Bayesian analysis of multivariate stochastic volatility with skew return distribution

Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew t-distributions are embedded to multivariate analysis with time-varying correlations. Bayesian modeling allows this approach to provide parsimonious skew structure and to easily scale up for high-dimensional problem. Analyses of daily stock returns are illustrated. Empirical results show that the time-varying correlations and the sparse skew structure contribute to improved prediction performance and Value-at-Risk forecasts.     

Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes

This paper develops Bayesian inference of extreme value models with a flexible time-dependent latent structure. The generalized extreme value distribution is utilized to incorporate state variables that follow an autoregressive moving average (ARMA) process with Gumbel-distributed innovations. The time-dependent extreme value distribution is combined with heavy-tailed error terms. An efficient Markov chain Monte Carlo algorithm is proposed using a state-space representation with a finite mixture of normal distributions to approximate the Gumbel distribution. The methodology is illustrated by simulated data and two different sets of real data. Monthly minima of daily returns of stock price index, and monthly maxima of hourly electricity demand are fit to the proposed model and used for model comparison. Estimation results show the usefulness of the proposed model and methodology, and provide evidence that the latent autoregressive process and heavy-tailed errors play an important role to describe the monthly series of minimum stock returns and maximum electricity demand.     

Relationship between state anxiety and success rate in game performance, coach's evaluation among Japanese university volleyball players

The purpose of this study is to examine the relationship between state anxiety and individual athletic game performance. The subjects were 54 male players of 4 teams (The average age was 20.5 (SD=1.09) years), who participated in the Kanto university men's volleyball league games in the spring of year 2010. The subjects were asked to respond to a Japanese version of the State Trait Anxiety Inventory (STAI), which was measured at 4 time periods (the day before, the day of game, just before the game, just after the game) for each of a total of 40 games (each team played 10 games). The results were as follows: (1) Relationships between state anxiety and success rate in game performance (spike, reception, block) showed different correlation depending on each game performance. (2) The group of players who performed well in games collected by coaches scored lower than the more badly-performing group in the score of state anxiety on the day of game and just after the game. (3) The temporal change of the score of state anxiety from just before the game to just after the game was different depending on whether they performed well or not in games.     

父亲参与和母亲幸福感关系的中日比较研究

以中日抚养学龄前儿童双收入家庭父母为对象,探讨父亲参与育儿对母亲心理幸福感的影响,结果发现中日父亲参与育儿的影响模式一致,即父亲参与育儿通过母亲对父亲育儿支持的认知,间接影响夫妻关系满意度。但在中日之间在母亲对父亲育儿支持的认知影响健康关联QOL的途径存在差异。中国母亲对父亲育儿支持的认知直接或通过心理健康影响健康关联的QOL。日本母亲对父亲育儿支持的认知通过夫妻关系满意度间接影响健康关联QOL。     

UNINSURED COUNTERCYCLICAL RISK: AN AGGREGATION RESULT AND APPLICATION TO OPTIMAL MONETARY POLICY

We consider an incomplete markets economy with capital accumulation and endogenous labor supply. Individuals face countercyclical idiosyncratic labor and asset risk. We derive conditions under which the aggregate allocations and price system can be found by solving a representative agent problem. This result is applied to analyze the properties of an optimal monetary policy in a New Keynesian economy with uninsured countercyclical individual risk. The optimal monetary policy that emerges from our incomplete markets economy is the same as the optimal monetary policy in a representative agent model with preference shocks. When price rigidity is the only friction the optimal monetary policy calls for stabilizing the inflation rate at zero.     

中日大学生及父母的赡养意识

本研究旨在分析中日两国两代人之间赡养父母意识的异同。采用赡养父母意识量表,测量了中国大学生及父母(大学生959人、其父母707人)和日本大学生及父母(大学生636人、其父母368人)的父母赡养意识。结果发现:中国大学生和父母在"与父母同住意识"和"赡养父母意识"上显著高于日本;日本大学生更多地选择"自宅死";中国父母、日本大学生和日本父母的手段性赡养意识显著低于情绪性赡养意识,其中日本父母的手段性赡养意识在各组中最低。     

中日大学生护理社会化意识的影响因素

本研究旨在以中日两国的大学生及其父母为研究对象,探讨家庭凝聚力和父母赡养意识对护理社会化意识的影响。本研究采用结构方程模型探讨护理社会化意识的因果关系。研究结果表明因果关系模型在中日两国均适用。日本的护理社会化意识和家庭凝聚力、手段性赡养意识、情绪性赡养意识之间存在负相关,父母赡养意识越低护理的社会化意识越高。中国的护理社会化意识和手段性赡养意识之间存在负相关。中日两国大学生的父母赡养意识均高于父母,日本父母的手段性赡养意识最低而护理的社会化意识最高。在中日两国,手段性赡养均作为中介影响家庭凝聚力和护理社会化意识的关系。     

Cognitive chrono-ethnography lite

Conducting field research facilitates understanding human daily activities. Cognitive Chrono-Ethnography (CCE) is a study methodology used to understand how people select actions in daily life by conducting ethnographical field research. CCE consists of measuring monitors' daily activities in a specified field and in-depth interviews using the recorded videos afterward. However, privacy issues may arise when conducting standard CCE with video recordings in a daily field. To resolve these issues, we developed a new study methodology, CCE Lite. To replace video recordings, we created pseudo-first-personview (PFPV) movies using a computer-graphic technique. The PFPV movies were used to remind the monitors of their activities. These movies replicated monitors' activities (e.g., locomotion and change in physical direction), with no human images and voices. We applied CCE Lite in a case study that involved female employees of hotels at a spa resort. In-depth interviews while showing the PFPV movies determined service schema of the employees (i.e., hospitality). Results indicated that using PFPV movies helped the employees to remember and reconstruct the situation of recorded activities.