Markov-Switching GARCH Modelling of Value-at-RisK

This paper proposes an asymmetric Markov regime-switching (MS) GARCH model to estimate value-at-risk (VaR) for both long and short positions. This model improves on existing VaR methods by taking into account both regime change and skewness or leverage effects. The performance of our MS model and single-regime models is compared through an innovative backtesting procedure using daily data for UK and US market stock indices. The findings from exceptions and regulatory-based tests indicate the MS-GARCH specifications clearly outperform other models in estimating the VaR for both long and short FTSE positions and also do quite well for S&P positions. We conclude that ignoring skewness and regime changes has the effect of imposing larger than necessary conservative capital requirements

Energy-balance climate models

An introductory survey of the global energy balance climate models is presented with an emphasis on analytical results. A sequence of increasingly complicated models involving ice cap and radiative feedback processes are solved and the solutions and parameter sensitivities are studied. The model parameterizations are examined critically in light of many current uncertainties. A simple seasonal model is used to study the effects of changes in orbital elements on the temperature field. A linear stability theorem and a complete nonlinear stability analysis for the models are developed. Analytical solutions are also obtained for the linearized models driven by stochastic forcing elements. In this context the relation between natural fluctuation statistics and climate sensitivity is stressed

An assessment and application of turbulence models for hypersonic flows

The current approach to the Accurate Computation of Complex high-speed flows is to solve the Reynolds averaged Navier-Stokes equations using finite difference methods. An integral part of this approach consists of development and applications of mathematical turbulence models which are necessary in predicting the aerothermodynamic loads on the vehicle and the performance of the propulsion plant. Computations of several high speed turbulent flows using various turbulence models are described and the models are evaluated by comparing computations with the results of experimental measurements. The cases investigated include flows over insulated and cooled flat plates with Mach numbers ranging from 2 to 8 and wall temperature ratios ranging from 0.2 to 1.0. The turbulence models investigated include zero-equation, two-equation, and Reynolds-stress transport models

Gravity evidence of very thin crust at the Gakkel Ridge (Arctic Ocean)

Gakkel Ridge, the active spreading center in the Arctic Ocean, is the slowest spreading portion of the global mid-ocean ridge system. Total spreading rates range from 0.6 cm/yr in the east where the ridge disappears beneath the Laptev shelf to 1.3 cm/yr in the west near Greenland. Bathymetry and gravity surveys of four sections of the Gakkel Ridge were carried out in 1996 by the U.S. Navy nuclear submarine USS POGY as part of SCICEX 96 in order to sample variations in seafloor morphology and gravity anomalies as a function of spreading rate. The ridge axis throughout the survey area is characterized by a continuous axial rift valley similar to that observed at other slow spreading ridges. The continuous rift axis suggests that well-organized seafloor spreading is occurring at total spreading rates of less than 1 cm/yr. In three faster spreading (1.13–1.24 cm/yr) western survey areas located between 7ºE and 54ºE, the Gakkel Ridge is deep compared with other ridge axes. Axial depths range between 4600 and 5100 m and ridge flanks at about 3200 m. The ridge flank morphology is very blocky and is characterized by large scarps and deep fault-bounded troughs. Very large amplitude free-water anomalies with peak-to-trough amplitudes of 85–150 mGal are observed centered on the axis of the Gakkel Ridge. Modeling of the free-water anomalies by varying the crustal thickness and average crustal density, including the gravity effect of the cooling of the mantle away from the axis, implies that if the average crustal density is less than 2900 kgm3, the crustal thickness must be less than 4 km. The axial rift valley at the fourth survey area, near 98ºE where the total spreading rate is 0.99 cm/yr, is buried by sediments. The axis in this region is associated with a continuous 70 mGal gravity minimum implying the presence of a large buried rift valley. The rift flanks at 95ºE are at a depth of greater than 3800 m, 600 m deeper than the average depth at the Gakkel Ridge axis west of 60ºE. Simple isostatic calculations suggest that the crust in this region may be vanishingly thin beneath the sediment cover. These observations indicate a relationship between melt production and seafloor spreading rate at very slow spreading rates, suggesting that ultra-slow spreading may suppress melt production or delivery at the Gakkel Ridge

Morphology and structure of the Lomonosov Ridge, Arctic Ocean

The Lomonosov Ridge is a band of continental crust that stretches across the Arctic Ocean and separates the Mesozoic Amerasian Basin from the Cenozoic Eurasian Basin. From about 87°N north of Greenland across the Pole to about 86°N, the Lomonosov Ridge is a single high-standing blocky ridge with minimum depths of ~ 950 - 1400 m. South of 86°N on the Siberian side, the ridge breaks up into a series of ridges spread over a width of about 200 km. In this region a high-standing blocky ridge with minimum depths of ~ 650 - 1400 m bounds the Eurasian Basin and continues to the Siberian continental margin. This ridge is continuous with the single ridge making up the Lomonosov Ridge toward North America and is the former outermost continental shelf of Eurasia bounding the Amerasian Basin. The Eurasian Basin margin of the Lomonosov Ridge consists of a series of rotated fault blocks stepping down to the basin that result from nearly orthogonal rifting to form the Eurasian Basin. No rotated fault blocks are observed on the Amerasian Basin margin of the Lomonosov Ridge. On the Amerasian Basin side, Marvin Spur, a linear ridge separated from Lomonosov Ridge by a deep basin, parallels Lomonosov Ridge on the North American side of the pole. At the bend in the Lomonosov Ridge near the North Pole, Marvin Spur continues along strike across the Makarov Basin. South of 86°N toward Siberia, a continuous outer ridge makes up the Amerasian Basin edge of the Lomonosov complex with a series of basins and ridges between it and the former Eurasian shelf. The outer ridge marks an abrupt boundary between the Lomonosov Ridge complex and the apparently oceanic crust of the Makarov Basin. The outer ridge and Marvin Spur very closely follow small circles about a pole located on the Mackenzie delta. The observed structure on the Amerasian Basin side of the Lomonosov Ridge is analogous to that observed at well-studied shear margins and supports rotational models for the development of the Amerasian Basin

Effects of intervention upon precompetition state anxiety in elite junior tennis players: The relevance of the matching hypothesis

Reproduced with permission of publisher from: Terry, P., Coakley, L., & Karageorghis, C. Effects of intervention upon precompetition state anxiety in elite junior tennis players: the relevance of the matching hypothesis. Perceptual and Motor Skills, 1995, 81, 287-296. © Perceptual and Motor Skills 1995The matching hypothesis proposes that interventions for anxiety should be matched to the modality in which anxiety is experienced. This study investigated the relevance of the matching hypothesis for anxiety interventions in tennis. Elite junior tennis players (N = 100; Age: M = 13.9 yr., SD = 1.8 yr.) completed the Competitive State Anxiety Inventory-2 before and after one of four randomly assigned intervention strategies approximately one hour prior to competition at a National Junior Championship. A two-factor multivariate analysis of variance (group x time) with repeated measures on the time factor gave no significant main effect by group but indicated significant reductions in somatic anxiety and cognitive anxiety and a significant increase in self-confidence following intervention. A significant group by time interaction emerged for self-confidence. The results question the need to match intervention strategy to the mode of anxiety experienced