This paper begins with the expectations theory of the term structure of interest rates with constant term premia and then postulates how expectations of future short term interest rates are formed. Expectations depend in part on predictions from a set of VAR equations and in part on the current and two lagged values of the short term interest rate. The results suggest that there is relevant ind...

In this article we investigate the theoretical behaviour of finite lag VAR(n) models fitted to time series that in truth come from an infinite order VAR(∞) data generating mechanism. We show that overall error can be broken down into two basic components, an estimation error that stems from the difference between the parameter estimates and their population ensemble VAR(n) counterparts, and an ...

A novel class of models for multivariate time series is presented. We consider hierarchical mixture-of-expert (HME) models in which the experts, or building blocks of the model, are vector autoregressions (VAR). It is assumed that the VAR-HME model partitions the covariate space, specifically including time as a covariate, into overlapping regions called overlays. In each overlay a given number...

Price fluctuations in the crude oil markets worldwide have attracted significant attentions from both, industries and academics, due to their profound impact on businesses and governments. Proper measurement and management of risks due to unexpected price movements in the markets has been crucial from both, operational and strategic perspectives. However, risk measurements from current approach...

We propose a new framework for modeling systematic risk in LossGiven-Default (LGD) in the context of credit portfolio losses. The class of models is very flexible and accommodates well skewness and heteroscedastic errors. The quantities in the models have simple economic interpretation. Inference of models in this framework can be unified. Moreover, it allows efficient numerical procedures, suc...

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we highlight some of the underlying issues, both methodologically, as well as through examples. In partic...

DNA renaturation experiments gave evidence to conclude that Rhizopus arrhizus, R. OIyzae, R. delemar, Amylomyces rou.xii, R. delemar var. minimus, R. delemar var. multiplicisporus, R. arrhizus var. delemar, R. chungkuoensis var. isqfermentarius, and R. javanicus var. kawasakiensis can be accommodated in three taxa, namely, R. arrhizus var. arrhizus, R. arrhizus var. rozedi, and R. arrhizus var....

Plants of Juniperus communis L. var. communis, J. c. var. depressa Pursh, J. c. var. hemispherica J. & C. Presl, J. communis var. megistocarpa Fern. & St. John, J. c. var. nipponica (Maxim.) Wils., J. c. var. oblonga hort. ex Loudon and J. c. var. saxatilis Pall. were sampled and DNA fingerprinting (RAPDs, Random Amplified Polymorphic DNAs) was performed. Based on 191 RAPD bands, there was litt...

Theorem 3.2 A consequence system (L,`) enjoys Craig interpolation with respect to an L-function var, if (i) there is a Craig generalized translation schema from (L,`) to another consequence system (L′,`′) with respect to var and an L′-function var′; (ii) (L′,`′) enjoys Craig interpolation with respect to var′. Proof: Let (h1, h2, h) be a Craig generalized translation schema from (L,`) to (L′,`′...