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.     

关于丢番图方程x2+by=cz

设s,t满足gcd(s,t)=1,s>t的正整数,a=2st,b=s~2-t~2,c=s~2+t~2。证明了:若c为素数幂且满足下列条件之一:(1)b有因子b_1≡±5(mod8),(2)b≡-1(mod8),(3)5|c。则不定方程x~2+b~y=c~z仅有一组正整数解(x,y,z)=a,2,2。     

Testing symmetry under a skew Laplace model

We develop tests of hypothesis about symmetry based on samples from possibly asymmetric Laplace distributions and present exact and limiting distribution of the test statistics. We postulate that the test statistic derived under the Laplace model is a rational choice as a measure of skewness and can be used in testing symmetry for other, quite general classes of skew distributions. Our results are applied to foreign exchange rates for 15 currencies.     

Ethnic preferences and perceptions among Asian and White British middle school children

Asian and White middle school children were shown photographs of unknown Afro-Caribbean, Asian, and White individuals of approximately the same age as themselves, and asked which one wax most like them, which one they would prefer to be, which ones they would prefer to engage in various activities with, and finally, to allocate positive and negative traits to the three groups or to nobody. A similar majority of both Asian and While children selected an own-race photograph as being most like them, but only about a half selected the own-race photograph as the one they would most like to he. For sharing activities, children showed a strong own-tender preference, followed by an own-race preference. White children stated a greater preference for sharing activities with White children, then with Afro-Caribbean children, and least with Asian children. Asian children preferred Asian and White children the most, Afro-Caribbean the least. On a stereotypes test, similar trends were obtained; White children evaluated While children highest and Asian lowest; Asian children tended to evaluate Asian children highest but to a nonsignificant extent. The relative proportion of Asian/White children in school appeared to have little systematic influence on the results, thus arguing against the contact hypothesis of prejudice reduction in its simple form.     

Female Victim Perceptions of the Causes of Male Spouse Abuse*

Victims of spouse abuse were interviewed concerning their views of why their husbands were abusive. It was hypothesized that by concentrating on one specific characteristic of this kind previously undocumented patterns of response would be elicited from the subjects. It was concluded that the women's reasons for the violence perpetrated by their spouses serve as justification for the abusers’actions and legitimize maintenance of the relationship.     

The Effects of ROTC Program Participation on Socioeconomic Status and Life Satisfaction*

Using mail survey data based on a stratified systematic sample [N = 686] of 1983–1988 graduates of a medium-sized state university, this research evaluates whether ROTC program participation constitutes an independent source of human capital in civilian labor markets by comparing postgraduate earnings (annual income), prestige and authority, and life satisfaction of ROTC program participants with those of nonparticipants. The results revealed no statistically significant ROTC program participation effects, independent of subsequent military status. ROTC program participation paid off in terms of occupational prestige and authority for those on active duty, but not for those in national guard or reserve units. Neither ROTC participation nor current military status affected income or life satisfaction levels.     

Relational message interpretations of touch,conversational distance,and posture

According to a social meaning model of nonverbal communication, many nonverbal behaviors have consensually recognized meanings. Two field experiments examined this presumption by investigating the relational message interpretations assigned to differing levels and types of touch, proximity, and posture. Also examined were the possible moderating effects of the communicator characteristics of gender and attractiveness and relationship characteristics of gender composition and status differentials. Results showed that touching typically conveyed more composure, immediacy, receptivity/trust, affection, similarity/depth/equality, dominance, and informality than its absence. The form of touch also mattered, with handholding and face touching expressing the most intimacy, composure, and informality; handholding and the handshake expressing the least dominance, and the handshake conveying the most formality but also receptivity/trust. Postural openness/relaxation paralleled touch in conveying greater intimacy, composure, informality, and similarity but was also less dominant than a closed/tense posture. Close proximity was also more immediate and similar but dominant. Proximity and postural openness together produced differential interpretations of composure, similarity, and affection. Gender initiator attractiveness was more influential than status in moderating interpretations.An earlier version of this paper was presented to the Interpersonal Communication Interest Group, Western States Communication Association convention, Phoenix, Arizona, February 1991. The author wishes to thank Leesa Dillman for her assistance on that version.     

Testing How Management Matters in an Era of Government by Performance Management

Public administration finds itself in an era of government byperformance management, which is reflected in the widespreadassumption that management is a key determinant of performance,and that it is reasonable to expect managers to measurably improveorganizational effectiveness. This article joins a growing literaturein seeking to conceptualize and empirically test how externalenvironmental influences and internal management factors combineto create performance, relying on data from the 2002–2003National Administrative Studies Project (NASP-II) survey ofstate government health and human services officials. We categorizemanagerial efforts to facilitate organizational performanceas determined either through their interactions with the organizationalenvironment, or through employing workable levers to changeinternal organizational culture, structure, and technology.Among the external environmental variables we find that thesupport of elected officials and the influence of the publicand media have a positive impact on effectiveness. Among internalmanagement choices, the ability to create a developmental organizationalculture, establish a focus on results through goal clarity,and decentralize decision-making authority are all positivelyassociated with organizational effectiveness.     

关于培养创新型教师的思考

阐述了在知识经济时代培养创新型教师的必要性和紧迫性 ,针对教师队伍存在的问题 ,提出创新型教师必须具备的能力和素质 ,并从我国教育改革的实际出发 ,探索了培养创新型教师的基本途径