Forecasting Value at Risk in Emerging Arab Stock Markets

The economic and political instability of most of the Arab countries may lead to the assumption that Arab stock markets are riskier and less predictable than stock markets in developed countries. Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. In this paper extreme value theory with volatility updating is used to forecast Value at Risk in three emerging Arab stock markets and the US stock market. Several forecast accuracy criteria are used to compare forecast performance in the four stock markets, including a suggested asymmetric forecast criterion. The various criteria used in this paper suggest that Arab stock markets are less risky than the US stock market.Value-at-Risk, Extreme Events, Hill Estimator, Volatility Updating.

Specification analysis in regime-switching continuous-time diffusion models for market volatility

We examine model specification in regime-switching continuous-time diffusions for modeling S&P 500 Volatility Index (VIX). Our investigation is carried out under two nonlinear diffusion frameworks, the NLDCEV and the CIRCEV frameworks, and our focus is on the nonlinearity in regime-dependent drift and diffusion terms, the switching components, and the endogeneity in regime changes. While we find strong evidence of regime-switching effects, models with a switching diffusion term capture the VIX dynamics considerably better than models with only a switching drift, confirming the presence and importance of volatility regimes. Strong evidence of nonlinear endogeneity in regime changes is also detected. Meanwhile, we find significant nonlinearity in the regime-dependent diffusion specification, suggesting that the nonlinearity in the VIX dynamics cannot be accounted for by regime-switching effects alone. Finally, we find that models based on the CIRCEV specification are significantly closer to the true data generating process of VIX than models based on the NLDCEV specification uniformly across all regime-switching specifications

Diffusion copulas: Identification and estimation

We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric diffusion (UPD). This modelling strategy yields a general class of semiparametric Markov diffusion models with parametric dynamic copulas and nonparametric marginal distributions. We provide primitive conditions for the identification of the UPD parameters together with the unknown transformations from discrete samples. Likelihood-based estimators of both parametric and nonparametric components are developed and we analyse their asymptotic properties. Kernel-based drift and diffusion estimators are also proposed and shown to be normally distributed in large samples. A simulation study investigates the finite sample performance of our estimators in the context of modelling US short-term interest rates. We also present a simple application of the proposed method for modelling the CBOE volatility index data

Analisis Kesiapan Pemerintah Desa dalam Pengelolaan Keuangan Sesuai Undang-Undang Desa

Penelitian ini bertujuan untuk menganalisis pengaruh kesiapan individual dan dukungan institusional terhadap motivasi serta pengaruh motivasi terhadap akuntabilitas pengelolaan keuangan pemerintah desa. Sampel dalam penelitian ini adalah seluruh Tim Pelaksana Desa dari 11 Pemerintah Desa yang berada di Kecamatan Poncowarno Kabupaten Kebumen Jawa Tengah yang berjumlah 101 orang. Metode pengumpulan data primer yang dipakai adalah dengan survei melalui penyebaran kuesioner. Alat analisis dalam penelitian ini menggunakan aplikasi Partial Least Square (PLS). Hasil penelitian ini menunjukkan bahwa kesiapan individu tidak memiliki pengaruh terhadap motivasi, dukungan institusional memiliki pengaruh positif terhadap motivasi, dan motivasi memiliki pengaruh positif terhadap akuntabilitas. Dengan demikian, perlu adanya dukungan institusional yang baik seperti sosialisasi mengenai isi dari UU No. 6 tahun 2014, pelatihan terkait penyelenggaraan pemerintah desa, pelatihan terkait dengan motivasi kerja, serta membangun atmosfer positif antar pimpinan–aparat desa dan antar aparat desa

Dampak Desentralisasi Fiskal terhadap Kesehatan Masyarakat (Studi di Provinsi Daerah Istimewa YOGYAKARTA)

Penelitian ini bertujuan untuk menganalisis secara empirik dampak desentralisasi fiskal terhadap tingkat kesehatan masyarakat di Provinsi Daerah Istimewa Yogyakarta. Indikator yang digunakan dalam menilai perkembangan tingkat kesehatan masyarakat adalah dengan mem-proxykan Indeks Pembangunan Manusia (IPM) dan Usia Harapan Hidup. Sampel dalam penelitian ini adalah pemerintah daerah kabupaten/kota di Provinsi Daerah Istimewa Yogyakarta. Teknik pengambilan sampel menggunakan purposive sampling dari kategori pemerintah daerah yang memiliki data dari tahun 2007 sampai 2013. Analisis penelitian ini menggunakan metode SmartPLS. Hasil penelitian ini menunjukkan bahwa desentralisasi berpengaruh negatif terhadap tingkat kesehatan masyarakat. Desentralisasi fiskal tidak berpengaruh positif terhadap usia harapan hidup. Tingkat kesehatan masyarakat berpengaruh positif terhadap usia harapan hidup

Scaling of a Fast Fourier Transform and a pseudo-spectral fluid solver up to 196608 cores

In this paper we present scaling results of a FFT library, FFTK, and a pseudospectral code, Tarang, on grid resolutions up to $8192^3$ grid using 65536 cores of Blue Gene/P and 196608 cores of Cray XC40 supercomputers. We observe that communication dominates computation, more so on the Cray XC40. The computation time scales as $T_\mathrm{comp} \sim p^{-1}$, and the communication time as $T_\mathrm{comm} \sim n^{-\gamma_2}$ with $\gamma_2$ ranging from 0.7 to 0.9 for Blue Gene/P, and from 0.43 to 0.73 for Cray XC40. FFTK, and the fluid and convection solvers of Tarang exhibit weak as well as strong scaling nearly up to 196608 cores of Cray XC40. We perform a comparative study of the performance on the Blue Gene/P and Cray XC40 clusters

Spaceflight-Associated Changes of snoRNAs in Peripheral Blood Mononuclear Cells and Plasma Exosomes—A Pilot Study

During spaceflight, astronauts are exposed to various physiological and psychological stressors that have been associated with adverse health effects. Therefore, there is an unmet need to develop novel diagnostic tools to predict early alterations in astronauts’ health. Small nucleolar RNA (snoRNA) is a type of short non-coding RNA (60–300 nucleotides) known to guide 2′-O-methylation (Nm) or pseudouridine (ψ) of ribosomal RNA (rRNA), small nuclear RNA (snRNA), or messenger RNA (mRNA). Emerging evidence suggests that dysregulated snoRNAs may be key players in regulating fundamental cellular mechanisms and in the pathogenesis of cancer, heart, and neurological disease. Therefore, we sought to determine whether the spaceflight-induced snoRNA changes in astronaut’s peripheral blood (PB) plasma extracellular vesicles (PB-EV) and peripheral blood mononuclear cells (PBMCs). Using unbiased small RNA sequencing (sRNAseq), we evaluated changes in PB-EV snoRNA content isolated from astronauts (n = 5/group) who underwent median 12-day long Shuttle missions between 1998 and 2001. Using stringent cutoff (fold change > 2 or log(2)-fold change >1, FDR < 0.05), we detected 21 down-and 9—up-regulated snoRNAs in PB-EVs 3 days after return (R + 3) compared to 10 days before launch (L-10). qPCR validation revealed that SNORA74A was significantly down-regulated at R + 3 compared to L-10. We next determined snoRNA expression levels in astronauts’ PBMCs at R + 3 and L-10 (n = 6/group). qPCR analysis further confirmed a significant increase in SNORA19 and SNORA47 in astronauts’ PBMCs at R + 3 compared to L-10. Notably, many downregulated snoRNA-guided rRNA modifications, including four Nms and five ψs. Our findings revealed that spaceflight induced changes in PB-EV and PBMCs snoRNA expression, thus suggesting snoRNAs may serve as potential novel biomarkers for monitoring astronauts’ health

Polarimetry of 16Ngs produced in mu --capture on 16O nuclei

A polarimetry technique based on stack targets and /3-'/-coincidences has been applied to the 16N nuclei produced in the ground state capture of negative muons on lb0 nuclei. The performance of the polarimeter and the first measurements of /3-asymmetry due to the longitudinal nuclear polarization are discussed