Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of models and a new dependence function which allows us to capture the complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our new method at work we apply it to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data

Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data

We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric estimation procedure. The new dependence function is compared with existing measures including the spectral measure and other devices measuring extreme dependence. We also apply our method to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data

WERE U.S. CROP YIELDS RANDOM IN RECENT YEARS?

Crop Production/Industries,

PRICE, YIELD, AND GROSS REVENUE VARIABILITY FOR SELECTED GEORGIA CROPS

Demand and Price Analysis,

Exploration of the memory effect on the photon-assisted tunneling via a single quantum dot: A generalized Floquet theoretical approach

The generalized Floquet approach is developed to study memory effect on electron transport phenomena through a periodically driven single quantum dot in an electrode-multi-level dot-electrode nanoscale quantum device. The memory effect is treated using a multi-function Lorentzian spectral density (LSD) model that mimics the spectral density of each electrode in terms of multiple Lorentzian functions. For the symmetric single-function LSD model involving a single-level dot, the underlying single-particle propagator is shown to be related to a 2 x 2 effective time-dependent Hamiltonian that includes both the periodic external field and the electrode memory effect. By invoking the generalized Van Vleck (GVV) nearly degenerate perturbation theory, an analytical Tien-Gordon-like expression is derived for arbitrary order multi- photon resonance d.c. tunneling current. Numerically converged simulations and the GVV analytical results are in good agreement, revealing the origin of multi- photon coherent destruction of tunneling and accounting for the suppression of the staircase jumps of d.c. current due to the memory effect. Specially, a novel blockade phenomenon is observed, showing distinctive oscillations in the field-induced current in the large bias voltage limit

Probing the C-H Activation of Linear and Cyclic Ethers at (PNP)Ir

Interaction of the amido/bis(phosphine)-supported (PNP)Ir fragment with a series of linear and cyclic ethers is shown to afford, depending on substrate, products of α,α-dehydrogenation (carbenes), α,β-dehydrogenation (vinyl ethers), or decarbonylation. While carbenes are exclusively obtained from tert-amyl methyl ether, sec-butyl methyl ether (SBME), n-butyl methyl ether (NBME), and tetrahydrofuran (THF), vinyl ethers or their adducts are observed upon reaction with diethyl ether and 1,4-dioxane. Decarbonylation occurs upon interaction of (PNP)Ir with benzyl methyl ether, and a mechanism is proposed for this unusual transformation, which occurs via a series of C−H, C−O, and C−C bond cleavage events. The intermediates characterized for several of these reactions as well as the α,α-dehydrogenation of tert-butyl methyl ether (MTBE) are used to outline a reaction pathway for the generation of PNP-supported iridium(I) carbene complexes, and it is shown that the long-lived, observable intermediates are substrate-dependent and differ for the related cases of MTBE and THF. Taken together, these findings highlight the variety of pathways utilized by the electron-rich, unsaturated (PNP)Ir fragment to stabilize itself by transferring electron density to ethereal substrates through oxidative addition and/or the formation of π-acidic ligands

Body size and the risk of biliary tract cancer: a population-based study in China

Though obesity is an established risk factor for gall bladder cancer, its role in cancers of the extrahepatic bile ducts and ampulla of Vater is less clear, as also is the role of abdominal obesity. In a population-based case–control study of biliary tract cancer in Shanghai, China, odds ratios (ORs) and 95% confidence intervals (CIs) were calculated for biliary tract cancer in relation to anthropometric measures, including body mass index (BMI) at various ages and waist-to-hip ratio (WHR), adjusting for age, sex, and education. The study included 627 patients with biliary tract cancer (368 gall bladder, 191 bile duct, 68 ampulla of Vater) and 959 healthy subjects randomly selected from the population. A higher BMI at all ages, including early adulthood (ages 20–29 years), and a greater WHR were associated with an increased risk of gall bladder cancer. A high usual adult BMI (⩾25) was associated with a 1.6-fold risk of gall bladder cancer (95% CI 1.2–2.1, P for trend <0.001). Among subjects without gallstones, BMI was also positively associated with gall bladder cancer risk. Regardless of BMI levels, increasing WHR was associated with an excess risk of gall bladder cancer risk, with those having a high BMI (⩾25) and a high WHR (>0.90) having the highest risk of gall bladder cancer (OR=12.6, 95% CI 4.8–33.2), relative to those with a low BMI and WHR. We found no clear risk patterns for cancers of the bile duct and ampulla of Vater. These results suggest that both overall and abdominal obesity, including obesity in early adulthood, are associated with an increased risk of gall bladder cancer. The increasing prevalence of obesity and cholesterol stones in Shanghai seems at least partly responsible for the rising incidence of gall bladder cancer in Shanghai

Effect on Higgs Boson Decays from Large Light-Heavy Neutrino Mixing in Seesaw Models

In seesaw models with more than one generation of light and heavy neutrinos, nu and N, respectively, it is possible to have sizable mixing between them for heavy-neutrino masses of order 100 GeV or less. We explore this possibility further, taking into account current experimental constraints, and study its effect on Higgs-boson decays in the contexts of seesaw models of types I and III. We find that in the type-I case the Higgs decay into a pair of light and heavy neutrinos, h -> nu N, could increase the total Higgs width in the standard model by up to almost 30% for a relatively light Higgs-boson, which would significantly affect Higgs searches at the LHC. The subsequent prompt decay of N into three light fermions makes this Higgs decay effectively a four-body decay. We further find that, in the presence of the large light-heavy mixing, these four-body Higgs decays can have rates a few times larger than their standard-model counterparts and therefore could provide a potentially important window to reveal the underlying seesaw mechanism.Comment: 16 pages, 3 figures, with more discussion on experimental constraints and references, main conclusions unchanged, to match journal versio