Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology

Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses. Value-at-risk is a standard method of forecasting possible future losses in investments. A procedure of estimating value-at-risk using time-varying conditional Johnson SU¬ distribution is introduced and assessed with econometric models. The Johnson distribution offers the ability to model higher parameters with time-varying structure using maximum likelihood estimation techniques. Two procedures of modeling with the Johnson distribution are introduced: joint estimation of the volatility and two-step procedure where estimation of the volatility is separate from the estimation of higher parameters. The procedures were demonstrated on Philippine-foreign exchange rates and the Philippine stock exchange index. They were assessed with forecast evaluation measures with comparison to different value-at-risk methodologies. The research opens up modeling procedures where manipulation of higher parameters can be integrated in the value-at-risk methodology.Time Varying Parameters; GARCH models; Nonnormal distributions; Risk Management

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology

Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses. Value-at-risk is a standard method of forecasting possible future losses in investments. A procedure of estimating value-at-risk using time-varying conditional Johnson SU¬ distribution is introduced and assessed with econometric models. The Johnson distribution offers the ability to model higher parameters with time-varying structure using maximum likelihood estimation techniques. Two procedures of modeling with the Johnson distribution are introduced: joint estimation of the volatility and two-step procedure where estimation of the volatility is separate from the estimation of higher parameters. The procedures were demonstrated on Philippine-foreign exchange rates and the Philippine stock exchange index. They were assessed with forecast evaluation measures with comparison to different value-at-risk methodologies. The research opens up modeling procedures where manipulation of higher parameters can be integrated in the value-at-risk methodology

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology

Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses. Value-at-risk is a standard method of forecasting possible future losses in investments. A procedure of estimating value-at-risk using time-varying conditional Johnson SU¬ distribution is introduced and assessed with econometric models. The Johnson distribution offers the ability to model higher parameters with time-varying structure using maximum likelihood estimation techniques. Two procedures of modeling with the Johnson distribution are introduced: joint estimation of the volatility and two-step procedure where estimation of the volatility is separate from the estimation of higher parameters. The procedures were demonstrated on Philippine-foreign exchange rates and the Philippine stock exchange index. They were assessed with forecast evaluation measures with comparison to different value-at-risk methodologies. The research opens up modeling procedures where manipulation of higher parameters can be integrated in the value-at-risk methodology

The proton and electron radiation belts at geosynchronous orbit: Statistics and behavior during high‐speed stream‐driven storms

The outer proton radiation belt (OPRB) and outer electron radiation belt (OERB) at geosynchronous orbit are investigated using a reanalysis of the LANL CPA (Charged Particle Analyzer) 8‐satellite 2‐solar cycle energetic particle data set from 1976 to 1995. Statistics of the OPRB and the OERB are calculated, including local time and solar cycle trends. The number density of the OPRB is about 10 times higher than the OERB, but the 1 MeV proton flux is about 1000 times less than the 1 MeV electron flux because the proton energy spectrum is softer than the electron spectrum. Using a collection of 94 high‐speed stream‐driven storms in 1976–1995, the storm time evolutions of the OPRB and OERB are studied via superposed epoch analysis. The evolution of the OERB shows the familiar sequence (1) prestorm decay of density and flux, (2) early‐storm dropout of density and flux, (3) sudden recovery of density, and (4) steady storm time heating to high fluxes. The evolution of the OPRB shows a sudden enhancement of density and flux early in the storm. The absence of a proton dropout when there is an electron dropout is noted. The sudden recovery of the density of the OERB and the sudden density enhancement of the OPRB are both associated with the occurrence of a substorm during the early stage of the storm when the superdense plasma sheet produces a “strong stretching phase” of the storm. These storm time substorms are seen to inject electrons to 1 MeV and protons to beyond 1 MeV into geosynchronous orbit, directly producing a suddenly enhanced radiation belt population.Key PointsDuring high‐speed stream‐driven storms, the electron and proton radiation belts are directly enhanced by a single substormThe enhancing substorm occurs during the “strong stretching” phase of the storm caused by the superdense plasma sheetProton and electron injection to 1 MeV is seen for these strong stretching phase substormsPeer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/133567/1/jgra52702.pdfhttp://deepblue.lib.umich.edu/bitstream/2027.42/133567/2/jgra52702_am.pd

The Impact of Early Algebra: Results from a Longitudinal Intervention

In this paper, we provide evidence of the impact of early algebra (EA) over time. We document this impact in the following ways: (a) by showing the performance over time of an experimental group of 15 children on an algebra assessment, from 3rd to 5th grade; and (b) by showing how the performance on an algebra assessment of children from an experimental group differs from the performance of a group of comparison students from their same elementary school who did not receive EA instruction from 3rd to 5th grade. We compared students’ scores through comparisons of means, correspondence factorial analyses, and hierarchical analyses. Our results highlight the positive impact of an early access to algebra, indicating that this early access is associated, when we compare 3rd graders to 5th graders, with increased scores on items that involve inequalities and graphs. When comparing experimental to comparison-group students we find increased scores on items that involve variables, functional relations, intra-mathematical contexts, tables, and algebraic expressions. The study adds to a body of literature that has been arguing for EA as well as a need to thread algebra throughout the mathematics curriculum, starting in the earliest grades

Relativistic electrons in the outer-zone: An 11 year cycle, their relation to the solar wind

We examine Los Alamos energetic electron data from 1979 through the present to show long term trends in the trapped relativistic electron populations at geosynchronous-earth-orbit (GEO). Data is examined from several CPA and SOPA instruments to cover the interval from 1979 through June 1994. It is shown that the higher energy electrons fluxes (E > 300 keV) displayed a cycle of {approx}11 years. In agreement with other investigators, we also show that the relativistic electron cycle is out of phase with the sunspot cycle. We compare the occurrences of relativistic electrons and solar wind high speed streams and determine that on the time scale of 15 years the two do not correlate well. The long-term data set we provide here shows a systematic change of the electron energy spectrum during the course of the solar cycle. This information should be useful to magnetospheric scientists, model designers and space flight planners

Gamma-Ray Observations of a Giant Flare from The Magnetar SGR 1806-20

Magnetars comprise two classes of rotating neutron stars (Soft Gamma Repeaters (SGRs) and Anomalous X-ray Pulsars), whose X-ray emission is powered by an ultrastrong magnetic field, B ~ 10^15 G. Occasionally SGRs enter into active episodes producing many short X-ray bursts; extremely rarely (about once per 50 years per source), SGRs emit a giant flare, an event with total energy at least 1000 times higher than their typical bursts. Here we report that, on 2004 December 27, SGR 1806-20 emitted the brightest extra-solar transient event ever recorded, even surpassing the full moon brightness for 0.2 seconds. The total (isotropic) flare energy is 2x10^46 erg, 100 times higher than the only two previous events, making this flare a once in a century event. This colossal energy release likely occurred during a catastrophic reconfiguration of the magnetar's magnetic field. Such an event would have resembled a short, hard Gamma Ray Burst (GRB) if it had occurred within 40 Mpc, suggesting that extragalactic SGR flares may indeed form a subclass of GRBs.Comment: Submitted to Nature 2005-02-02, revised 2005-03-01. 21 pp, incl. 6 figure

Parental use of the Internet to seek health information and primary care utilisation for their child: a cross-sectional study

<p>Abstract</p> <p>Background</p> <p>Using the Internet to seek health information is becoming more common. Its consequences on health care utilisation are hardly known in the general population, in particular among children whose parents seek health information on the Internet. Our objective was to investigate the relationship between parental use of the Internet to seek health information and primary care utilisation for their child.</p> <p>Methods</p> <p>This cross-sectional survey has been carried out in a population of parents of pre-school children in France. The main outcome measure was the self-reported number of primary care consultations for the child, according to parental use of the Internet to seek health information, adjusted for the characteristics of the parents and their child respectively, and parental use of other health information sources.</p> <p>Results</p> <p>A total of 1 068 out of 2 197 questionnaires were returned (response rate of 49%). No association was found between parental use of the Internet to seek health information and the number of consultations within the last 12 months for their child. Variables related to the number of primary care consultations were characteristics of the child (age, medical conditions, homeopathic treatment), parental characteristics (occupation, income, stress level) and consultation of other health information sources (advice from pharmacist, relatives).</p> <p>Conclusion</p> <p>We did not find any relationship between parental use of the Internet to seek health information and primary care utilisation for children. The Internet seems to be used as a supplement to health services rather than as a replacement.</p