Inflation rates; long-memoray, level shifts, or both?

We examine if US inflation rates series can be characterized by a long-memory model, by a model with occasional level shifts or by a new model, which jointly captures the two features. Through simulations we show that this new model can be usefully applied in practice. For 23 inflation rate series we find that generally the long-memory model is best, both in t

Structural breaks and long memory in US inflation rates: do they matter for forecasting?

There is substantial evidence that several economic time series variables experience occasional structural breaks. At the same time, for some of these variables there is evidence of long memory. In particular, it seems that inflation rates have both features. One cause for this finding may be that the two features are difficul

Portfolio Diversification Effects of Downside Risk

Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat-tailed distributed returns. The downside risk of a security is decomposed into a part which is attributable to the market risk, an idiosyncratic part, and a second independent factor. We show that the fat-tailed-based downside risk, measured as value-at-risk (VaR), should decline more rapidly than the normal-based VaR. This result is confirmed empirically. Copyright 2005, Oxford University Press.

Die bydrae van die Randfonteinse Openbare Biblioteek tot die Heropbou- en Ontwikkelingsprogram

M.Inf.The Reconstruction and Development Programme (RDP) is an integrated, coherent socioeconomic policy framework that seeks to mobilise all people and resources towards the final eradication of apartheid and the building of a democratic, non-racial and non-sexist future. It is clearly indicated in this policy document that the government is serious about the delivery of services to all people in South Africa. However, mention of library services is made only casually in the document, with libraries and information never being referred to in the same context. Information workers generally are nevertheless convinced that there are many areas in which library and information services can make a significant contribution to the success of the RDP. The purpose of the study was to determine whether the public library, with specific reference to the Randfontein Public Library, can make a contribution to the success of the RDP of South Africa. Data collection methods used included a study of literature and personal interviews with role players. During the analysis phase a brief overview was given of the South African history. The influence of this on the development of public libraries was researched, with special emphasis on the impact of the historical policy of separate development on libraries. It was found that, in the pre democratic era (before the 1994 elections), the Randfontein Public Library had indeed been influenced by apartheid laws, which resulted in inferior library services being provided to the previously disadvantaged groups in Randfontein. A chronological description of the transformation process within the library and information profession, including the guidelines of the national policy document, was given. It was found that information workers generally were aware of their responsibility towards the development of the previously disadvantaged groups, but that they lacked implementation guidelines. A demographic analysis of the Randfontein Magisterial District and a situation analysis of current Randfontein Public Library services were made to determine whether it was possible to make a contribution to the RDP. To determine the services that should be rendered by the Randfontein Public Library typical public library objectives in relation to RDP objectives were investigated. Both sets of objectives place high priority on development and therefore it was concluded that specific functions were to be performed to reach the identified development objectives. A distinction was made between primary and secondary functions. For the purpose of this study primary functions were defined as those performed to contribute towards RDP objectives, while secondary functions were deemed as those complementing the afore mentioned. In conclusion it was found that the Randfontein Public Library can make a contribution towards the actualisation of the RDP through prioritising primary functions and establishing links with organisations and individuals in the Randfontein community

Introduction to M-M Processes

This paper introduces a new type of nonlinear model, the min-max model, and analyzes the properties for a pair of series. Stability conditions of this system are given for the nonlinearly integrated bivariate series. Under these stability conditions, the difference of the two series has a threshold-type nonlinearity. One can construct a threshold error correction model from min-max processes. Neglected nonlinearity tests are applied, to the univariate series and to the system, to detect nonlinearity, and it turns out that the tests using the system have better power. We apply the min-max model to U.S. Treasury bill and commercial paper interest rates. The spread of these interest rates shows a threshold-type nonlinearity, and this model outperforms a linear model in terms of its predictability out-of-sampl

Reacciones adversas medicamentosas fatales en pacientes hospitalizados

Tesis Univ. Granada. Departamento de Medicina. Leída el 6 de marzo de 200

Occasional Structural Breaks and Long Memory

This paper shows that a linear process with breaks can mimic autocorrelations and other properties of I(d) processes, where d can be a fraction. Simulation results show that S&P 500 absolute stock returns are more likely to show the "long memory" property because of the presence of breaks in the series rather than an I(d) process

Portfolio selection with heavy tails

Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner solutions in the sense of a bonds only portfolio. This is due to a focus on the asymptotically dominating first order Pareto term of the portfolio return distribution. We show that if second order terms are taken into account, a balanced solution emerges. The theory is applied to empirical examples from the literature