Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

Meteorological aspects of an abnormal cooling event over Iran in April 2009

During the period from 12 to 15 April, 2009 nearly the entire Iran, apart from the southern border, experienced an advective cooling event. While winter freezing concerns are typical, the nature of this freezing event was unusual with respect to its date of occurrence and accompanying synoptic meteorological situation. To analyze the freezing event, the relevant meteorological data at multiple levels of the atmosphere were examined from the NCEP/ NCAR reanalysis dataset. The results showed that a polar vortex was responsible for the freezing event over the country extending southward extraordinarily in such a way that its ridge influenced most parts of Iran. This was recognized as an abnormal extension of a polar vortex in the recent years. The sea-level pressure fields indicated that a ridge of large-scale anticyclone centered over Black Sea extended southward and prevailed over most parts of Iran. This resulted in the formation of a severe cold air advection from high latitudes (Polar region) over Iran. During the study period, moisture pumping was observed from the Arabian Sea and Persian Gulf. The winds at 1000 hPa level blew with a magnitude of 10 m s-1 toward south in the region of convergence (between -2 9 10-6 s-1 and -12 9 10-6 s-1). The vertical profilesof temperature and humidity also indicated that the ICE structural icing occurred at multiple levels of the atmosphere, i.e, from 800 hPa through 400 hPa levels. In addition to the carburetor (or induction), icing occurred between 900 and 700 hPa levels in the selected radiosonde stations during the study period. In addition, the HYSPLIT backward trajectory model outputs were in quite good agreement with the observed synoptic features

Dynamic cumulative residual Renyi’s entropy

Recently, cumulative residual entropy (CRE) has been found to be a new measure of information that parallels Shannon’s entropy (see Rao et al. [Cumulative residual entropy: A new measure of information, IEEE Trans. Inform. Theory. 50(6) (2004), pp. 1220–1228] and Asadi and Zohrevand [On the dynamic cumulative residual entropy, J. Stat. Plann. Inference 137 (2007), pp. 1931–1941]). Motivated by this finding, in this paper, we introduce a generalized measure of it, namely cumulative residual Renyi’s entropy, and study its properties.We also examine it in relation to some applied problems such as weighted and equilibrium models. Finally, we extend this measure into the bivariate set-up and prove certain characterizing relationships to identify different bivariate lifetime models

Cumulative Approach to Customer Satisfaction with Respect to Compact Segment Car Users

Earlier studies on measurement of customer satisfaction are based on either transaction specific or overall approaches. The transaction specific approach evaluates customer satisfaction with single components in the whole purchase process but the overall satisfaction was based on all the encounters or experiences to the customer throughout the purchase process. Consumers will comment on particular events of their purchase process when asked about transaction-specific satisfaction and they will comment their overall impression and general experiences in overall satisfaction (Bitner & Hubbert 1994) Through a critical review on the literature, it has been identified a new approaches to customer satisfaction, say, cumulative approaches that can be more useful than overall and transaction specific approaches for strategic decision making (Fornell et al 1996). The cumulative approach to customer satisfaction doesn’t study earlier due to the difficulty in operationalization of the concept. But the influencers of customer satisfaction are context specific and the prevailing models doesn’t give the sources of variations in the satisfaction, the importance of cumulative approaches to customer satisfaction has emerges that lights to a new research. The current study has focused to explore the influencers of overall customer satisfaction to form individual elements that can be used to identify the cumulative customer satisfaction.