Analysis of Stochastic Volatility Sequences Generated by Product Autoregressive Models

The classical methods of analysing time series by Box-Jenkins approach assume that the observed series uctuates around changing levels with constant variance. That is, the time series is assumed to be of homoscedastic nature. However, the nancial time series exhibits the presence of heteroscedasticity in the sense that, it possesses non-constant conditional variance given the past observations. So, the analysis of nancial time series, requires the modelling of such variances, which may depend on some time dependent factors or its own past values. This lead to introduction of several classes of models to study the behaviour of nancial time series. See Taylor (1986), Tsay (2005), Rachev et al. (2007). The class of models, used to describe the evolution of conditional variances is referred to as stochastic volatility modelsThe stochastic models available to analyse the conditional variances, are based on either normal or log-normal distributions. One of the objectives of the present study is to explore the possibility of employing some non-Gaussian distributions to model the volatility sequences and then study the behaviour of the resulting return series. This lead us to work on the related problem of statistical inference, which is the main contribution of the thesis

Using open source software for digital libraries A case study of CUSAT

The purpose of this paper is to describe the design and development of a digital library at Cochin University of Science and Technology (CUSAT), India, using DSpace open source software. The study covers the structure, contents and usage of CUSAT digital library. Design/methodology/approach – This paper examines the possibilities of applying open source in libraries. An evaluative approach is carried out to explore the features of the CUSAT digital library. The Google Analytics service is employed to measure the amount of use of digital library by users across the world. Findings – CUSAT has successfully applied DSpace open source software for building a digital library. The digital library has had visits from 78 countries, with the major share from India. The distribution of documents in the digital library is uneven. Past exam question papers share the major part of the collection. The number of research papers, articles and rare documents is less. Originality/value – The study is the first of its type that tries to understand digital library design and development using DSpace open source software in a university environment with a focus on the analysis of distribution of items and measuring the value by usage statistics employing the Google Analytics service. The digital library model can be useful for designing similar systems