University of Zurich

About: University of Zurich is a education organization based out in Zurich, Switzerland. It is known for research contribution in the topics: Population & Medicine. The organization has 50842 authors who have published 124042 publications receiving 5304521 citations. The organization is also known as: UZH & Uni Zurich.

Value-at-Risk Prediction: A Comparison of Alternative Strategies

Abstract: Giventhegrowingneedformanagingfinancialrisk,riskpredictionplaysanincreasing roleinbankingandfinance.Inthisstudywecomparetheout-of-sampleperformance of existing methods and some new models for predicting value-at-risk (VaR) in a univariate context. Using more than 30 years of the daily return data on the NASDAQ Composite Index, we find that most approaches perform inadequately, although several models are acceptable under current regulatory assessment rules for model adequacy. A hybrid method, combining a heavy-tailed generalized autoregressive conditionally heteroskedastic (GARCH) filter with an extreme value theory-based approach, performs best overall, closely followed by a variant on a filtered historical simulation, and a new model based on heteroskedastic mixture distributions. Conditional autoregressive VaR (CAViaR) models perform inadequately, though an extension to a particular CAViaR model is shown to outperform the others.

Production and detection of cold antihydrogen atoms

Abstract: A theoretical underpinning of the standard model of fundamental particles and interactions is CPT invariance, which requires that the laws of physics be invariant under the combined discrete operations of charge conjugation, parity and time reversal. Antimatter, the existence of which was predicted by Dirac, can be used to test the CPT theorem—experimental investigations involving comparisons of particles with antiparticles are numerous1. Cold atoms and anti-atoms, such as hydrogen and antihydrogen, could form the basis of a new precise test, as CPT invariance implies that they must have the same spectrum. Observations of antihydrogen in small quantities and at high energies have been reported at the European Organization for Nuclear Research (CERN)2 and at Fermilab3, but these experiments were not suited to precision comparison measurements. Here we demonstrate the production of antihydrogen atoms at very low energy by mixing trapped antiprotons and positrons in a cryogenic environment. The neutral anti-atoms have been detected directly when they escape the trap and annihilate, producing a characteristic signature in an imaging particle detector.