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.     

Population constraints on pooled surveys in demographic hazard modeling

In non-experimental research, data on the same population process may be collected simultaneously by more than one instrument. For example, in the present application, two sample surveys and a population birth registration system all collect observations on first births by age and year, while the two surveys additionally collect information on women’s education. To make maximum use of the three data sources, the survey data are pooled and the population data introduced as constraints in a logistic regression equation. Reductions in standard errors about the age and birth-cohort parameters of the regression equation in the order of three-quarters are obtained by introducing the population data as constraints. A halving of the standard errors about the education parameters is achieved by pooling observations from the larger survey dataset with those from the smaller survey. The percentage reduction in the standard errors through imposing population constraints is independent of the total survey sample size.     

Causal inference with generalized structural mean models

Summary.  We estimate cause–effect relationships in empirical research where exposures are not completely controlled, as in observational studies or with patient non-compliance and self-selected treatment switches in randomized clinical trials. Additive and multiplicative structural mean models have proved useful for this but suffer from the classical limitations of linear and log-linear models when accommodating binary data. We propose the generalized structural mean model to overcome these limitations. This is a semiparametric two-stage model which extends the structural mean model to handle non-linear average exposure effects. The first-stage structural model describes the causal effect of received exposure by contrasting the means of observed and potential exposure-free outcomes in exposed subsets of the population. For identification of the structural parameters, a second stage 'nuisance' model is introduced. This takes the form of a classical association model for expected outcomes given observed exposure. Under the model, we derive estimating equations which yield consistent, asymptotically normal and efficient estimators of the structural effects. We examine their robustness to model misspecification and construct robust estimators in the absence of any exposure effect. The double-logistic structural mean model is developed in more detail to estimate the effect of observed exposure on the success of treatment in a randomized controlled blood pressure reduction trial with self-selected non-compliance.     

"儿化"的语素形位学研究

"儿化"是现代汉语中的一个重要语音现象,这种语音现象在汉语语音系统中如何处理存在较大分歧。"儿化"既可以放在语音层面上,也可放在语法层面上处理。我们认为"儿化"现象是"儿"作为一个语法语素在语流中的不同语音变化形式,从语素形位学的角度来说,"儿"是一个形位,是一个语法语素在语流音变中形成的功能聚合单位。语素在语流中发生的语音变化可以分为线性和非线性两种。"儿化"这种减缩变化属于非线性语音变化,不能使用"切分"的方法,只能使用综合概括法,通过有规则的共时语音和语义变化,确立语素"儿"的形位{ },这样处理有利于实现现代汉语语音系统的简洁性、系统性和科学性,也有利于现代汉语语法特别是构词法的研究。     

小型制造业信息化发展模式的研究

该文简述了世界制造业面临的挑战及其信息系统的发展 ,提出了我国小型制造业信息化的目的 ,并分析了小型制造业信息化面临的困难。最后提出了小型制造业信息化的群落合作发展模式。在这种模式中 ,一个企业群落应建立包括群落层和企业层的两层式信息系统。为实现群落合作发展模式 ,在每个小型制造业的群落里 ,应建立一个从事信息系统开发和进行信息服务的IT性质的企业实体来实施群落两层信息系统的建设和运行 ,这个IT性质的企业与信息系统共生存 ,为群落中的企业提供全天候的信息服务 ,特别是在条件成熟时为各个企业的信息系统添加新的功能。     

How Welfare Policies Affect Adolescents' School Outcomes: A Synthesis of Evidence From Experimental Studies

Using data from 8 random assignment studies and employing meta‐analytic techniques, this article provides systematic evidence that welfare and work policies targeted at low‐income parents have small adverse effects on some school outcomes among adolescents ages 12 to 18 years at follow‐up. These adverse effects were observed mostly for school performance outcomes and occurred in programs that required mothers to work or participate in employment‐related activities and those that encouraged mothers to work voluntarily. The most pronounced negative effects on school outcomes occurred for the group of adolescents who had a younger sibling, possibly because of the increased home and sibling care responsibilities they assumed as their mothers increased their employment.     

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.     

Psychological Control and Autonomy Granting: Opposite Ends of a Continuum or Distinct Constructs?

This article explores the relationship between parental psychological control and parental autonomy granting, and the relations between these constructs and indicators of adolescent psychosocial functioning, in a sample of 9,564 adolescents from grades 9 to 12. Participants completed a comprehensive parenting questionnaire as well as several measures of psychosocial adjustment. Confirmatory factor analyses of the parenting items revealed discrete factors for psychological control and autonomy granting, suggesting that these are distinct parenting constructs rather than opposite ends of a parental control continuum. Moreover, structural equation modeling showed that these factors were weakly correlated and differentially related to adolescent internalizing symptoms. Findings have implications for future conceptualization and measurement of psychological control and autonomy granting, and for research examining their effects on adolescent development.     

合成孔径系统光束的大气传输

利用光束的合成孔径系统,通过控制子孔径系统发射光束的相位,可以实现光束的快速瞄准、跟踪及合成.本文在已开展的真空中合成孔径系统光束控制研究工作的基础上,进一步揭示了光束合成孔径系统可以有效地消除大气湍流对光束传输的影响,给出了数值模拟计算结果和三维图形演示.