Search or add a thesis

Advanced Search (Beta)
Home > Estimating and forecasting term structure on interest rate: which three-factor affine model is better?

Estimating and forecasting term structure on interest rate: which three-factor affine model is better?

Thesis Info

Author

Sadik, Fatima

Program

MS

Institute

Institute of Business Administration

Institute Type

Private

City

Karachi

Province

Sindh

Country

Pakistan

Thesis Completing Year

2019

Page

55

Subject

Economics

Language

English

Other

CallNo: 332.82

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676720933483

Asian Research Index Whatsapp Chanel
Asian Research Index Whatsapp Chanel

Join our Whatsapp Channel to get regular updates.

Similar


Estimating and forecasting the term structure of interest rate is a challenging task since various models(Vasicek, Clk, Nelson Siegel, etc.) exist and all models have their merits and demerits. For example, the Vasicek and Clk models, as opposed to the Nelson Siegel model, impose the desirable absence of arbitrage restriction; however, the Nelson Siegel model renders a better empirical fit as compared to the Clk and Vasicek models. The Arbitrage Free Nelson Siegelmodel by combining the empirical attractiveness of the original Nelson Siegel model and the no-arbitrage condition is considered better in terms of in-sample fit and forecasting performance to the original Nelson Siegel model. The study aims to compare the in-sample fit and out-sample forecasting performance of the three-factor Vasicek, Clk, and AFNS models in the state-space framework in the context of Pakistan's bond market, a scenario rarely considered in the literature. The study concludes that the 3 factor Clk model has better in-sample performance than the AFNS and Vasicek models. Moreover, the Random Walk model has better forecasting performance than all three models, but the Clk model has better out-sample results than the AFNS and Vasicek models. The Vasicek model has the poorest performance compared to all models in terms of in-sample and out-sample
Loading...
Loading...

Similar Books

Loading...

Similar Chapters

Loading...

Similar News

Loading...

Similar Articles

Loading...

Similar Article Headings

Loading...

مفتی امین الحسینی

مفتی امین الحسینی
افسوس ہے کہ گزشتہ مئی میں مجاہد جلیل مفتی امین الحسینی نے انتقال کیا، ان کی پوری زندگی جہاد مسلسل کی ایک داستان ہے، اسرائیل کے قیام کے بعد سے برابر اس کے خلاف جدوجہد میں لگے رہے، فلسطین کا مسئلہ اگرچہ ابتداء سے مسلمانوں کا مذہبی مسئلہ تھا اور انھوں نے اسی وقت سے اس کے خلاف احتجاج شروع کردیا تھا، لیکن جب تک اسرائیل نے پروبال نہ نکالے تھے اس کے عواقب و نتائج پر ان کی پوری نظر نہ تھی، مفتی صاحب کی دوربین نگاہ نے اس کو محسوس کرلیا تھا اور انھوں نے پوری دنیائے اسلام کا سفر کرکے مسلمانوں کو اس کے خطرات سے آگاہ اور اس کے مقابلے پر آمادہ کیا، اس سلسلہ میں وہ ہندوستان بھی آئے تھے، اس لئے اس مسئلہ میں جان ان ہی نے ڈالی تھی اور اس راہ میں قید و بند جلاوطنی ہر قسم کی مصیبتیں جھیلیں اور اسی جہاد پر ان کا خاتمہ ہوا۔ ایسی عظیم شخصیتیں مدتوں میں پیدا ہوتی ہیں اس لئے ان کی موت تنہا عربوں کا نہیں بلکہ پوری دنیائے اسلام کا حادثہ ہے، اﷲ تعالیٰ اس مجاہد جلیل کے مدارج بلند فرمائے۔
(شاہ معین الدین ندوی، اگست ۱۹۷۴ء)

EFFECTS OF CERVICAL MUSCLES STRENGTHENING WITH AND WITHOUT SHOULDER EXERCISES IN POST-MASTECTOMY PATIENTS WITH NECK PAIN

Background of the Study: To compare the effects of cervical muscles strengthening with and without shoulder exercises on post- mastectomy patients with neck pain. Methodology: It was a randomized clinical trial, conducted in physical therapy department of a clinical setting through Dynamometer. Sample size of 24 patients were taken. Non-probability convenience sampling technique was used. A written consent form was taken from patients meeting inclusion criteria and were randomly allocated. In one group, patients were treated with cervical Muscles strengthening with shoulder exercises. In other group, patients were treated with cervical Muscles strengthening alone. Treatment was given once a day for three weeks. Muscle strength was examined using dynamometer, Baseline data was taken before treatment on first day after inclusion in study and again on the last day after treatment. SPSS 25 was used to analyze the data. Results: Wilcoxon signed rank test was used to compare individuals within the group which showed significant results in both groups, p-value 0.000 (i.e. <0.001) for neck strength. Between groups comparison was done using Mann-Whitney U Test and it showed no significant changes for cervical extensors (p- value;0.143) , cervical side bending (right) (p-value; 0.315) and cervical side bending (left) (p-value; 0.853) strength differences, but however cervical flexors strength showed statistically significant results as p-value was 0.003. Conclusion: It was concluded that Cervical strengthening along with shoulder Rehabilitation can help improve the strength of cervical flexors. However, both the groups have equally resulted in improved cervical extensor, Side bending right and left strength.

Fluoroquinolone Resistance in Extended-Spectrum Beta-Lactamase Esbl Producing Uropathogenic E. Coli

Escherichia coli lineage ST131 predominates across various spectra of extra-intestinal infections. Distinctive resistance profile, diverse armamentarium of virulence factors and rapid global dissemination of ST131 E. coli makes it an intriguing pathogen of significant importance. However, little is known about the prevalence and various attributes of ST131 associated with urinary tract infections in Pakistan. Evolutionary dimensions of ST131 linage and corresponding molecular markers encoding drug resistance remained largely unexplored and prevalence data are extremely scarce in South Asian countries. We scrutinized prevalence and various genetic attributes of E. coli ST131 isolates involved in urinary tract infections by processing 148 randomly selected samples during August 2012 and August 2014. Phylogenetic grouping, fumC/fimH and O-typing was done by PCR based methods. Antibiotic susceptibility assays and phenotypic detection of ESBLs were carried out according to the CLSI guidelines of year 2013 and ESBL isolates were screened for the prevalence of blaCTX-M-15. Plasmid encoded qnrA, qnrB and qnrS genes were identified by DNA amplification and sequencing. Mutations in genes gyrA, gyrB, parC and parE were identified among fluoroquinolone resistant isolates. Minimum inhibitory concentrations (MICs) for ciprofloxacin and levofloxacin were determined by using broth dilution method. Phylogenetic analysis was performed by PCR using three gene classification systems (Clermont et al., 2000). Overall, 59% of the UPEC isolates belonged to phylogenetic group B2 which was followed by group D=28%, B1=8% and A=5%. Among 18 different ST-types ST131 was the most dominant lineage as 46% of the isolates belonged to ST 131 lineage. By, CH-typing 46% of the ST 131 isolates belonged to sub-group H30. Higher numbers of identified ST 131 isolates 74% were MDR and 44% showed ESBL phenotypes while 100% of the isolates carried blaCTX-M-15. Overall, resistant patterns of ST 131 isolates confirmed least resistance against tigecycline, meropenam and amikacin. Likewise, resistance against tazocine, nitrofurantoin, sulzone and minocycline remained below threshold level. For fosfomycin, (FF) and gentamicin (CN) resistance were 13% and 28% respectively. Higher resistances was noticed against all four generations of cephalosporins, (53%-78%). Higher percentages of ST 131 isolates were resistant to co-trimoxazole (85%), amoxicillin clavulanic acid 65% and fluoroquinolones 60%. Overall, minimum inhibitory concentrations of ciprofloxacin remained above 256μg/ml in ST 131 and non ST 131 isolates. In comparison to MICs of ciprofloxacin, MICs of levofloxacin in most of the isolates varied between 8μg/ml-64μg/ml. In this study, majority of the fluoroquinolone resistant UPEC ST 131 isolates carried at least two or more non-synonymous mutations in gyrA, parC and parE genes. These isolates showed higher MICs for both ciprofloxacin and levofloxacin. Conclusively, higher percentages of the ST 131 isolates showed antibiotic resistance against trimethoprimsulphamethoxazolen, cephalosporin, fluoroquinolone, and majority of these isolates were multi-drug resistant. In addition, fluoroquinolone resistant UPECs isolates shared lineage of a clonal sub-group. An allelic combination of gyrA/parC/parE genes of sub-clone O25b-ST131 H30-R was associated with higher MICs of ciprofloxacin and levofloxacin. Overall, it is the first report from Pakistan that provides details insights about susceptibility patterns and genetic attributes of pandemic MDR ST131 strains involved in UTIs.