The estimation of value at risk using univariate GARCH models is examined. A long history of the Samp;P 500 is used to compare these estimators with several other common approaches to value at risk estimation. The test results indicate that GARCH estimates are superior to the other methods in...

Simulations are performed which show the difficulty of actually achieving realized market neutrality. Results suggest that restrictions on the net value of the fund are particularly ineffective. A negative correlation - that is, market negativity - is propsed as a more reasonable target, both on...

Random portfolios can provide a statistical test that a trading strategy performs better than chance. Each run of the strategy is compared to a number of matching random runs that are known to have zero skill. Importantly, this type of backtest shows periods of time when the strategy works and...

Asset prices are typically measured when markets close however the closing times may differ across markets. As a result the returns appear to have predictability and correlations are understated. This will distort the value of portfolios, value at risk measures, and hedge strategies. A solution...

We present the methodology for developing a predictive model for identifying homeless persons likely to have high future costs for public services. It was developed by linking administrative records from 2007 through 2012 for seven Santa Clara County agencies and identifying 38 demographic,...

This predictive analytic model prioritizes high-cost individuals for whom the solution of housing costs less than the problem of homelessness. Cost offsets from reduced service use after high-cost individuals are stably housed can be stretched across a larger pool of homeless people whose...

The informal economy produces legal goods and services that are not effectively regulated. Such activities can give rise to abuses by employers who fail to respect basic labor, safety, immigration, and tax laws, leaving workers without rights. By definition the informal economy is hidden...

Welfare reform has increased labor force participation among welfare parents. But is work leading to self-sufficiency or another cycle of defeat for these workers? The answer is that most welfare workers remain trapped in the cage of poverty.The basic premise of the work-first model that...

Given the apparent lack of new jobs created for the region's unemployed aerospace workers, this survey was designed to investigate the progress and strategies of high technology firms confronting precipitously declining defense sales. Defense conversion programs that bring aerospace technologies...

Recent welfare reform legislation mandates that aid recipients become employed and economically self-sufficient. The allowable interval of continuous assistance is limited to 24 months for current recipients and 18 months for new recipients, with a lifetime limit of five years on welfare. At...