Predictive Ability of Value-at-Risk Methods: Evidence from the Karachi Stock Exchange-100 Index

Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan’s emerging stock market using daily data from the Karachi Stock Exchange-100 index January 1992 to June 2008. We computed VaR by employing data on annual basis as well as for the whole 17 year period. Overall we found that VaR measures are more accurate when KSE index return volatility is estimated by GARCH (1,1) model especially at 95% confidence level. In this case the actual loss of KSE-100 index exceeds VaR in only two years 1998 and 2006. At 99% confidence level no method generally gives accurate VaR estimates. In this case ‘equally weighted moving average’, ‘exponentially weighted moving average’ and ‘GARCH’ based methods yield accurate VaR estimates in nearly half of the number of years. On average for the whole period 95% VaR is estimated to be about 2.5% of the value of KSE-100 index. That is on average in one out of 20 days KSE-100 index loses at least 2.5% of its value. We also investigate the asset pricing implication of downside risk measured by VaR and expected returns for decile portfolios sorted according to VaR of each stock. We found that portfolios with higher VaR have higher average returns. Therefore VaR as a measure of downside risk is associated with higher returns.Downside risk; Emerging Markets; Value-at-Risk.

Multi-service systems: an enabler of flexible 5G air-interface

Multi-service system is an enabler to flexibly support diverse communication requirements for the next generation wireless communications. In such a system, multiple types of services co-exist in one baseband system with each service having its optimal frame structure and low out of band emission (OoBE) waveforms operating on the service frequency band to reduce the inter-service-band-interference (ISvcBI). In this article, a framework for multi-service system is established and the challenges and possible solutions are studied. The multi-service system implementation in both time and frequency domain is discussed. Two representative subband filtered multicarrier (SFMC) waveforms: filtered orthogonal frequency division multiplexing (F-OFDM) and universal filtered multi-carrier (UFMC) are considered in this article. Specifically, the design methodology, criteria, orthogonality conditions and prospective application scenarios in the context of 5G are discussed. We consider both single-rate (SR) and multi-rate (MR) signal processing methods. Compared with the SR system, the MR system has significantly reduced computational complexity at the expense of performance loss due to inter-subband-interference (ISubBI) in MR systems. The ISvcBI and ISubBI in MR systems are investigated with proposed low-complexity interference cancelation algorithms to enable the multi-service operation in low interference level conditions

Channel equalization and interference analysis for uplink Narrowband Internet of Things (NB-IoT)

We derive the uplink system model for In-band and Guard-band narrowband Internet of Things (NB-IoT). The results reveal that the actual channel frequency response (CFR) is not a simple Fourier transform of the channel impulse response, due to sampling rate mismatch between the NB-IoT user and Long Term Evolution (LTE) base station. Consequently, a new channel equalization algorithm is proposed based on the derived effective CFR. In addition, the interference is derived analytically to facilitate the co-existence of NB-IoT and LTE signals. This work provides an example and guidance to support network slicing and service multiplexing in the physical layer

HARQ in relay-assisted transmission for machine type communications

This letter describes the impact of unknown channel access delay on the timeline of the hybrid automatic repeat request (HARQ) process in the 3rd generation partnership project long term evolution (3GPP LTE) system when a relay node (RN) is used for coverage extension of machine type communication (MTC) devices. A solution is also proposed for the determination of unknown channel access delay when the RN operates in the unlicensed spectrum band. The proposed mechanism is expected to help MTC operation in typical coverage holes areas such as smart meters located in the basement of buildings

Single-Rate and Multi-Rate Multi-Service Systems for Next Generation and Beyond Communications

To flexibly support diverse communication requirements (e.g., throughput, latency, massive connection, etc.) for the next generation wireless communications, one viable solution is to divide the system bandwidth into several service subbands, each for a different type of service. In such a multi-service (MS) system, each service has its optimal frame structure while the services are isolated by subband filtering. In this paper, a framework for multi-service (MS) system is established based on subband filtered multi-carrier (SFMC) modulation. We consider both single-rate (SR) and multi-rate (MR) signal processing as two different MS-SFMC implementations, each having different performance and computational complexity. By comparison, the SR system outperforms the MR system in terms of performance while the MR system has a significantly reduced computational complexity than the SR system. Numerical results show the effectiveness of our analysis and the proposed systems. These proposed SR and MR MS-SFMC systems provide guidelines for next generation wireless system frame structure optimization and algorithm design

Filtered OFDM systems, algorithms and performance analysis for 5G and beyond

Filtered orthogonal frequency division multiplexing (F-OFDM) system is a promising waveform for 5G and beyond to enable multi-service system and spectrum efficient network slicing. However, the performance for F-OFDM systems has not been systematically analyzed in literature. In this paper, we first establish a mathematical model for F-OFDM system and derive the conditions to achieve the interference-free one-tap channel equalization. In the practical cases (e.g., insufficient guard interval, asynchronous transmission, etc.), the analytical expressions for inter-symbol-interference (ISI), inter-carrier-interference (ICI) and adjacent-carrier-interference (ACI) are derived, where the last term is considered as one of the key factors for asynchronous transmissions. Based on the framework, an optimal power compensation matrix is derived to make all of the subcarriers having the same ergodic performance. Another key contribution of the paper is that we propose a multi-rate F-OFDM system to enable low complexity low cost communication scenarios such as narrow band Internet of Things (IoT), at the cost of generating inter-subband-interference (ISubBI). Low computational complexity algorithms are proposed to cancel the ISubBI. The result shows that the derived analytical expressions match the simulation results, and the proposed ISubBI cancelation algorithms can significantly save the original F-OFDM complexity (up to 100 times) without significant performance los

Subband filtered multi-carrier systems for multi-service wireless communications

Flexibly supporting multiple services, each with different communication requirements and frame structure, has been identified as one of the most significant and promising characteristics of next generation and beyond wireless communication systems. However, integrating multiple frame structures with different subcarrier spacing in one radio carrier may result in significant inter-service-band-interference (ISBI). In this paper, a framework for multi-service (MS) systems is established based on a subband filtered multi-carrier system. The subband filtering implementations and both asynchronous and generalized synchronous (GS) MS subband filtered multi-carrier (SFMC) systems have been proposed. Based on the GS-MS-SFMC system, the system model with ISBI is derived and a number of properties on ISBI are given. In addition, low-complexity ISBI cancelation algorithms are proposed by precoding the information symbols at the transmitter. For asynchronous MS-SFMC system in the presence of transceiver imperfections, including carrier frequency offset, timing offset, and phase noise, a complete analytical system model is established in terms of desired signal, inter-symbol-interference, inter-carrier-interference, ISBI, and noise. Thereafter, new channel equalization algorithms are proposed by considering the errors and imperfections. Numerical analysis shows that the analytical results match the simulation results, and the proposed ISBI cancelation and equalization algorithms can significantly improve the system performance in comparison with the existing algorithms

Multi-service Signal Multiplexing and Isolation for Physical-Layer Network Slicing (PNS)

Network slicing has been identified as one of the most important features for 5G and beyond to enable operators to utilize networks on an as-a-service basis and meet the wide range of use cases. In physical layer, the frequency and time resources are split into slices to cater for the services with individual optimal designs, resulting in services/slices having different baseband numerologies (e.g., subcarrier spacing) and / or radio frequency (RF) front-end configurations. In such a system, the multi-service signal multiplexing and isolation among the service/slices are critical for the Physical-Layer Network Slicing (PNS) since orthogonality is destroyed and significant inter-service/ slice-band-interference (ISBI) may be generated. In this paper, we first categorize four PNS cases according to the baseband and RF configurations among the slices. The system model is established by considering a low out of band emission (OoBE) waveform operating in the service/slice frequency band to mitigate the ISBI. The desired signal and interference for the two slices are derived. Consequently, one-tap channel equalization algorithms are proposed based on the derived model. The developed system models establish a framework for further interference analysis, ISBI cancelation algorithms, system design and parameter selection (e.g., guard band), to enable spectrum efficient network slicing

Channel Estimation and Optimal Pilot Signals for Universal Filtered Multi-Carrier (UFMC) Systems

We propose channel estimation algorithms and pilot signal optimization for the universal filtered multi-carrier (UFMC) system based on the comb-type pilot pattern. By considering the least square linear interpolation (LSLI), discrete Fourier transform (DFT), minimum mean square error (MMSE) and relaxed MMSE (RMMSE) channel estimators, we formulate the pilot signals optimization problem by minimizing the estimation MSE subject to the power constraint on pilot tones. The closed-form optimal solutions and minimum MSE are derived for LSLI, DFT, MMSE and RMMSE estimators

The Role of Technology Entrepreneurship towards Economic Growth: An Application of RFID in Livestock Sector of Pakistan

Over the last three eras, technology entrepreneurship has turned into an essential driver of economic development. The interconnection between entrepreneurship and technology is valuable to distinguish the most applicable techniques for competitiveness in the business areas and supporting new ventures. In today’s competitive environment, Technology entrepreneurship is considered to be an essential element by which an organization can accomplish maintainable development and solve confronting issues related to its processes. In fact, the technological entrepreneurial approach is predicted to add to feasible development and growth toward Knowledge economy. The expansion and diffusion of technology is an essential component which might influence the fate of any industry. In this modern era, one of the significant contribution of  information and communication technology (ICT) in livestock sector is advancement of electronic labels for distinctive ID of animals by utilizing Radio frequency identification (RFID) chips, which are inexpensive, distinctive and tamperproof. Automatic identification of animal assists in enhancing the farm administration practices and prosperity of animals. The foremost goal of this paper is to familiarize the reader with the hypothetical lens of technology entrepreneurship approach with an emphasis on livestock sector of Pakistan. Therefore, this study is an endeavor to find out what opportunities Technological Entrepreneurship and particularly RFID offers to entrepreneurs to exploit current scientific and innovative knowledge to address market issues that will bring business achievement and economic growth by using the secondary data. This paper will first give an ephemeral introduction of technology and Entrepreneurship. Specifically, the relationship between technology and entrepreneurship is scrutinized. Additionally, it will address the issues confronted by livestock sector in Pakistan while executing RFID, thus emphasizing the shortcomings and deficiencies of the RFID in Pakistan. At last, detail argument shall be made on the role of technologies entrepreneurial and its overall impact on the economy growth. Keywords: Technology, Entrepreneurs, Economic growth, Technology entrepreneurs, Livestock, Radio Frequency Identification (RFID)