Testing for tail breaks in currency returns

In this work project we study the tail properties of currency returns and analyze whether changes in the tail indices of these series have occurred over time as a consequence of turbulent periods. Our analysis is based on the methods introduced by Quintos, Fan and Phillips (2001), Candelon and Straetmans (2006, 2013), and their extensions. Specifically, considering a sample of daily data from December 31, 1993 to February 13, 2015 we apply the recursive test in calendar time (forward test) and in reverse calendar time (backward test) and indeed detect falls and rises in the tail indices, signifying increases and decreases in the probability of extreme events.

Tail Inference for a Law in a Max-Semistable Domain of Attraction

2000 Mathematics Subject Classification: 62G32, 62G05.

Testing of a Market Fraction Model and Power-law Behaviour in the DAX 30

This paper tests a simple market fraction asset pricing model with heterogeneous
agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model share the same pattern as those of the DAX 30. By conducting econometric analysis via Monte Carlo simulations, we characterize these power-law behaviours and find that estimates of the power-law decay indices, the (FI)GARCH parameters, and the tail index of the selected market fraction model closely match those of the DAX 30. The results strongly support the explanatory power of the heterogeneous agent models.

The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental and technical analysis when making investment decisions. By conducting econometric analysis via Monte Carlo simulations, we show that the autocorrelation patterns, the estimates of the power-law decay indices, (FI)GARCH parameters, and tail index of the model match closely the corresponding estimates for the DAX 30. A mechanism analysis based on the calibrated model provides further insights into the explanatory power of heterogeneous agent models.

A comparison of extreme value theory approaches for determining value at risk

This paper compares a number of different extreme value models for determining the value at risk (VaR) of three LIFFE futures contracts. A semi-nonparametric approach is also proposed, where the tail events are modeled using the generalised Pareto distribution, and normal market conditions are captured by the empirical distribution function. The value at risk estimates from this approach are compared with those of standard nonparametric extreme value tail estimation approaches, with a small sample bias-corrected extreme value approach, and with those calculated from bootstrapping the unconditional density and bootstrapping from a GARCH(1,1) model. The results indicate that, for a holdout sample, the proposed semi-nonparametric extreme value approach yields superior results to other methods, but the small sample tail index technique is also accurate.

Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

“We eat more than kangaroo tail or dugong you know…” : recent indigenous Australian cookbooks

This paper focuses on a series of cookbooks published by Indigenous Australian groups. These cookbooks are typically produced with government funding, and are developed by nutritionists, dieticians, and health workers in consultation with local communities. They are designed to teach Indigenous Australians to cook healthy, nutritious, low-cost meals. In this paper, Fredericks and Anderson identify the value of these cookbooks as low-cost, public health interventions. However, they note that their value as health interventions has not been tested. Fredericks and Anderson question the value of these cookbooks within the broader context of the health disadvantage faced by Indigenous Australians. They argue that the cookbooks are developed from a Western perspective of health and nutrition that fails to recognise the value of traditional Indigenous foodways. They suggest that incorporating more Indigenous food knowledge and food-related traditions into cookbooks may be one way of improving health among Indigenous peoples and revitalising Indigenous knowledge.

Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators

This article proposes computing sensitivities of upper tail probabilities of random sums by the saddlepoint approximation. The considered sensitivity is the derivative of the upper tail probability with respect to the parameter of the summation index distribution. Random sums with Poisson or Geometric distributed summation indices and Gamma or Weibull distributed summands are considered. The score method with importance sampling is considered as an alternative approximation. Numerical studies show that the saddlepoint approximation and the method of score with importance sampling are very accurate. But the saddlepoint approximation is substantially faster than the score method with importance sampling. Thus, the suggested saddlepoint approximation can be conveniently used in various scientific problems.

Contribution to Load-Frequency Regulation of a Hydropower Plant with Long Tail-Race Tunnel

In this paper, a hydroelectric power plant with long tail-race tunnel has been modelled for assessing its contribution to secondary regulation reserve. Cavitation problems, caused by the discharge conduit length, are expected downstream the turbine where low pressure appears during regulation manoeuvres. Therefore, governor's gains should be selected taking into account these phenomena. On the other hand, regulation services bidden by the plant operator should fulfil TSO (Transmission System Operator) quality requirements. A methodology for tuning governor PI gains is proposed and applied to a Hydro power plant in pre-design phase in northwest area of Spain. The PI gains adjustment proposed provides a proper plant response, according to some established indexes, while avoiding cavitation phenomena.

Theologiae elenchticae nova synopsis, sive, Index controversiarum fidei ex Sacris Scripturis : à Jacobo Tirino Jesuita concinnatus, & censura perpetua auctus, emendatus, refutatus /

"Addenda ad tomum primum[-secundum]"--Tomus 2, p. 1048-1065.

Evaluating functions using tail recursion and parameter substitution

This article shows a general way to implement recursive functions calculation by linear tail recursion. It emphasizes the use of tail recursion to perform computations efficiently.