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.     

2½‐Year‐Old Children Use Animacy and Syntax to Learn a New Noun

We examine how attention to animacy information may contribute to children's developing knowledge of language. This research extends beyond prior research in that children were shown dynamic events with novel entities, and were asked not only to comprehend sentences but to use sentence structure to infer the meaning of a new word. In a 4 × 3 design, animacy status (e.g., animate agent, inanimate patient) and labeling syntax (agent, patient, nonlabel control) were varied. Across most events, 2 1/2‐year‐old participants responded as if they expected animate entities to be named. However, in a prototypical (animate agent‐inanimate patient) event condition, children responded differentially across different syntactic structures. Thus, the clearest evidence for attention to syntactic cues was found in the prototypical event condition. These results suggest that young children attend to the animacy status of unfamiliar entities, that they have expectations about animacy relations in events, and that these expectations support emerging syntactic knowledge.     

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.     

A general inverse sampling scheme and its application to adaptive cluster sampling

Not having a variance estimator is a seriously weak point of a sampling design from a practical perspective. This paper provides unbiased variance estimators for several sampling designs based on inverse sampling, both with and without an adaptive component. It proposes a new design, which is called the general inverse sampling design, that avoids sampling an infeasibly large number of units. The paper provide estimators for this design as well as its adaptive modification. A simple artificial example is used to demonstrate the computations. The adaptive and non‐adaptive designs are compared using simulations based on real data sets. The results indicate that, for appropriate populations, the adaptive version can have a substantial variance reduction compared with the non‐adaptive version. Also, adaptive general inverse sampling with a limitation on the initial sample size has a greater variance reduction than without the limitation.     

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     

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.     

An Existential Approach to Risk Perception

Existential, or existential-phenomenological philosophical approaches to the social psychology of risk perception provide a novel framework for understanding issues that are common to all humanity, such as fear of death, freedom and responsibility, isolation and meaninglessness, as these anxieties are a function of existing, or being-in-the-world. These fundamental anxieties can be related theoretically to the ways people perceive risks within social and cultural milieus, and can also be used practically within case studies, as demonstrated in the three examples presented, which examine perceptions of climate change, food-related risks, and environmental awareness via a mixture of quantitative and qualitative techniques. The discussion focuses on the possible insights that can be gained from taking an existential perspective on risk perception, and relates notions of contemporary technologically-oriented societies to the existential challenges faced by individuals and societies in the contemporary world.     

PREDICTING MARITAL SUCCESS FOR PREMARITAL COUPLE TYPES BASED ON PREPARE

Recent studies have shown that group differences in marital stability and satisfaction can be predicted based on premarital relationship quality. There is also a growing literature indicating that there are distinct types of relationships, both premaritally and developmentally over time. This study examined the relationship between the four premarital types (Vitalized, Harmonious, Traditional, and Conflicted) identified by Fowers and Olson (1992) and relationship outcome over a 3-year period with 393 couples. A substantial relationship was found, with conflicted couples being the most likely to separate or divorce. Vitalized couples had the highest levels of satisfaction, followed by Harmonious, Traditional, and Conflicted couples. Traditional couples were less likely to have divorced than Harmonious couples, even though Harmonious couples had higher premarital relationship satisfaction scores.     

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.