High volatility, thick tails and extreme value theory in value-at-risk estimation

In this paper, the performance of the extreme value theory in value-at-risk calculations is compared to the performances of other well-known modeling techniques, such as GARCH, variance-covariance (Var-Cov) method and historical simulation in a volatile stock market. The models studied can be classified into two groups. The first group consists of GARCH(1, 1) and GARCH(1, 1)- t models which yield highly volatile quantile forecasts. The other group, consisting of historical simulation, Var-Cov approach, adaptive generalized Pareto distribution (GPD) and nonadaptive GPD models, leads to more stable quantile forecasts. The quantile forecasts of GARCH(1, 1) models are excessively volatile relative to the GPD quantile forecasts. This makes the GPD model be a robust quantile forecasting tool which is practical to implement and regulate for VaR measurements. © 2003 Elsevier B.V. All rights reserved

Scaling Analysis on Indian Foreign Exchange Market

In this paper we investigate the scaling behavior of the average daily exchange rate returns of the Indian Rupee against four foreign currencies namely US Dollar, Euro, Great Britain Pound and Japanese Yen. Average daily exchange rate return of the Indian Rupee against US Dollar is found to exhibit a persistent scaling behavior and follow Levy stable distribution. On the contrary the average daily exchange rate returns of the other three foreign currencies do not show persistency or antipersistency and follow Gaussian distribution.Comment: Revised Final Version. In Press Physica

Exploring exchange rate returns at different time horizons

The performance of the well-known stochastic processes used for the empirical distribution of the exchange rate returns at different time scales was discussed. The parameters of the candidate processes at different time scales were estimated and proceed with simulating the empirical distributions of exchange rate returns from selected candidate processes. Results showed that the empirical distribution of returns behaves differently at different frequencies

Assessing the performance of analytical methods for propolis – A collaborative trial by the international honey commission

Propolis is a resinous beehive product with extraordinary bioactivity and chemical richness, linked with the botanical sources of the resin. The potential of this product keeps captivating the scientific community, conducting to continuous and growing research on plant sources, composition, or applications in agriculture, cosmetics, pharmacy, odontology, etc. In all cases, the quality assessment is a requirement and relies on methods to extract the bioactive substances from the raw propolis and quantify different components. Unfortunately, besides the absence of international quality requirements, there is also a lack of standardized analytical procedures, despite the presence of several methodologies with unknown reliability, often not comparable. To overcome the current status, the International Honey Commission established an inter-laboratory study, with propolis samples from around the globe, to harmonize analytical methods and evaluate their accuracy. A common set of protocols was matched between twelve laboratories from nine countries, for quantification of ash, wax, and balsamic content in raw propolis, and spectrophotometric evaluation of total phenolics, flavone/flavonol, and flavanone/ dihydroflavonol in the extract. A total of 3428 results (97% valid data), were used to assess the methods’ accuracy following ISO-5725 guidelines. The within-laboratory precision, revealed good agreement levels for the majority of the methods, with relative variance below 5%. As expected, the between-laboratory variance increased, but, with exception of the flavanone method that revealed a clear lack of consistency, all the others maintained acceptable variability levels, below 30%. Because the performance of ultrasounds procedures was low, they cannot be recommended until further improvements are made.The authors are grateful to the Foundation for Science and Technology (FCT, Portugal) for financial support by national funds FCT/MCTES to CIMO (UIDB/00690/2020). Thanks to the Programa Apíıcola Nacional 2020-2022 (National Beekeeping Program) for funding the project "Standardization of production procedures and quality parameters of bee products" and to Project PDR2020-1.0.1- FEADER-031734: “DivInA-Diversification and Innovation on Beekeeping Production”. National funding by FCT – Foundation for Science and Technology, through the institutional scientific employment program-contract with Soraia I. Falcão. A special thanks is given to Hartmut Scheiter and Allwex Food Trading GmbH, Bremen, Germany, for providing, handling and delivering the propolis blind samples.info:eu-repo/semantics/publishedVersio

Of the importance of a leaf: the ethnobotany of sarma in Turkey and the Balkans

BACKGROUND: Sarma - cooked leaves rolled around a filling made from rice and/or minced meat, possibly vegetables and seasoning plants - represents one of the most widespread feasting dishes of the Middle Eastern and South-Eastern European cuisines. Although cabbage and grape vine sarma is well-known worldwide, the use of alternative plant leaves remains largely unexplored. The aim of this research was to document all of the botanical taxa whose leaves are used for preparing sarma in the folk cuisines of Turkey and the Balkans. Methods: Field studies were conducted during broader ethnobotanical surveys, as well as during ad-hoc investigations between the years 2011 and 2014 that included diverse rural communities in Croatia, Bosnia and Herzegovina, Serbia, Kosovo, Albania, Macedonia, Bulgaria, Romania, and Turkey. Primary ethnobotanical and folkloric literatures in each country were also considered. Results: Eighty-seven botanical taxa, mainly wild, belonging to 50 genera and 27 families, were found to represent the bio-cultural heritage of sarma in Turkey and the Balkans. The greatest plant biodiversity in sarma was found in Turkey and, to less extent, in Bulgaria and Romania. The most commonly used leaves for preparing sarma were those of cabbage (both fresh and lacto-fermented), grape vine, beet, dock, sorrel, horseradish, lime tree, bean, and spinach. In a few cases, the leaves of endemic species (Centaurea haradjianii, Rumex gracilescens, and R. olympicus in Turkey) were recorded. Other uncommon sarma preparations were based on lightly toxic taxa, such as potato leaves in NE Albania, leaves of Arum, Convolvulus, and Smilax species in Turkey, of Phytolacca americana in Macedonia, and of Tussilago farfara in diverse countries. Moreover, the use of leaves of the introduced species Reynoutria japonica in Romania, Colocasia esculenta in Turkey, and Phytolacca americana in Macedonia shows the dynamic nature of folk cuisines. Conclusion: The rich ethnobotanical diversity of sarma confirms the urgent need to record folk culinary plant knowledge. The results presented here can be implemented into initiatives aimed at re-evaluating folk cuisines and niche food markets based on local neglected ingredients, and possibly also to foster trajectories of the avant-garde cuisines inspired by ethnobotanical knowledge

Complex-valued wavelet lifting and applications

Signals with irregular sampling structures arise naturally in many fields. In applications such as spectral decomposition and nonparametric regression, classical methods often assume a regular sampling pattern, thus cannot be applied without prior data processing. This work proposes new complex-valued analysis techniques based on the wavelet lifting scheme that removes ‘one coefficient at a time’. Our proposed lifting transform can be applied directly to irregularly sampled data and is able to adapt to the signal(s)’ characteristics. As our new lifting scheme produces complex-valued wavelet coefficients, it provides an alternative to the Fourier transform for irregular designs, allowing phase or directional information to be represented. We discuss applications in bivariate time series analysis, where the complex-valued lifting construction allows for coherence and phase quantification. We also demonstrate the potential of this flexible methodology over real-valued analysis in the nonparametric regression context