Incorporating Higher Moments into Value at Risk Forecasting

Value-at-risk (VaR) forecasting generally relies on a parametric density function of portfolio returns that ignores higher moments or assumes them constant. In this paper, we propose a simple approach to forecasting of a portfolio VaR. We employ the Gram-Charlier expansion (GCE) augmenting the standard normal distribution with the first four moments, which are allowed to vary over time. In an extensive empirical study, we compare the GCE approach to other models of VaR forecasting and conclude that it provides accurate and robust estimates of the realized VaR. In spite of its simplicity, on our dataset GCE outperforms other estimates that are generated by both constant and time-varying higher-moments models.

Correlated electron-ion dynamics with open boundaries: formalism

We extend a new formalism, which allows correlated electron-ion dynamics to be applied to the problem of open boundary conditions. We implement this at the first moment level (allowing heating of ions by electrons) and observe the expected cooling in the classical part of the ionic kinetic energy and current-induced heating in the quantum contribution. The formalism for open boundaries should be easily extended to higher moments of the correlated electron-ion fluctuations.

Celtic languages in European Higher Education: CRAMLAP - Celtic, Regional and Minority Languages Abroad Project

The Celtic, Regional and Minority Languages Abroad
Project (CRAMLAP) is funded by the European Commission
to research the provision and pedagogy of regional
and minority languages outside their national borders in
Europe. The teaching of Celtic languages across Europe
was the focus in year one (2003-2004). This article summarizes
the qualitative data received in response to
questionnaires sent to institutions across Europe offering
Celtic Studies. Responses indicated that Celtic Studies
are quite widely available across Europe. The languages
are taught in comparative linguistics, linguistics and English
departments, with few dedicated Celtic departments
or sections outside the Celtic countries. Irish is supported
abroad by Irish government grant aid which will
become more widely available in the immediate future.
Many of the teachers have considerable experience, but
limited pedagogic training. The lack of suitable teaching
resources is the most commonly expressed concern.

Higher incidence of childhood-onset type 1 diabetes mellitus in remote areas: a UK regional small-area analysis

Aims/hypothesis: We investigated the association between the incidence of type 1 diabetes mellitus and remoteness (a proxy measure for exposure to infections) using recently developed techniques for statistical analysis of small-area data.

Subjects, materials and methods: New cases in children aged 0 to 14 years in Northern Ireland were prospectively registered from 1989 to 2003. Ecological analysis was conducted using small geographical units (582 electoral wards) and area characteristics including remoteness, deprivation and child population density. Analysis was conducted using Poisson regression models and Bayesian
hierarchical models to allow for spatially correlated risks that were potentially caused by unmeasured explanatory variables.

Results: In Northern Ireland between 1989 and 2003, there were 1,433 new cases of type 1 diabetes, giving a directly standardised incidence rate of 24.7 per 100,000 personyears. Areas in the most remote fifth of all areas had a significantly (p=0.0006) higher incidence of type 1 diabetes mellitus (incidence rate ratio=1.27 [95% CI 1.07, 1.50]) than those in the most accessible fifth of all areas. There was also a higher incidence rate in areas that were less deprived (p<0.0001) and less densely populated (p=0.002). After adjustment for deprivation and additional adjustment for child population density the association between diabetes and remoteness remained significant (p=0.01 and p=0.03, respectively).

Conclusions/interpretation: In Northern Ireland, there is evidence that remote areas experience higher rates of type 1 diabetes mellitus. This could reflect a reduced or delayed exposure to infections, particularly early in life, in these areas.

Fas and DNA double stranded breaks in human ejaculated sperm

Objective: to determine the incidence of Fas positivity and DNA double stranded breaks (DSB) as indicators of early and late stage apoptosis in ejaculated sperm. Design: Fas positivity was assessed by flow cytometry and DSB by neutral Comet assay Setting: Andrology Laboratory, Royal Maternity Hospita, Belfast Northern Ireland, UK. Patients: 45 infertile men undergoing infertility investigations and 10 fertile men undergoing vasectomies Main Outcome measures: Perecentage Fas positive cells, percentage DNA fragmentation, olive tail moments Results: The apoptotic marker Fas was detected in ejaculated sperm, with a higher incidence of Fas positivity in teratozoospermic and asthenozoospermic than in normozoospermic semen. No Fas positivity was observed in fertile mens’ sperm. DSB were greater in infertile than in fertile mens’ sperm and also greater in sperm in semen than in sperm prepared for assisted conception. There was an inverse relationship between DSB and both sperm concentration and motility. There was no relationship between Fas positivity and DNA damage. Conclusion: Fas was expressed in sperm of infertile men. In contrast, DNA fragmentation was observed in all sperm of fertile and infertile men and correlated with inadequate concentration and motility, which suggests that sperm DSB are ubiquitous and are not solely associated with apoptosis.

Unexpected higher-order effects in charged particle impact ionization at high energies

Most of the experimental and theoretical studies of electron-impact ionization of atoms, referred to as (e, 2e), have concentrated on the scattering plane. The assumption has been that all the important physical effects will be observable in the scattering plane. However, very recently it has been shown that, for C6+-helium ionization, experiment and theory are in nice agreement in the scattering plane and in very bad agreement out of the scattering plane. This lack of agreement between experiment and theory has been explained in terms of higher-order scattering effects between the projectile and target ion. We have examined electron-impact ionization of magnesium and have observed similar higher-order effects. The results of the electron-impact ionization of magnesium indicate the possible deficiencies in the calculation of fully differential cross sections in previous heavy particle ionization work.

Green function for the diffusion limit of one-dimensional continuous time random walks

It is shown how the fractional probability density diffusion equation for the diffusion limit of one-dimensional continuous time random walks may be derived from a generalized Markovian Chapman-Kolmogorov equation. The non-Markovian behaviour is incorporated into the Markovian Chapman-Kolmogorov equation by postulating a Levy like distribution of waiting times as a kernel. The Chapman-Kolmogorov equation so generalised then takes on the form of a convolution integral. The dependence on the initial conditions typical of a non-Markovian process is treated by adding a time dependent term involving the survival probability to the convolution integral. In the diffusion limit these two assumptions about the past history of the process are sufficient to reproduce anomalous diffusion and relaxation behaviour of the Cole-Cole type. The Green function in the diffusion limit is calculated using the fact that the characteristic function is the Mittag-Leffler function. Fourier inversion of the characteristic function yields the Green function in terms of a Wright function. The moments of the distribution function are evaluated from the Mittag-Leffler function using the properties of characteristic functions and a relation between the powers of the second moment and higher order even moments is derived. (C) 2004 Elsevier B.V. All rights reserved.