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

Positron emission tomography in detection of metastatic leiomyosarcoma in a postoperative patient: a case report

In leiomyosarcoma (LMS) abnormal vaginal bleeding is the most common reported symptom in patients (56%), followed by pelvic mass (54%), and pain (22%). LMS is often hard to diagnosis on a uterine biopsy because it does not originate in the endometrium and may not invade into the cavity. Non-specific symptoms as well as difficulty in diagnosis being made by biopsy, means that many LMS tumors are often mistaken for fibroids preoperatively. To our knowledge this is the only reported case of FDG-PET being used in the postoperative evaluation of a patient with LMS and a suspicious lung mass. Our case shows there may be a place for PET scans in the post-op surveillance of LMS. This method would be ideally suited, considering the metastatic spread pattern of LMS

Coherent states, constraint classes, and area operators in the new spin-foam models

Recently, two new spin-foam models have appeared in the literature, both motivated by a desire to modify the Barrett-Crane model in such a way that the imposition of certain second class constraints, called cross-simplicity constraints, are weakened. We refer to these two models as the FKLS model, and the flipped model. Both of these models are based on a reformulation of the cross-simplicity constraints. This paper has two main parts. First, we clarify the structure of the reformulated cross-simplicity constraints and the nature of their quantum imposition in the new models. In particular we show that in the FKLS model, quantum cross-simplicity implies no restriction on states. The deeper reason for this is that, with the symplectic structure relevant for FKLS, the reformulated cross-simplicity constraints, in a certain relevant sense, are now \emph{first class}, and this causes the coherent state method of imposing the constraints, key in the FKLS model, to fail to give any restriction on states. Nevertheless, the cross-simplicity can still be seen as implemented via suppression of intertwiner degrees of freedom in the dynamical propagation. In the second part of the paper, we investigate area spectra in the models. The results of these two investigations will highlight how, in the flipped model, the Hilbert space of states, as well as the spectra of area operators exactly match those of loop quantum gravity, whereas in the FKLS (and Barrett-Crane) models, the boundary Hilbert spaces and area spectra are different.Comment: 21 pages; statements about gamma limits made more precise, and minor phrasing change

A Multivariate Analysis of United States and Global Real Estate Investment Trusts

Using daily data for the period February 2006 to July 2013 we examine the return and volatility linkages between the two main United States REIT sub-sectors and global linkages between the Americas, Europe and the Asia Pacific regions using the BEKK-GARCH and the DCC-GARCH models. We find that there is no evidence of any volatility spillovers between the US sub-sectors. By contrast, we find evidence of volatility spillovers between the Asia Pacific and the Americas, the Asia Pacific and Europe but no spillovers between the United States and Europe. Our results suggest that the REIT market is becoming increasingly globalized and that investors need to consider time varying volatility and correlations across different regions of the world when forming their optimal portfolio-allocations

A New Spin Foam Model for 4d Gravity

Starting from Plebanski formulation of gravity as a constrained BF theory we propose a new spin foam model for 4d Riemannian quantum gravity that generalises the well-known Barrett-Crane model and resolves the inherent to it ultra-locality problem. The BF formulation of 4d gravity possesses two sectors: gravitational and topological ones. The model presented here is shown to give a quantization of the gravitational sector, and is dual to the recently proposed spin foam model of Engle et al. which, we show, corresponds to the topological sector. Our methods allow us to introduce the Immirzi parameter into the framework of spin foam quantisation. We generalize some of our considerations to the Lorentzian setting and obtain a new spin foam model in that context as well.Comment: 40 pages; (v2) published versio

Response of selected plant and insect species to simulated solid rocket exhaust mixtures and to exhaust components from solid rocket fuels

The effects of solid rocket fuel (SRF) exhaust on selected plant and and insect species in the Merritt Island, Florida area was investigated in order to determine if the exhaust clouds generated by shuttle launches would adversely affect the native, plants of the Merritt Island Wildlife Refuge, the citrus production, or the beekeeping industry of the island. Conditions were simulated in greenhouse exposure chambers and field chambers constructed to model the ideal continuous stirred tank reactor. A plant exposure system was developed for dispensing and monitoring the two major chemicals in SRF exhaust, HCl and Al203, and for dispensing and monitoring SRF exhaust (controlled fuel burns). Plants native to Merritt Island, Florida were grown and used as test species. Dose-response relationships were determined for short term exposure of selected plant species to HCl, Al203, and mixtures of the two to SRF exhaust

One vertex spin-foams with the Dipole Cosmology boundary

We find all the spin-foams contributing in the first order of the vertex expansion to the transition amplitude of the Bianchi-Rovelli-Vidotto Dipole Cosmology model. Our algorithm is general and provides spin-foams of arbitrarily given, fixed: boundary and, respectively, a number of internal vertices. We use the recently introduced Operator Spin-Network Diagrams framework.Comment: 23 pages, 30 figure

On the genealogy of the Orphan Stream

We use N-body simulations to explore the origin and a plausible orbit for the Orphan Stream, one of the faintest substructures discovered so far in the outer halo of our Galaxy. We are able to reproduce its position, velocity and distance measurements by appealing to a single wrap of a double-component satellite galaxy. We find that the progenitor of the Orphan Stream could have been an object similar to today's Milky Way dwarfs, such as Carina, Draco, Leo II or Sculptor; and unlikely to be connected to Complex A or Ursa Major II. Our models suggest that such progenitors, if accreted on orbits with apocenters smaller than ~35 kpc, are likely to give rise to very low surface brightness streams, which may be hiding in the outer halo and remain largely undetected with current techniques. The systematic discovery of these ghostly substructures may well require wide field spectroscopic surveys of the Milky Way's outer stellar halo.Comment: 9 pages, 5 figures, MNRAS in press. Accepted version with minor change

The loop-quantum-gravity vertex-amplitude

Spinfoam theories are hoped to provide the dynamics of non-perturbative loop quantum gravity. But a number of their features remain elusive. The best studied one -the euclidean Barrett-Crane model- does not have the boundary state space needed for this, and there are recent indications that, consequently, it may fail to yield the correct low-energy $n$-point functions. These difficulties can be traced to the SO(4) -> SU(2) gauge fixing and the way certain second class constraints are imposed, arguably incorrectly, strongly. We present an alternative model, that can be derived as a bona fide quantization of a Regge discretization of euclidean general relativity, and where the constraints are imposed weakly. Its state space is a natural subspace of the SO(4) spin-network space and matches the SO(3) hamiltonian spin network space. The model provides a long sought SO(4)-covariant vertex amplitude for loop quantum gravity.Comment: 6page

Resistivity peak values at transition between fractional quantum Hall states

Experimental data available in the literature for peak values of the diagonal resistivity in the transitions between fractional quantum Hall states are compared with the theoretical predictions. It is found that the majority of the peak values are close to the theoretical values for two-dimensional systems with moderate mobilities.Comment: 3 pages, 1 figur