Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

Recoil Polarization Measurements for Neutral Pion Electroproduction at Q^2=1 (GeV/c)^2 Near the Delta Resonance

We measured angular distributions of differential cross section, beam analyzing power, and recoil polarization for neutral pion electroproduction at Q^2 = 1.0 (GeV/c)^2 in 10 bins of W across the Delta resonance. A total of 16 independent response functions were extracted, of which 12 were observed for the first time. Comparisons with recent model calculations show that response functions governed by real parts of interference products are determined relatively well near 1.232 GeV, but variations among models is large for response functions governed by imaginary parts and for both increases rapidly with W. We performed a nearly model-independent multipole analysis that adjusts complex multipoles with high partial waves constrained by baseline models. Parabolic fits to the W dependence of the multipole analysis around the Delta mass gives values for SMR = (-6.61 +/- 0.18)% and EMR = (-2.87 +/- 0.19)% that are distinctly larger than those from Legendre analysis of the same data. Similarly, the multipole analysis gives Re(S0+/M1+) = (+7.1 +/- 0.8)% at W=1.232 GeV, consistent with recent models, while the traditional Legendre analysis gives the opposite sign because its truncation errors are quite severe. Finally, using a unitary isobar model (UIM), we find that excitation of the Roper resonance is dominantly longitudinal with S1/2 = (0.05 +/- 0.01) GeV^(-1/2) at Q^2=1. The ReS0+ and ReE0+ multipoles favor pseudovector coupling over pseudoscalar coupling or a recently proposed mixed-coupling scheme, but the UIM does not reproduce the imaginary parts of 0+ multipoles well.Comment: 60 pages, 54 figure

Q^2 Dependence of the S_{11}(1535) Photocoupling and Evidence for a P-wave resonance in eta electroproduction

New cross sections for the reaction $ep \to e'\eta p$ are reported for total center of mass energy $W$=1.5--2.3 GeV and invariant squared momentum transfer $Q^2$=0.13--3.3 GeV$^2$. This large kinematic range allows extraction of new information about response functions, photocouplings, and $\eta N$ coupling strengths of baryon resonances. A sharp structure is seen at $W\sim$ 1.7 GeV. The shape of the differential cross section is indicative of the presence of a $P$-wave resonance that persists to high $Q^2$. Improved values are derived for the photon coupling amplitude for the $S_{11}$(1535) resonance. The new data greatly expands the $Q^2$ range covered and an interpretation of all data with a consistent parameterization is provided.Comment: 31 pages, 9 figure