1,724,524 research outputs found
Estimating value-at-risk for portfolios: skewed-EWMA forecasting via copula
No full textWith the increasing complexity of risks, how to estimate the risk of portfolios with complex dependencies is challenging. Recently, Lu and Huang (2007) proposed a skewed-b WMA procedure to calculate value-at-risk (VaR) for individual financial assets, which is derived from an asymmetric Laplace distribution and takes into account both skewness and heavy tails of the return distribution that are adaptive to the time-varying nature in practice by adjusting shape parameter in the distribution. In this paper, we extend the skewed-EWMA procedure to estimating the risk of complex portfolios with dependencies modelled via copula. Monte Carlo simulation procedure that combines copula techniques with skewed-EWMA forecasting is developed. The empirical backtesting evaluation of the VaR forecasting demonstrates that the proposed method can be a useful tool in estimating extreme risks of some complex portfolios
Influence of psychogenic and neurogenic stressors on endocrine and immune activity: differential effects in fast and slow seizing rat strains
No full textVariations of plasma ACTH and corticosterone, splenic macrophage activity, and mitogen-induced cell proliferation were determined in male rats following 15 min of either neurogenic stress (restraint) or psychogenic stress (exposure to a ferret). The effects of these stressors were assessed in 2 strains of rats bred for either Fast or Slow kindling epileptogenesis triggered in response to amygdala stimulation
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Influence of a psychogenic and a neurogenic stressor on several indices of immune functioning in different strains of mice
No full textExamined whether cell proliferation in response to mitogens, natural killer cell (NK) activity, and macrophage functioning of mice may be influenced by either a neurogenic stressor (footshock) or psychogenic stressor (exposing the mouse to a predator, namely a rat)
Variations on the Author
Full text link“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
Tha cos 2 phi asymmetry of Drell-Yan and J/psi production in unpolarized p anti-p scattering
No full textAppropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe 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
Iterative ilu preconditioners for linear systems and eigenproblems
No full textIterative ILU factorizations are constructed, analyzed and applied as preconditioners to solve both linear systems and eigenproblems. The computational kernels of these novel Iterative ILU factorizations are sparse matrix-matrix multiplications, which are easy and efficient to implement on both serial and parallel computer architectures and can take full advantage of existing matrix-matrix multiplication codes. We also introduce level-based and threshold-based algorithms in order to enhance the accuracy of the proposed Iterative ILU factorizations. The results of several numerical experiments illustrate the efficiency of the proposed preconditioners to solve both linear systems and eigenvalue problems
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