Conditional VaR estimation using Pearson’s type IV distribution

This paper presents a new value at risk (VaR) estimation model for equity returns time series and tests it extensively on Stock Indices of 14 countries. Two most important stylized facts of such series are volatility clustering, and non-normality as a result of fat tails of the return distribution. While volatility clustering has been extensively studied using the GARCH model and its various extensions, the phenomenon of non-normality has not been comprehensively explored, at least in the context of VaR estimation. A combination of extreme value theory (EVT) and GARCH has been explored to analyze financial data showing non-normal behavior. This paper proposes a combination of the Pearson’s Type IV distribution and the GARCH (1, 1) approach to furnish a new method with superior predictive abilities. The approach is back tested for the entire sample as well as for a holdout sample using rolling windows.     

Gas-solid interaction force from direct numerical simulation (DNS) of binary systems with extreme diameter ratios

nding the large particles becomes less in case ofa bidisperse mixture, as compared to a monodisperse system with the same volume fraction. We further investigated this discrepancy by calculating the volume per particle by means of Voronoi tessellation.     

Analytic structure of ρ meson propagator at finite temperature

We analyse the structure of one-loop self-energy graphs for the ρ meson in real time formulation of finite temperature field theory. We find the discontinuities of these graphs across the unitary and the Landau cuts. These contributions are identified with different sources of medium modification discussed in the literature. We also calculate numerically the imaginary and the real parts of the self-energies and construct the spectral function of the ρ meson, which are compared with an earlier determination. A significant contribution arises from the unitary cut of the π ω loop, that was ignored so far in the literature.     

Synthesis and biological evaluation of novel triazole-biscoumarin conjugates as potential antitubercular and anti-oxidant agents

Research on Chemical Intermediates - The synthesis of a new series of triazole-biscoumarin conjugates by using a molecular hybridization approach is described. The newly synthesized compounds...     

Perturbed angular correlation study of radiation-induced defects in Rh metal

Radiation-induced defects are studied in cubic rhodium metal, using the local probe technique ‘Time differential perturbed angular correlation’ (TDPAC) at liquid N₂ temperature. Isochronal annealing was done at 300, 1073 and 1473 K temperatures. The irradiated sample showed two quadrupole interaction frequencies at 1150 and 93 MHz. The low frequency disappeared at room-temperature annealing, which was assigned to In trapped at a vacancy, whereas the higher frequency remained up to high temperatures and was attributed to In trapped at Rh–C complexes in the Rh matrix.     

Implications of Space-Time Foam for Entanglement Correlations of Neutral Kaons

The role of CPT invariance and consequences for bipartite entanglement of neutral (K) mesons are discussed. A relaxation of CPT leads to a modification of the entanglement which is known as the ω effect. The relaxation of assumptions required to prove the CPT theorem are examined within the context of models of space-time foam. It is shown that the evasion of the EPR type entanglement implied by CPT (which is connected with spin statistics) is rather elusive. Relaxation of locality (through non-commutative geometry) or the introduction of an environment do not by themselves lead to a destruction of the entanglement. One model of the environment, which is based on non-critical strings and D-particle capture and recoil, leads to a specific momentum dependent stochastic contribution to the space-time metric and consequent change in the neutral meson bipartite entanglement. Although the class of models producing the omega effect is non-empty, the lack of an omega effect is demonstrated for a wide class of models based on thermal like baths which are often considered as generic models appropriate for the study of space-time foam.     

Radial variation of pump and signal intensities in EDFA; accurate prediction by a novel approximation of the fundamental modal field

The doped fiber amplifier has already emerged as the indispensable potential candidate for repeaterless transmission of information processed through single mode. Therefore the fundamental modal field in the doped single-mode fiber needs to be accurately prescribed both in the pump as well as the signal to facilitate further study of their variation with distance. Based on the novel approximation of the fundamental modal field in graded-index fiber, we formulate analytical expression as regards the variation of modal intensity with radial distance from the axis of the fiber both for the pump and the signal fields and estimate such variation for step-index fiber of some typical V values as example. We find that our estimation matches excellently with the available exact results in case of both the pump and the signal and is shown to be much superior to one-parameter Gaussian approximation. In addition, our methodology involves less computation compared to the exact analysis involving cumbersome computation.     

Modelling of multifrequency IRMPD for laser isotope separation

The process of infrared multiple photon dissociation (IRMPD) of molecules is of great fundamental importance and has practical significance, such as isotope separation etc. Unfortunately, a clear insight into the process has been hindered by the bewildering array of important variables affecting MPD. The dissociation probability γ (φ) i.e. the yield has been found to be a sensitive function of laser fluence φ along with numerous other parameters like laser frequency, gas pressure etc. We have shown that in single frequency IRMPD, an accurate quantitative characterization of the dissociation probability can be adequately expressed by a ‘power law’ model with two fitting parameters namely critical fluence, φ_c and multiphoton order,m. This model was exploited in analysing our MPD results on various systems. However, the small isotope shift encountered in heavy elements and the sticking phenomenon observed in small light molecules restrict respectively the separation factor and the dissociation yield. These problems can effectively be tackled by irradiation with multifrequency laser beams which can be chosen appropriately on the basis of spectroscopic features. Based on our success in single frequency model, multifrequency IRMPD is modelled by a functional form containing the product of power law terms for individual fluences on irradiation frequencies. This model is successfully benchmarked with our experimental results on multifrequency LIS of tritium. Such knowledge can be utilized for appropriate separation process design, evaluation and optimization.     

Nachweis und Bestimmung des Mangans sowie seine Trennung von anderen Elementen

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