Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model

In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student’s-t innovation, copula functions and extreme value theory. A Bayesian Markov-switching GJR-GARCH(1,1) model that identifies non-constant volatility over time and allows the GARCH parameters to vary over time following a Markov process, is combined with copula functions and EVT to formulate the Bayesian Markov-switching GJR-GARCH(1,1) copula-EVT VaR model, which is then used to forecast the level of risk on financial asset returns. We further propose a new method for threshold selection in EVT analysis, which we term the hybrid method. Empirical and back-testing results show that the proposed VaR models capture VaR reasonably well in periods of calm and in periods of crisis

Continuous and transparent multimodal authentication: reviewing the state of the art

Individuals, businesses and governments undertake an ever-growing range of activities online and via various Internet-enabled digital devices. Unfortunately, these activities, services, information and devices are the targets of cybercrimes. Verifying the user legitimacy to use/access a digital device or service has become of the utmost importance. Authentication is the frontline countermeasure of ensuring only the authorized user is granted access; however, it has historically suffered from a range of issues related to the security and usability of the approaches. They are also still mostly functioning at the point of entry and those performing sort of re-authentication executing it in an intrusive manner. Thus, it is apparent that a more innovative, convenient and secure user authentication solution is vital. This paper reviews the authentication methods along with the current use of authentication technologies, aiming at developing a current state-of-the-art and identifying the open problems to be tackled and available solutions to be adopted. It also investigates whether these authentication technologies have the capability to fill the gap between high security and user satisfaction. This is followed by a literature review of the existing research on continuous and transparent multimodal authentication. It concludes that providing users with adequate protection and convenience requires innovative robust authentication mechanisms to be utilized in a universal level. Ultimately, a potential federated biometric authentication solution is presented; however it needs to be developed and extensively evaluated, thus operating in a transparent, continuous and user-friendly manner

Velocity-space sensitivity of the time-of-flight neutron spectrometer at JET

The velocity-space sensitivities of fast-ion diagnostics are often described by so-called weight functions. Recently, we formulated weight functions showing the velocity-space sensitivity of the often dominant beam-target part of neutron energy spectra. These weight functions for neutron emission spectrometry (NES) are independent of the particular NES diagnostic. Here we apply these NES weight functions to the time-of-flight spectrometer TOFOR at JET. By taking the instrumental response function of TOFOR into account, we calculate time-of-flight NES weight functions that enable us to directly determine the velocity-space sensitivity of a given part of a measured time-of-flight spectrum from TOFOR

Relationship of edge localized mode burst times with divertor flux loop signal phase in JET

A phase relationship is identified between sequential edge localized modes (ELMs) occurrence times in a set of H-mode tokamak plasmas to the voltage measured in full flux azimuthal loops in the divertor region. We focus on plasmas in the Joint European Torus where a steady H-mode is sustained over several seconds, during which ELMs are observed in the Be II emission at the divertor. The ELMs analysed arise from intrinsic ELMing, in that there is no deliberate intent to control the ELMing process by external means. We use ELM timings derived from the Be II signal to perform direct time domain analysis of the full flux loop VLD2 and VLD3 signals, which provide a high cadence global measurement proportional to the voltage induced by changes in poloidal magnetic flux. Specifically, we examine how the time interval between pairs of successive ELMs is linked to the time-evolving phase of the full flux loop signals. Each ELM produces a clear early pulse in the full flux loop signals, whose peak time is used to condition our analysis. The arrival time of the following ELM, relative to this pulse, is found to fall into one of two categories: (i) prompt ELMs, which are directly paced by the initial response seen in the flux loop signals; and (ii) all other ELMs, which occur after the initial response of the full flux loop signals has decayed in amplitude. The times at which ELMs in category (ii) occur, relative to the first ELM of the pair, are clustered at times when the instantaneous phase of the full flux loop signal is close to its value at the time of the first ELM

Impact of nitrogen seeding on confinement and power load control of a high-triangularity JET ELMy H-mode plasma with a metal wall

This paper reports the impact on confinement and power load of the high-shape 2.5MA ELMy H-mode scenario at JET of a change from an all carbon plasma facing components to an all metal wall. In preparation to this change, systematic studies of power load reduction and impact on confinement as a result of fuelling in combination with nitrogen seeding were carried out in JET-C and are compared to their counterpart in JET with a metallic wall. An unexpected and significant change is reported on the decrease of the pedestal confinement but is partially recovered with the injection of nitrogen.Comment: 30 pages, 16 figure

Characteristics of Cryptosporidium Transmission in Preweaned Dairy Cattle in Henan, China▿

To estimate the prevalence and public health significance of cryptosporidiosis in preweaned calves in China, 801 fecal samples from eight farms in seven areas in Henan Province were examined for Cryptosporidium oocysts. The overall infection rate of Cryptosporidium was 21.5%, with the farm in Xinxiang having the highest prevalence (40%). No significant difference in infection rates was observed between seasons. Cryptosporidium spp. were characterized by PCR-restriction fragment length polymorphism (RFLP) analysis of the small subunit (SSU) rRNA gene and DNA sequencing of the 60-kDa glycoprotein (gp60) gene. The SSU rRNA-based PCR identified four Cryptosporidium species, including Cryptosporidium parvum (54/172), C. bovis (65/172), C. ryanae (19/172), and C. andersoni (12/172), and the occurrence of infections with mixed species (22/172). The earliest detection of C. bovis was in calves of 1 week of age, showing that the prepatent period was shorter than the previously stated 10 to 12 days. Infections with C. parvum peaked in summer, whereas C. bovis dominated in autumn and winter. There was no apparent difference in the age of cattle infected with either C. parvum or C. bovis. Sequencing analysis of the gp60 gene showed all 67 C. parvum samples belonged to subtype IIdA19G1. These findings suggested that the transmission of Cryptosporidium spp. in preweaned calves in Henan, China, appeared to be different from other areas both at genotype and subtype levels. Further molecular epidemiologic studies (including samples from both calves and humans) are needed to elucidate the transmission dynamics and public significance of C. parvum in cattle in China