A Multivariate GARCH Model with Time-Varying correlations

In this paper we propose a new multivariate GARCH model with time- varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By imposing some suitable restrictions on the conditional-correlation-matrix equation, we construct a MGARCH model in which the conditional-correlation matrix is guaranteed to be positive definite during the optimisation. Thus, our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and BEKK models. We report some Monte Carlo results on the finite-sample distributions of the MLE of the varying- correlation MGARCH model. The new model is applied to some real data sets. It is found that extending the constant-correlation model to allow for time-varying correlations provides some interesting time histories that are not available in a constant-correlation model.BEKK model, constant correlation, Monte Carlo method, multivariate GARCH model, maximum likelihood estimate, varying correlation

Medical Savings Accounts in Singapore: How much is adequate?

While many studies have examined the cost-containment aspect of Medical savings accounts (MSA), few have investigated the adequacy of MSA to finance the health care expenditure. This paper estimates the present value of lifetime healthcare expenses (PVHE) of the Singaporean male and female elderly upon retirement at age 62. The estimation involves calibrating the stream of future healthcare expenditure; stochastic forecasting of cohort survival probabilities; and discounting the projected lifetime healthcare expenditure. Estimated values of the PVHE under various scenarios are used to assess the adequacy of the government-decreed minimum saving to be maintained in the MSA.medical savings accounts, present value of lifetime health care expense, cohort survival probabilities

A Multivariate GARCH Model with Time-Varying Correlations

In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By imposing some suitable restrictions on the conditional-correlation-matrix equation, we manage to construct a MGARCH model in which the conditional-correlation matrix is guaranteed to be positive definite during the optimisation. Thus, our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and BEKK models. We report some Monte Carlo results on the finite-sample distributions of the QMLE of the varying-correlation MGARCH model. The new model is applied to some real data sets. It is found that extending the constant-correlation model to allow for time-varying correlations provides some interesting time histories that are not available in a constant-correlation model.

Monetizing Housing Equity to Generate Retirement Incomes

The public housing program and the unique way of financing housing through the mandatory savings system in Singapore have created a class of homeowners. This paper compares the instruments available to different flat owners to monetize their assets, including the Lease Buyback Scheme (LBS), subletting, downsizing and reverse mortgage. We estimate the present value of retirement incomes derived from these options by incorporating the survival probability which is forecasted using the Lee-Carter demographic model. We compare the monthly payouts that can be unlocked and discuss the tradeoffs of adequate retirement with the elderly preference for leaving a bequest and ageing in place. Our results show that LBS is the most attractive option. It allows the elderly to age-inplace while generating a steady stream of monthly drawdown and possibility of leaving a bequest. Subletting releases housing equity while retaining the asset. This helps the elderly to fulfill their bequest motive. Reverse mortgage is the least attractive option, yielding the lowest retirement income due to high loading factors.

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations

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Ownership and Use Taxes as Congestion Correcting Instruments

In countries, such as Singapore, that have implemented vehicle congestion policies, recent years have seen a shift towards motor vehicle taxes based on car use. Ownership taxes reduce the number of cars on the road, leaving the price per trip largely unaffected. Use taxes such as fuel taxes and road use charges decrease the price of trips without necessarily penalising vehicle ownership per se. This paper presents a simple general equilibrium model involving trips from residential areas to a central business district, along with modal choice between cars and public transit. Car trips involve fixed costs but have lower variable costs per trip (including convenience costs) then bus trips. Using a calibrated numerical model, we investigate the relative merits of ownership and use taxes. We compare full internalisation of congestion externalities to optimal tax outcomes for the different tax types. In our framework, use taxes restore Pareto optimality since congestion damage rises with more trips. Ownership taxes only partially internalise congestion externalities. However, in terms of revenue-raising ability, the marginal excess burdens of ownership taxes in the neighbourhood of optimal taxes are typically lower than use taxes. This is because marginal increases in ownership taxes take away part of the surplus accruing to consumers who still choose to travel by car, and thus have less distortion at the margin.

Surveillance of emerging drugs of abuse in Hong Kong: Validation of an analytical tool

© 2015, Hong Kong Academy of Medicine Press. All rights reserved. Objective: To validate a locally developed chromatography-based method to monitor emerging drugs of abuse whilst performing regular drug testing in abusers. Design: Cross-sectional study. Setting: Eleven regional hospitals, seven social service units, and a tertiary level clinical toxicology laboratory in Hong Kong. Participants: A total of 972 drug abusers and high-risk individuals were recruited from acute, rehabilitation, and high-risk settings between 1 November 2011 and 31 July 2013. A subset of the participants was of South Asian ethnicity. In total, 2000 urine or hair specimens were collected. Main outcome measures: Proof of concept that surveillance of emerging drugs of abuse can be performed whilst conducting routine drug of abuse testing in patients. Results: The method was successfully applied to 2000 samples with three emerging drugs of abuse detected in five samples: PMMA (paramethoxymethamphetamine), TFMPP [1-(3-trifluoromethylphenyl)piperazine], and methcathinone. The method also detected conventional drugs of abuse, with codeine, methadone, heroin, methamphetamine, and ketamine being the most frequently detected drugs. Other findings included the observation that South Asians had significantly higher rates of using opiates such as heroin, methadone, and codeine; and that ketamine and cocaine had significantly higher detection rates in acute subjects compared with the rehabilitation population. Conclusions: This locally developed analytical method is a valid tool for simultaneous surveillance of emerging drugs of abuse and routine drug monitoring of patients at minimal additional cost and effort. Continued, proactive surveillance and early identification of emerging drugs will facilitate prompt clinical, social, and legislative management.Link_to_subscribed_fulltex

Spintronics: Fundamentals and applications

Spintronics, or spin electronics, involves the study of active control and manipulation of spin degrees of freedom in solid-state systems. This article reviews the current status of this subject, including both recent advances and well-established results. The primary focus is on the basic physical principles underlying the generation of carrier spin polarization, spin dynamics, and spin-polarized transport in semiconductors and metals. Spin transport differs from charge transport in that spin is a nonconserved quantity in solids due to spin-orbit and hyperfine coupling. The authors discuss in detail spin decoherence mechanisms in metals and semiconductors. Various theories of spin injection and spin-polarized transport are applied to hybrid structures relevant to spin-based devices and fundamental studies of materials properties. Experimental work is reviewed with the emphasis on projected applications, in which external electric and magnetic fields and illumination by light will be used to control spin and charge dynamics to create new functionalities not feasible or ineffective with conventional electronics.Comment: invited review, 36 figures, 900+ references; minor stylistic changes from the published versio

Measurements of long-range azimuthal anisotropies and associated Fourier coefficients for pp collisions at √s=5.02 and 13 TeV and p+Pb collisions at √sNN=5.02 TeV with the ATLAS detector

ATLAS measurements of two-particle correlations are presented for √s=5.02 and 13 TeV ppcollisions and for √sNN=5.02 TeV p+Pb collisions at the LHC. The correlation functions are measured as a function of relative azimuthal angle Δϕ, and pseudorapidity separation Δη, using charged particles detected within the pseudorapidity interval |η|2, is studied using a template fitting procedure to remove a “back-to-back” contribution to the correlation function that primarily arises from hard-scattering processes. In addition to the elliptic, cos (2Δϕ), modulation observed in a previous measurement, the pp correlation functions exhibit significant cos (3Δϕ) and cos (4Δϕ) modulation. The Fourier coefficients vn, n associated with the cos (nΔϕ) modulation of the correlation functions for n=2–4 are measured as a function of charged-particle multiplicity and charged-particle transverse momentum. The Fourier coefficients are observed to be compatible with cos (nϕ) modulation of per-event single-particle azimuthal angle distributions. The single-particle Fourier coefficients vn are measured as a function of charged-particle multiplicity, and charged-particle transverse momentum for n=2–4. The integrated luminosities used in this analysis are, 64nb−1 for the √s=13 TeV pp data, 170 nb−1 for the √ s = 5.02 TeV pp data, and 28 nb−1 for the √sNN = 5.02 TeV p+Pb data