Search results for: Nelson-Siegel- Svensson

Authors: Sofia Ayouche, Rachid Ellaia, Rajae Aboulaich

Abstract:

Today, insurers may use the yield curve as an indicator evaluation of the profit or the performance of their portfolios; therefore, they modeled it by one class of model that has the ability to fit and forecast the future term structure of interest rates. This class of model is the Nelson-Siegel-Svensson model. Unfortunately, many authors have reported a lot of difficulties when they want to calibrate the model because the optimization problem is not convex and has multiple local optima. In this context, we implement a hybrid Particle Swarm optimization and Nelder Mead algorithm in order to minimize by least squares method, the difference between the zero-coupon curve and the NSS curve.

Keywords: Optimization, zero-coupon curve, Nelson-Siegel- Svensson, Particle Swarm Optimization, Nelder-Mead Algorithm.

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Authors: Tea Poklepović, Zdravka Aljinović, Branka Marasović

Abstract:

Due to the importance of yield curve and its estimation it is inevitable to have valid methods for yield curve forecasting in cases when there are scarce issues of securities and/or week trade on a secondary market. Therefore in this paper, after the estimation of weekly yield curves on Croatian financial market from October 2011 to August 2012 using Nelson-Siegel and Svensson models, yield curves are forecasted using Vector autoregressive model and Neural networks. In general, it can be concluded that both forecasting methods have good prediction abilities where forecasting of yield curves based on Nelson Siegel estimation model give better results in sense of lower Mean Squared Error than forecasting based on Svensson model Also, in this case Neural networks provide slightly better results. Finally, it can be concluded that most appropriate way of yield curve prediction is Neural networks using Nelson-Siegel estimation of yield curves.

Keywords: Nelson-Siegel model, Neural networks, Svensson model, Vector autoregressive model, Yield curve.

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Authors: Anders Berglund, Cornel Mihai Nicolescu, Henrik Svensson

Abstract:

Swedish truck industry is investigating the possibility for implementing the use of Compacted Graphite Iron (CGI) in their heavy duty diesel engines. Compared to the alloyed gray iron used today, CGI has superior mechanical properties but not as good machinability. Another issue that needs to be addressed when implementing CGI is the inhomogeneous microstructure when the cast component has different section thicknesses, as in cylinder blocks. Thinner sections results in finer pearlite, in the material, with higher strength. Therefore an investigation on its influence on machinability was needed. This paper focuses on the effect that interlamellar distance in pearlite has on CGI machinability and material physical properties. The effect of pearlite content and nodularity is also examined. The results showed that interlamellar distance in pearlite did not have as large effect on the material physical properties or machinability as pearlite content. The paper also shows the difficulties of obtaining a homogeneous microstructure in inhomogeneous workpieces.

Keywords: Compacted graphite iron (CGI), machinability, microstructure, milling, interlamellar distance in pearlite.

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Authors: Kerstin Grunden, Ann Svensson, Berit Forsman, Christina Karlsson, Ayman Obeid

Abstract:

The research question of the article is to explore whether the dialogue meetings method could be relevant for reflective learning among researchers and practitioners when welfare technology should be implemented in municipalities, or not. A testbed was planned to be implemented in a retirement home in a Swedish municipality, and the practitioners worked with a pre-study of that testbed. In the article, the dialogue between the researchers and the practitioners in the dialogue meetings is described and analyzed. The potential of dialogue meetings as an arena for learning and reflection among researchers and practitioners is discussed. The research methodology approach is participatory action research with mixed methods (dialogue meetings, focus groups, participant observations). The main findings from the dialogue meetings were that the researchers learned more about the use of traditional research methods, and the practitioners learned more about how they could improve their use of the methods to facilitate change processes in their organization. These findings have the potential both for the researchers and the practitioners to result in more relevant use of research methods in change processes in organizations. It is concluded that dialogue meetings could be relevant for reflective learning among researchers and practitioners when welfare technology should be implemented in a health care organization.

Keywords: Dialogue meetings, implementation, reflection, test bed, welfare technology, participatory action research.

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