Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range

Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We propose some novel nonlinear threshold conditional autoregressive VaR (CAViar) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian approach via the link with the Skewed-Laplace distribution. We examine how a range of risk models perform during the 2008-09 financial crisis, and evaluate how the crisis affects the performance of risk models via forecasting VaR. Empirical analysis is conducted on five Asia-Pacific Economic Cooperation stock market indices and two exchange rates????. We examine violation rates, back-testing criteria, market risk charges and quantile loss function to measure the forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more efficiently than other models, which should be useful for financial practitioners.Markov chain Monte Carlo;backtesting;Value-at-Risk;CAViaR model;Skewed-Laplace distribution;intra-day range

Hadronic Parity Violation and Inelastic Electron-Deuteron Scattering

We compute contributions to the parity-violating (PV) inelastic electron-deuteron scattering asymmetry arising from hadronic PV. While hadronic PV effects can be relatively important in PV threshold electro- disintegration, we find that they are highly suppressed at quasielastic kinematics. The interpretation of the PV quasielastic asymmetry is, thus, largely unaffected by hadronic PV.Comment: 27 pages, 13 figures, uses REVTeX and BibTe

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range

Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We propose some novel nonlinear threshold conditional autoregressive VaR (CAViar) models that incorporate intra-day price ranges. Model estimation and inference are performed using the Bayesian approach via the link with the Skewed-Laplace distribution. We examine how a range of risk models perform during the 2008-09 financial crisis, and evaluate how the crisis affects the performance of risk models via forecasting VaR. Empirical analysis is conducted on five Asia-Pacific Economic Cooperation stock market indices and two exchange rates????. We examine violation rates, back-testing criteria, market risk charges and quantile loss function to measure the forecasting performance of a variety of risk models. The proposed threshold CAViaR model, incorporating range information, is shown to forecast VaR more efficiently than other models, which should be useful for financial practitioners

Deuteron Electroweak Disintegration

We study the deuteron electrodisintegration with inclusion of the neutral currents focusing on the helicity asymmetry of the exclusive cross section in coplanar geometry. We stress that a measurement of this asymmetry in the quasi elastic region is of interest for an experimental determination of the weak form factors of the nucleon, allowing one to obtain the parity violating electron neutron asymmetry. Numerically, we consider the reaction at low momentum transfer and discuss the sensitivity of the helicity asymmetry to the strangeness radius and magnetic moment. The problems coming from the finite angular acceptance of the spectrometers are also considered.Comment: 30 pages, Latex, 7 eps figures, submitted to Phys.Rev.C e-mail: [email protected] , [email protected]

Parity violating target asymmetry in electron - proton scattering

We analyze the parity-violating (PV) components of the analyzing power in elastic electron-proton scattering and discuss their sensitivity to the strange quark contributions to the proton weak form factors. We point out that the component of the analyzing power along the momentum transfer is independent of the electric weak form factor and thus compares favorably with the PV beam asymmetry for a determination of the strangeness magnetic moment. We also show that the transverse component could be used for constraining the strangeness radius. Finally, we argue that a measurement of both components could give experimental information on the strangeness axial charge.Comment: 24 pages, Latex, 5 eps figures, submitted to Phys.Rev.

Flux-noise spectra around the Kosterlitz-Thouless transition for two-dimensional superconductors

The flux-noise spectra around the Kosterlitz-Thouless transition are obtained from simulations of the two-dimensional resistively shunted junction model. In particular the dependence on the distance $d$ between the pick-up coil and the sample is investigated. The typical experimental situation corresponds to the large-$d$ limit and a simple relation valid in this limit between the complex impedance and the noise spectra is clarified. Features, which distinguish between the large- and small-$d$ limit, are identified and the possibility of observing these features in experiments is discussed.Comment: 12 pages including 8 figures, submitted to Phys. Rev.

Cosmological Imprints of Pre-Inflationary Particles

We study some of the cosmological imprints of pre-inflationary particles. We show that each such particle provides a seed for a spherically symmetric cosmic defect. The profile of this cosmic defect is fixed and its magnitude is linear in a single parameter that is determined by the mass of the pre-inflationary particle. We study the CMB and peculiar velocity imprints of this cosmic defect and suggest that it could explain some of the large scale cosmological anomalies.Comment: 31 pages, 7 figure

Time and Amplitude of Afterpulse Measured with a Large Size Photomultiplier Tube

We have studied the afterpulse of a hemispherical photomultiplier tube for an upcoming reactor neutrino experiment. The timing, the amplitude, and the rate of the afterpulse for a 10 inch photomultiplier tube were measured with a 400 MHz FADC up to 16 \ms time window after the initial signal generated by an LED light pulse. The time and amplitude correlation of the afterpulse shows several distinctive groups. We describe the dependencies of the afterpulse on the applied high voltage and the amplitude of the main light pulse. The present data could shed light upon the general mechanism of the afterpulse.Comment: 11 figure

The relative importance of electron-electron interactions compared to disorder in the two-dimensional "metallic" state

The effect of substrate bias and surface gate voltage on the low temperature resistivity of a Si-MOSFET is studied for electron concentrations where the resistivity increases with increasing temperature. This technique offers two degrees of freedom for controlling the electron concentration and the device mobility, thereby providing a means to evaluate the relative importance of electron-electron interactions and disorder in this so-called ``metallic'' regime. For temperatures well below the Fermi temperature, the data obey a scaling law where the disorder parameter ($k_{\rm{F}}l$), and not the concentration, appears explicitly. This suggests that interactions, although present, do not alter the Fermi-liquid properties of the system fundamentally. Furthermore, this experimental observation is reproduced in results of calculations based on temperature-dependent screening, in the context of Drude-Boltzmann theory.Comment: 5 pages, 6 figure

Neutron beam test of CsI crystal for dark matter search

We have studied the response of Tl-doped and Na-doped CsI crystals to nuclear recoils and $\gamma$'s below 10 keV. The response of CsI crystals to nuclear recoil was studied with mono-energetic neutrons produced by the $^3$H(p,n)$^3$He reaction. This was compared to the response to Compton electrons scattered by 662 keV $\gamma$-ray. Pulse shape discrimination between the response to these $\gamma$'s and nuclear recoils was studied, and quality factors were estimated. The quenching factors for nuclear recoils were derived for both CsI(Na) and CsI(Tl) crystals.Comment: 21pages, 14figures, submitted to NIM