Estimation and tests for power-transformed and threshold GARCH models

Consider a class of power transformed and threshold GARCH(p,q) (PTTGRACH(p,q)) model, which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa (2004) and includes the standard GARCH model and many other models as special cases. We ¯rst establish the asymptotic normality for quasi-maximum likelihood estimators (QMLE) of the parameters under the condition that the error distribution has ¯nite fourth moment. For the case of heavy-tailed errors, we propose a least absolute deviations estimation (LADE) for PTTGARCH(p,q) model, and prove that the LADE is asymptotically normally distributed under very weak moment conditions. This paves the way for a statistical inference based on asymptotic normality for heavy-tailed PTTGARCH(p,q) models. As a consequence, we can construct the Wald test for GARCH structure and discuss the order selection problem in heavy-tailed cases. Numerical results show that LADE is more accurate than QMLE for heavy tailed errors. Furthermore the theory is applied to the daily returns of the Hong Kong Hang Seng Index, which suggests that asymmetry and nonlinearity could be present in the ¯nancial time series and the PTTGARCH model is capable of capturing these characteristics. As for the probabilistic structure of PTTGARCH(p,q), we give in the appendix a necessary and su±cient condition for the existence of a strictly stationary solution of the model, the existence of the moments and the tail behavior of the strictly stationary solution

Squeeze-film gas bearing technology

Squeeze-film bearing is studied to develop a low-friction suspension for the output-axis gimbal of a single-degree-of-freedom gyroscope. Included are a review of pertinent literature, the theory of squeeze-film lubrication, and design elements

ROSAT Observations of the Flare Star CC Eri

The flare/spotted spectroscopic binary star CC Eri was observed with the Position Sensitive Proportional Counter (PSPC) on the X-ray satellite ROSAT on 1990 July 9-11 and 1992 January 26-27. During the observations, the source was variable on time scales from a few minutes to several hours, with the X-ray (0.2-2 keV) luminosity in the range $\sim 2.5-6.8\times 10^{29} erg s^{-1}$. An X-ray flare-like event, which has a one hour characteristic rise time and a two hour decay time, was observed from CC Eri on 1990 July 10 16:14-21:34 (UT). The X-ray spectrum of the source can be described by current thermal plasma codes with two temperature components or with a continuous temperature distribution. The spectral results show that plasma at $Te\sim 10^{7}$ K exists in the corona of CC Eri. The variations in the observed source flux and spectra can be reproduced by a flare, adopting a magnetic reconnection model. Comparisons with an unheated model, late in the flare, suggest that the area and volume of the flare are substantially larger than in a solar two ribbon flare, while the electron pressure is similar. The emission measure and temperature of the non-flaring emission, interpreted as the average corona, lead to an electron pressure similar to that in a well-developed solar active region. Rotational modulation of a spot related active region requires an unphysically large X-ray flux in a concentrated area.Comment: 14 pages, compressed and uuencoded postscript file, to be published in MNRA

On asymptotic analysis of gaseous squeeze-film bearings

Asymptotic analysis for obtaining steady state solution of time dependent gas lubrication equation, of diffusion type, for gaseous squeeze film bearing

Competitive pressures on income distribution in China

competition;income distribution

EATING OUT: AN IMPORTANT SOURCE OF FOOD FOR THE POOR AND THE FOOD INSECURE

Food consumption behaviors in food secure and food insecure households are compared. A two-stage budgeting and a double-hurdle model are used in the estimation. The results of the paper show that both food away from home and food at home are normal goods for both food secure and food insecure households. However, the effects of family structure on food consumption differ for the two household types. For food secure households, having one more child or one more working family member results in a larger marginal increase in food consumption than that for food insecure households. In addition, households with married heads of household are more likely to eat out in food secure households but less likely to eat out in food insecure households compared to households with unmarried heads of household.Food Consumption/Nutrition/Food Safety,