Search results for: threshold autoregressive model

Authors: Chiung-Ju Huang

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This study examines whether the Taiwan’s public debt is sustainable utilizing an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. The empirical results show that Taiwan’s public debt appears as a nonlinear series and is stationary in regime 1 but not in regime 2. This result implies that while Taiwan’s public debt was mostly sustainable over the 1996 to 2013 period examined in the study, it may no longer be sustainable in the most recent two years as the public debt ratio has increased cumulatively to 3.618%.

Keywords: nonlinearity, public debt, sustainability, threshold autoregressive model

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Authors: Anthony Usoro

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In this paper, two classes of bilinear time series model are obtained under certain conditions from the general bilinear autoregressive moving average model. Bilinear Autoregressive (BAR) and Bilinear Moving Average (BMA) Models have been identified. From the general bilinear model, BAR and BMA models have been proved to exist for q = Q = 0, => j = 0, and p = P = 0, => i = 0 respectively. These models are found useful in modelling most of the economic and financial data.

Keywords: autoregressive model, bilinear autoregressive model, bilinear moving average model, moving average model

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Authors: Suparman Suparman

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A white noise in autoregressive (AR) model is often assumed to be normally distributed. In application, the white noise usually do not follows a normal distribution. This paper aims to estimate a parameter of AR model that has a exponential white noise. A Bayesian method is adopted. A prior distribution of the parameter of AR model is selected and then this prior distribution is combined with a likelihood function of data to get a posterior distribution. Based on this posterior distribution, a Bayesian estimator for the parameter of AR model is estimated. Because the order of AR model is considered a parameter, this Bayesian estimator cannot be explicitly calculated. To resolve this problem, a method of reversible jump Markov Chain Monte Carlo (MCMC) is adopted. A result is a estimation of the parameter AR model can be simultaneously calculated.

Keywords: autoregressive (AR) model, exponential white Noise, bayesian, reversible jump Markov Chain Monte Carlo (MCMC)

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Authors: Nicola Rubino

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This paper presents an analysis of a group of commodity exporting countries' nominal exchange rate movements in relationship to the US dollar. Using a series of Unrestricted Self-exciting Threshold Autoregressive models (SETAR), we model and evaluate sixteen national CPI price differentials relative to the US dollar CPI. Out-of-sample forecast accuracy is evaluated through calculation of mean absolute error measures on the basis of two-hundred and fifty-three months rolling window forecasts and extended to three additional models, namely a logistic smooth transition regression (LSTAR), an additive non linear autoregressive model (AAR) and a simple linear Neural Network model (NNET). Our preliminary results confirm presence of some form of TAR non linearity in the majority of the countries analyzed, with a relatively higher goodness of fit, with respect to the linear AR(1) benchmark, in five countries out of sixteen considered. Although no model appears to statistically prevail over the other, our final out-of-sample forecast exercise shows that SETAR models tend to have quite poor relative forecasting performance, especially when compared to alternative non-linear specifications. Finally, by analyzing the implied half-lives of the > coefficients, our results confirms the presence, in the spirit of arbitrage band adjustment, of band convergence with an inner unit root behaviour in five of the sixteen countries analyzed.

Keywords: transition regression model, real exchange rate, nonlinearities, price differentials, PPP, commodity points

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Authors: Navid Daryasafar, Nima Farshidfar

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In this article, we make attempt to hide error in video with an emphasis on the time-wise use of autoregressive (AR) models. To resolve this problem, we assume that all information in one or more video frames is lost. Then, lost frames are estimated using analogous Pixels time information in successive frames. Accordingly, after presenting autoregressive models and how they are applied to estimate lost frames, two general methods are presented for using these models. The first method which is the same standard method of autoregressive models estimates lost frame in unidirectional form. Usually, in such condition, previous frames information is used for estimating lost frame. Yet, in the second method, information from the previous and next frames is used for estimating the lost frame. As a result, this method is known as bidirectional estimation. Then, carrying out a series of tests, performance of each method is assessed in different modes. And, results are compared.

Keywords: error steganography, unidirectional estimation, bidirectional estimation, AR linear estimation

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Authors: Georgi I. Petkov, Ivan I. Vankov, Yolina A. Petrova

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A structure-based model of category learning and categorization at different levels of abstraction is presented. The model compares different structures and expresses their similarity implicitly in the forms of mappings. Based on this similarity, the model can categorize different targets either as members of categories that it already has or creates new categories. The model is novel using two threshold parameters to evaluate the structural correspondence. If the similarity between two structures exceeds the higher threshold, a new sub-ordinate category is created. Vice versa, if the similarity does not exceed the higher threshold but does the lower one, the model creates a new category on higher level of abstraction.

Keywords: analogy-making, categorization, learning of categories, abstraction, hierarchical structure

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Authors: Diteboho Xaba, Kolentino Mpeta, Tlotliso Qejoe

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This paper assesses the in-sample forecasting of the South African exchange rates comparing a linear ARIMA model and a SETAR model. The study uses a monthly adjusted data of South African exchange rates with 420 observations. Akaike information criterion (AIC) and the Schwarz information criteria (SIC) are used for model selection. Mean absolute error (MAE), root mean squared error (RMSE) and mean absolute percentage error (MAPE) are error metrics used to evaluate forecast capability of the models. The Diebold –Mariano (DM) test is employed in the study to check forecast accuracy in order to distinguish the forecasting performance between the two models (ARIMA and SETAR). The results indicate that both models perform well when modelling and forecasting the exchange rates, but SETAR seemed to outperform ARIMA.

Keywords: ARIMA, error metrices, model selection, SETAR

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Authors: Usoro Anthony E., Udoh Emediong

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Diagonal Vector Autoregressive Models are special classes of the general vector autoregressive models identified under certain conditions, where parameters are restricted to the diagonal elements in the coefficient matrices. Variance, autocovariance, and autocorrelation properties of the upper and lower diagonal VAR models are derived. The new set of VAR models is verified with empirical data and is found to perform favourably with the general VAR models. The advantage of the diagonal models over the existing models is that the new models are parsimonious, given the reduction in the interactive coefficients of the general VAR models.

Keywords: VAR models, diagonal VAR models, variance, autocovariance, autocorrelations

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Authors: Seyed Ahmad Mojallal

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Let G be a connected threshold graph of order n with m edges and trace T. In this talk we give a lower bound on Laplacian energy in terms of n, m, and T of G. From this we determine the threshold graphs with the first four minimal Laplacian energies. We also list the first 20 minimal Laplacian energies among threshold graphs. Let σ=σ(G) be the number of Laplacian eigenvalues greater than or equal to average degree of graph G. Using this concept, we obtain the threshold graphs with the largest and the second largest Laplacian energies.

Keywords: Laplacian eigenvalues, Laplacian energy, threshold graphs, extremal graphs

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Authors: Katleho Daniel Makatjane, Diteboho Lawrence Xaba, Ntebogang Dinah Moroke

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The current study investigates the behaviour of time-varying parameters that are based on the score function of the predictive model density at time t. The mechanism to update the parameters over time is the scaled score of the likelihood function. The results revealed that there is high persistence of time-varying, as the location parameter is higher and the skewness parameter implied the departure of scale parameter from the normality with the unconditional parameter as 1.5. The results also revealed that there is a perseverance of the leptokurtic behaviour in stock returns which implies the returns are heavily tailed. Prior to model estimation, the White Neural Network test exposed that the stock price can be modelled by a GAS model. Finally, we proposed further researches specifically to model the existence of time-varying parameters with a more detailed model that encounters the heavy tail distribution of the series and computes the risk measure associated with the returns.

Keywords: generalized autoregressive score model, South Africa, stock returns, time-varying

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Authors: Panudet Saengseedam, Nanthachai Kantanantha

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This paper proposes a linear mixed model (LMM) with spatial effects to forecast rice and cassava yields in Thailand at the same time. A multivariate conditional autoregressive (MCAR) model is assumed to present the spatial effects. A Bayesian method is used for parameter estimation via Gibbs sampling Markov Chain Monte Carlo (MCMC). The model is applied to the rice and cassava yields monthly data which have been extracted from the Office of Agricultural Economics, Ministry of Agriculture and Cooperatives of Thailand. The results show that the proposed model has better performance in most provinces in both fitting part and validation part compared to the simple exponential smoothing and conditional auto regressive models (CAR) from our previous study.

Keywords: Bayesian method, linear mixed model, multivariate conditional autoregressive model, spatial time series

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Authors: Boukari Nassim

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This paper describes the use of odd pair autoregressive coefficients (Yule _Walker and Burg) for the feature extraction of electroencephalogram (EEG) signals. In the classification: the radial basis function neural network neural network (RBFNN) is employed. The RBFNN is described by his architecture and his characteristics: as the RBF is defined by the spread which is modified for improving the results of the classification. Five types of EEG signals are defined for this work: Set A, Set B for normal signals, Set C, Set D for interictal signals, set E for ictal signal (we can found that in Bonn university). In outputs, two classes are given (AC, AD, AE, BC, BD, BE, CE, DE), the best accuracy is calculated at 99% for the combined odd pair autoregressive coefficients. Our method is very effective for the diagnosis of epileptic EEG signals.

Keywords: epilepsy, EEG signals classification, combined odd pair autoregressive coefficients, radial basis function neural network

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Authors: Mohsen Khaledian, Razali Ismail, Mehdi Saeidmanesh, Mahdiar Hosseinghadiry

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A semi-analytical model for impact ionization coefficient of graphene nanoribbon (GNR) is presented. The model is derived by calculating probability of electrons reaching ionization threshold energy Et and the distance traveled by electron gaining Et. In addition, ionization threshold energy is semi-analytically modeled for GNR. We justify our assumptions using analytic modeling and comparison with simulation results. Gaussian simulator together with analytical modeling is used in order to calculate ionization threshold energy and Kinetic Monte Carlo is employed to calculate ionization coefficient and verify the analytical results. Finally, the profile of ionization is presented using the proposed models and simulation and the results are compared with that of silicon.

Keywords: nanostructures, electronic transport, semiconductor modeling, systems engineering

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Authors: Watchareeporn Chaimongkol

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In this paper, we compare the statistical measures accuracy of composite forecasting model to estimate automobile customer demand in Thailand. A modified simple exponential smoothing and autoregressive integrate moving average (ARIMA) forecasting model is built to estimate customer demand of passenger cars, instead of using information of historical sales data. Our model takes into account special characteristic of the Thai automobile market such as sales promotion, advertising and publicity, petrol price, and interest rate for loan. We evaluate our forecasting model by comparing forecasts with actual data using six accuracy measurements, mean absolute percentage error (MAPE), geometric mean absolute error (GMAE), symmetric mean absolute percentage error (sMAPE), mean absolute scaled error (MASE), median relative absolute error (MdRAE), and geometric mean relative absolute error (GMRAE).

Keywords: composite forecasting, simple exponential smoothing model, autoregressive integrate moving average model selection, accuracy measurements

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Authors: Yu Li, Dongyao Wang, Xiaobao Sun, Wei Ni

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In long-term evolution (LTE), the carriers around 5GHz are planned to be utilized without licenses to further enlarge system capacity. This feature is termed licensed assisted access (LAA). The channel sensing (clean channel assessment, CCA) is required before any transmission on these unlicensed carriers, in order to make sure the harmonious co-existence of LAA with other radio access technology in the unlicensed band. Obviously, the CCA threshold is very critical, which decides whether the transmission right following CCA is delivered in time and without collisions. An improper CCA threshold may cause buffer overflow of some eNodeBs if the eNodeBs are heavily loaded with the traffic. Thus, to solve these problems, we propose an adaptive threshold adjustment method for CCA in the LAA downlink. Both the load and transmission opportunities are concerned. The trend of the LAA throughput as the threshold varies is obtained, which guides the threshold adjustment. The co-existing between LAA and Wi-Fi is particularly tested. The results from system-level simulation confirm the merits of our design, especially in heavy traffic cases.

Keywords: LTE, LAA, CCA, threshold adjustment

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Authors: Ji-Yuan Lin, Yu-Ming Liou, Yi-Ting Chen, Chen-Syuan Lin

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Soil water index obtained by tank model is now commonly used in soil and sand disaster alarm system in Japan. Comparing with the rainfall trigging index in Taiwan, the tank model is easy to predict the slope water content on large-scale landslide. Therefore, this study aims to estimate the threshold value of large-scale landslide using the soil water index Sixteen typhoons and heavy rainfall events, were selected to establish the, to relationship between landslide event and soil water index. Finally, the proposed threshold values for landslides on country road No.89 are suggested in this study. The study results show that 95% landslide cases occurred in soil water index more than 125mm, and 30% of the more serious slope failure occurred in the soil water index is greater than 250mm. Beside, this study speculates when soil water index more than 250mm and the difference value between second tank and third tank less than -25mm, it leads to large-scale landslide more probably.

Keywords: soil water index, tank model, landslide, threshold values

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Authors: Antoni Wibowo, Harry Pujianto, Dewi Retno Sari Saputro

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The stock market can provide huge profits in a relatively short time in financial sector; however, it also has a high risk for investors and traders if they are not careful to look the factors that affect the stock market. Therefore, they should give attention to the dynamic fluctuations and movements of the stock market to optimize profits from their investment. In this paper, we present a nonlinear autoregressive exogenous model (NARX) to predict the movements of stock market; especially, the movements of the closing price index. As case study, we consider to predict the movement of the closing price in Indonesia composite index (IHSG) and choose the best structures of NARX for IHSG’s prediction.

Keywords: NARX (Nonlinear Autoregressive Exogenous Model), prediction, stock market, time series

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Authors: Shay Kee Tan, Kok Haur Ng, Jennifer So-Kuen Chan

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This paper extends the conditional autoregressive range (CARR) model to multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets. The first stage model fits the scaled realised Parkinson volatility measures using individual series and their pairwise sums of indices to the MCARR model to obtain in-sample estimates and forecasts of volatilities for these individual and pairwise sum series. Then covariances are calculated to construct the fitted variance-covariance matrix of returns which are imputed into the stage-two return model to capture the heteroskedasticity of assets’ returns. We investigate different choices of mean functions to describe the volatility dynamics. Empirical applications are based on the Standard and Poor 500, Dow Jones Industrial Average and Dow Jones United States Financial Service Indices. Results show that the stage-one MCARR models using asymmetric mean functions give better in-sample model fits than those based on symmetric mean functions. They also provide better out-of-sample volatility forecasts than those using CARR models based on two robust loss functions with the scaled realised open-to-close volatility measure as the proxy for the unobserved true volatility. We also find that the stage-two return models with constant means and multivariate Student-t errors give better in-sample fits than the Baba, Engle, Kraft, and Kroner type of generalized autoregressive conditional heteroskedasticity (BEKK-GARCH) models. The estimates and forecasts of value-at-risk (VaR) and conditional VaR based on the best MCARR-return models for each asset are provided and tested using Kupiec test to confirm the accuracy of the VaR forecasts.

Keywords: range-based volatility, correlation, multivariate CARR-return model, value-at-risk, conditional value-at-risk

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Authors: Masahiro Ohmura, Koh Kakusho, Takeshi Okadome

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This paper presents a regression model with autocorrelated errors in which the inputs are social moods obtained by analyzing the adjectives in Twitter posts using a document topic model. The regression model predicts Dow Jones Industrial Average (DJIA) more precisely than autoregressive moving-average models.

Keywords: stock market prediction, social moods, regression model, DJIA

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Authors: Davies Obaromi, Qin Yongsong, James Ndege, Azeez Adeboye, Akinwumi Odeyemi

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The basic model usually used in disease mapping, is the Besag, York and Mollie (BYM) model and which combines the spatially structured and spatially unstructured priors as random effects. Bayesian Conditional Autoregressive (CAR) model is a disease mapping method that is commonly used for smoothening the relative risk of any disease as used in the Besag, York and Mollie (BYM) model. This model (CAR), which is also usually assigned as a prior to one of the spatial random effects in the BYM model, successfully uses information from adjacent sites to improve estimates for individual sites. To our knowledge, there are some unrealistic or counter-intuitive consequences on the posterior covariance matrix of the CAR prior for the spatial random effects. In the conventional BYM (Besag, York and Mollie) model, the spatially structured and the unstructured random components cannot be seen independently, and which challenges the prior definitions for the hyperparameters of the two random effects. Therefore, the main objective of this study is to construct and utilize an extended Bayesian spatial CAR model for studying tuberculosis patterns in the Eastern Cape Province of South Africa, and then compare for flexibility with some existing CAR models. The results of the study revealed the flexibility and robustness of this alternative extended CAR to the commonly used CAR models by comparison, using the deviance information criteria. The extended Bayesian spatial CAR model is proved to be a useful and robust tool for disease modeling and as a prior for the structured spatial random effects because of the inclusion of an extra hyperparameter.

Keywords: Besag2, CAR models, disease mapping, INLA, spatial models

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Authors: Raymond K. Dziwornu

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Lending rate of agriculture loan has persistently been high and attributed to risk in the sector. This study examined how food inflation and agriculture lending rate react to each other in Ghana using vector autoregressive approach. Quarterly data from 2006 to 2018 was obtained from the Bank of Ghana quarterly bulletin and the Ghana Statistical Service reports. The study found that a positive standard deviation shock to food inflation causes lending rate of agriculture loan to react negatively in the short run, but positively and steadily in the long run. This suggests the need to direct appropriate policy measures to reduce food inflation and consequently, the cost of credit to the agricultural sector for its growth.

Keywords: food inflation, agriculture, lending rate, vector autoregressive, Ghana

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Authors: Rong Yuan, Zhao Tao

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Only a handful of literature have used to non-linear model to investigate the influencing factors of greenhouse gas (GHG) emissions in China’s manufacturing sectors. And there is a limit in investigating quantitatively and systematically the mechanism of correlation between economic development and GHG emissions considering inherent differences among manufacturing sub-sectors. Considering the sectorial characteristics, the manufacturing sub-sectors with various impacts of output on GHG emissions may be explained by different development modes in each manufacturing sub-sector, such as investment scale, technology level and the level of international competition. In order to assess the environmental impact associated with any specific level of economic development and explore the factors that affect GHG emissions in China’s manufacturing industry during the process of economic growth, using the threshold Stochastic Impacts by Regression on Population, Affluence and Technology (STIRPAT) model, this paper investigated the influence impacts of GHG emissions for China’s manufacturing sectors of different stages of economic development. A data set from 28 manufacturing sectors covering an 18-year period was used. Results demonstrate that output per capita and investment scale contribute to increasing GHG emissions while energy efficiency, R&D intensity and FDI mitigate GHG emissions. Results also verify the nonlinear effect of output per capita on emissions as: (1) the Environmental Kuznets Curve (EKC) hypothesis is supported when threshold point RMB 31.19 million is surpassed; (2) the driving strength of output per capita on GHG emissions becomes stronger as increasing investment scale; (3) the threshold exists for energy efficiency with the positive coefficient first and negative coefficient later; (4) the coefficient of output per capita on GHG emissions decreases as R&D intensity increases. (5) FDI shows a reduction in elasticity when the threshold is compassed.

Keywords: China, GHG emissions, manufacturing industry, threshold STIRPAT model

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Authors: Niya Chen, Jennifer Chan

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In the financial market, risk management helps to minimize potential loss and maximize profit. There are two ways to assess risks; the first way is to calculate the risk directly based on the volatility. The most common risk measurements are Value at Risk (VaR), sharp ratio, and beta. Alternatively, we could look at the quantile of the return to assess the risk. Popular return models such as GARCH and stochastic volatility (SV) focus on modeling the mean of the return distribution via capturing the volatility dynamics; however, the quantile/expectile method will give us an idea of the distribution with the extreme return value. It will allow us to forecast VaR using return which is direct information. The advantage of using these non-parametric methods is that it is not bounded by the distribution assumptions from the parametric method. But the difference between them is that expectile uses a second-order loss function while quantile regression uses a first-order loss function. We consider several quantile functions, different volatility measures, and estimates from some volatility models. To estimate the expectile of the model, we use Realized Conditional Autoregressive Expectile (CARE) model with the bayesian method to achieve this. We would like to see if our proposed models outperform existing models in cryptocurrency, and we will test it by using Bitcoin mainly as well as Ethereum.

Keywords: expectile, CARE Model, CARR Model, quantile, cryptocurrency, Value at Risk

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Authors: Neil Morgan

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The notion of Threshold Concepts has offered a fertile new perspective on the transformative effects of mastery of particular concepts on student understanding of subject matter and their developing identities as inductees into disciplinary discourse communities. Only by successfully traversing key knowledge thresholds, it is claimed, can neophytes gain access to the more sophisticated understandings of subject matter possessed by mature members of a discipline. This paper uses thematic analysis of disciplinary guiding principles to identify nine candidate Threshold Concepts that appear to underpin effective TESOL practice. The relationship between these candidate TESOL Threshold Concepts, TESOL principles, and TESOL instructional techniques appears to be amenable to a schematic representation based on superordinate categories of TESOL practitioner concern and, as such, offers an alternative to the view of Threshold Concepts as a privileged subset of disciplinary core concepts. The paper concludes by exploring the potential of a Threshold Concepts framework to productively inform TESOL initial teacher education (ITE) and in-service education and training (INSET).

Keywords: TESOL, threshold concepts, TESOL principles, TESOL ITE/INSET, community of practice

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Authors: Mohammad Ali Alavidoost, Hossein Bozorgian

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Criterion-referenced tests (CRTs) are designed to measure student performance against a fixed set of predetermined criteria or learning standards. The reliability of such tests cannot be based on internal reliability. Threshold loss agreement is one way to calculate the reliability of CRTs. However, the selection of master and non-master in such agreement is determined by the threshold point. The problem is if the threshold point witnesses a minute change, the selection of master and non-master may have a drastic change, leading to the change in reliability results. Therefore, in this study, the Fuzzy logic approach is employed as a remedial procedure for data analysis to obviate the threshold point problem. Forty-one Iranian students were selected; the participants were all between 20 and 30 years old. A quantitative approach was used to address the research questions. In doing so, a quasi-experimental design was utilized since the selection of the participants was not randomized. Based on the Fuzzy logic approach, the threshold point would be more stable during the analysis, resulting in rather constant reliability results and more precise assessment.

Keywords: criterion-referenced tests, threshold loss agreement, threshold point, fuzzy logic approach

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Authors: Talal Al-Bazali, S. Mohammad

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The threshold capillary pressure of shale caprocks is an important parameter in CO₂ storage modeling. A correct estimation of the threshold capillary pressure is not only essential for CO₂ storage modeling but also important to assess the overall economical and environmental impact of the design process. A standard step by step approach has to be used to measure the threshold capillary pressure of shale and non-wetting fluids at different temperatures. The objective of this work is to assess the impact of high temperature on the threshold capillary pressure of four different shales as they interacted with four different oil based muds, air, CO₂, N₂, and methane. This study shows that the threshold capillary pressure of shale and non-wetting fluid is highly impacted by temperature. An empirical correlation for the dependence of threshold capillary pressure on temperature when different shales interacted with oil based muds and gasses has been developed. This correlation shows that the threshold capillary pressure decreases exponentially as the temperature increases. In this correlation, an experimental constant (α) appears, and this constant may depend on the properties of shale and non-wetting fluid. The value for α factor was found to be higher for gasses than for oil based muds. This is consistent with our intuition since the interfacial tension for gasses is higher than those for oil based muds. The author believes that measured threshold capillary pressure at ambient temperature is misleading and could yield higher values than those encountered at in situ conditions. Therefore one must correct for the impact of temperature when measuring threshold capillary pressure of shale at ambient temperature.

Keywords: capillary pressure, shale, temperature, thresshold

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Authors: Obe Olumide Olayinka, Victor Balanica, Eugen Neagoe

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The effects of hypertension are often lethal thus its early detection and prevention is very important for everybody. In this paper, a neural network (NN) model was developed and trained based on a dataset of hypertension causative parameters in order to forecast the likelihood of occurrence of hypertension in patients. Our research goal was to analyze the potential of the presented NN to predict, for a period of time, the risk of hypertension or the risk of developing this disease for patients that are or not currently hypertensive. The results of the analysis for a given patient can support doctors in taking pro-active measures for averting the occurrence of hypertension such as recommendations regarding the patient behavior in order to lower his hypertension risk. Moreover, the paper envisages a set of three example scenarios in order to determine the age when the patient becomes hypertensive, i.e. determine the threshold for hypertensive age, to analyze what happens if the threshold hypertensive age is set to a certain age and the weight of the patient if being varied, and, to set the ideal weight for the patient and analyze what happens with the threshold of hypertensive age.

Keywords: neural network, hypertension, data set, training set, supervised learning

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Authors: Fuchun Li, Hong Xiao

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We propose a new early warning model for predicting financial stress events for a given future time. In this model, we examine whether credit conditions play an important role as a nonlinear propagator of shocks when predicting the likelihood of occurrence of financial stress events for a given future time. This propagation takes the form of a threshold regression in which a regime change occurs if credit conditions cross a critical threshold. Given the new early warning model for financial stress events, we evaluate the performance of this model and currently available alternatives, such as the model from signal extraction approach, and linear regression model. In-sample forecasting results indicate that the three types of models are useful tools for predicting financial stress events while none of them outperforms others across all criteria considered. The out-of-sample forecasting results suggest that the credit-regime switching model performs better than the two others across all criteria and all forecasting horizons considered.

Keywords: cut-off probability, early warning model, financial crisis, financial stress, regime-switching model, forecasting horizons

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Authors: Kwabena Asare, Ezekiel N. N. Nortey, Felix O. Mettle

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Modelling of extreme events has always been of interest in fields such as hydrology and meteorology. However, after the recent global financial crises, appropriate models for modelling of such rare events leading to these crises have become quite essential in the finance and risk management fields. This paper models the extreme values of the Ghana Stock Exchange All-Shares indices (2000-2010) by applying the Extreme Value Theory to fit a model to the tails of the daily stock returns data. A conditional approach of the EVT was preferred and hence an ARMA-GARCH model was fitted to the data to correct for the effects of autocorrelation and conditional heteroscedastic terms present in the returns series, before EVT method was applied. The Peak Over Threshold (POT) approach of the EVT, which fits a Generalized Pareto Distribution (GPD) model to excesses above a certain selected threshold, was employed. Maximum likelihood estimates of the model parameters were obtained and the model’s goodness of fit was assessed graphically using Q-Q, P-P and density plots. The findings indicate that the GPD provides an adequate fit to the data of excesses. The size of the extreme daily Ghanaian stock market movements were then computed using the Value at Risk (VaR) and Expected Shortfall (ES) risk measures at some high quantiles, based on the fitted GPD model.

Keywords: extreme value theory, expected shortfall, generalized pareto distribution, peak over threshold, value at risk

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Authors: Omar Nasr, Yasser Naguib, Mohamed Hafez

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This paper aims at providing an innovative solution for blind interference threshold estimation in an underlay cognitive network to be used in adaptive beamforming by secondary user Transmitter and Receiver. For the task of threshold estimation, blind detection of modulation and SNR are used. For the sake of beamforming several localization algorithms are compared to settle on best one for cognitive environment. Beamforming algorithms as LCMV (Linear Constraint Minimum Variance) and MVDR (Minimum Variance Distortion less) are also proposed and compared. The idea of just nulling the primary user after knowledge of its location is discussed against the idea of working under interference threshold.

Keywords: cognitive radio, underlay, beamforming, MUSIC, MVDR, LCMV, threshold estimation

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