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.     

Real nonparametric regression using complex wavelets

Summary.  Wavelet shrinkage is an effective nonparametric regression technique, especially when the underlying curve has irregular features such as spikes or discontinuities. The basic idea is simple: take the discrete wavelet transform of data consisting of a signal corrupted by noise; shrink or remove the wavelet coefficients to remove the noise; then invert the discrete wavelet transform to form an estimate of the true underlying curve. Various researchers have proposed increasingly sophisticated methods of doing this by using real-valued wavelets. Complex-valued wavelets exist but are rarely used. We propose two new complex-valued wavelet shrinkage techniques: one based on multiwavelet style shrinkage and the other using Bayesian methods. Extensive simulations show that our methods almost always give significantly more accurate estimates than methods based on real-valued wavelets. Further, our multiwavelet style shrinkage method is both simpler and dramatically faster than its competitors. To understand the excellent performance of this method we present a new risk bound on its hard thresholded coefficients.     

魏晋南北朝的美学思想和盆景艺术

魏晋南北朝是中国古代动乱最多、人民生活最悲惨的时代。战争、动乱使汉王朝“独尊儒术”的旧思想体制大崩溃 ,导致魏晋南北朝时期的古代中国思想最解放、最自由。美学思想和精神的自由 ,酿就了艺术创造精神的勃发 ,因而新的艺术形式、艺术规律应运而生并相互融会贯通。此时的盆景艺术正是在绘画、园林、盆栽、赏石等艺术形式的影响下孕育了自己最初的表现形式和美学规律 ,因此可以说该时期是盆景发展史上的一个重要阶段     

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.     

Inequalities for variances of some functions of random variables

In this note we prove some inequalities for variances and other measures of deviation of functions of random variables. Based on these inequalities we find some corollaries concerning the variances of fractional powers of random variables and of sums of independent random variables.     

Recurrent pain in college students.

The authors investigated the prevalence of recurrent pain in a college student sample. Of the 1,564 students surveyed, 467 (29%) indicated that they had experienced recurrent pain at an intensity that was mostly in the mild-to-moderate range. Students who reported having recurrent pain were significantly older and more depressed than students who did not indicate they suffered from recurrent pain. Pain intensity was positively correlated (r = .14) with depression among the students who reported having recurrent pain. Implications of the findings for future research, treatment, and health promotion efforts are discussed.     

Construction and selection of tightened-normal-tightened sampling inspection scheme of type TNT-(n1, n2; c)

A table is presented for the construction and selection of tightened-normal-tightened sampling scheme of type TNT-(n1, n2;c). Efficiency of TNT-(n1, n2;c) scheme over conventional single and double sampling plans is discussed.     

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.     

Using computers to develop concept models of social situations

Concept modeling is presented as a way to describe and understand social situations. Concepts are developed from field data and supported by sets of exemplars drawn from the data which illustrate the various concepts. The computer is considered an essential tool for conducting this type of qualitative data analysis and displaying the resulting concept models. Two sample concept models are presented along with a discussion of how concept models can be related to teaching and learning, as well as to the nonlinear presentation of research results. Assessment of concept models is then considered. Three types of assessment are suggested: empirical, qualitative and quantitative.     

中国林史学科的奠基人——纪念张钧成先生逝世一周年

张钧成先生是我国著名的林业历史学家.该文从林业史学科建设、林业史研究概况、中国古代林业通史、中国古代林业思想和传统文化、林业科技史和经济史、近现代林业史等研究领域,概述了张先生的学术成就,并回顾了张先生高尚的人生哲学和宝贵的治学经验.张先生的研究成果和治学经验,为我国林史学科的发展奠定了基础.