M-estimation for some GARCH - type models : computation and application.

In this paper, we consider robust M-estimation fo time series models with both symmetric and asymmetric forms of hetroscedasticity related to the GARCH and GJR models. The class of estimators includes least absolute deviation (LAD), Huber's, Cauchy and B-estimator as well as the well known quasi maximum likelihood estimator (QMLE). Extensive simulations are used to check the relative performance of these estimators in both models and the weighted resampling distribution of M-estimators. Our study indicate that there are estimators that can perform better than QMLE and even outperform robust estimator such as LAD when the error distribution is heavy-tailed. These estimators are also applied to real data sets

Varicella zoster antibodies in healthcare workers from two neonatal units in São Paulo, Brazil - assessment of a staff varicella policy

Although frequently reported in the literature, a staff varicella policy is not standard in many hospitals even in developed countries. in the present study, we assessed varicella zoster immunity in staff from two neonatal units from hospitals in São Paulo, Brazil. Ninety-seven percent of all staff working in both units agreed to participate. A simple and cost-effective varicella policy was subsequently set up, based on costs and data from serology and a history of previous varicella infection. Our results confirm that a varicella vaccination programme can be implemented in a healthcare facility, even in developing countries. (C) 2003 the Hospital Infection Society. Published by Elsevier B.V. All rights reserved.Universidade Federal de São Paulo, Dept Paediat, BR-04039032 São Paulo, SP, BrazilUniversidade Federal de São Paulo, Hosp Infect Control Committee, BR-04039032 São Paulo, SP, BrazilUniversidade Federal de São Paulo, Dept Paediat, BR-04039032 São Paulo, SP, BrazilUniversidade Federal de São Paulo, Hosp Infect Control Committee, BR-04039032 São Paulo, SP, BrazilWeb of Scienc

On valuing participating life insurance contracts with conditional heteroscedasticity

In this paper, we consider a novel approach for the fair valuation of a participating life insurance policy when the dynamics of the reference portfolio underlying the policy are governed by an Asymmetric Power GARCH (APGARCH) model with innovations having a general parametric distribution. The APGARCH model provides a flexible way to incorporate the effect of conditional heteroscedasticity or time-varying conditional volatility and nests a number of important symmetric or asymmetric ARCH-type models in the literature. It also provides a flexible way to capture both the memory effect of the conditional volatility and the asymmetric effects of past positive and negative returns on the current conditional volatility, called the leverage effect. The key valuation tool here is the conditional Esscher transform of Bühlmann et al. (1996, 1998). The conditional Esscher transform provides a convenient and flexible way for the fair valuation under different specifications of the conditional heteroscedastic models. We illustrate the practical implementation of the model using the S&P 500 index as a proxy for the reference portfolio. We also conduct sensitivity analysis of the fair value of the policy with respect to the parameters in the APGARCH model to document the impacts of different conditional volatility models nested in the APGARCH model and the leverage effect on the fair value. The results of the analysis reveal that the memory effect of the conditional volatility has more significant impact on the fair value of the policy than the leverage effect.21 page(s

Uma análise empírica da volatilidade do retorno de commodities agrícolas utilizando modelos ARCH: os casos do café e da soja

Examinou-se o processo da volatilidade dos retornos de duas importantes commodities agrícolas brasileiras, o café e a soja, por meio de modelos da classe ARCH. Os resultados empíricos sugerem fortes sinais de persistência e assimetria na volatilidade de ambas as séries. Além disso, os resultados sugerem que a implementação de políticas que criem, facilitem o acesso e estimulem a utilização de instrumentos de hedging baseados no mercado podem ser estratégias adequadas para tais setores diante da persistência de choques e volatilidade pronunciadas constatadas para os retornos destas commodities<br>We examined the volatility process of the returns of two important Brazilian agricultural commodities, coffee and soy, using ARCH class models. Empirical results suggest strong signs of persistence and asymmetry in the volatility of both series. Furthermore, the results suggest that the design of policies that create, facilitate the access and stimulate the use of market-based hedging devices can be proper strategies for such sectors in view of the persistence of shocks and the pronounced volatility found for the returns of these commodities