Change-Point Testing and Estimation for Risk Measures in Time Series

We investigate methods of change-point testing and confidence interval construction for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. A key aspect of our work is the ability to detect general multiple structural changes in the tails of time series marginal distributions. Unlike extant approaches for detecting tail structural changes using quantities such as tail index, our approach does not require parametric modeling of the tail and detects more general changes in the tail. Additionally, our methods are based on the recently introduced self-normalization technique for time series, allowing for statistical analysis without the issues of consistent standard error estimation. The theoretical foundation for our methods are functional central limit theorems, which we develop under weak assumptions. An empirical study of S&P 500 returns and US 30-Year Treasury bonds illustrates the practical use of our methods in detecting and quantifying market instability via the tails of financial time series during times of financial crisis

Constraints for Semistructured Data and XML

Integrity constraints play a fundamental role in database design. We review initial work on the expression of integrity constraints for semistructured data and XML

How Emission Certificate Allocations Distort Fossil Investments: The German Example

Despite political activities to foster a low-carbon energy transition, Germany currently sees a considerable number of new coal power plants being added to its power mix. There are several possible drivers for this "dash for coal", but it is widely accepted that windfall profits gained through free allocation of ETS certificates play an important role. Yet the quantification of allocation-related investment distortions has been limited to back-of-the envelope calculations and stylized models so far. We close this gap with a numerical model integrating both Germany's particular allocation rules and its specific power generation structure. We find that technology specific new entrant provisions have substantially increased incentives to invest in hard coal plants compared to natural gas at the time of the ETS onset. Expected windfall profits compensated more than half the total capital costs of a hard coal plant. Moreover, a shorter period of free allocations would not have turned investors' favours towards the cleaner natural gas technology because of preexisting economic advantages for coal. In contrast, full auctioning of permits or a single best available technology benchmark would have made natural gas the predominant technology of choice.Emissions trading, Allocation rules, Power markets, Investments

Gamma-ray burst early optical afterglows: implications for the initial Lorentz factor and the central engine

Early optical afterglows have been observed from GRB 990123, GRB 021004, and GRB 021211, which reveal rich emission features attributed to reverse shocks. It is expected that Swift will discover many more early afterglows. Here we investigate in a unified manner both the forward and the reverse external shock emission components, and introduce a straightforward recipe for directly constraining the initial Lorentz factor of the fireball using early optical afterglow data. The scheme is largely independent of the shock microphysics. We identify two types of combinations of the reverse and forward shock emission, and explore their parameter regimes. We also discuss a possible diagnostic for magnetized ejecta. There is evidence that the central engine of GRB 990123 is strongly magnetized.Comment: emulateapj style, 6 pages, 1 figure. Expanded version accepted for publication in ApJ Part