Multiday expected shortfall under generalized t distributions : evidence from global stock market

We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) and its extension Expected Shortfall (ES). Of these seven, the twin t-distribution (TT) of Baker and Jackson (2014) and generalized asymmetric distribution (GAT) of Baker (2016) are applied for the first time to estimate market risk. We analytically estimate VaR and ES over one-day horizon and extend this to multi-day horizon using Monte Carlo simulation. We find that taken together TT and GAT distributions provide the best back-testing results across individual confidence levels and horizons for majority of scenarios. Moreover, we find that with the lengthening of time horizon, TT and GAT models performs well, such that at the ten-day horizon, GAT provides the best back-testing results for all of the five indices and the TT model provides the second best results, irrespective period of study and confidence level

Is my hand connected to my body? The impact of body continuity and arm alignment on the virtual hand illusion

When a rubber hand is placed on a table top in a plausible position as if part of a person"s body, and is stroked synchronously with the person"s corresponding hidden real hand, an illusion of ownership over the rubber hand can occur (Botvinick and Cohen 1998). A similar result has been found with respect to a virtual hand portrayed in a virtual environment, a virtual hand illusion (Slater et al. 2008). The conditions under which these illusions occur have been the subject of considerable study. Here we exploited the flexibility of virtual reality to examine four contributory factors: visuo-tactile synchrony while stroking the virtual and the real arms, body continuity, alignment between the real and virtual arms, and the distance between them. We carried out three experiments on a total of 32 participants where these factors were varied. The results show that the subjective illusion of ownership over the virtual arm and the time to evoke this illusion are highly dependent on synchronous visuo-tactile stimulation and on connectivity of the virtual arm with the rest of the virtual body. The alignment between the real and virtual arms and the distance between these were less important. It was found that proprioceptive drift was not a sensitive measure of the illusion, but was only related to the distance between the real and virtual arms

A new approach to bad news effects on volatilit y: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)

In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume eff ects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV- EGARCH complex threshold structure is able to correctly fit GARCH- type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.info:eu-repo/semantics/publishedVersio

Modeling the Development of Goal-Specificity in Mirror Neurons

Neurophysiological studies have shown that parietal mirror neurons encode not only actions but also the goal of these actions. Although some mirror neurons will fire whenever a certain action is perceived (goal-independently), most will only fire if the motion is perceived as part of an action with a specific goal. This result is important for the action-understanding hypothesis as it provides a potential neurological basis for such a cognitive ability. It is also relevant for the design of artificial cognitive systems, in particular robotic systems that rely on computational models of the mirror system in their interaction with other agents. Yet, to date, no computational model has explicitly addressed the mechanisms that give rise to both goal-specific and goal-independent parietal mirror neurons. In the present paper, we present a computational model based on a self-organizing map, which receives artificial inputs representing information about both the observed or executed actions and the context in which they were executed. We show that the map develops a biologically plausible organization in which goal-specific mirror neurons emerge. We further show that the fundamental cause for both the appearance and the number of goal-specific neurons can be found in geometric relationships between the different inputs to the map. The results are important to the action-understanding hypothesis as they provide a mechanism for the emergence of goal-specific parietal mirror neurons and lead to a number of predictions: (1) Learning of new goals may mostly reassign existing goal-specific neurons rather than recruit new ones; (2) input differences between executed and observed actions can explain observed corresponding differences in the number of goal-specific neurons; and (3) the percentage of goal-specific neurons may differ between motion primitives

Modelling UK house prices with structural breaks and conditional variance analysis

This paper differs from previous research by examining the existence of structural breaks in the UK regional house prices as well as in the prices of the different property types (flats, terraced, detached and semi-detached houses) in the UK as a whole, motivated by the uncertainty in the UK housing market and various financial events that may lead to structural changes within the housing market. Our paper enhances the conventional unit root tests by allowing for structural breaks, while including structural break tests strengthens our analysis. Our empirical results support the existence of structural breaks in the mean equation in seven out of thirteen regions of the UK as well as in three out of four property types, and in the variance equation in six regions and three property types. In addition, using a multivariate GARCH approach we examine both the behaviour of variances and covariances of the house price returns over time. Our results have significant implications for appropriate economic policy selection and investment management

First Person Experience of Body Transfer in Virtual Reality

Background: Altering the normal association between touch and its visual correlate can result in the illusory perception of a fake limb as part of our own body. Thus, when touch is seen to be applied to a rubber hand while felt synchronously on the corresponding hidden real hand, an illusion of ownership of the rubber hand usually occurs. The illusion has also been demonstrated using visuomotor correlation between the movements of the hidden real hand and the seen fake hand. This type of paradigm has been used with respect to the whole body generating out-of-the-body and body substitution illusions. However, such studies have only ever manipulated a single factor and although they used a form of virtual reality have not exploited the power of immersive virtual reality (IVR) to produce radical transformations in body ownership.Principal Findings: Here we show that a first person perspective of a life-sized virtual human female body that appears to substitute the male subjects' own bodies was sufficient to generate a body transfer illusion. This was demonstrated subjectively by questionnaire and physiologically through heart-rate deceleration in response to a threat to the virtual body. This finding is in contrast to earlier experimental studies that assume visuotactile synchrony to be the critical contributory factor in ownership illusions. Our finding was possible because IVR allowed us to use a novel experimental design for this type of problem with three independent binary factors: (i) perspective position (first or third), (ii) synchronous or asynchronous mirror reflections and (iii) synchrony or asynchrony between felt and seen touch.Conclusions: The results support the notion that bottom-up perceptual mechanisms can temporarily override top down knowledge resulting in a radical illusion of transfer of body ownership. The research also illustrates immersive virtual reality as a powerful tool in the study of body representation and experience, since it supports experimental manipulations that would otherwise be infeasible, with the technology being mature enough to represent human bodies and their motion

Forecasting Government Bond Spreads with Heuristic Models:Evidence from the Eurozone Periphery

This study investigates the predictability of European long-term government bond spreads through the application of heuristic and metaheuristic support vector regression (SVR) hybrid structures. Genetic, krill herd and sine–cosine algorithms are applied to the parameterization process of the SVR and locally weighted SVR (LSVR) methods. The inputs of the SVR models are selected from a large pool of linear and non-linear individual predictors. The statistical performance of the main models is evaluated against a random walk, an Autoregressive Moving Average, the best individual prediction model and the traditional SVR and LSVR structures. All models are applied to forecast daily and weekly government bond spreads of Greece, Ireland, Italy, Portugal and Spain over the sample period 2000–2017. The results show that the sine–cosine LSVR is outperforming its counterparts in terms of statistical accuracy, while metaheuristic approaches seem to benefit the parameterization process more than the heuristic ones

Long-run relations between private and public sector wages in Sweden

Using a maximum likelihood cointegration approach we find two long-run relationships between central government, local government, and private sector wages in Sweden. This means that there is one common trend for the three sectoral wages. Private sector wages are weakly exogenous for the estimation of the long-run relationships. This suggests that the private sector is the wage leader. Testing linear restrictions on the estimated cointegrating space, we reject stationarity for the three relative wages using likelihood ratio-tests. The hypotheses of homogeneity for the two cointegrating vectors, i.e., that wages do not diverge in the long run, is also rejected.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/45832/1/181_2005_Article_BF01205942.pd

Role of Human-Mediated Dispersal in the Spread of the Pinewood Nematode in China

Background: Intensification of world trade is responsible for an increase in the number of alien species introductions. Human-mediated dispersal promotes not only introductions but also expansion of the species distribution via long-distance dispersal. Thus, understanding the role of anthropogenic pathways in the spread of invading species has become one of the most important challenges nowadays. Methodology/Principal Findings: We analysed the invasion pattern of the pinewood nematode in China based on invasion data from 1982 to 2005 and monitoring data on 7 locations over 15 years. Short distance spread mediated by long-horned beetles was estimated at 7.5 km per year. Infested sites located further away represented more than 90% of observations and the mean long distance spread was estimated at 111–339 km. Railways, river ports, and lakes had significant effects on the spread pattern. Human population density levels explained 87% of the variation in the invasion probability (P,0.05).Since 2001, the number of new records of the nematode was multiplied by a factor of 5 and the spread distance by a factor of 2. We combined a diffusion model to describe the short distance spread with a stochastic,individual based model to describe the long distance jumps. This combined model generated an error of only 13% when used to predict the presence of the nematode. Under two climate scenarios (stable climate or moderate warming), projections of the invasion probability suggest that this pest could expand its distribution 40–55% by 2025. Conclusions/Significance: This study provides evidence that human-induced dispersal plays a fundamental role in the spread of the pinewood nematode, and appropriate control measures should be taken to stop or slow its expansion. This model can be applied to Europe, where the nematode had been introduced later, and is currently expanding its distribution. Similar models could also be derived for other species that could be accidentally transported by humans

Financing micro-entrepreneurs for poverty alleviation: a performance analysis of microfinance services offered by BRAC, ASA, and Proshika from Bangladesh

Microfinance services have emerged as an effective tool for financing microentrepreneurs to alleviate poverty. Since the 1970s, development theorists have considered non-governmental microfinance institutions (MFIs) as the leading practitioners of sustainable development through financing micro-entrepreneurial activities. This study evaluates the impact of micro-finance services provided by MFIs on poverty alleviation. In this vein, we examine whether microfinance services contribute to poverty alleviation, and also identify bottlenecks in micro-finance programs and operations. The results indicate that the micro-loans have a statistically significant positive impact on the poverty alleviation index and consequently improve the living standard of borrowers by increasing their level of income