Semi-parametric estimation of joint large movements of risky assets

The classical approach to modelling the occurrence of joint large movements of asset returns is to assume multivariate normality for the distribution of asset returns. This implies independence between large returns. However, it is now recognised by both academics and practitioners that large movements of assets returns do not occur independently. This fact encourages the modelling joint large movements of asset returns as non-normal, a non trivial task mainly due to the natural scarcity of such extreme events. This paper shows how to estimate the probability of joint large movements of asset prices using a semi-parametric approach borrowed from extreme value theory (EVT). It helps to understand the contribution of individual assets to large portfolio losses in terms of joint large movements. The advantages of this approach are that it does not require the assumption of a specific parametric form for the dependence structure of the joint large movements, avoiding the model misspecification; it addresses specifically the scarcity of data which is a problem for the reliable fitting of fully parametric models; and it is applicable to portfolios of many assets: there is no dimension explosion. The paper includes an empirical analysis of international equity data showing how to implement semi-parametric EVT modelling and how to exploit its strengths to help understand the probability of joint large movements. We estimate the probability of joint large losses in a portfolio composed of the FTSE 100, Nikkei 250 and S&P 500 indices. Each of the index returns is found to be heavy tailed. The S&P 500 index has a much stronger effect on large portfolio losses than the FTSE 100, although having similar univariate tail heaviness

Public Libraries: techno trends and collective memory

By public library I mean here a library providing some kind of universal access to its assets, one whose readership isn’t exclusively tied and restricted to a particular organization – including the generally called public libraries, but also many specialized libraries, such as the academic of the open kind. Despite all efforts, public libraries continue to face strong barriers to their participation in the information society. Participants of the World Meeting on the Future of the ISIS Software recognized that “the ISIS Software Family has a unique technological concept and developmental mission to cope with Information Storage and Retrieval Systems (ISRS), particularly for developing countries where the technology is widely known and used; that the ISIS Software Family has now fully embraced the Free and Open Source Software approach and the support of UNICODE structures to be fully open and multilingual” (Rio Declaration 2008), restating thus the persistent relevance of this software family. OSS (Coar 2006) is defined as software whose source code is freely available, therefore allowing for free inspection and/or utilization, i.e., it is available for study and use by everyone without any payment or any other barrier to access. the lack of technical skill in libraries, a situation that libraries share with much of the public and cultural sectors. The study of OSS ILS, and of the their adaptation to the needs of specific public libraries may be the solution to this. Library Management Systems) that enhances digital archive interoperability between a diverse range of libraries

Aldo Rossi: “My Architecture Stands Mute and Cold”

Aldo Rossi offers a captivating account of the relationship between human life and material forms. Rossi says that he came to “the great questions”, and to his discovery of Ludwig Wittgenstein and Georg Trakl through Adolf Loos (Rossi 1982: 46). I will outline some connections between Loos, Trakl, and Wittgenstein that might help us to grasp the way in which Rossi’s assertive attitude concerning architecture gradually leans towards “forgetting architecture”. (The goal is not to try and justify how they might have influenced Rossi; rather the aim is to try to understand Rossi’s work with those connections as a backdrop; to outline a constellation of affinities.) The running thread being the internal relation between the object and the subject, i.e., “construction and the artist’s own life” (Lombardo 2003: 97). I will conclude by considering architectural form on the page, that is to say, in Rossi’s plans, “a graphic variation of the handwritten manuscript”, and drawings, “where a line is no longer a line, but writing” (Rossi 1981: 6), and finally by considering what he says about his architecture, namely, that it stands “mute and cold,” though it will still “creak” (Rossi 1981: 44), and give rise to “new meanings”

The conduct of an Inter-state War and multiple dimensions of territory: 1998-2000 Eritrea-Ethiopia war

Inter-state wars are not one of the most salient features in the post-Cold War era. The literature on contemporary armed conflict, particularly those in the aftermath of the Cold War, tends to overlook the centrality of territory in the causation of war. However, a border incident between Eritrea and Ethiopia in 1998 led to a crisis which escalated. The war lasted two and a half years, leading to an estimated 100.000 casualties. The article’s central claim shows the centrality of territory in its multiple dimensions for the understanding of the war that opposed the two sovereign states.As guerras inter-estatais não são uma das características mais salientes do pós-Guerra Fria. A literatura que analisa os conflitos contemporâneos, em particular aqueles ocorridos no pós-Guerra Fria, tendencialmente não reconhece centralidade ao território enquanto causa de conflito. No entanto, um incidente fronteiriço entre a Eritreia e a Etiópia em 1998 despoletou uma crise que viria a escalar, resultando num conflito de dois anos e meio com cerca de 100.000 vítimas. A tese central do presente artigo sublinha a centralidade do território nas suas múltiplas dimensões para o entendimento da guerra que opôs os dois Estados soberanos

Wittgenstein, analogy and philosophical problems

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From Brothers War to Border War. Conduct of an Interstate War in the Post-Cold War Era: Ethiopia-Eritrea (1998-2000)

Interstate wars are not one of the most salient features of current World Politics. Indeed, the prevailing patterns of contemporary armed conflict show an increasing trend in intrastate wars that spill over borders. The paper aims to provide insights from an interstate war in the post-Cold War era to the debate on the transformation of warfare (Old vs. New Wars and their conduct). Beyond the continuities with the 30 years civil war, namely in the relations between the two former insurgent movements, the Tigray People's Liberation Front(TPLF) and the Eritrean People's Liberation Front (EPLF), the 1998-2000 war was waged between the armed forces of two sovereign states. This is one of the few cases of interstate war in Africa.The case-study provides evidence to contradict the strand of the literature which claims that we are witnessing a decisive transformation of warfare (Van Creveld 1991);(Kaldor 1999).The central claim of this paper is that neighboring states fight over territory. The conduct of the war allows understanding under which circumstances is territory significant. The paper will start with a brief synopsis of the conflict followed by an analysis of the conduct of the war. A map of the contested areas and a timeline of recent developments from 5 October 2005 up to December 2005 are annexed.The analysis of the conduct of the war confirms the centrality of territory to understand how the war unfolded and ended. As the war unfolded Badme was transformed from a barren strip of land into an emblem and symbol of statehood. Indeed, territory is central to understanding not only the conduct, but also the causes and the outcomes of the 1998-2000 interstate war. However, in the scope of this paper the main focus remains the conduct of the war. The May 2005 Elections in Ethiopia and recent developments, since October 2005, remind the significance of gathering data on the Final Round of Fighting ( May-June 2000) and more specifically on the way the war was brought to an end ( June 2000 Cease-fire). Finally, the conduct of the war shows that this classical 'Old War', in the post-Cold War era, displays characteristics highlighted in the 'New Wars' literature

Reading the Tractatus and seeing the world rightly

UID/FIL/00183/2013“If the cardinal problem of philosophy is to be found in the distinction between what can be said (= thought), and what cannot be said but can only be shown in what is said, the task of making the logic of language perspicuous can be understood as a perceptive exercise – and the TLP as an aesthetic endeavour that, in what it says and in the form in which it says what it says, allows its readers to see the world rightly. In the end, this is both an ethical and an aesthetic achievement, for, what is then seen should make one understand that what is more valuable is indescribable in language – and the way to do it justice, is to keep silent about it.”authorsversionpublishe

“Übersichtliche Darstellung” as synoptic presentation in Philosophical Investigations, I, §122

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Introduction: understanding conflict and processes of state formation, reconfiguration and disintegration in the Horn of Africa

Since the end of the colonial period, the Horn of Africa (Eritrea, Ethiopia, Djibouti, Somalia, Sudan and South Sudan) has been affected by a large number of inter-state and civil wars (Woodward, 1996). Uganda is part of the region’s security dynamics and a member of its organization, the Intergovernmental Authority on Development.FCT - Fundação para a Ciência e a Tecnologi