The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional approaches to VAR computations the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing do not provide satisfactory evaluation of possible losses. In this paper we review the recent advances in the VAR methodologies. The proposed improvements sti...

The Vector Autoregressive (VAR) model, the Error Correction Model (ECM), and the Kalman Filter Model (KFM) are used to forecast UK stock prices. The forecasting performance of the three models is compared using out of sample forecasting. The results show that the forecasting performance of the ECM is better than that of the VAR and the KFM, and that the VAR performs a forecasting better than th...

In this paper we study the model risk of Expected Shortfall (ES), extending the results of Boucher et al. (2014) on model risk of Value-at-Risk (VaR). We propose a correction formula for ES based on passing three backtests. Our results show that for the DJIA index, the smallest corrections are required for the ES estimates built using GARCH models. Furthermore, the 2.5% ES requires smaller corr...

Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic ‡uctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with some of the DSGE misspeci…cations as they are able to solve the tradeo¤ between theoretical coherence and empirical …t. However, these models are still linear and they do not con...

In this article we investigate the theoretical behaviour of finite lag VAR(n) models fitted to time series that in truth come from an infinite order VAR(∞) data generating mechanism. We show that overall error can be broken down into two basic components, an estimation error that stems from the difference between the parameter estimates and their population ensemble VAR(n) counterparts, and an ...

Sixty clinical isolates of Cryptococcus neoformans from AIDS from Goiânia, state of Goiás, Brazil, were characterized according to varieties, serotypes and tested for antifungal susceptibility. To differentiate the two varieties was used L-canavanine-glycine-bromothymol blue medium and to separate the serotypes was used slide agglutination test with Crypto Check Iatron. The Minimal Inhibitory C...

This study is the first report to suggest a morphological phylogenetic framework for the seven varieties of Ficus deltoidea Jack (Ficus: Moraceae) from the Malay Peninsula of Malaysia. Several molecular-based classifications on the genus Ficus had been proposed, but neither had discussed the relationship between seven varieties of F. deltoidea to its allies nor within the varieties. The relatio...

The human malaria parasite Plasmodium falciparum modifies the erythrocyte it infects by exporting variant proteins to the host cell surface. The var gene family that codes for a large, variant adhesive surface protein called P. falciparum erythrocyte membrane protein 1 (PfEMP1) plays a particular role in this process, which is linked to pathogenesis and immune evasion. A single member of this g...

Casearia sylvestris Swartz (Salicaceae) has been used in traditional medicine and its leaf extracts have been exhibited important pharmacological activities. The species presents morphological, chemical and genetic variation. Two varieties are considered due external morphological differences: C. sylvestris var. sylvestris and var. lingua. There are difficulties in definition of these varieties...

Plasmodium falciparum origin recognition complex 1 (ORC1) protein has been implicated in DNA replication and silencing var gene family. However, the mechanism and the domain structure of ORC1 related to the regulation of var gene family are unknown. Here we show that the unique N-terminus of PfORC1 (PfORC1N(1-238)) is targeted to the nuclear periphery in vivo and this region binds to the telome...