Statistical estimation errors of VaR under ARCH returns

In this paper we discuss some problems of existing methods for calculating the Value-at-Risk (VaR) in ARCH setting. It should be noted that the commonly used approaches often confuse the true innovations with the empirical residuals, i.e., estimation errors for unknown ARCH parameters are ignored. We adjust this by using the asymptotics of the residual empirical process, and propose a feasible VaR which, according to the spirit of VaR, keeps the assets away from a specified risk with high confidence level. Its meaningfulness in comparison with the usual VaR will be illustrated clearly by numerical studies.     

Sleep disturbance as a clinical sign for severe hypogonadism: efficacy of testosterone replacement therapy on sleep disturbance among hypogonadal men without obstructive sleep apnea

Objective: The present subanalysis of the EARTH study investigates the effects of one year testosterone replacement therapy (TRT) on sleep disturbance among hypogonadal men without obstructive sleep apnea.

Methods: Sleep disturbance was defined as three or more points in question 4 of the aging males symptoms (AMS) questionnaire. All participants completed the AMS scale, International Prostatic Symptoms Score (IPSS), Sexual Health Inventory for Men (SHIM) and Short Form 36 (SF-36) health survey at baseline and after 12?months. Sexual symptoms were also evaluated based on three AMS subscores (Q15, 16 and 17).

Results: We identified 100 patients with sleep disturbance, of whom 48 (24 each in the TRT and control groups) were ultimately included for analysis. All SF-36 categories , AMS scale, IPSS and SHIM score subdomains were significantly worse in patients with sleep disturbance than in those without disturbance. Statistically significant differences in sleep disturbance, erectile symptoms, sexual desire and some domains of the SF-36 were observed between the TRT and control groups after 12?months.

Conclusion: Sleep disturbance may be one of the clinical signs for severe hypogonadism. Moreover, TRT improved sleep conditions, sexual function and quality of life among hypogonadal men with sleep disturbance.     

Effects of testosterone replacement therapy on hypogonadal men with osteopenia or osteoporosis: a subanalysis of a prospective randomized controlled study in Japan (EARTH study)

Objective: We investigated the effects of testosterone replacement therapy (TRT) on bone mineral density (BMD) among hypogonadal men with osteopenia/osteoporosis.

Methods: From our previous EARTH study population, 74 patients with a clinical diagnosis of osteopenia or osteoporosis and hypogonadism were included in this study, as the TRT (n?=?35) and control (n?=?34) groups. The TRT group was administered 250?mg of testosterone enanthate injection every 4 weeks for 12 months. The BMD, waist circumference, body mass index, body fat percentage, and muscle volume were measured at baseline and at 12 months. Blood biochemical data, including total cholesterol, triglycerides, HDL-cholesterol, hemoglobin A1c, and adiponectin values were also evaluated.

Results: At the 12-month visit, BMD significantly increased in both groups. However, comparisons on changes of parameter values from baseline to the 12-month visit between the TRT and control groups were significantly different in BMD (5.0?±?5.0 vs. 3.0?±?3.2; p?=?.0434) and in adiponectin value (?0.90?±?3.33 vs. 0.10?±?2.04; p?=?.0192). There were no significant changes in other parameters.

Conclusions: TRT for 12 months could improve BMD with a decrease in adiponectin levels among hypogonadal men with osteopenia/osteoporosis.     

Ecological risk-benefit analysis of a wetland development based on risk assessment using "expected loss of biodiversity".

Ecological risk from the development of a wetland is assessed quantitatively by means of a new risk measure, expected loss of biodiversity (ELB). ELB is defined as the weighted sum of the increments in the probabilities of extinction of the species living in the wetland due to its loss. The weighting for a particular species is calculated according to the length of the branch on the phylogenetic tree that will be lost if the species becomes extinct. The length of the branch on the phylogenetic tree is regarded as reflecting the extent of contribution of the species to the taxonomic diversity of the world of living things. The increments in the probabilities of extinction are calculated by a simulation used for making the Red List for vascular plants in Japan. The resulting ELB for the loss of Nakaikemi wetland is 9,200 years. This result is combined with the economic costs for conservation of the wetland to produce a value for the indicator of the "cost per unit of biodiversity saved." Depending on the scenario, the value is 13,000 yen per year-ELB or 110,000 to 420,000 yen per year-ELB (1 US dollar = 110 yen in 1999).     

Education and Social Mobility in Postwar Japan: Trends and Some Institutional Aspects

Abstract  This paper examines the trend in social mobility in postwar Japan, especially focusing on the mediating role of education. The data set is derived from the SSM (Social Stratification and Social Mobility) surveys. Applying log-linear models to the data of five periods, we analyze the trend of the relationship among origin, education, and destination. Occupations are classified according to type of job, and son's first job is used for the analysis. The result reveals that the unmediating transmission of position has declined, and education is becoming a more significant mediator between origin and destination. These changes proceed in the form of reduction in the random sphere of 'movers' as well as replacement of 'stayers' with 'movers'. However, the association between origin and destination has hardly changed for several decades. This stablity results from the inequality in educational resources available to families and the specificities, not universality, of relations surviving into the higher level of education.     

Impacts per unit weight in catch by two types of fisheries on a chub mackerel population

By using data on the age-specific annual fecundity and catches-at-age by each fishery in a chub mackerel (Scomber japonicus) population in the Pacific Ocean off Japan during 1970 to 1992, we evaluated the long-term fluctuation in impacts of two types of fisheries on the chub mackerel population. The purse-seine fishery consistently had a larger impact on the population than did the dip-net fishery, mainly because the catch by the former was much larger than that by the latter. To evaluate impact per unit weight in catch, we calculated the average reproductive value per unit weight over individuals caught by each fishery as an indicator of efficient use of bioresource. Because the proportion of immature fish caught by the purse-seine fishery was usually larger than that by the dip-net fishery, the impact per unit weight in catch by the purse-seine fishery was not always less than that by the dip-net fishery.     

Farm Mechanization and Women's Life Pattern: —Changing Time Allocation—

Abstract  Farm mechanization in Japan could be understood as a process brought a bout in the constellation of economic and political milieus of high economic growth. Labor productivity was raised to a degree unproportionate to the size of farming and yielded large amount of surplus labor power. This inherent contradiction became quite apparent after 1970. The expansion of non-farm labor market absorbed the surplus labor power. Thus part-time farming spreaded. changing the life pattern of farm families toward differentiation and individuation. A panel study at a rural community at the south-western part of HONSHU enables us to compare the time allocation of family members before and after mechanization. After mechanization. time allocation pattern differentiated by generation and sex. Younger members have gained private spheres outside farming. The older are left at farm, working in the fields. However, the time allocation data collected at a rural community at the northeastern part of HONSHU tells that the differentiation and individuation was slow due to the under-development of non-farm labor market.     

Competition and evolutionary stability of plants in a spatially structured habitat

We modelled the population dynamics of two types of plants with limited dispersal living in a lattice structured habitat. Each site of the square lattice model was either occupied by an individual or vacant. Each individual reproduced to its neighbors. We derived a criterion for the invasion of a rare type into a population composed of a resident type based on a pair-approximation method, in which the dynamics of both average densities and the nearest neighbor correlations were considered. Based on this invasibility criterion, we showed that, when there is a tradeoff between birth and death rates, the evolutionarily stable type is the one that has the highest ratio of birth rate to mortality. If these types are different species, they form segregated spatial patterns in the lattice model in which intraspecific competitive interactions occur more frequently than interspecific interactions. However, stable coexistence is not possible in the lattice model contrary to results from completely mixed population models. This clearly shows that the casual conclusion, based on traditional well mixed population models, that different species can coexist if intraspecific competition is stronger than interspecific competition, does not hold for spatially structured population models.     

Children with Keitai: When Mobile Phones Change from “Unnecessary” to “Necessary”

This paper focuses on children in Japan who begin using mobile phones (keitai) while in elementary school and will discuss aspects of parental–child relationships that involve keitai use. Firstly, this paper presents an overview of a Japanese society presently immersed in mobile media, focusing particularly on the spread of mobile media use to younger Japanese children. Data are presented from two research projects and analyzed to examine the cause of, and circumstances that lead to, child keitai use. Increasing social anxieties about safety and parental concern have reportedly led to increasing perception that keitai use is valuable in times of emergency, or in order to prevent crime, leading to a shift in attitudes towards children’s keitai use: that which was formerly considered “unnecessary” has now become “necessary”. However, the anxiety about safety is shared by almost all people and is therefore not itself a deciding factor regarding children’s keitai ownership. Keitai usage is, instead, prompted by several factors, some of which are not shared by children and parents. From this rift in reasoning emerges a game of tug-of-war over ownership and use between children and parents.

Equivalent comparisons of information channels

This article constructs a static model of information acquisition when the agent does not know exactly what pieces of information he is missing. A representation of preferences over information channels and menus of lotteries is shown by adapting the model of unforeseen contingencies by Dekel et al. (Econometrica 69:891–934, 2001; Econometrica 75:591–600, 2007), which is an extension of Kreps (Econometrica 47:565–576, 1979; Economic analysis of markets and games: essays in honor of Frank Hahn, 1992). Also, characterisation of informativeness of an information channel analogous to the one by Blackwell (Ann Math Stud 24:265–272, 1953) is examined in conjunction with the preference for flexibility by applying the structure of Shapley value.