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.     

司法现代化在我国农村的困境及出路

司法现代化在农村正遭遇着种种困境,这有其深刻的历史背景和现实基础。实现农村的司法现代化,一方面要对传统法律文化进行认真彻底的反思,肃清沿袭至今的消极影响;另一方面则应从制度上保障司法的公正性,在司法领域树立法律的权威。     

A simple procedure for the selection of significant effects

Summary.  Given a large number of test statistics, a small proportion of which represent departures from the relevant null hypothesis, a simple rule is given for choosing those statistics that are indicative of departure. It is based on fitting by moments a mixture model to the set of test statistics and then deriving an estimated likelihood ratio. Simulation suggests that the procedure has good properties when the departure from an overall null hypothesis is not too small.     

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.     

Farming Patterns,Rural Restructuring,and Poverty: A Comparative Regional Analysis1

Abstract This study examines the contentions of two recent perspectives on rural economic organization and their implications for poverty. Building from (1) agrarian political economy and (2) the rural restructuring literatures, we present a comparative regional analysis of how farming patterns and other aspects of economic organization differentially affect poverty in rural areas. Data are based on 2,349 nonmetropolitan U.S. counties for the 1970–1980 period. Nonhired labor-dependent, family-operated farming (smaller and larger family farming) has relatively similar cross-regional effects on rural poverty. The effects of industrialized farming are more spatially variant, suggesting that this type of farming is integrated into regional political economies in different ways than are simple commodity units. However, farming patterns have only a small effect on rural poverty relative to other factors, such as the local employment structure, characteristics of the population, and geographic location. The results of this study highlight the need to move beyond the farm sector to understand both the dynamics of this sector and the socioeconomic consequences of rural restructuring. More broadly, the study underscores the importance of testing general sociological relationships under different spatial (e.g., regional) contexts.     

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.     

The gambling market in the Federal Republic of Germany and the helpseeking of pathological gamblers

The development of the gambling market in the Federal Republic of Germany since the middle of the seventies and data on pathological gamblers seeking help are described. The continuously increasing supply, together with increases in turnover, was followed-with some temporal delay-by an increase in the number of gamblers who sought advice and treatment. Preliminary measures taken by the health authorities as well as some consequences of pathological gambling are discussed.This article is a translation of a German article published in: Deutsche Hauptstelle gegen die Suchtgefahren (1990): Jahrbuch '91 zur Frage der Suchtgefahren. Hamburg: Neuland-Verlag.