This paper analyses the application of a switching volatility model to forecast the Ž . distribution of returns and to estimate the Value-at-Risk VaR of both single assets and portfolios. We calculate the VaR value for 10 Italian stocks and a number of portfolios based on these stocks. The calculated VaR values are also compared with the variance–coŽ . variance approach used by JP Morgan in Ris...

We consider the relative advantages of two advanced data assimilation systems, 4-D-Var and ensemble Kalman filter (EnKF), currently in use or under consideration for operational implementation. With the Lorenz model, we explore the impact of tuning assimilation parameters such as the assimilation window length and background error covariance in 4-D-Var, variance inflation in EnKF, and the effec...

Estimates of functional connectivity using resting state functional Magnetic Resonance Imaging (rs-fMRI) are acutely sensitive to artifacts and large scale nuisance variation. As a result much effort is dedicated to preprocessing rs-fMRI data and using diagnostic measures to identify bad scans. One such diagnostic measure is DVARS, the spatial root mean square of the data after temporal differe...

The objective and subjective classification of unvoiced stop consonants in varying vowel contexts were studied. The objective classification was based on auditory feature vectors obtained by warped linear prediction (WLP) and vector autoregressive (VAR) models for parameter trajectories. In the case of known vowel the unvoiced consonants were classified 98-100% correctly based on the auditory s...

This paper presents a new way to assess robustness of claims from identi ed VAR work. All possible identi cations are checked for the one that is worst for the claim, subject to the restriction that the VAR produce reasonable impulse responses to shocks. The statistic on which the claim is based need not be identi ed; thus, one can assess claims in large models using minimal restrictions. The t...

This report concentrates on presenting transient stability and power ow models of Thyristor Controlled Reactor (TCR) and Voltage Sourced Inverter (VSI) based Flexible AC Transmission System (FACTS) Controllers. Appropriate models for voltage and angle stability studies are discussed in detail for the Static Var Compensator (SVC), the Thyristor Controlled Series Compensator (TCSC), the Static Va...

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run sentiment, medium-run sentiment and stock index returns allows to reject exogeneity of returns. Depending...

We find that covariance matrix forecasts for an international interest rate portfolio generated by a model that incorporates interest-rate level volatility effects perform best with respect to statistical loss functions. However, within a value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR distributional assumption. Simple foreca...

The paper considers nonparametric estimation of Value at Risk (VaR) and associated standard error estimation for dependent financial returns. Theoretical properties of the kernel VaR estimator are investigated in the context of dependence. The presence of dependence affects the variance of the VaR estimates and has to be taken into consideration in order to obtain adequate assessment of their v...

Magnaporthaceae is a family of ascomycetes that includes three fungi of great economic importance: Magnaporthe oryzae, Gaeumannomyces graminis var. tritici, and Magnaporthe poae. These three fungi cause widespread disease and loss in cereal and grass crops, including rice blast disease (M. oryzae), take-all disease in wheat and other grasses (G. graminis), and summer patch disease in turf grass...