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We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...
Ants live in organized societies with a marked division of labor among workers, but little is known about how this division of labor is generated. We used a tracking system to continuously monitor individually tagged workers in six colonies of the ant Camp ...
We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...
We introduce a model-based excessive gap technique to analyze first-order primal- dual methods for constrained convex minimization. As a result, we construct new primal-dual methods with optimal convergence rates on the objective residual and the primal fe ...
In this paper, we construct compactly supported radial basis functions that satisfy optimal approximation properties. Error estimates are determined by relating these basis functions to the class of Sobolev splines. Furthermore, we derive new rates for app ...
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...
Mortgages characterized by negative or low early amortization schedules amplify the macroeconomic effects of a housing risk shock. We analyze the role of mortgage amortization in a two-sector DSGE model with housing risk and endogenous default. Mortgage lo ...
We present a multimodal dataset for the analysis of human affective states. The electroencephalogram (EEG) and peripheral physiological signals of 32 participants were recorded as each watched 40 one-minute long excerpts of music videos. Participants rated ...
The kinetics of hydration of cementitious materials is sensitive to the mixing procedure. High shear mixing conditions lead to an increase in the kinetics of hydration at early age compared to low shearing conditions such as hand mixing. In this study the ...
Compression experiments were conducted on slender glass fiber-reinforced polymer (GFRP) laminates at different temperatures in the elevated range. Experimental buckling loads, lateral second-order deformations, and shear strength decreased with increasing ...
