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.     

Never easy to say “sorry”: Exploring the interplay of crisis involvement,brand image,and message appeal in developing effective corporate apologies

This study examines how the interplay among crisis involvement, brand image, and message appeal impacts the effectiveness of an apology in the context of a corporate crisis. To determine apology effectiveness, a 2 (crisis involvement: high vs. low) × 2 (brand image: symbolic vs. functional) × 2 (message appeal type: emotional vs. informational) experimental design was employed. The results demonstrate that the three-way interaction is significant, especially in the low-crisis involvement condition. The study concludes with a discussion of theoretical and practical implications and directions for future research.     

On hysteretic vector autoregressive model with applications

This paper proposes a new hysteretic vector autoregressive (HVAR) model in which the regime switching may be delayed when the hysteresis variable lies in a hysteresis zone. We integrate an adapted multivariate Student-t distribution from amending the scale mixtures of normal distributions. This HVAR model allows for a higher degree of flexibility in the degrees of freedom for each time series. We use the proposed model to test for a causal relationship between any two target time series. Using posterior odds ratios, we overcome the limitations of the classical approach to multiple testing. Both simulated and real examples herein help illustrate the suggested methods. We apply the proposed HVAR model to investigate the causal relationship between the quarterly growth rates of gross domestic product of United Kingdom and United States. Moreover, we check the pairwise lagged dependence of daily PM2.5 levels in three districts of Taipei.     

Betting Decision Under Break-Streak Pattern: Evidence from Casino Gaming

Cognitive bias is prevalent among gamblers, especially those with gambling problems. Grounded in the heuristics theories, this study contributes to the literature by examining a cognitive bias triggered by the break streak pattern in the casino setting. We postulate that gamblers tend to bet on the latest outcome when there is a break-streak pattern. Moreover, three determinants of the betting decision under break-streak pattern, including the streak length of the alternative outcome, the frequency of the latest outcome, and gender, were identified and examined in this study. A non-participatory observational study was conducted among the Cussec gamblers in a casino in Macao. An analysis of 1229 bets confirms our postulation, particularly when the streak of the alternative outcome is long, the latest outcome is frequent, and the gamblers are females. The findings provide meaningful implications for casino management and public policymakers regarding the minimization of gambling harm.     

Review of Chinese sex attitudes & applicability of sex therapy for Chinese couples with sexual dysfunction

Although sex therapy techniques have widely been used to help Western couples with sexual dysfunction, there has been little research on the applicability of these techniques among Chinese couples. This article discusses the Chinese views and concepts of sex and sexual dysfunction in the past and present, culturally bound sexual problems, and gender role stereotypes. We suggest that with careful integration of the therapeutic techniques with Chinese sex concepts, sex therapy can be applied to Chinese couples experiencing problems in sexual functioning.     

Uncle Long Legs' Letter Box; A Letter Counseling Service for Children in Hong Kong

During the growing up process, children face many challenges. They need support and guidance from adults whom they can trust. Uncle Long Legs' Letter Box provides a letter counseling service for children aged from around 10 to 14 years, who are mainly studying in primary four to junior secondary school. Using letters as the medium, children are encouraged to seek help from Uncle Long Legs when they are facing problems related to family, friendship, and study. In letters, children are often more willing to disclose their personal feelings and problems than they are in face-to-face contacts. The project was started in 1994 in a children and youth center. Up to July 2001, more than fifteen thousand letters have been received from about eight thousand children. Now the service has expanded to five centers and about 120 volunteer counselors are involved. This article summarizes the working experience of Uncle Long Legs' Letter Box and discusses the strengths and limitations of letter counseling to children.     

明末清初松江府及其周边地区人口损失与历史人口估算

如果以松江府及其周边五州县的明初历史人口数据为计算原点,再以人口增长率3.4‰为基础,便有可能算出明清各时代自然增长下的人口数字。可是如此推算18世纪末的人口,较诸同时期准确的统计人口,竟高出达200多万之谱。要处理这庞大的人口差异,其实就是要说明这数以百万计的人口是如何消失的。我们采取的方法是针对1641年至1680年间四个天灾人祸设定级别而作出微调,从而估算明末该地区的人口损失及人口发展状况。若将有关估算结果继续上推至18世纪末,也与乾嘉时代的统计人口相当吻合。这种方法一如其他估算之道,虽非定论,但可为史无明文但处于非常重要时空的中国历史人口,提供一个新的推算方法。此外,以我们的方法计算,1640年左右松江府及周边州县的人口已达500万之谱,这与乾嘉盛世同地区的人口相比,可谓毫不逊色。