Value-at-risk measures the worst loss to be expected of a portfolio over a given time horizon at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, several semiparametric techniques are introduced to estimate the volatilities. In addition, both parametric and nonparametric techniques are proposed to estimate the quantiles of standardized return processes. The newly proposed techniques also have the flexibility to adapt automatically to the changes in the dynamics of market prices over time. The combination of newly proposed techniques for estimating volatility and standardized quantiles yields several new techniques for evaluating multiple period VaR. The performance of the newly proposed VaR estimators is evaluated and compared with some of existing methods. Our simulation results and empirical

We review some recent developments in Chern-Simons theory on a hyperbolic 3-manifold M with complex gauge group G. We focus on the case G=SL(N,C) and with M a knot complement. The main result presented in this note is the cluster partition function, a computational tool that uses cluster algebra techniques to evaluate the Chern-Simons path integral. We also review various applications and open questions regarding the cluster partition function and some of its relation with string theory.

We revisit 't Hooft anomalies in (1+1)d non-spin quantum field theory, starting from the consistency and locality conditions, and find that consistent U(1) and gravitational anomalies cannot always be canceled by properly quantized (2+1)d classical Chern-Simons actions. On the one hand, we prove that certain exotic anomalies can only be realized by non-reflection-positive or non-compact theories; on the other hand, without insisting on reflection-positivity, the exotic anomalies present a caveat to the inflow paradigm. For the mixed U(1) gravitational anomaly, we propose an inflow mechanism involving a mixed U(1)×SO(2) classical Chern-Simons action with a boundary condition that matches the SO(2) gauge field with the (1+1)d spin connection. Furthermore, we show that this mixed anomaly gives rise to an isotopy anomaly of U(1) topological defect lines. The isotopy anomaly can be canceled by an extrinsic curvature improvement term, but at the cost of creating a periodicity anomaly. We survey the holomorphic bc ghost system which realizes all the exotic consistent anomalies, and end with comments on a subtlety regarding the anomalies of finite subgroups of U(1).

We discuss some applications of an intrinsic multipication in the space of simple loops in a surface.

Local polynomial fitting has many exciting statistical properties which where established under i.i.d. setting. However, the need for nonlinea r time series modeling, constructing predictive intervals, understanding divergence of nonlinear time series requires the development of the theory of local polynomial fitting for dependent data. In this paper, we study the problem of estimating conditional mean functions and their derivatives via a local polynomial fit. The functions include conditional moments, conditional distribution as well as conditional density functions. Joint asymptotic normality for derivative estimation is established for both strongly mixing and mixing processes.