Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Observation impact in data assimilation: the effect of non-Gaussian observation error.

Data assimilation methods which avoid the assumption of Gaussian error statistics are being developed for geoscience applications. We investigate how the relaxation of the Gaussian assumption affects the impact observations have within the assimilation process. The effect of non-Gaussian observation error (described by the likelihood) is compared to previously published work studying the effect of a non-Gaussian prior. The observation impact is measured in three ways: the sensitivity of the analysis to the observations, the mutual information, and the relative entropy. These three measures have all been studied in the case of Gaussian data assimilation and, in this case, have a known analytical form. It is shown that the analysis sensitivity can also be derived analytically when at least one of the prior or likelihood is Gaussian. This derivation shows an interesting asymmetry in the relationship between analysis sensitivity and analysis error covariance when the two different sources of non-Gaussian structure are considered (likelihood vs. prior). This is illustrated for a simple scalar case and used to infer the effect of the non-Gaussian structure on mutual information and relative entropy, which are more natural choices of metric in non-Gaussian data assimilation. It is concluded that approximating non-Gaussian error distributions as Gaussian can give significantly erroneous estimates of observation impact. The degree of the error depends not only on the nature of the non-Gaussian structure, but also on the metric used to measure the observation impact and the source of the non-Gaussian structure.

Revisiting asymmetry for the decaying phases of El Niño and La Niña

This study investigated the relationship between the asymmetry in the duration of El Ni?o and La Ni?a and the length of their decaying phases. The results suggested that the duration asymmetry comes from the long decaying ENSO cases rather than the short decaying ones. The evolutions of short decaying El Ni?o and La Ni?a are approximately a mirror image with a rapid decline in the following summer for the warm and cold events. However, a robust asymmetry was found in long decaying cases, with a prolonged and re-intensified La Ni?a in the following winter. The asymmetry for long decaying cases starts from the westward extension of the zonal wind anomalies in a mature winter, and is further contributed to by the air-sea interaction over the tropical Pacific in the following seasons.

Tidal friction in close-in satellites and exoplanets: The Darwin theory re-visited

This report is a review of Darwin`s classical theory of bodily tides in which we present the analytical expressions for the orbital and rotational evolution of the bodies and for the energy dissipation rates due to their tidal interaction. General formulas are given which do not depend on any assumption linking the tidal lags to the frequencies of the corresponding tidal waves (except that equal frequency harmonics are assumed to span equal lags). Emphasis is given to the cases of companions having reached one of the two possible final states: (1) the super-synchronous stationary rotation resulting from the vanishing of the average tidal torque; (2) capture into the 1:1 spin-orbit resonance (true synchronization). In these cases, the energy dissipation is controlled by the tidal harmonic with period equal to the orbital period (instead of the semi-diurnal tide) and the singularity due to the vanishing of the geometric phase lag does not exist. It is also shown that the true synchronization with non-zero eccentricity is only possible if an extra torque exists opposite to the tidal torque. The theory is developed assuming that this additional torque is produced by an equatorial permanent asymmetry in the companion. The results are model-dependent and the theory is developed only to the second degree in eccentricity and inclination (obliquity). It can easily be extended to higher orders, but formal accuracy will not be a real improvement as long as the physics of the processes leading to tidal lags is not better known.

Testing the hypothesis of contagion using multivariate volatility models

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis.

Combined D0 measurements constraining the CP-violating phase and width difference in the B-s(0) system

We combine the D0 measurement of the width difference between the light and heavy B-s(0) mass eigenstates and of the CP-violating mixing phase determined from the time-dependent angular distributions in the B-s(0)-> J/psi phi decays along with the charge asymmetry in semileptonic decays also measured with the D0 detector. With the additional constraint from the world average of the flavor-specific B-s(0) lifetime, we obtain Delta Gamma(s)equivalent to(Gamma(L)-Gamma(H))=0.13 +/- 0.09 ps(-1) and vertical bar phi(s)vertical bar=0.70(-0.47)(+0.39) or Delta Gamma(s)=-0.13 +/- 0.09 ps(-1) and vertical bar phi(s)vertical bar=2.44(-0.39)(+0.47). The data sample corresponds to an integrated luminosity of 1.1 fb(-1) accumulated with the D0 detector at the Fermilab Tevatron Collider.

Evidence for an anomalous like-sign dimuon charge asymmetry

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Evidence for an Anomalous Like-Sign Dimuon Charge Asymmetry

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Nucleon magnetic moments in light-front models with quark mass asymmetries

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Broiler walking ability and toe asymmetry under harsh rearing conditions

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Karyotype analysis in Brachiaria (Poaceae) species

This is the first karyotype characterization of Brachiaria species. Twelve accessions belonging to five species were analysed. The basic chromosome number was x = 9 and 7, the same reported for the tribe Paniceae. Variations in the chromosome number were observed in B. decumbens (2n = 18; 36) and B. humidicola (20 = 36; 42; 54). Chromosome numbers of 20 = 18 in B. ruziziensis and 20 = 36 in B. brizantha and B. jubata were recorded. Inter- and intraspecific karyotype differentiation of the accessions analysed was facilitated by variations in karyotypic symmetry. The karyotypes were generally considered symmetrical, with a tendency to asymmetry in the direction of the polyploids. It is suggested that addition, deletions and mainly polyploidy have been the most direct causes involved in the chromosome evolution of this genus.

Asymmetry parameter for nonmesonic hypernuclear decay

We give general expressions for the vector asymmetry in the angular distribution of protons in the nonmesonic weak decay of polarized hypernuclei. From these we derive an explicit expression for the calculation of the asymmetry parameter, a(Lambda), which is applicable to the specific cases of He-5(Lambda) and C-12(Lambda) described within the extreme shell model. In contrast to the approximate formula widely used in the literature, it includes the effects of three-body kinematics in the final states of the decay and correctly treats the contribution of transitions originating from single-proton states beyond the s-shell. This expression is then used for the corresponding numerical computation of a(Lambda) within several one-meson-exchange models. Besides the strictly local approximation usually adopted for the transition potential, we also consider the addition of the first-order nonlocality terms. We find values for a(Lambda) ranging from -0.62 to -0.24, in qualitative agreement with other theoretical estimates but in contradiction with some recent experimental determinations.

VOICES FROM THE SOUTH: DIALOGICAL RELATIONSHIPS AND COLLABORATION IN MATHEMATICS EDUCATION

This chapter presents a collaborative experience between two neighbouring countries from South America: Argentina and Brazil. Our purpose is to share a model of international collaboration that we consider to be an alternative to the classical movement of early mathematical and scientific knowledge between East and West and between North and South. We start our chapter with a general discussion about the phenomenon of globalization considering some local examples. We characterize our collaboration exploring the tensions and difficulties we faced along our own professional development at the local as well as the international level. We describe the development of our prior collaborative work that established the foundation for our international collaboration portraying the local mathematics education communities. We refer to some balances that were created among our relationships, the expansion of our collaborative network, and how this particular collaboration allows us to contribute to the regional field and inform the international one. We discuss the way that the search for balance and symmetry, or at least a complementary asymmetry in our collaborative relationships, has led us to generate a genuine and equitable collaboration.

Accountability in Smart Microgrids Based on Conservative Power Theory

Smart microgrids offer a new challenging domain for power theories and metering techniques because they include a variety of intermittent power sources which positively impact on power flow and distribution losses but may cause voltage asymmetry and frequency variation. In smart microgrids, the voltage distortion and asymmetry in presence of poly-phase nonlinear loads can be also greater than in usual distribution lines fed by the utility, thus affecting measurement accuracy and possibly causing tripping of protections. In such a context, a reconsideration of power theories is required since they form the basis for supply and load characterization. A revision of revenue metering techniques is also suggested to ensure a correct penalization of the loads for their responsibility in generating reactive power, voltage asymmetry, and distortion. This paper shows that the conservative power theory provides a suitable background to cope with smart grids characterization and metering needs. Simulation and experimental results show the properties of the proposed approach.