose the bonds evolution to be free of arbitrage opportunities. However, in the classical HJM theory, first volatilities are specified, and subsequently the drift of the forward curve is obtained up to the market prices of risk that must be specified exogenously. Here, the problem is inverted: we first impose a family of shapes upon the yield curve and subsequently derive market prices of risk in a self-consistent manner and hence the market prices of risk follow a stochastic differential equation obtained directly from the curve dynamics. Leveraging this framework, we formulate a bonds-portfolio optimization as a stochastic control problem with the Hamilton–Jacobi–Bellman (H-J-B) equation. We discover that in this case, the H-J-B equation is essentially different than the classical obtained in optimal investment problems. [ABSTRACT FROM AUTHOR]

Economic growth in South Africa over the last decade has been disappointing. Even before the emergence of the Covid-19 pandemic, the economy was underperforming. South Africa needs high and sustained growth to reduce the rate of unemployment, which has remained stubbornly high at over 30% for many years. Fund flows may provide capital to spur this needed growth. Fund flows are a critical issue in emerging markets like South Africa as sudden reversals have also been associated with severe destabilizing effects. These concerns and the substantial growth in fund flows to South Africa in the past two decades motivate this study. We examine the relationships among fund flows, uncertainty measures, economic indicators, and financial market variables in South Africa. We estimate several vector autoregressions to account for the inherent feedback among fund flows and economic and financial variables. We find that the term structure of interest rates (TERM) is negatively related to equity fund flows (EFF) while positively related to bond fund flows (BFF). While BFF and EFF are both negatively related to most uncertainty measures, BFF is more sensitive to downside risk indictors than EFF. We show that the economic and financial development of South Africa is impacted by fund flows with GDP being more strongly impacted by BFF while stock returns are impacted by both BFF and EFF. We also uncover evidence that commodity prices increase BFF. Next, we show that the volatility of the South African equity market immediately reduces equity prices which attracts EFF after a two-to-three-month lag. Finally, we uncover convincing evidence that illiquidity as measured by effective spread reduces EFF to South Africa. The ability to better predict the direction EFF and BFF will allow policy makers to impose circuit breakers to mitigate the adverse impacts of sudden investment reversals. This is particularly relevant to the current situation where additional financial uncertainty due to the energy crisis in South Africa coupled with political instability may increase the likelihood of such reversals. [ABSTRACT FROM AUTHOR]

Raiffa's solution to the bargaining problem, outlined in Luce and Raiffa (1957) , is the point where the negotiation curve - a sequence of points that constitute step-by-step improvements from the status quo in the feasible payoff space - meets (possibly in the limit) the efficient boundary of the feasible region. A bargaining model with interim agreements yields a negotiation curve in equilibrium (in the spirit of Raiffa), and as the bargaining frictions disappear, the Raiffa path of payoffs converges to the Nash solution. [ABSTRACT FROM AUTHOR]

This paper highlights the procyclical and unstable behaviour of mutual funds, characterized by a varying sensitivity on common asset pricing factors. It proposes a novel factor model that allows for regime changes associated with macroeconomic and financial state variables. Estimated on a panel covering 825 US equity mutual funds over a period of 30 years, it appears that the yield curve, the dividend yield, short term interest rates and the industrial production coincide with regimes switches in the Fama–French factors. Furthermore, the estimated regimes coincide with financial crises and economic downturns, thus confirming the procyclical behaviour of mutual funds' returns. These findings, coupled with the emerging systemic role of mutual funds, promote the consideration for a specific macroprudential regulatory framework targeted at the mutual fund industry. [ABSTRACT FROM AUTHOR]

This paper tests the accuracy and predictability of two term structure models using both yields-only and factor-augmented specifications focusing on the recent COVID-19 crisis. In addition, we test the predictive ability of the yield curve on economic activity for the United States and other advanced countries. We provide evidence that models with an enhanced information set, including COVID-19 factors, improve interest rate forecasts for this period. Also, we point out that term structure models can determine future variations in economic activity but are time- and country-sensitive. Finally, out-of-sample analysis reveals that the use of factor-augmented term structure models, to reflect the current economic and market conditions, improves their forecasting accuracy. [ABSTRACT FROM AUTHOR]

The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the points on the yield curve. We show that sensitivity based estimates are conservative, i.e., underestimate the worst case value, and that the exact worst case value can be found by solving a tractable convex optimization problem. We then show how to construct a long-only bond portfolio that includes the worst case value in its objective or as a constraint, using convex–concave saddle point optimization. [ABSTRACT FROM AUTHOR]

This paper values fixed-income (discrete- and continuous-time) European Asian and Australian options. We assume that the term structure of interest rates is modelled by the specification proposed in Moreno et al. (Econ Model 72:140–150, 2018, https://doi.org/10.1016/j.econmod.2018.01.015). We obtain closed-form expressions for the premiums of geometric average options and, for arithmetic average options, premiums are computed by numerical methods. We also perform a sensitivity analysis with respect to different parameters for both (geometric and arithmetic) options. [ABSTRACT FROM AUTHOR]

This article analyzes the performance of diversified emerging market exchange-traded funds (DEMETFs) from December 2002 to August 2022. The findings indicate that US investors benefited from the diversification provided by DEMETFs. In comparison to global equities, an equally weighted portfolio of DEMETFs showed superior performance in both absolute and risk-adjusted terms. However, US equities slightly outperformed DEMETFs. During the 2007–2008 economic crisis, an equally weighted portfolio of DEMETFs demonstrated greater resilience and outperformed both US and global equities. The study also reveals that portfolio managers exhibited superior security selection skills, as an equally weighted portfolio of DEMETFs generated a statistically significant positive alpha. This suggests that the monthly returns of these funds were influenced by systematic factor exposures rather than random variation, indicating the consistent presence of underlying market factors. Furthermore, DEMETFs displayed responsiveness to various factors such as the overall stock market, credit risk, and slope of the US Treasury yield curve. [ABSTRACT FROM AUTHOR]

We quantify the impact of risk‐based and nonrisk‐based intermediary constraints (IC) on the term structure of covered interest rate parity (CIP) violations. Using a stochastic discount factor (SDF) inferred from interest rate swaps, we value currency derivatives. The wedge between model‐implied and observed derivative prices reflects the impact of nonrisk‐based IC because our SDF incorporates risk‐based IC. There is no wedge at short horizons, while the wedge accounts for 40% of long‐term CIP violations. Consistent with IC theory, the wedge correlates with the shadow cost of intermediary capital, and the SDF‐implied interest rate is a weighted average of collateralized and uncollateralized interest rates. [ABSTRACT FROM AUTHOR]

We present a simple model to characterise central bank forward guidance, large‐scale asset purchases and yield curve control. Endogenous yield curve reactions to policy shocks are a key determinant of monetary conditions and can support or offset policy intentions. Alternative monetary policy tools allow the central bank to signal central bank private information to investors when the policy rate is at the effective lower bound, shaping yield curve reactions. Commitments to these tools offer policy certainty but can become time‐inconsistent if the economy recovers sooner than expected. If commitments become time‐inconsistent, endogenous yield curve tightening can offset excess stimulus. The strength of this offset, and the optimality of monetary conditions, improves with the precision of investor inferences of central bank private information. [ABSTRACT FROM AUTHOR]

We identify monetary policy shocks in New Zealand as 1‐day changes in the whole yield curve around monetary policy announcements. The impacts of these shocks on inflation and output are estimated using functional local projections. We find that the effects of monetary policy shocks are standard in the short run but might be different in the long run. Monetary policy shocks in a small open economy have similar effects as in a large economy, except that unconventional monetary policy announcements have limited impact on long‐term interest rates. Accounting for forward guidance, used in New Zealand since 1997, is important. [ABSTRACT FROM AUTHOR]

The purpose of the paper is to rescue Irving Fisher's theorizing of the yield curve (1896, 1907, 1930) from relative obscurity and to contrast it with the better known and equally pioneering theory of John Maynard Keynes (1930, 1936). The paper also adduces evidence that Fed economists and the U.S. monetary experience in the 1920s greatly influenced these authors, both of whom were concerned with the management of the long-term interest rate. [ABSTRACT FROM AUTHOR]

Empirical studies report inconclusive assessment of duration‐based immunization, notably showing that more sophisticated strategies do not outperform immunization relying on Macaulay duration. This article provides a mean–variance framework to explain this puzzle. We characterize the efficient portfolio allocations for a stylized barbell strategy trading off reinvestment risk with discounting risk. We show, in a model‐free setting, that barbell allocations form a convex set in the mean–variance space, and the endpoints of the efficient frontier can switch as time passes, reversing the set of efficient allocations. Consequently, duration‐based immunization, which is not minimum variance, can exhibit temporary inefficiency. This result is numerically illustrated in a one‐factor Gaussian and a two‐factor non‐Gaussian model. Using yield curve scenarios resampled from U.S. data over the 1977–2020 period, we further corroborate our conclusions non‐parametrically, and find that duration‐based immunization is sometimes inefficient. [ABSTRACT FROM AUTHOR]

We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically significant ones. Using high frequency data about U.S. and European yield curves we quantify the effect of co-jumps on their correlation structure. Empirical findings reveal much stronger co-jumping behavior of the U.S. yield curves in comparison to the European one. Further, we connect co-jumping behavior to the monetary policy announcements, and study effect of 103 FOMC and 119 ECB announcements on the identified co-jumps during the period from January 2007 to December 2017. [ABSTRACT FROM AUTHOR]

The Blasingame method is a valuable tool for analysing the diminishing production challenge in the presence of variable bottomhole pressure and diverse production conditions. It is essential to highlight that the Blasingame method views the closed reservoir as the outer boundary condition for its model. This paper introduces the concept of the equivalent well control radius and formulates the Blasingame method based on the fluid flow characteristics inherent in twin-well production, taking into account the influence of inter- well interference. This study provides an in-depth analysis of production variations in reservoirs with inter-well interference by examining Blasingame type-curve definitions of the dimensionless parameters. Additionally, it investigates key factors impacting production, including neighbouring wells' production, distance, and opening time: variations in all three parameters lead to different levels of interference between wells, which manifests itself in the regularised production integral derivative curve with different lengths and heights of convexity. Numerical simulations employing orthogonality are conducted to validate the reliability of this method. The results of these simulations offer theoretical support for the precise evaluation of reservoirs facing similar challenges. [ABSTRACT FROM AUTHOR]