Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers,

This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and the sensitivity of the estimates to outliers and extreme observations, are examined using daily data for S&P 500, Heng Seng and Nikkei 225 for the period January 1986 to April 2000.

"On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models"

Non-linear time series models, especially regime-switching models, have become increasingly popular in the economics, finance and financial econometrics literature. However, much of the research has concentrated on the empirical applications of various models, with little theoretical or statistical analysis associated with the structure of the models or asymptotic theory. Some structural and statistical properties have recently been established for the Smooth Transition Autoregressive (STAR) - Generalised Autoregresssive Conditional Heteroscedasticity (GARCH), or STAR-GARCH, model, including the necessary and sufficient conditions for the existence of moments, and the sufficient condition for consistency and asymptotic normality of the (Quasi)-Maximum Likelihood Estimator ((Q)MLE). While these moment conditions are straightforward to verify in practice, they may not be satisfied for the GARCH model if the underlying long run persistence is close to unity. A less restrictive condition for consistency and asymptotic normality may alleviate this problem. The paper establishes a weak sufficient, or log-moment, condition for consistency and asymptotic normality of (Q)MLE for STAR-GARCH. This condition can easily be extended to any non-linear conditional mean model with GARCH errors, subject to reasonable regularity conditions. Although the log-moment condition cannot be verified as easily as the second and fourth moment conditions, it allows the long run persistence of the GARCH process to exceed one. Monte Carlo experiments show that the log-moment condition is more reliable in practice than the second and fourh moment conditions when the underlying long run persistence is close to unity. These experiments also show that the correct specification of the conditional mean is crucial in obtaining unbiased estimates for the GARCH component. The sufficient conditions for consistency and asymptotic normality are verified empirically using S&P 500 returns, 3-month US Treasury Bill returns, and exchange rates between Australia and the USA. The effects of outliers and extreme observations on the empirical moment conditions are also analysed in detail.

In vivo length oscillations of indirect flight muscles in the fruit fly Drosophila virilis

We have used high-speed video microscopy to measure in vivo length oscillations of the indirect flight muscles of the fruit fly Drosophila virilis during tethered flight. The changes in muscle strain were measured by tracking the deformation of the thoracic exoskeleton at the origin and insertion of both the dorsal longitudinal (DLM) and the dorsal ventral (DVM) muscles. The mean peak-to-peak strain amplitudes were found to be 3.5% for the DLMs and 3.3% for the DVMs, although the strain amplitude within individual cycles ranged from 2 to 5%. These values are consistent with the small number of previous measurements of indirect flight muscle strain in other insects, but almost an order of magnitude greater than the strain amplitudes used in most biophysical studies of skinned Drosophila fibers. The results suggest that serial compliance within this sarcomere would need to relieve approximately 70% of the total strain in order for individual crossbridges to remain attached throughout a complete contraction-extension cycle

Respect for people : looking at KPI’s through ‘younger eyes’!

Movement for Innovation (M4I) is partly aimed at delivering targets set by the Egan (1998) report. An initiative under this programme is the ‘Respect for People’ (RFP) working group. This body published its first formal report entitled: A Commitment to People: ‘Our Biggest Asset’ (2000), and challenged construction to respect its workforce. Failure to do so will result in firms being unable to recruit and retain the best talent in the workforce – currently a 'hot topic' in attracting school-leavers into the construction trades. Construction is thought to have harsh conditions of safety and welfare, with poor prospects - ideas that actively discourage many school-leavers. To combat this ‘image’ problem, the RFP Working Group are piloting a toolkit which can be used to measure and monitor safety and welfare in order to benchmark their performance against industry best practice. This paper uses an adapted version of this toolkit. Building apprentices in Scottish Further Education Colleges were asked their opinions on ‘site life’ and to complete a questionnaire. The results provide an insight into current thinking and expectations of the 'future' of trade apprentices today. The findings are significant to groups needing input from construction's youth (Construction Industry Training Board (CITB) and M4I). Additionally this paper is of value to academics interested in human aspects and trends in UK construction

The stochastic reflection problem on an infinite dimensional convex set and BV functions in a Gelfand triple

In this paper, we introduce a definition of BV functions in a Gelfand triple which is an extension of the definition of BV functions in [2] by using Dirichlet form theory. By this definition, we can consider the stochastic reflection problem associated with a self-adjoint operator $A$ and a cylindrical Wiener process on a convex set $\Gamma$ in a Hilbert space $H$. We prove the existence and uniqueness of a strong solution of this problem when $\Gamma$ is a regular convex set. The result is also extended to the non-symmetric case. Finally, we extend our results to the case when $\Gamma=K_\alpha$, where $K_\alpha={f\in L^2 (0,1)|f\geq -\alpha},\alpha\geq0$

On the interactions of lipids and proteins in the red blood cell membrane

The effects of temperature and of the action of a purified phospholipase C enzyme preparation on human red blood cell membranes has been investigated by chemical analyses, circular dichroism, and proton magnetic resonance measurements. The results indicate that a substantial fraction of the phospholipids and the proteins of the membranes can change structure independently of one another, suggesting a mosaic pattern for the organization of the lipids and proteins in membranes

"Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings"

Following the rapid growth in the international debt of less developed countries in the 1970s and the increasing incidence of debt rescheduling in the early 1980s, country risk has become a topic of major concern for the international financial community. A critical assessment of country risk is essential because it reflects the ability and willingness of a country to service its financial obligations. Various risk rating agencies employ different methods to determine country risk ratings, combining a range of qualitative and quantitative information regarding alternative measures of economic, financial and political risk into associated composite risk ratings. This paper provides an international comparison of country risk ratings compiled by the International Country Risk Guide (ICRG), which is the only international rating agency to provide detailed and consistent monthly data over an extended period for a large number of countries. As risk ratings can be treated as indexes, their rate of change, or returns, merits attention in the same manner as financial returns. For this reason, a constant correlation multivariate asymmetric ARMA-GARCH model is presented and its underlying structure is established, including the unique, strictly stationary and ergodic solution of the model, its causal expansion, and convenient sufficient conditions for the existence of moments. Alternative empirically verifiable sufficient conditions for the consistency and asymptotic normality of the quasi-maximum likelihood estimator are established under non-normality of the conditional (or standardized) shocks. The empirical results provide a comparative assessment of the conditional means and volatilities associated with international country risk returns across countries and over time, enable a validation of the regularity conditions underlying the models, highlight the importance of economic, financial and political risk ratings as components of a composite risk rating, evaluate the multivariate effects of alternative risk returns and different countries, and evaluate the usefulness of the ICRG risk ratings in modelling risk returns.