Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya
Since the 2008 financial crisis Government bond yields in US, Europe and elsewhere have been historically low and challenged term structure models that cannot rule out negative yields. This paper uses US and German Government yields to test three factor Gaussian models that do and that do not rule o...
Published in: | Annals of Glaciology |
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Format: | Article in Journal/Newspaper |
Language: | English |
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Online Access: | https://nrl.northumbria.ac.uk/id/eprint/28466/ https://doi.org/10.3189/2016AoG71A066 https://nrl.northumbria.ac.uk/id/eprint/28466/1/variability-of-air-temperature-over-a-debris-covered-glacier-in-the-nepalese-himalaya.pdf |
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ftunivnorthumb:oai:nrl.northumbria.ac.uk:28466 2023-05-15T13:29:42+02:00 Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya Steiner, Jakob Pellicciotti, Francesca 2016-03-03 text https://nrl.northumbria.ac.uk/id/eprint/28466/ https://doi.org/10.3189/2016AoG71A066 https://nrl.northumbria.ac.uk/id/eprint/28466/1/variability-of-air-temperature-over-a-debris-covered-glacier-in-the-nepalese-himalaya.pdf en eng Elsevier https://nrl.northumbria.ac.uk/id/eprint/28466/1/variability-of-air-temperature-over-a-debris-covered-glacier-in-the-nepalese-himalaya.pdf Steiner, Jakob and Pellicciotti, Francesca (2016) Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya. Annals of Glaciology, 57 (71). pp. 295-307. ISSN 0260-3055 cc_by_4_0 CC-BY F800 Physical and Terrestrial Geographical and Environmental Sciences Article PeerReviewed 2016 ftunivnorthumb https://doi.org/10.3189/2016AoG71A066 2022-09-25T06:04:42Z Since the 2008 financial crisis Government bond yields in US, Europe and elsewhere have been historically low and challenged term structure models that cannot rule out negative yields. This paper uses US and German Government yields to test three factor Gaussian models that do and that do not rule out negative yields, namely affine models, quadratic models, extensions of the Black and Black–Karasinski models. Quadratic models and a Vasicek-type model best fit observed yields when the stochastic factors driving the short rate are correlated. However the Black–Karasinski model for the US and the Black model for both US and Germany can best fit yields when interest rates are lowest, i.e. after 2008, despite the restriction of independent factors driving the short rate. A new linear-quadratic model whereby the central tendency of the short rate is a non-negative quadratic function of Gaussian factors performs particularly well for German yields. All models fit German yields better than US yields. All models fit the one year yield worse than longer term yields. Article in Journal/Newspaper Annals of Glaciology Northumbria University, Newcastle: Northumbria Research Link (NRL) Annals of Glaciology 57 71 295 307 |
institution |
Open Polar |
collection |
Northumbria University, Newcastle: Northumbria Research Link (NRL) |
op_collection_id |
ftunivnorthumb |
language |
English |
topic |
F800 Physical and Terrestrial Geographical and Environmental Sciences |
spellingShingle |
F800 Physical and Terrestrial Geographical and Environmental Sciences Steiner, Jakob Pellicciotti, Francesca Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya |
topic_facet |
F800 Physical and Terrestrial Geographical and Environmental Sciences |
description |
Since the 2008 financial crisis Government bond yields in US, Europe and elsewhere have been historically low and challenged term structure models that cannot rule out negative yields. This paper uses US and German Government yields to test three factor Gaussian models that do and that do not rule out negative yields, namely affine models, quadratic models, extensions of the Black and Black–Karasinski models. Quadratic models and a Vasicek-type model best fit observed yields when the stochastic factors driving the short rate are correlated. However the Black–Karasinski model for the US and the Black model for both US and Germany can best fit yields when interest rates are lowest, i.e. after 2008, despite the restriction of independent factors driving the short rate. A new linear-quadratic model whereby the central tendency of the short rate is a non-negative quadratic function of Gaussian factors performs particularly well for German yields. All models fit German yields better than US yields. All models fit the one year yield worse than longer term yields. |
format |
Article in Journal/Newspaper |
author |
Steiner, Jakob Pellicciotti, Francesca |
author_facet |
Steiner, Jakob Pellicciotti, Francesca |
author_sort |
Steiner, Jakob |
title |
Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya |
title_short |
Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya |
title_full |
Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya |
title_fullStr |
Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya |
title_full_unstemmed |
Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya |
title_sort |
variability of air temperature over a debris-covered glacier in the nepalese himalaya |
publisher |
Elsevier |
publishDate |
2016 |
url |
https://nrl.northumbria.ac.uk/id/eprint/28466/ https://doi.org/10.3189/2016AoG71A066 https://nrl.northumbria.ac.uk/id/eprint/28466/1/variability-of-air-temperature-over-a-debris-covered-glacier-in-the-nepalese-himalaya.pdf |
genre |
Annals of Glaciology |
genre_facet |
Annals of Glaciology |
op_relation |
https://nrl.northumbria.ac.uk/id/eprint/28466/1/variability-of-air-temperature-over-a-debris-covered-glacier-in-the-nepalese-himalaya.pdf Steiner, Jakob and Pellicciotti, Francesca (2016) Variability of air temperature over a debris-covered glacier in the Nepalese Himalaya. Annals of Glaciology, 57 (71). pp. 295-307. ISSN 0260-3055 |
op_rights |
cc_by_4_0 |
op_rightsnorm |
CC-BY |
op_doi |
https://doi.org/10.3189/2016AoG71A066 |
container_title |
Annals of Glaciology |
container_volume |
57 |
container_issue |
71 |
container_start_page |
295 |
op_container_end_page |
307 |
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1766002213032820736 |