The merit of high-frequency data in portfolio allocation

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation eigenvalues and eigenvectors evolve on different frequencies. In an extensive out-of-sample forecasting study, we show that the proposed approach yields less risky and more diversified portfolio allocations as prevailing methods employing daily data. These performance gains hold over longer horizons than previous studies have shown

Integration of time as a description parameter in risk characterisation: Application to methyl mercury

Within the food risk assessment procedure, the characterisation of the risk consists in the comparison of the dietary exposure with a health based guidance value established in a previous step. One of the identified weaknesses of this comparison is that the time is not considered in the description. The aim of this paper is to describe the dietary exposure as a dynamic process determined by the accumulation phenomenon due to successive dietary intakes and by the pharmacokinetics ruling the elimination process in between intakes. Such a process belong to the category of piecewise deterministic Markov processes, which are widely used in a large variety of applications in insurance risk or in operations research, ranging from queuing systems to inventory/storage models. The inputs of the Kinetic Dietary Exposure Model are the probability distributions governing intakes and inter-intake times, as well as the half-life of the contaminant in the human body. In this paper, an application to methyl mercury is considered, with,exponential distributions for both the intakes and the inter-intake times, fitted from the French national consumption survey INCA, and a fixed half-life of 6 weeks for the elimination process. Within this framework, the process settles to a steady-state after approximately 5 years. A "Kinetic Tolerable Intake" (KTI), derived from the "Provisional Tolerable Weekly Intake" (PTWI) of 1.6 mu g/kg bw, is set to 14.6 mu g/kg and the probability of exceeding this threshold in the long run in the French adult female population is 1.22 E-15. (c) 2007 Elsevier Inc. All rights reserved

Catalyzed KSiH3 as a reversible hydrogen storage material

International audienceSolid-state hydrogen storage through the reversible formation of metallic hydrides is a key issue for the development of hydrogen as an energy vector. Herein we report the hydrogen storage performances of the KSiH3 phase ball-milled with NbF5 as a catalyst. The kinetics of hydrogen absorption/desorption are strongly enhanced by the addition of a catalyst as revealed by the large decrease of activation energies for both the absorption and desorption reactions. No disproportionation phenomenon is observed, indicating that the reaction between KSiH3 and KSi is perfectly reversible with a hydrogen storage capacity of 4.1 wt% H-2. The thermodynamic properties of this KSi/KSiH3 equilibrium were investigated by plotting PCI curves from 90 degrees C to 130 degrees C: an enthalpy of 24.3 kJ mol(-1) H-2 and a low entropy change of 59.5 J K-1 mol(-1) H-2 are found. This low entropy variation is related to the high mobility of the H atoms in the alpha-KSiH3 phase as recently demonstrated by Quasi-Elastic Neutron Scattering (QENS) experiments