High and intermediate resolution observations of the blue and the Hα spectral regions of the symbiotic star AG Dra at quiescence and during an active phase in 1994 and 1995 were performed. Variations of profiles, fluxes and radial velocity data of a number of emission lines are investigated. The width (FWHM) of all of these lines was very large at times close to the 1994 light maximum. The emis...

Primary concerns for traders since the deregulation of electricity markets include both the selection of optimal trading limits and risk quantification. These concerns have come about as a consequence of the unique stylized attributes of electricity spot prices, such as the clustering of extremes, heavy tails and common spikes. We propose self-exciting marked point process models, which can be ...

We approximate the error density of a nonparametric regression model by a mixture of Gaussian densities with means being the individual error realizations and variance a constant parameter. We investigate the construction of a likelihood and posterior for bandwidth parameters under this Gaussian-component mixture density of errors in a nonparametric regression. A Markov chain Monte Carlo algori...

This paper analyzes the risk-return trade-off in the hedge fund industry. We compare semi-deviation, value-at-risk (VaR), Expected Shortfall (ES) and Tail Risk (TR) with standard deviation at the individual fund level as well as the portfolio level. Using the Fama and French (1992) methodology and the combined live and defunct hedge fund data from TASS, we find that the left-tail risk captured ...