1,721,098 research outputs found
An approach to allowing for heteroskedasticity with heavy-tailed distribution for value-at-risk estimation / Chun-Nan Lin.
No full text[[abstract]]本研究提出一個結合Power EWMA估計式和極值理論以估計報酬序列具有條件異質性波動以及厚尾特性的兩階段風險值模型。本研究實證八種國際股票指數，研究期間從1991年3月1日至2003年12月31日。本文分別使用Kupiec (1995)所提出非條件覆蓋模型以及Christofferson (1998)進ㄧ步擴大Kupiec所忽略與時俱變波動假設的條件覆蓋模型來驗證本研究所提出兩階段模型的準確性。
本研究提出波動預測及風險值的探討，且應用於分析股票市場股價日報酬率，使用的股票市場標的在亞洲方面包含台灣加權股價指數 (Taiwan Weighted, TWASI)、香港恆生指數 (Heng Seng Index, HSI)、新加坡海峽指數 (Strait Times, STI)以及吉隆坡綜合股價指數 (Kuala Lumpur Stock Index, KLSI)，在歐美市場部份則有美國道瓊股價指數 (DJIA)、標準普爾500指數 (S&P 500)、法國CAC 40指數以及德國法蘭克福商銀指數 (Frankfurt-Commerzbk Indx, FCI)，實證結果發現，當信賴水準99%以上時本文的模型普遍能準確估計風險值；此外，本文的模型相較於McNeil and Frey (2000)的方法具有容易執行的特性。[[abstract]]This study proposes a methodology, a simple two-stage method, to estimating Value-at-Risk (VaR). The proposed approach combines the power EWMA to estimate the current volatility allowing for volatility clustering and extreme value theory (EVT) for capturing the tail fatness apparent in the distribution of asset returns. The empirical study illustrates daily returns of eight international stock markets for the period March 1, 1991 to October 31, 2003. To evaluate the accuracy of the proposed approach, the study employs the backtesting developed by Kupiec (1995) unconditional coverage ratios and Christofferson (1998) conditional coverage ratios. The empirical evidence suggests that the two-stage method offers accurate VaR estimates over the eight stock indices at confidence levels above 99%. Furthermore, the approach is easier to implement than that of McNeil and Frey (2000) for VaR estimation and therefore provides more practicability
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
\ue4\ub8\ue3Research of Bioactive Natural Products from Calophyllum inophyllum L. \ue4\uba\ue3Semisynthesis Taxane Diterpenoids As Potential Antitumor Agents
No full textCalophyllum inophyllum is a medicinal plant that is rich in bioactive natural products. Calophinone\uef\ubc29\uef\ubc\ue3caloxanthone I\uef\ubc30\uef\ubc\ue3brasilixanthone B\uef\ubc31\uef\ubc\ue3pyranojacareubin\uef\ubc32\uef\ubc and osajaxanthone\uef\ubc33\uef\ubcare five compounds which were isolated from the bark in this experiment. It is the first time to isolate calophinone\uef\ubc29\uef\ubc from a matural source. In order to identify calophinone\uef\ubc29\uef\ubc, 6-acetylcalophinone\uef\ubc34\uef\ubc was prepared via acylation. All structures were determined primarily on the basis of 1D, 2D NMR\ue3UV\ue3IR and Mass spectral analyses. Besides, biological studies don\ue2t reveal that Calophinone\uef\ubc29\uef\ubc\ue3caloxanthone I\uef\ubc30\uef\ubc\ue3brasilixanthone B\uef\ubc31\uef\ubc\ue3pyranojacareubin\uef\ubc32\uef\ubc\ue3osajaxanthone\uef\ubc33\uef\ubcand 6-acetylcalophinone\uef\ubc34\uef\ubc, exhibited in vitro cytotoxicity against human liver carcunoma\ue3Human oral epidermoid carcunoma and Human cervical epidermoid carcunoma.
In addition, four new Taxoid derivatives that were 13-O-camphanyl-7-O -nicotinoylbaccatin III\uef\ubc34\uef\ubc\ue313-O-camphanyl-1-deoxybaccatin VI\uef\ubc35\uef\ubc\ue313-O-\uef\ubc4-chlorobenzoyl\uef\ubc-7-O-nicotinoylbaccatin III\uef\ubc36\uef\ubcand 13-O-benzoyl-7-O -nicotinoylbaccatin III\uef\ubc37\uef\ubchave been prepared via esterification under sonication starting from 13-deacetyl-7-O-nicotinoylbaccatin III\uef\ubc32\uef\ubc and 13-deacetyl-1-deoxybaccatin VI\uef\ubc31\uef\ubc. All the structures were established primarily on the basis of 1D and 2D NMR techniques including DEPT, COSY, HMBC experiments, as well as comparison with known related compounds. It was deemed quite promising to investigate the structure-activity relationship ( SAR ) for the C - 13 side chain analogues of Taxol with some modification of the baccatin III\uef\ubc30\uef\ubc moiety in order to discover more effective anticancer agents with better pharmacological properties.
Compounds 34 and 35 showed significant cytotoxicity against prostate cancer cell line\uef\ubcPC-3\uef\ubc. Under concentration of 10\uce\ubcM, the cell survival percent was 76% and 65% in case of compounds 34 and 35 compared to 60 % in case of Taxol. According to the structure-activity relationship, nicotinoyl and camphanic acyl group should be the source of activity in compounds 30 and 31. Consequently, it is necessary to introduce nicotinoyl chloride and camphanic acyl chloride groups via chemical reaction to improve the bioactivity
Studies on the Bioactive Diterpene Lactones of Soft Coral Cespitularia taeniata
No full textFour new diterpenoids, cespitulactones A-B (1-2), C4B1 (7) and E3A (8), were isolated from the soft coral Cespitularia taeniata collected in Taiwan, at a depth of 25 m, together with five known compounds, cespitularin F (3), 6-O-acetylcespitularin F (4), cespitularin D (5), flaccidoxide-13-acetate (6) and florlide A (9). Compound 1 possesses a novel structure with a bond cleavage between C-10 and C-11, and having a 14-membered lactone ring junction between C-10 and C-12. Compounds 2 and 8 have the verticillane skeleton, and compound 9 possesses the cespitularane skeleton. Their structures were elucidated on the basis of extensive spectroscopic analysis and chemical derivatization.
The isolated compounds were also evaluated for cytotoxicity toward human cancer cell lines. Compound 1 exhibited significant cytotoxicity against human cervical epitheloid carcinoma (HeLa) and colon adenocarcinoma (DLD-1) cancer cells with IC50 of 3.69 and 9.98 \uce\ubcg/mL, respectively. Flaccidoxide-13-acetate (6) showed mild activity against human medulloblastoma (Daoy) and colon (WiDr) cancer cells at 16.9 and 13.8 \uce\ubcg/mL, respectively
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