HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

To capture mean and variance asymmetries and time‐varying volatility in financial time series, we generalize the threshold stochastic volatility (THSV) model and incorporate a heavy‐tailed error distribution. Unlike existing stochastic volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time‐delay parameter. Self‐exciting and exogenous threshold variables are considered to investigate the impact of a number of market news variables on volatility changes. Adopting a Bayesian approach, we use Markov chain Monte Carlo methods to estimate all unknown parameters and latent variables. A simulation experiment demonstrates good estimation performance for reasonable sample sizes. In a study of two international financial market indices, we consider two variants of the generalized THSV model, with US market news as the threshold variable. Finally, we compare models using Bayesian forecasting in a value‐at‐risk (VaR) study. The results show that our proposed model can generate more accurate VaR forecasts than can standard models.     

Horwitz's rule, transforming both sides and the design of experiments for mechanistic models

Summary. The paper develops methods for the design of experiments for mechanistic models when the response must be transformed to achieve symmetry and constant variance. The power transformation that is used is partially justified by a rule in analytical chemistry. Because of the nature of the relationship between the response and the mechanistic model, it is necessary to transform both sides of the model. Expressions are given for the parameter sensitivities in the transformed model and examples are given of optimum designs, not only for single-response models, but also for experiments in which multivariate responses are measured and for experiments in which the model is defined by a set of differential equations which cannot be solved analytically. The extension to designs for checking models is discussed.     

Boundary Spaces

While shows like The X-Files and 24 have merged conspiracy theories with popular science (fictions), some video games have been pushing the narrative even further. Electronic Art's Majestic game was released in July 2001 and quickly generated media buzz with its unusual multi-modal gameplay. Mixing phone calls, faxes, instant messaging, real and "fake' websites, and email, the game provides a fascinating case of an attempt at new directions for gaming communities. Through story, mode of playing, and use of technology, Majestic highlights the uncertain status of knowledge, community and self in a digital age; at the same time, it allows examination of alternative ways of understanding games' role and purpose in the larger culture. Drawing on intricate storylines involving government conspiracies, techno-bio warfare, murder and global terror, players were asked to solve mysteries in the hopes of preventing a devastating future of domination. Because the game drew in both actual and Majestic-owned/-designed websites, it constantly pushed those playing the game right to borders where simulation collides with " factuality'. Given the wide variety of "legitimate' conspiracy theory, alien encounters and alternative science web pages, users often could not distinguish when they were leaving the game's pages and venturing into " real' World Wide Web sites. Its further use of AOL's instant messenger system, in which gamers spoke not only to bots but to other players, pushed users to evaluate constantly both the status of those they were talking to and the information being provided. Additionally, the game required players to occupy unfamiliar subject positions, ones where agency was attenuated, and which subsequently generated a multi-layered sense of unease among players. This mix of authentic and staged information in conjunction with technologically mediated roles highlights what are often seen as phenomenon endemic to the Internet itself; that is, the destabilization of categories of knowing, relating, and being.     

Estimation of Metabolic Rate Constants in PBPK‐Models from Liver Slice Experiments: What Are the Experimental Needs?

A mechanistic model is presented describing the clearance of a compound in a precision-cut liver slice that is incubated in a culture medium. The problem of estimating metabolic rate constants in PBPK models from liver slice experiments is discussed using identifiability analysis. From the identifiability problem analysis, it appears that in addition to the clearance, the compound's free fraction in the slice and the diffusion rate of the exchange of the compound between culture medium and liver slice should be identified. In addition, knowledge of the culture medium volume, the slice volume, the compound's free fraction, and octanol-water-based partition between medium and slice is presupposed. The formal solution for identification is discussed from the perspective of experimental practice. A formally necessary condition for identification is the sampling of parent compound in liver slice or culture medium. However, due to experimental limitations and errors, sampling the parent compound in the slice together with additional sampling of metabolite pooled from the medium and the slice is required for identification in practice. Moreover, it appears that identification results are unreliable when the value of the intrinsic clearance exceeds the value of the diffusion coefficient, a condition to be verified a posteriori.     

Socioeconomic Status and Early Adolescent Self-Esteem*

This study is a replication of a recent assessment of the relationship between social class and self-esteem, and the variables that intervene on this relationship. The purpose is to replicate the methods used to explore further this relationship by attempting to replicate the findings reported by Demo and Savin-Williams (1983) in another population. Only one of the four hypotheses tested received support thereby indirectly supporting the null relationship theory of no relationship between socioeconomic status and self-esteem. Implications of the findings also are addressed.     

TESTAMENTARY BEHAVIOR:

Content analysis and qualitative analysis of all 319 last wills that were filed in Providence Probate Court, 1985, revealed that about ten percent of the testators used testamentary material, disinheritance or altruism to express their individuality. About 42 percent of the wills were personalized directly in other ways. Forty-eight percent displayed indirect influences of family, friends and community. Less that ten percent displayed primary influences of attorneys, banks, nursing homes, governments, religions or other organizations. In the light of these findings, while none of the three major theoretical positions on testamentary behavior prevails, the individualist position is manifested more often than is the family-community position. Both of these positions are manifested much more often than is the legalist position.
These findings are related to the work of Emile Durkheim and to contemporary sociological theories of the family, community and law.     

Gender-specific changes in students' sexual behaviors and attitudes at a southeastern university between 1973 and 1988.

This study investigated the gender-specific, self-reported sexual behaviors and attitudes of never-married college students attending a southeastern university in 1973 and 1988. Data were collected by means of a mailed questionnaire that remained essentially unchanged for both years. The authors found that both men and women reported an increase in heterosexual relationships that included sexual intercourse and a decrease in nonsexual relationships with the other gender. The majority of the students perceived themselves as adequately informed about sexuality and satisfied with their relationships, although the proportion of men who reported being satisfied with their relationships declined over the 15 years. The students indicated that sexuality education should focus primarily on information about AIDS and on preparation for marriage.