Comparison of asymmetric stochastic volatility models under different correlation structures

This paper conducts simulation-based comparison of several stochastic volatility models with leverage effects. Two new variants of asymmetric stochastic volatility models, which are subject to a logarithmic transformation on the squared asset returns, are proposed. The leverage effect is introduced into the model through correlation either between the innovations of the observation equation and the latent process, or between the logarithm of squared asset returns and the latent process. Suitable Markov Chain Monte Carlo algorithms are developed for parameter estimation and model comparison. Simulation results show that our proposed formulation of the leverage effect and the accompanying inference methods give rise to reasonable parameter estimates. Applications to two data sets uncover a negative correlation (which can be interpreted as a leverage effect) between the observed returns and volatilities, and a negative correlation between the logarithm of squared returns and volatilities.     

A Semi‐parametric Transformation Frailty Model for Semi‐competing Risks Survival Data

In the analysis of semi‐competing risks data interest lies in estimation and inference with respect to a so‐called non‐terminal event, the observation of which is subject to a terminal event. Multi‐state models are commonly used to analyse such data, with covariate effects on the transition/intensity functions typically specified via the Cox model and dependence between the non‐terminal and terminal events specified, in part, by a unit‐specific shared frailty term. To ensure identifiability, the frailties are typically assumed to arise from a parametric distribution, specifically a Gamma distribution with mean 1.0 and variance, say, σ². When the frailty distribution is misspecified, however, the resulting estimator is not guaranteed to be consistent, with the extent of asymptotic bias depending on the discrepancy between the assumed and true frailty distributions. In this paper, we propose a novel class of transformation models for semi‐competing risks analysis that permit the non‐parametric specification of the frailty distribution. To ensure identifiability, the class restricts to parametric specifications of the transformation and the error distribution; the latter are flexible, however, and cover a broad range of possible specifications. We also derive the semi‐parametric efficient score under the complete data setting and propose a non‐parametric score imputation method to handle right censoring; consistency and asymptotic normality of the resulting estimators is derived and small‐sample operating characteristics evaluated via simulation. Although the proposed semi‐parametric transformation model and non‐parametric score imputation method are motivated by the analysis of semi‐competing risks data, they are broadly applicable to any analysis of multivariate time‐to‐event outcomes in which a unit‐specific shared frailty is used to account for correlation. Finally, the proposed model and estimation procedures are applied to a study of hospital readmission among patients diagnosed with pancreatic cancer.     

A profile Godambe information of power transformations for ARCH time series

Due to Godambe (1985 Godambe, V.P. (1985). The foundation of finite sample estimation in stochastic processes. Biometrika 72:419–428.[Crossref], [Web of Science ®] , [Google Scholar]), one can obtain the Godambe optimum estimating functions (EFs) each of which is optimum (in the sense of maximizing the Godambe information) within a linear class of EFs. Quasi-likelihood scores can be viewed as special cases of the Godambe optimum EFs (see, for instance, Hwang and Basawa, 2011 Hwang, S.Y., Basawa, I.V. (2011). Godambe estimating functions and asymptotic optimal inference. Stat. Probab. Lett. 81:1121–1127.[Crossref], [Web of Science ®] , [Google Scholar]). The paper concerns conditionally heteroscedastic time series with unknown likelihood. Power transformations are introduced in innovations to construct a class of Godambe optimum EFs. A “best” power transformation for Godambe innovation is then obtained via maximizing the “profile” Godambe information. To illustrate, the KOrea Stock Prices Index is analyzed for which absolute value transformation and square transformation are recommended according to the ARCH(1) and GARCH(1,1) models, respectively.     

An algorithm for estimating Box–Cox transformation parameter in ANOVA

In this study, we construct a feasible region, in which we maximize the likelihood function, by using Shapiro–Wilk and Bartlett's test statistics to obtain Box–Cox power transformation parameter for solving the issues of non-normality and/or heterogeneity of variances in analysis of variance (ANOVA). Simulation studies illustrate that the proposed approach is more successful in attaining normality and variance stabilization, and is at least as good as the usual maximum likelihood estimation (MLE) in estimating the transformation parameter for different conditions. Our proposed method is illustrated on two real-life datasets. Moreover, the proposed algorithm is released under R package AID under the name of “boxcoxfr” for implementation.     

Alpha power Weibull distribution: Properties and applications

In this paper, a new lifetime distribution is defined and studied. We refer to the new distribution as alpha power Weibull distribution. The importance of the new distribution comes from its ability to model monotone and non monotone failure rate functions, which are quite common in reliability studies. Various properties of the proposed distribution are obtained including moments, quantiles, entropy, order statistics, mean residual life function, and stress-strength parameter. The maximum likelihood estimation method is used to estimate the parameters. Two real data sets are used to illustrate the importance of the proposed distribution.     

转型期中国共产党执政合法性建设研究

我国目前正处于向社会主义现代化社会的全面转型时期。社会转型期中国共产党执政条件和社会环境也发生着深刻变化,传统的政治合法性资源逐步流失,执政党政治合法性面临新的挑战。应对挑战,我党应当从政治、经济、文化、社会四个方面努力,进一步加强我国执政党的政治合法性建设。     

生态文明研究新进展：一个文献综述

生态文明是建立在经济效益、社会效益与环境效益多赢基础上的一种文明模式,反映了社会文明发展在生产方式上的进步,要求对工业化生产方式进行生态化改造,形成生态化的生产方式。发展生态文明,突破口是建设环境友好型社会,关键在于人类价值取向需要发生转换。学术界对于建设生态文明的途径、方法和基本措施形成了六大代表性的理论：三个平台说、机制建构说、多层次发展说、注重理念说、生态主导说、＂五力＂模型设想。     

论我国公共治理中公民角色的多元并存与转化

目前,公共治理中的公民角色研究呈现出对治理型公民的推崇和对顾客型公民的批判。但诸多原因决定了在我国现阶段公共治理中,治理者与顾客二种公民角色将共生共存,有必要区别分析、深入研究,并采用有效方法推动顾客型公民向治理型公民转化。     

论中国诗学的“圆美”崇尚及其文本书写机制

关注中国诗学对圆美的崇尚,针对偏重文化勾陈、哲学溯源的研究现状,采取深入到诗文本内里的研究路径与方法:析解文本各层次圆的不同意谓,思考"诗何以圆"。本文提出:诗圆的最高境界是包蕴在以圆形物喻诗论说中的圆转无穷之圆,诗文本咏物、叙事、书写人生情境呈现出的"是又不是、不是又是"的特殊态势形成了体验上的回环往复,从而使得诗文本圆转无穷。造就"是又不是,不是又是"特殊态势的书写机制,在"咏物"中最为复杂。咏物徘徊于"是"与"不是"之间缘于对物自性的悬置,其手法主要有文化侵入和幻化。而之所以产生悬置物自性这种书写机制,是因为中国文化中以道为本源的宇宙观对物之存在有特殊的阐说。     

试析我国转型期国家与社会权力关系变迁

在以计划经济为基础的政治形态中,通过体制和组织的力量,形成党、国家和社会“三位一体”政治权力关系。但在改革开放后,社会主义市场经济体制的建立和发展,动摇了党与国家、党与社会关系的传统基础,带来了国家与社会关系的深刻变化。因此,在社会转型期合理调整三者之间的权力关系便成为我国政治发展的一个重要方面。