Comparing univariate and multivariate models to forecast portfolio value-at-risk

This article addresses the problem of forecasting portfolio value-at-risk (VaR) with multivariate GARCH models vis-à-vis univariate models. Existing literature has tried to answer this question by analyzing only small portfolios and using a testing framework not appropriate for ranking VaR models. In this work we provide a more comprehensive look at the problem of portfolio VaR forecasting by using more appropriate statistical tests of comparative predictive ability. Moreover, we compare univariate vs. multivariate VaR models in the context of diversified portfolios containing a large number of assets and also provide evidence based on Monte Carlo experiments. We conclude that, if the sample size is moderately large, multivariate models outperform univariate counterparts on an out-of-sample basis.Market risk, Backtesting, Conditional predictive ability, GARCH, Volatility, Capital requirements, Basel II

Stability and decay of Bloch oscillations in presence of time-dependent nonlinearity

We consider Bloch oscillations of Bose-Einstein condensates in presence of a time-modulated s-wave scattering length. Generically, interaction leads to dephasing and decay of the wave packet. Based on a cyclic-time argument, we find---additionally to the linear Bloch oscillation and a rigid soliton solution---an infinite family of modulations that lead to a periodic time evolution of the wave packet. In order to quantitatively describe the dynamics of Bloch oscillations in presence of time-modulated interactions, we employ two complementary methods: collective-coordinates and the linear stability analysis of an extended wave packet. We provide instructive examples and address the question of robustness against external perturbations.Comment: 15 pages, 8 figures. Slightly amended final versio

Evolution of the Great Tehuelche Paleolake in the Torres del Paine National Park of Chilean Patagonia during the Last Glacial Maximum and Holocene

Indexación: Web of Science; ScieloRESUMEN. Una serie de morrenas glaciares se distribuyen desde el margen oriental de la cuenca de drenaje Torres del Paine a cerca del actual margen de los Campos de Hielo Patagónico, junto con una serie de terrazas lacustres regional continuos relacionados con las fluctuaciones glaciales. La geomorfología, apoyada por la evidencia de sedimentos del lago, indica la existencia de un único paleolago proglacial en esta zona, aquí denominado el Gran Tehuelche paleolago. Este concepto ayuda a aclarar la cronología de eventos glaciales y conduce a una mejor comprensión de la evolución del sistema hidrológico de la zona de Torres del Paine. Avances glaciales referidos anteriormente como ocurrieron A, B y C durante el Último Máximo Glacial y alimentados con la Gran Tehuelche paleolago con agua de deshielo, que le permite alcanzar su máxima extensión. El descubrimiento de trombolitos en Laguna Amarga sugiere que el drenaje de la paleolago hacia el fiordo de Última Esperanza tuvo lugar en 7113 Cal. años AP, después de la fusión de una barrera de hielo que existía durante el avance glacial antes. Esto dio lugar al desarrollo de un sistema hidrológico fluvio-lacustre complejo que persiste hasta nuestros días. Palabras clave: Patagonia, último máximo glacial, Younger Dryas, trombolitos. RESUMEN. Un grupo de morrenas glaciales estan Distribuidas desde el margen Este de la cuenca de drenaje de Torres del Paine Hacia el margen real de los Campos de Hielo Patagónicos. Las morrenas se observan en conjunto con las Naciones Unidas Grupo de terrazas Lacustres Regionales, las Cuales estan vinculadas y una las fluctuaciones glaciales. La geomorfología y Evidencias de sedimentos Lacustres indicano la existence De unico ONU lago proglacial, referido En Este Estudio de Como Gran Paleolago Tehuelche. Este Concepto ayuda a clarificar la cronología de los eventos glaciales y permite Una mejor Comprensión de la Evolución del Sistema hidrológico del sector de Torres del Paine. Los eventos glaciales, previamente Referidos Como Avance A, B y C, ocurrieron Durante el Último Máximo Glacial y alimentaron con Aguas de fusión al Gran Paleolago Tehuelche, permitiéndole Alcanzar su alcalde extensión. El Descubrimiento de trombolitos en Laguna Amarga sugiere Que El desagüe del paleolago Ocurrió Hace 7.113 Cal. Por años AP el Seno de Última Esperanza, producto de la fusión De Una barrera glaciar existente Durante los Avances glaciales Anteriores. LUEGO del drenaje sí Desarrollo en Un complejo Sistema hidrológico Que Persiste Hasta el presente. Palabras clave: Patagonia, Último Máximo Glacial, Dryas Temprano, Trombolitos.http://ref.scielo.org/wgc2q

Disease Localization in Multilayer Networks

We present a continuous formulation of epidemic spreading on multilayer networks using a tensorial representation, extending the models of monoplex networks to this context. We derive analytical expressions for the epidemic threshold of the SIS and SIR dynamics, as well as upper and lower bounds for the disease prevalence in the steady state for the SIS scenario. Using the quasi-stationary state method we numerically show the existence of disease localization and the emergence of two or more susceptibility peaks, which are characterized analytically and numerically through the inverse participation ratio. Furthermore, when mapping the critical dynamics to an eigenvalue problem, we observe a characteristic transition in the eigenvalue spectra of the supra-contact tensor as a function of the ratio of two spreading rates: if the rate at which the disease spreads within a layer is comparable to the spreading rate across layers, the individual spectra of each layer merge with the coupling between layers. Finally, we verified the barrier effect, i.e., for three-layer configuration, when the layer with the largest eigenvalue is located at the center of the line, it can effectively act as a barrier to the disease. The formalism introduced here provides a unifying mathematical approach to disease contagion in multiplex systems opening new possibilities for the study of spreading processes.Comment: Revised version. 25 pages and 18 figure

Fit to the Bjorken, Ellis-Jaffe and Gross-Llewellyn-Smith sum rules in a renormalon based approach

We study the large order behaviour in perturbation theory of the Bjorken, Ellis-Jaffe and Gross-Llewellyn-Smith sum rules. In particular, we consider their first infrared renormalons, for which we obtain their analytic structure with logarithmic accuracy and also an approximate determination of their normalization constant. Estimates of higher order terms of the perturbative series are given. The Renormalon subtracted scheme is worked out for these observables and compared with experimental data. Overall, good agreement with experiment is found. This allows us to obtain {\hat a}_0 and some higher-twist non-perturbative constants from experiment: {\hat a}_0=0.141\pm 0.089; f_{3,RS}(1 GeV)=-0.124^{+0.137}_{-0.142} GeV^2.Comment: 23 pages, 18 figures, one reference added, journal versio

Supersymmetry on Jacobstahl lattices

It is shown that the construction of Yang and Fendley (2004 {\it J. Phys. A: Math.Gen. {\bf 37}} 8937) to obtainsupersymmetric systems, leads not to the open XXZ chain with anisotropy $\Delta =-{1/2}$ but to systems having dimensions given by Jacobstahl sequences.For each system the ground state is unique. The continuum limit of the spectra of the Jacobstahl systems coincide, up to degeneracies, with that of the $U_q(sl(2))$ invariant XXZ chain for $q=\exp(i\pi/3)$. The relation between the Jacobstahl systems and the open XXZ chain is explained.Comment: 6 pages, 0 figure

Inversion of perturbation series

We investigate the inversion of perturbation series and its resummation, and prove that it is related to a recently developed parametric perturbation theory. Results for some illustrative examples show that in some cases series reversion may improve the accuracy of the results

Metallicity in the Galactic Center: The Arches cluster

We present a quantitative spectral analysis of five very massive stars in the Arches cluster, located near the Galactic center, to determine stellar parameters, stellar wind properties and, most importantly, metallicity content. The analysis uses a new technique, presented here for the first time, and uses line-blanketed NLTE wind/atmosphere models fit to high-resolution near-infrared spectra of late-type nitrogen-rich Wolf-Rayet stars and OfI+ stars in the cluster. It relies on the fact that massive stars reach a maximum nitrogen abundance that is related to initial metallicity when they are in the WNL phase. We determine the present-day nitrogen abundance of the WNL stars in the Arches cluster to be 1.6% (mass fraction) and constrain the stellar metallicity in the cluster to be solar. This result is invariant to assumptions about the mass-luminosity relationship, the mass-loss rates, and rotation speeds. In addition, from this analysis, we find the age of the Arches cluster to be 2-2.5Myr, assuming coeval formation

The Double-Lined Spectrum of LBV 1806-20

Despite much theoretical and observational progress, there is no known firm upper limit to the masses of stars. Our understanding of the interplay between the immense radiation pressure produced by massive stars in formation and the opacity of infalling material is subject to theoretical uncertainties, and many observational claims of ``the most massive star'' have failed the singularity test. LBV 1806-20 is a particularly luminous object, L~10^6 Lsun, for which some have claimed very high mass estimates (M_initial>200 Msun), based, in part, on its similarity to the Pistol Star. We present high-resolution near-infrared spectroscopy of LBV 1806-20, showing that it is possibly a binary system with components separated in velocity by ~70 kms. If correct, then this system is not the most massive star known, yet it is a massive binary system. We argue that a binary, or merged, system is more consistent with the ages of nearby stars in the LBV 1806-20 cluster. In addition, we find that the velocity of V_LSR=36 kms is consistent with a distance of 11.8 kpc, a luminosity of 10^6.3 Lsun, and a system mass of ~130 Msun.Comment: ApJL, accepte