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Number of results: 12
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Abstract

Forecasting yield curves with regime switches is important in academia and financial industry. As the number of interest rate maturities increases, it poses difficulties in estimating parameters due to the curse of dimensionality. To deal with such a feature, factor models have been developed. However, the existing approaches are restrictive and largely based on the stationarity assumption of the factors. This inaccuracy creates non-ignorable financial risks, especially when the market is volatile. In this paper, a new methodology is proposed to adaptively forecast yield curves. Specifically, functional principal component analysis (FPCA) is used to extract factors capable of representing the features of yield curves. The local AR(1) model with time-dependent parameters is used to forecast each factor. Simulation and empirical studies reveal the superiority of this method over its natural competitor, the dynamic Nelson-Siegel (DNS) model. For the yield curves of the U.S. and China, the adaptive method provides more accurate 6- and 12-month ahead forecasts.

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Authors and Affiliations

Ying Chen
Bo Li
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Abstract

We test whether the floating exchange rates of the EU New Member States against the euro are determined jointly within the panel VEC framework. We find that the exchange rates of the Czech koruna, the Polish zloty and the Hungarian forint follow the same long-run relationship, in which the real exchange rates are explained by the real interest rates parities and the spreads of the credit default risk premiums. In case of the Romanian leu, the common relationship is rejected, which is likely due to differences in the economic setting. The results confirm that the currency markets of these three countries are closely related, since the appreciation/depreciation of one currency leads to similar movements in the other currencies of the NMS. The estimated misalignments exhibit some common patterns in terms of time spans and percentage values of under/overvaluation.

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Authors and Affiliations

Piotr Kębłowski
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Abstract

The study aims at a statistical verification of breaks in the risk-return relationship for shares of individual companies quoted at the Warsaw Stock Exchange. To this end a stochastic volatility model incorporating Markov switching in-mean effect (SV-MS-M) is employed. We argue that neglecting possible regime changes in the relation between expected return and volatility within an ordinary SV-M specification may lead to spurious insignificance of the risk premium parameter (as being ’averaged out’ over the regimes).Therefore, we allow the volatility-in-mean effect to switch over different regimes according to a discrete homogeneous two- or
three-state Markov chain. The model is handled within Bayesian framework, which allows to fully account for the uncertainty of
model parameters, latent conditional variances and state variables. MCMC methods, including the Gibbs sampler, Metropolis-Hastings algorithm and the forward-filtering-backward-sampling scheme are suitably adopted to obtain posterior densities of interest as well
as marginal data density. The latter allows for a formal model comparison in terms of the in-sample fit and, thereby, inference on the
’adequate’ number of the risk premium regime

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Authors and Affiliations

Łukasz Kwiatkowski
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Abstract

This paper presents the numerical part of the research program on concrete-filled steel columns. Nonlinear, three dimensional FE analysis of axial compression, was conducted using the finite element program ABAQUS. The numerical results were validated through comparison with experimental data in terms of ultimate loading and deformation modes. Modeling related problems such as the definition of boundary conditions, imperfections, concrete-steel interaction, material representation and others are investigated using a comprehensive parametric study. The developed FE models will be used for an enhanced interpretation of experiments and for the predictive study of cases not included in the experimental testing.

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Authors and Affiliations

L. Kwaśniewski
E. Szmigiera
M. Siennicki
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Abstract

For the decreasing of too high air volume in SCC, application of anti-foaming admixture (AFA) is proposed. In effect, AFA is increasing mix flow diameter and decreasing the flow time. Moreover, the workability loss is lower. In case of mix incorporating AFA, their high fluidity do not generate segregation of the mix, which is possible in case of SCC incorporating only SP. The effect of AFA application on the compressive strength depends on the proportions between SP and AFA. AFA has not a negative influence on the freeze-proof properties of the tested concrete. The advisable influence of AFA on porosity characteristic of SCC is proved by research results according to EN 480-11 code.

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Authors and Affiliations

B. Łaźniewska-Piekarczyk
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Abstract

The paper presents the results of an extensive investigation of asphalt concrete specimens with geosynthetic interlayer. The subject of this research is evaluation of influence of geosynthetics interlayer applied to bituminous pavements on interlayer bonding of specimens. The results of the tests proves that when geosynthetic is used, the bonding of interlayer depends mainly on the type of bituminous mixture, the type of geosynthetic, and the type and amount of bitumen used for saturation and sticking of geosynthetic. The amount of bitumen used in order to saturate and fix the geosynthetic significantly changes the interlayer bonding of specimens.

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Authors and Affiliations

P. Zieliński
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Abstract

A three Dimensional finite element model (FEM) incorporating the anisotropic properties and temperature profile of hot mix asphalt (HMA) pavement was developed to predict the structural responses of HMA pavement subject to heavy loads typically encountered in the field. In this study, ABAQUS was adopted to model the stress and strain relationships within the pavement structure. The results of the model were verified using data collected from the Korean Highway Corporation Test Road (KHCTR). The results demonstrated that both the base course and surface course layers follow the anisotropic behavior and the incorporation of the temperature profile throughout the pavement has a substantial effect on the pavement response predictions that impact pavement design. The results also showed that the anisotropy level of HMA and base material can be reduced to as low as 80% and 15% as a result of repeated loading, respectively.

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Authors and Affiliations

Joonho Choi
Youngguk Seo
Sung-Hee Kim
Samuel Beadles
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Abstract

This paper presents the details of optimized mix design for normal strength and high performance concrete using particle packing method. A critical review of mix design methods have been carried out for normal strength concrete using American Concrete Institute (ACI) and Bureau of Indian Standards (BIS) methods highlighting the similarities and differences towards attaining a particular design compressive strength. Mix design for M30 and M40 grades of concrete have been carried out using ACI, BIS and particle packing methods. Optimization of concrete mix has been carried out by means of particle packing method using EMMA software, which employs modified Anderson curve to adjust the main proportions. Compressive strength is evaluated for the adjusted proportions and it is observed that the mixes designed by particle packing method estimates compressive strength closer to design compressive strength. Further, particle packing method has been employed to optimize the ingredients of high performance concrete and experiments have been carried out to check the design adequacy of the desired concrete compressive strength.

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Authors and Affiliations

S. Gopinath
A. Ramachandra Murthy
D. Ramya
Nagesh R. Iyer
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Abstract

Development of high-performance finite elements for thick, moderately thick, as well as thin shells and plates, was one of the active areas of the finite element technology for 40 years, followed by hundreds of publications. A variety of shell elements exist in the FE codes, but “the best” finite element is still to be discovered. The paper deals with an evaluation of some existing shell finite elements, from the point of view of the third of three requirements to be satisfied by theelement: ellipticity, consistency and inf-sup condition. It is difficult to prove the inf-sup condition analytically, so, a numerical verification is proposed. A set of numerical tests is considered for shell and plate problems. Two norm matrices and a selection of the stiffness matrices (bending, shear and membrane dominated) are analysed. Finite elements from various computer systems can be evaluated and compared with the use of the proposed tests.

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Authors and Affiliations

W. Gilewski
M. Sitek

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