Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche.s habit persistence version of Lucas model we .nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return.: asset pricing, CCAPM, conditional volatility, GARCH models, foreign exchange, habit persistence

Hedging and pricing European-type claims on non-traded asset using utility maximization

Imperial Users onl

A Bootstrap Lasso + Partial Ridge Method to Construct Confidence Intervals for Parameters in High-dimensional Sparse Linear Models

Constructing confidence intervals for the coefficients of high-dimensional sparse linear models remains a challenge, mainly because of the complicated limiting distributions of the widely used estimators, such as the lasso. Several methods have been developed for constructing such intervals. Bootstrap lasso+ols is notable for its technical simplicity, good interpretability, and performance that is comparable with that of other more complicated methods. However, bootstrap lasso+ols depends on the beta-min assumption, a theoretic criterion that is often violated in practice. Thus, we introduce a new method, called bootstrap lasso+partial ridge, to relax this assumption. Lasso+partial ridge is a two-stage estimator. First, the lasso is used to select features. Then, the partial ridge is used to refit the coefficients. Simulation results show that bootstrap lasso+partial ridge outperforms bootstrap lasso+ols when there exist small, but nonzero coefficients, a common situation that violates the beta-min assumption. For such coefficients, the confidence intervals constructed using bootstrap lasso+partial ridge have, on average, $50\%$ larger coverage probabilities than those of bootstrap lasso+ols. Bootstrap lasso+partial ridge also has, on average, $35\%$ shorter confidence interval lengths than those of the de-sparsified lasso methods, regardless of whether the linear models are misspecified. Additionally, we provide theoretical guarantees for bootstrap lasso+partial ridge under appropriate conditions, and implement it in the R package "HDCI.

VR Tangram Puzzle Game and 360-degree Panoramic Video

For this demo, I have created two projects—VR Tangram puzzle and 360-degree panoramic video—using Unreal Engine. The VR Tangram puzzle game was created using an environment built and modeled by a student peer in the 3D Digital Design program at RIT, Regina Niu. I then scripted the visual with blueprint in Unreal Engine using gravity, grabbing, and absorption. This game is made to show the traditional tangram puzzle game in a new interactive form, with the goals of arousing childhood memories in adults and helping youth have a better understanding of the past culture. The 360-degree panoramic video is a personal technical attempt by me after research and study. I used the Stereo PanoramicMovie Capture plugin and Scene Capture Cube tool and chose the monoscopic as final presentation. These steps yielded arelatively simple method to achieve panoramic effect

Characterization of Phenolic Acids for Incorporation into Shape Memory Polymer Foams

Shape memory polymer (SMP) foams provide a promising new option for hemorrhage control on the battlefield; however, they lack a mechanism to control wound infections that can delay healing processes. Adding phenolic acids (PAs) into SMP foams provides a natural, non-drug option for incorporations of antioxidant and antimicrobial functionalities that may promote healing. However, PAs lack a systemic characterization of their structure/property relationships, and their chemical incorporation into SMP foams may alter their efficacy. In this work, a library of PAs was screened in terms of antioxidant and antimicrobial properties to provide a full understanding of how their structure affects their function. Additionally, a subset of PAs was modified with SMP foam analog monomers (modified PAs, MPAs) and compared to their unmodified counterparts. PA and MPA antioxidant capabilities were tested in terms of hydrogen peroxide scavenging capacity, and their antimicrobial activities were evaluated against both gram-positive and gram-negative bacteria strains. After testing, the PA library was narrowed down from 10 to 5 candidates with the best solubility, antioxidant properties, and antimicrobial properties. These PAs will be added into SMP foams for use in antimicrobial hemostats

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche s habit persistence version of Lucas model we nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return

Does the Agricultural Subsidy Policy Affect Chinese Grain Production?—Evidence from DID Model

Agricultural development in China has commanded much attention in the new era. This paper uses the DID model to analysis the relationship between agricultural subsidy policy and grain planting structure in China from two perspectives of macro and micro. The novelty of this paper is that we have developed a theoretical model to estimate effect of agricultural subsidy policy on the grain planting structure and explore its path of action. The empirical results of this paper show that the agricultural subsidy policy mainly changes the input of grain production of farmers from the aspects of technology and cost, which greatly motivates the farmers to increase the land input in grain production, and its grain planting area and its proportion will both increase

Air Pollution and Mental Health of Older Adults in China

In this paper, we explore the association between air pollution and the mental health and depression of older adults in China. Along with the rapid economic development, concerns about air pollution and recognition of the importance of mental health have risen remarkably in China. Although no firm evidence of an association between air pollution and overall mental health has been found, the results show significant evidence of a positive relationship between air pollution and depression. Moreover, we observe the presence of concerns about environmental inequality, as people are more sensitive to contaminations caused by pollutants with high variation in densities across counties, such as PM2.5, PM10, and SO2. Although O3 has a high average absolute density, the impact on mental health is low due to the limited variations nationwide. Physical fitness, gender, relative income, marital status, and social contacts are also found to be related to mental health and depression of older adults