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.     

Foster parenting: A developmental model

This paper proposes a developmental framework for foster parents and outlines four distinct growth stages. Such a framework can be of value to program administrators who are required to assess foster parent development during the crucial matching process. To draw a distinction between each developmental stage, specific instrumental tasks and indicators are outlined.     

Preparing Parents for Adoption: An Agency Experience

To prepare for the complexities of family formation, 78 prospective adoptive parents participated in Pre-Adopt, a psychosocial educational orientation program offered by one private nonprofit agency. The five-session curriculum included an overview of adoption policies and procedures, discussion of the child placement process, exploration of couples' adoption concerns and expectations about child characteristics, information about adoption laws and birth-parent/child searches, and examination of anticipatory fantasies about birth parents. Program evaluation yielded statistically significant and clinically meaningful findings about changes in emotional readiness to adopt, parenting knowledge, and satisfaction with group participation, adoption policies and agency practices. Practice implications are considered.     

Measuring Substance Abuse Treatment Need Among Adults in Florida: A Social Indicators Approach

Determining the size and demographiccharacteristics of substance abuse populationsis extremely important for implementing publicpolicies aimed at the control of substanceabuse. Such information not only assists in theallocation of limited treatment resources bythe state, but also in the monitoring ofsubstance abuse trends over time and in theevaluation of innovative policy initiatives. Inthis study, we develop three composite measuresof treatment need. We then use these measuresto estimate treatment need for alcohol abuseand for controlled substance abuse within eachof Florida's 67 counties. This study providesan important empirical component of communityplanning, quantifying and, to a limited degree,specifying the level of need for the substanceabuse treatment of community residents. Anadditional benefit is the development of a costeffective and unobtrusive methodology fordetermining empirically when levels of need arechanging so that treatment levels can beadjusted accordingly. With proper use,policymakers can readily employ the methodologydeveloped in this study in Florida andelsewhere to make better-informed decisions inthe allocation of finite substance abusetreatment resources.