28,768 research outputs found

    Impact of Returns Time Dependency on the Estimation of Extreme Market Risk

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    The estimation of Value-at-Risk generally used models assuming independence. However, financial returns tend to occur in clusters with time dependency. In this paper we study the impact of negligence of returns dependency in market risk assessment. The main methods which take into account returns dependency to assess market risk are: Declustering, Extremal index and Time series-Extreme Value The- ory combination. Results shows an important reduction of the estimation error under dependency assumption. For real data, methods which take into account returns dependency have generally the best performances.Value-at-Risk, Market risk, Dependency, Declustering, Extremal index, Time Series-EVT Combination.

    Isolation and X-ray crystal structure of tetrahydroisoquinoline alkaloids from Calycotome villosa Subsp. intermedias

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    Two tetrahydroisoquinoline alkaloids were extracted from the alkaloid fraction of a methanol extract of the seeds of Calycotome Villosa Subsp. intermedia. Their structures were established as (R)-1-hydroxymethyl-7-8-dimethoxy-1,2,3,4-tetrahydro- isoquinoline (1) and (S)-7-hydroxymethyl-2-3-dimethoxy-7,8,9,10-tetrahydroisoquinoline chloride (2) by spectroscopic techniques and X-ray diffraction analysis

    Performance Enhancement of Multiuser Time Reversal UWB Communication System

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    UWB communication is a recent research area for indoor propagation channels. Time Reversal (TR) communication in UWB has shown promising results for improving the system performance. In multiuser environment, the system performance is significantly degraded due to the interference among different users. TR reduces the interference caused by multiusers due to its spatial focusing property. The performance of a multiuser TR communication system is further improved if the TR filter is modified. In this paper, multiuser TR in UWB communication is investigated using simple TR filter and a modified TR filter with circular shift operation. The concept of circular shift in TR is analytically studied. Thereafter, the channel impulse responses (CIR) of a typical indoor laboratory environment are measured. The measured CIRs are used to analyze the received signal peak power and signal to interference ratio (SIR) with and without performing the circular shift operation in a multiuser environment
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