Selection of Value‐at‐Risk models

Value‐at‐Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertakes two case studies in model selection, for the S&P 500 index and India's NSE‐50 index, at the 95% and 99% levels. We employ a two‐stage model selection procedure. In the first stage we test a class of models for statistical accuracy. If multiple models survive rejection with the tests, we perform a second stage filtering of the surviving models using subjective loss functions. This two‐stage model selection procedure does prove to be useful in choosing a VaR model, while only incompletely addressing the problem. These case studies give us some evidence about the strengths and limitations of present knowledge on estimation and testing for VaR. Copyright © 2003 John Wiley & Sons, Ltd.     

An AI Embedded Object-Oriented Approach for Formulating Computable General Equilibrium

1.INTRODUCTIONOneofthemajoradvancementinappliedeconomicssince1970sistheconversionofthewellknownWalrasiangeneralequilibriumstructurefromanabstractrepreselltationofaneconomyintorealisticmodelsofactualeconomies.Theconversion,knownascomputablegeneralequilibrium(CGE)modeling,isdonebyendowingthesystemofwell-specifieddemandandsupplyequationswithempiricalcontentsandcomputationalgorithms.Withincreasingcomputerpower,thecomputablegeneralequilibriumanalysishasgraduallybecomeaverycompetitionanalytica…     

稀土元素多元杂多配合物振动光谱的研究

稀土元素含钼杂多酸根配合物,含钼、钨杂多酸根配合物,以及钒、钼或钨混合多元杂多酸根配合物,共100余种,首次被合成出来。测定了它们的 IR 光谱,通过与相应的 Keggin 结构和 Dawson 结构的 IR 光谱比较,对某些主要谱带进行指认,讨论了它们的特征与变化规律。     

Effect of spermine on adenyl cyclase activity of spermatozoa

Zusammenfassung Zusätze physiologischer Sperminkonzentrationen (2–14 mM) zu menschlichen Spermiensuspensionen bewirken eine Steigerung der Adenylcyclase-Aktivität, wie sie durch die vermehrte Bildung von cAMP aus ATP angezeigt wird.     

Many-body and correlation effects in semiconductors

Solids consist of 1022-1023 particles per cubic centimetre, interacting through infinite-range Coulomb interactions. The linear response of a solid to a weak external perturbation is well described by the concept of non-interacting 'quasiparticles' first introduced by Landau. But interactions between quasiparticles can be substantial in dense systems. For example, studies over the past decade have shown that Coulomb correlations between quasiparticles dominate the nonlinear optical response of semiconductors, in marked contrast to the behaviour of atomic systems. These Coulomb correlations and other many-body interactions are important not only for semiconductors, but also for all condensed-matter systems.     

Comparison of DMSO and glycerol as cryoprotectants for ascites tumor cells

Summary Mouse Ehrlich ascites and rat D23 ascites tumors were stored in liquid nitrogen under identical conditions for up to 3 years. Cell viability (trypan blue exclusion) and transplantability of both tumors in animals remained virtually unaffected if preserved in 10% DMSO containing medium, whereas, cells preserved in 10% glycerol failed to produce lethal tumors in rodents.This work was performed at the Cancer Research Unit, Royal Victoria Infirmary, Newcastle Upon Tyne, England. I thank John Geggie for expert technical assistance; to the North of England Council of the Cancer Research Campaign and the National Science Foundation (ENG-78-25432) for financial support; and to Dr John A. Dickson for advice and encouragement. Also, I am indebted to Professor Rakesh K. Jain for his support.     

水流量标准装置微机化的研究

本文研究将微型计算机引入容器稳压法的水流量标准装置。从性能、价格等因素出发,采用两台低价的单板机构成双机主-从并行系统,满足了水流量标准装置实时控制和数据处理并行工作的要求,其结果降低了水流量标准装置对流量稳定性的苛刻要求。