Evaluating VaR with the ARCH/GARCH Family

Abstract The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a more volatile period than that one from which the model is estimated. We estimate 1-day-ahead and 10-days-ahead Value-at-Risk on a number of exchange rates. The Value-at-Risk estimates are based on three models combined with three distributional assumptions of the innovations, and the evaluations are made with Kupiec's (1995) test for unconditional coverage. The data ranges from January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) and GJR-GARCH(1,1) with normally distributed innovations are models adequately capturing the conditional variance in the series

Elderly people who live alone and their perspective on occupational balance : An interview study.

Att åldras innebär flera förändringar i en persons liv. Nedsatt fysisk förmåga och pension kan påverka vilka aktiviteter en person utför och kapaciteten att utföra dem. Syftet med examensarbetet var att beskriva hur ensamboende i åldersgruppen 75 - 84 år uppfattar sin aktivitetsbalans. Metoden som valdes var en kvalitativ induktiv ansats. Nio deltagare rekryterades genom ett snöbollsurval i södra Sverige och data samlades in genom semistrukturerade intervjuer. Intervjuerna analyserades enligt kvalitativ innehållsanalys. Resultatet kom fram till tre huvudkategorier: Uppfattning om olika aktivitetskategorier,förändringar som påverkar aktivitetsutförandet och faktorer som påverkar aktivitetsmönstret. Dessa huvudkategorier omfattades av tio underkategorier. Resultatet visade att de flesta informanter var nöjda med sin aktivitetsbalans men hade fått anpassa vissa aktiviteter på grund av nedsatt fysisk förmåga. Det framkom även att sociala aktiviteter var de som värderades högst och samt att informanterna valde att acceptera att åldrandet innebar förändringar i aktivitetsutförandet. Slutsatsen författarna kom fram till var att sociala aktiviteter var de viktigaste aktiviteterna för att upprätthålla en tillfredställande aktivitetsbalans.The process of aging means several changes in a person's life. Decreased physical capacity and retirement can affect what kind of activities that are performed and the capacity to perform them. The purpose of this paper was to describe how people in the age-category of 75-84 experiences their occupational balance. The method chosen was a qualitative inductive approach. Nine participants were recruited through a snowball selection in southern Sweden. The data was collected through structured interviews. The interviews were analyzed through qualitative content analysis. The result found three main categories: views of different categories of activity, changes that affect performance of activity and factors that affect the activity pattern. These main categories were comprised of nine sub-categories. The result showed that most of the participants were satisfied with their occupational balance but had to adapt certain activities because of decreased physical capacity. It also emerged that social activities were the most valued and that the participants to a large degree accepted that ageing meant changes in performance of activity. The conclusion the authors came to was that social activities was the most important activity for maintaining a satisfying occupational balance

Akustisk ekoutsläckare

This Masters thesis report evaluates a method of acoustic echo cancellation in a hands-free mobile phone system. The method uses an adaptive subband filter architecture to get a faster convergence rate and adaptive FIR filters that are easy to handle. The filter bank that split the signal is employing a shorter FIR-filter than what i suggested in the literature. This has resulted in improves echo suppression and faster convergence rate. Simulations in Matlab and implementation in an DSP (Digital Signal Processor) has been performed. An echo cancellation of about 32 dB was achieved from simulations, the used signals were real signals recorded in a car. The simulations show a faster convergence rate compared to a fullband LMS-flter.Detta magistersarbet utvärderar en metod för undertryckning av den akustiska ekovägen i ett "hands-free" mobiltelefonsystem. Metoden tillämpar delbandsindelsning för att få ett adaptivt system som konvergerar snabbt samt få kortare filterlängder på de adaptiva filtren. Filterbanken som delar upp signalen använder kortare FIR-filter än vad som föreslagits i litteraturen. Detta har resulterat i en bättre undertryckning av ekot och snabbare konvergens. Simulering i Matlab och implementering i en DSP (Digital Signal Processor) har utförts. Genom att använda en undertryckning på ca 32 dB uppnåddes vid simulering med signaler inspelade i en bilkupé. Simuleringen visar även att en snabbare konvergens uppnås jämfört med då ett fullbands LMS-filter används

Evaluating VaR with the ARCH/GARCH Family

The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the model is estimated. We estimate 1-day-ahead and10-days-ahead Value-at-Risk on a number of exchange rates. The Value-at-Risk estimates arebased on three models combined with three distributional assumptions of the innovations, andthe evaluations are made with Kupiec's (1995) test for unconditional coverage. The data rangesfrom January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) andGJR-GARCH(1,1) with normally distributed innovations are models adequately capturing theconditional variance in the series

Akustisk ekoutsläckare

This Masters thesis report evaluates a method of acoustic echo cancellation in a hands-free mobile phone system. The method uses an adaptive subband filter architecture to get a faster convergence rate and adaptive FIR filters that are easy to handle. The filter bank that split the signal is employing a shorter FIR-filter than what i suggested in the literature. This has resulted in improves echo suppression and faster convergence rate. Simulations in Matlab and implementation in an DSP (Digital Signal Processor) has been performed. An echo cancellation of about 32 dB was achieved from simulations, the used signals were real signals recorded in a car. The simulations show a faster convergence rate compared to a fullband LMS-flter.Detta magistersarbet utvärderar en metod för undertryckning av den akustiska ekovägen i ett "hands-free" mobiltelefonsystem. Metoden tillämpar delbandsindelsning för att få ett adaptivt system som konvergerar snabbt samt få kortare filterlängder på de adaptiva filtren. Filterbanken som delar upp signalen använder kortare FIR-filter än vad som föreslagits i litteraturen. Detta har resulterat i en bättre undertryckning av ekot och snabbare konvergens. Simulering i Matlab och implementering i en DSP (Digital Signal Processor) har utförts. Genom att använda en undertryckning på ca 32 dB uppnåddes vid simulering med signaler inspelade i en bilkupé. Simuleringen visar även att en snabbare konvergens uppnås jämfört med då ett fullbands LMS-filter används

Evaluating VaR with the ARCH/GARCH Family

The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the model is estimated. We estimate 1-day-ahead and10-days-ahead Value-at-Risk on a number of exchange rates. The Value-at-Risk estimates arebased on three models combined with three distributional assumptions of the innovations, andthe evaluations are made with Kupiec's (1995) test for unconditional coverage. The data rangesfrom January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) andGJR-GARCH(1,1) with normally distributed innovations are models adequately capturing theconditional variance in the series

Evaluating VaR with the ARCH/GARCH Family

The aim of the thesis is to identify an appropriate model in forecasting Value-at-Risk on a morevolatile period than that one from which the model is estimated. We estimate 1-day-ahead and10-days-ahead Value-at-Risk on a number of exchange rates. The Value-at-Risk estimates arebased on three models combined with three distributional assumptions of the innovations, andthe evaluations are made with Kupiec's (1995) test for unconditional coverage. The data rangesfrom January 1st 2006 through June 30th 2011. The results suggest that the GARCH(1,1) andGJR-GARCH(1,1) with normally distributed innovations are models adequately capturing theconditional variance in the series

An Acoustic Echo Canceller Using Subband Adaptive Filters

The use of hands-free communication in cars, computer applications and video-conferencing has created a demand for high-quality acoustic echo cancellation. In these applications have the acoustic channel typically a long impulse response in the order of 100ms. Typical lengths of adaptive FIR-filters can be 500-1500 taps. In order to reduce the complexity and also improve the convergence rate have subband processing schemes been suggested. This paper presents an implementation of a delayless subband adaptive filter. The study shows a possible suppression of about 30 dB and also a more rapid convergence than a fullband LMS-filter

Mortality with paclitaxel-coated devices in peripheral artery disease

BACKGROUND The results of a recent meta-analysis aroused concern about an increased risk of death associated with the use of paclitaxel-coated angioplasty balloons and stents in lower-limb endovascular interventions for symptomatic peripheral artery disease. METHODS We conducted an unplanned interim analysis of data from a multicenter, randomized, open-label, registry-based clinical trial. At the time of the analysis, 2289 patients had been randomly assigned to treatment with drug-coated devices (the drug-coated-device group, 1149 patients) or treatment with uncoated devices (the uncoated-device group, 1140 patients). Randomization was stratified according to disease severity on the basis of whether patients had chronic limb-threatening ischemia (1480 patients) or intermittent claudication (809 patients). The single end point for this interim analysis was all-cause mortality. RESULTS No patients were lost to follow-up. Paclitaxel was used as the coating agent for all the drug-coated devices. During a mean follow-up of 2.49 years, 574 patients died, including 293 patients (25.5%) in the drug-coated-device group and 281 patients (24.6%) in the uncoated-device group (hazard ratio, 1.06; 95% confidence interval, 0.92 to 1.22). At 1 year, all-cause mortality was 10.2% (117 patients) in the drug-coated-device group and 9.9% (113 patients) in the uncoated-device group. During the entire follow-up period, there was no significant difference in the incidence of death between the treatment groups among patients with chronic limb-threatening ischemia (33.4% [249 patients] in the drug-coated-device group and 33.1% [243 patients] in the uncoated-device group) or among those with intermittent claudication (10.9% [44 patients] and 9.4% [38 patients], respectively). CONCLUSIONS In this randomized trial in which patients with peripheral artery disease received treatment with paclitaxel-coated or uncoated endovascular devices, the results of an unplanned interim analysis of all-cause mortality did not show a difference between the groups in the incidence of death during 1 to 4 years of follow-up