Quantile Regression Estimator for GARCH Models

Abstract. In this article, we study the quantile regression estimator for GARCH models. We formulate the quantile regression problem by a reparametrization method and verify that the obtained quantile regression estimator is strongly consistent and asymptotically normal under certain regularity conditions. We also present our simulation results and a real data analysis for illustration.     

Inference for Box–Cox Transformed Threshold GARCH Models with Nuisance Parameters

Abstract. Generalized autoregressive conditional heteroscedastic (GARCH) models have been widely used for analyzing financial time series with time‐varying volatilities. To overcome the defect of the Gaussian quasi‐maximum likelihood estimator (QMLE) when the innovations follow either heavy‐tailed or skewed distributions, Berkes & Horváth (Ann. Statist., 32, 633, 2004) and Lee & Lee (Scand. J. Statist. 36, 157, 2009) considered likelihood methods that use two‐sided exponential, Cauchy and normal mixture distributions. In this paper, we extend their methods for Box–Cox transformed threshold GARCH model by allowing distributions used in the construction of likelihood functions to include parameters and employing the estimated quasi‐likelihood estimators (QELE) to handle those parameters. We also demonstrate that the proposed QMLE and QELE are consistent and asymptotically normal under regularity conditions. Simulation results are provided for illustration.     

《蒙特利尔公约》下之韩国航空承运人责任制度

国际民航组织1999年通过的《统一国际航空运输某些规则的蒙特利尔公约》于2003年11月4日生效,它对各国国内立法产生了深远影响.《蒙特利尔公约》采用两级责任制度规制航空承运人的责任,即对乘客人身造成伤亡达到10万特别提款权时适用严格责任原则,超过此限而无任何限制的适用举证倒置的推定责任原则.韩国已与2011年4月29日通过了商法典第6部分之国家航空运输法,该法明确了对乘客以及行李和货物造成损害的责任条款,并采用了《蒙特利尔公约》中的主要责任原则.韩国有关航空承运人责任的国内法将有效解决在运送乘客、行李和货物方面有关承运人责任的争议,并在其规定的抗辩和限制范围内,为受到损害的乘客和托运人提供适当赔偿.     

STOCK RETURNS, ASYMMETRIC VOLATILITY, RISK AVERSION, AND BUSINESS CYCLE: SOME NEW EVIDENCE

We study how three interrelated phenomena—excess stock returns and risk relation, risk aversion, and asymmetric volatility movement—change over business cycles. Using an asymmetric generalized autoregressive conditional heteroskedasticity in mean model and a Markov switching model, we find that excess stock return increases and asymmetric volatility movement is weakened during boom periods. This suggests that investors become more risk-averse during boom periods (i.e., procyclical risk aversion), which we confirm using a calibration of a simple equilibrium model . ( JEL C32, E32, G12)     

Is the Audience the Message? A Note on LBJ's Vietnam Statements

Do politicians still tailor their messages for specific audiences,or has mass media coverage led them to homogenize their messages?Contentanalysis of 77 of Lyndon B. Johnson's public statements aboutVietnam showed that, depending on the audience, he did varythe content—which suggests that to some extentthe audienceis the message.     

Testing Karasek's learning and strain hypotheses on young workers in their first job

This study tests the core hypotheses of Karasek's job demand-control model: high job demands (workload) in combination with low job control (autonomy) increase strains (job dissatisfaction; strain hypothesis), whereas high job demands in combination with high job control increase learning and development in the job (here: learning new skills in the first job; learning hypothesis). These hypotheses are tested in two ways: (a) the mere combination of both job characteristics is associated with the expected outcomes, and (b) a statistical interaction between both job characteristics in predicting the outcomes is expected. A large dataset (n=2,212) of young workers in their first job was used to test all hypotheses. As young workers are presumably still in the process of adjusting themselves to their work environment, we expected that the effects of work characteristics on work outcomes would be stronger for this group than for more experienced workers. The results confirm both the strain and the learning hypothesis. We found a combined effect of both job characteristics, as well as a statistical interaction between both variables. The lowest level of job satisfaction was found in the “high strain” job, whereas the highest increase in skills was found in the “active” job. The consequences of these findings for theory and practice are discussed.