Modelling daily value-at-risk using realized volatility and arch type models

In this paper we show how to compute a daily VaR measure for two stock indexes (CAC40 and SP500) using the one-day-ahead forecast of the daily realized volatility. The daily re-alized volatility is equal to the sum of the squared intraday returns over a given day and thus uses intraday information to define an aggregated daily volatility measure. While the VaR specification based on an ARFIMAX(0,d,1)-skewed Student model for the daily realized volatility provides adequate one-day-ahead VaR forecasts, it does not really improve on the performance of a VaR model based on the skewed Student APARCH model and estimated using daily data. Thus, for the two financial assets considered in an univariate framework, both methods seem to be equivalent. This paper also shows that daily returns standardized by the square root of the one-day-ahead forecast of the daily realized volatility are not normally distributed.mathematical economics;

Consistent ranking of multivariate volatility models

A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out-of-sample conditional variance matrices. We investigate how sensitive the ranking is to alternative statistical loss functions which evaluate the distance between the true covariance matrix and its forecast. The evaluation of multivariate volatility models requires the use of a proxy for the unobservable volatility matrix which may shift the ranking of the models. Therefore, to preserve this ranking conditions with respect to the choice of the loss function have to be discussed. To do this, we extend the conditions defined in Hansen and Lunde (2006) to the multivariate framework. By invoking norm equivalence we are able to extend the class of loss functions that preserve the true ranking. In a simulation study, we sample data from a continuous time multivariate diffusion process to illustrate the sensitivity of the ranking to different choices of the loss functions and to the quality of the proxy. An application to three foreign exchange rates, where we compare the forecasting performance of 16 multivariate GARCH specifications, is provided.volatility, multivariate GARCH, matrix norm and loss function, norm equivalence

Total Opacity of Local Group Galaxies and Large Scale Structure behind the Galactic Bulge

Recently, we have developed and calibrated the Synthetic Field Method to derive total extinction through disk galaxies. The method is based on the number counts and colors of distant background field galaxies that can be seen through the foreground object. Here, we investigate how large (10-m) and very large (20 to 30-m), diffraction-limited, optical and infrared telescopes in space would improve the detection of background galaxies behind Local Group objects, including the Galactic bulge. We find that, besides and perhaps more important than telescope size, a well-behaved, well-characterized PSF would facilitate in general the detection of faint objects in crowded fields, and greatly benefit several other important research areas, like the search for extrasolar planets, the study of quasar hosts and, most relevant for this meeting, the surveying of nearby large scale structure in the Zone of Avoidance, in particular behind the Galactic bulge.Comment: 9 pages, 4 figures, 1 table, uses asp2004.sty. To appear in ``Nearby Large-Scale Structures and the Zone of Avoidance,'' eds. A.P. Fairall, P. Woudt, ASP Conf. Series, in press, San Francisco: Astronomical Society of the Pacifi

Aloe and its Effects on Cancer: A Narrative Literature Review

Many years ago, Aloe Vera was cited to have a lot of therapeutic properties including; anti-microbial, anti-viral, anti-cancer, anti-oxidant, anti-inflammatory, skin protection, wound healing, and regulation of blood glucose and cholesterol. However, Aloe could present some side effects. This review focused on the latest discoveries regarding the therapeutic role of Aloe plant or its compounds on the acquired biological capabilities for tumour growth and progression namely; evading growth suppressor, avoiding immune destruction, enabling replicative immortality, tumour promoting inflammation, activating invasion and metastasis, inducing angiogenesis, genome instability and mutation, resisting cell death, deregulating cellular energetics and sustaining proliferating signalling. It clarified the anti-cancer activities it exerts on different types of cancer and also highlighted some pro-oncogenic pathways that can be disrupted by different compounds of Aloe

Investors' striking migration from growth to value investing over their life cycle

Investors’ striking migration from growth to value investing over their life cycle It happens as they depend less on work, their balance sheets strengthen and their horizons shorten, write Sebastien Betermier, Laurent E. Calvet and Paolo Sodin

Les services secrets gaullistes à l'épreuve de la politique (1940-1947)

Les circonstances militaires et politiques exceptionnelles crées par la Seconde guerre mondiale ont profondément modifié les conditions dans lesquelles les services de renseignement militaire agissaient auparavant. La stricte séparation entre le militaire et le politique sous la troisième République a ainsi été entièrement remise en cause. Cette étude a pour objet d'analyser les raisons de cette révolution qui voit les services de renseignement militaire sortir du « pré carré » militaire. A Londres puis à Alger, se jouent entre la Résistance intérieure et l'entourage du général de Gaulle, les principales étapes de conflits présidant à la naissance du SDECE. Rattachés à la présidence du Conseil à partir de 1945, les services sont désormais l'enjeu de luttes politiques très vives, dans les assemblées politiques et dans la presse du nouveau régime. L'affaire Passy qui surgit en 1946 est un exemple caractéristique des nouveaux équilibres politiques et médiatiques auxquels sont désormais soumis les officiers de l'ombre.The exceptional military and political events due to the World War II have deeply modified the conditions under which the French intelligence services acted beforehand. The strict partition between military and political fields at the time of the third Republic has to be considered ail over again. The purpose of this article is to analyse the reasons of this drastic upheaval consisting in the intelligence services escaping from the military command. In London, then in Algiers there was a series of conflicts between the inner French Resistance and the de Gaulle's attendants, leading to the foundation of the SDECE (Service de documentation exterieure et de contre-espionnage). Hereafter the intelligence services, linked since 1945 to those of the Presidence du conseil became the aims of hard political struggles in parliamentary circles as in the press of the new regime. The "Passy affair" which occurred in 1946 appeared as a typical example of the new balanced political and journalistic influences from which since then, the secret officers could not escape

Les gouvernances mondiales fragmentées de l’Internet

Ce dernier livrable du programme UTIC1 prend pour objet les discours, les pratiques et les structures de gouvernance à l’échelle mondiale de l’Internet. Les deux premières parties sont un état des lieux diachronique de la gouvernance du réseau, bâti aux Etats-Unis (1re partie), qui s’est ensuite mondialisé, favorisant l’intervention de l’ONU avec une vision multilatéralisée de la gouvernance (2e partie). On souligne ensuite la faiblesse de la gouvernance en raison de tentatives inégalement abouties de réguler l’Internet par du hard law, laissant la place au règne des normes et du soft law (3e partie). A cela s’ajoute la forte polarisation du débat international sur le cyber par les enjeux de cybersécurité (4e partie) et l’échec d’une gouvernance globale par rapport aux idées initiales des Nations-Unies (5e partie). L’ensemble a abouti à des gouvernances mondiales fragmentées de l’Internet qui constituent l’un des traits du système international actuel (2019).Les usages des technologies liées à l’interception des communications téléphoniques et Internet par les services de police et de renseignement et par leurs prestataires privés: la France dans son environnement europée

Cyber Strategy : définir un horizon stratégique dans un environnement cyber

L’objet de cette étude est une analyse critique et prospective des enjeux de gouvernance dans les trois couches du cyber avec un focus particulier sur la dimension de cybersécurité. Elle vise ainsi à aider à la définition d’un horizon stratégique pour les acteurs étatiques et privés. On a fait ici le choix d’une approche de comprehensive analysis permettant de rassembler dans la même analyse les acteurs régaliens et les acteurs privés et en resituant la problématique de la cybersécurité et des différentes gouvernances dans leur environnement normatif et économique. L'horizon stratégique fixé dans cette étude repose sur l'identification de 2 caractéristiques durables de long terme, de 10 invariants et de 5 facteurs d'incertitudes qui permettent de bâtir 3 scénarios. L'ensemble du travail s'appuie sur 20 tableaux, graphes et cartes. Il est bâti en 4 parties : 1. La construction progressive du cyberespace par ses structures et ses usages 2. L’état actuel de l’environnement cyber 3. Un environnement cyber fait d’incertitudes multiples 4. L’horizon stratégique : des avenirs à géométrie variable