Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests

We propose independence and conditional coverage tests which are aimed at evaluating the accuracy of Value-at-Risk (VaR) forecasts from the same model at different confidence levels. The proposed procedures are multilevel tests, i.e., joint tests of several quantiles corresponding to different confidence levels. In a comprehensive Monte Carlo exercise, we document the superiority of the proposed tests with respect to existing multilevel tests. In an empirical application, we illustrate the implementation of the tests using several VaR models and daily data for 15 MSCI world indices

High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers

We propose to adopt high-frequency DCC-MIDAS models to estimate high- and low-frequency correlations in the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, and Spain relative to Germany, from June 1, 2007 to May 31, 2012. The high-frequency component, reflecting financial market conditions, is evaluated at 15-minute frequency, while the low-frequency component, fixed through a month, depends on country-specific macroeconomic conditions. We find strong links between spreads volatility and worsening macroeconomic fundamentals; in presence of similar macroeconomic fundamentals relative spreads move together; the increasing correlation in spreads during the burst of the sovereign debt crisis cannot be entirely ascribed to macroeconomic factors but rather to changes in market liquidity

Methods for reduced cost and lower sample prep volumes for genetic analysis applications

As the cost of NGS has decreased, the library preparation cost has become a larger portion of the total expenditure. This is especially true for high-throughput applications, such as single-cell analysis. Therefore, there is a need to develop methods that can not only study the transcriptomes of single cells, but can also feasibly analyze large numbers of single cells. Miniaturizing the sample preparation volume provides the opportunity for significant cost savings. Using TTP Labtech’s mosquito liquid handlers, reagent and sample quantities can be scaled down to picogram values

EVOG: a database for evolutionary analysis of overlapping genes

Overlapping genes are defined as a pair of genes whose transcripts are overlapped. Recently, many cases of overlapped genes have been investigated in various eukaryotic organisms; however, their origin and transcriptional control mechanism has not yet been clearly determined. In this study, we implemented evolutionary visualizer for overlapping genes (EVOG), a Web-based DB with a novel visualization interface, to investigate the evolutionary relationship between overlapping genes. Using this technique, we collected and analyzed all overlapping genes in human, chimpanzee, orangutan, marmoset, rhesus, cow, dog, mouse, rat, chicken, Xenopus, zebrafish and Drosophila. This integrated database provides a manually curated database that displays the evolutionary features of overlapping genes. The EVOG DB components included a number of overlapping genes (10‱074 in human, 10 ‱009 in chimpanzee, 67 ‱039 in orangutan, 51 001 in marmoset, 219 in rhesus, 3627 in cow, 209 in dog, 10 ‱700 in mouse, 7987 in rat, 1439 in chicken, 597 in Xenopus, 2457 in zebrafish and 4115 in Drosophila). The EVOG database is very effective and easy to use for the analysis of the evolutionary process of overlapping genes when comparing different species. Therefore, EVOG could potentially be used as the main tool to investigate the evolution of the human genome in relation to disease by comparing the expression profiles of overlapping genes. EVOG is available at http://neobio.cs.pusan.ac.kr/evog/

Search for anomalies in the {\nu}e appearance from a {\nu}{\mu} beam

We report an updated result from the ICARUS experiment on the search for {\nu}{\mu} ->{\nu}e anomalies with the CNGS beam, produced at CERN with an average energy of 20 GeV and travelling 730 km to the Gran Sasso Laboratory. The present analysis is based on a total sample of 1995 events of CNGS neutrino interactions, which corresponds to an almost doubled sample with respect to the previously published result. Four clear {\nu}e events have been visually identified over the full sample, compared with an expectation of 6.4 +- 0.9 events from conventional sources. The result is compatible with the absence of additional anomalous contributions. At 90% and 99% confidence levels the limits to possible oscillated events are 3.7 and 8.3 respectively. The corresponding limit to oscillation probability becomes consequently 3.4 x 10-3 and 7.6 x 10-3 respectively. The present result confirms, with an improved sensitivity, the early result already published by the ICARUS collaboration

Demonstration and Comparison of Operation of Photomultiplier Tubes at Liquid Argon Temperature

Liquified noble gases are widely used as a target in direct Dark Matter searches. Signals from scintillation in the liquid, following energy deposition from the recoil nuclei scattered by Dark Matter particles (e.g. WIMPs), should be recorded down to very low energies by photosensors suitably designed to operate at cryogenic temperatures. Liquid Argon based detectors for Dark Matter searches currently implement photo multiplier tubes for signal read-out. In the last few years PMTs with photocathodes operating down to liquid Argon temperatures (87 K) have been specially developed with increasing Quantum Efficiency characteristics. The most recent of these, Hamamatsu Photonics Mod. R11065 with peak QE up to about 35%, has been extensively tested within the R&D program of the WArP Collaboration. During these testes the Hamamatsu PMTs showed superb performance and allowed obtaining a light yield around 7 phel/keVee in a Liquid Argon detector with a photocathodic coverage in the 12% range, sufficient for detection of events down to few keVee of energy deposition. This shows that this new type of PMT is suited for experimental applications, in particular for new direct Dark Matter searches with LAr-based experiments

The flaring blazars of the first 1.5 years of the AGILE mission

We report the AGILE gamma-ray observations and the results of the multiwavelength campaigns on seven flaring blazars detected by the mission: During two multiwavelength campaigns, we observed gamma-ray activity from two Flat Spectrum Radio Quasars of the Virgo region, e.g. 3C 279 and 3C 273 (the latter being the first extragalactic source simultaneously observed with the gamma-ray telescope and the hard X ray imager of the mission). Due to the large FOV of the AGILE/GRID instrument, we achieved an almost continuous coverage of the FSRQ 3C 454.3. The source showed flux above 10E-6 photons/cm2/s (E > 100 MeV) and showed day by day variability during all the AGILE observing periods. In the EGRET era, the source was found in high gamma-ray activity only once. An other blazar, PKS 1510-089 was frequently found in high gamma-ray activity. S5 0716+71, an intermediate BL Lac object, exhibited a very high gamma-ray activity and fast gamma-ray variability during a period of intense optical activity. We observed high gamma-ray activity from W Comae, a BL Lac object, and Mrk 421, an high energy peaked BL Lac object. For this source, a multiwavelength campaign from optical to TeV has been performed

Assessing phylogenetic motif models for predicting transcription factor binding sites

Motivation: A variety of algorithms have been developed to predict transcription factor binding sites (TFBSs) within the genome by exploiting the evolutionary information implicit in multiple alignments of the genomes of related species. One such approach uses an extension of the standard position-specific motif model that incorporates phylogenetic information via a phylogenetic tree and a model of evolution. However, these phylogenetic motif models (PMMs) have never been rigorously benchmarked in order to determine whether they lead to better prediction of TFBSs than obtained using simple position weight matrix scanning

Detection of Gamma-ray Emission from the Eta-Carinae Region

We present the results of extensive observations by the gamma-ray AGILE satellite of the Galactic region hosting the Carina nebula and the remarkable colliding wind binary Eta Carinae (Eta Car) during the period 2007 July to 2009 January. We detect a gamma-ray source (1AGL J1043-5931) consistent with the position of Eta Car. If 1AGL J1043-5931 is associated with the Eta Car system our data provide the long sought first detection above 100 MeV of a colliding wind binary. The average gamma-ray flux above 100 MeV and integrated over the pre-periastron period 2007 July to 2008 October is F = (37 +/- 5) x 10-8 ph cm-2 s-1 corresponding to an average gamma-ray luminosity of L = 3.4 x 10^34 erg s-1 for a distance of 2.3 kpc. We also report a 2-day gamma-ray flaring episode of 1AGL J1043-5931 on 2008 Oct. 11-13 possibly related to a transient acceleration and radiation episode of the strongly variable shock in the system.Comment: 5 pages, 4 figure, accepted for publication in ApJ Letter