The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis

Recently, Fagiolo et al. (2008) find fat tails of economic growth rates after adjusting outliers, autocorrelation and heteroskedasticity. This paper employs US quarterly real output growth, showing that this finding of fat tails may reflect the Great Moderation. That is, leptokurtosis disappears after GARCH adjustment once we incorporate the break in the variance equation.

Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Une famille de distributions symétriques et leptocurtiques représentée par la différence de deux variables aléatoires gamma

Mémoire numérisé par la Division de la gestion de documents et des archives de l'Université de Montréal

Ametropia and ocular biometry in a UK university student population

Purpose. The prevalence of myopia is known to vary with age, ethnicity, level of education, and socioeconomic status, with a high prevalence reported in university students and in people from East Asian countries. This study determines the prevalence of ametropia in a mixed ethnicity U.K. university student population and compares associated ocular biometric measures. Methods. Refractive error and related ocular component data were collected on 373 first-year U.K. undergraduate students (mean age = 19.55 years ± 2.99, range = 17-30 years) at the start of the academic year at Aston University, Birmingham, and the University of Bradford, West Yorkshire. The ethnic variation of the students was as follows: white 38.9%, British Asian 58.2%, Chinese 2.1%, and black 0.8%. Noncycloplegic refractive error was measured with an infrared open-field autorefractor, the Shin-Nippon NVision-K 5001 (Shin Nippon, Ryusyo Industrial Co. Ltd, Osaka, Japan). Myopia was defined as a mean spherical equivalent (MSE) less than or equal to -0.50 D. Hyperopia was defined as an MSE greater than or equal to +0.50 D. Axial length, corneal curvature, and anterior chamber depth were measured using the Zeiss IOLMaster (Carl Zeiss, Jena, GmBH). Results. The analysis was carried out only for white and British Asian groups. The overall distribution of refractive error exhibited leptokurtosis, and prevalence levels were similar for white and British Asian (the predominant ethnic group) students across each ametropic group: myopia (50% vs. 53.4%), hyperopia (18.8% vs. 17.3%), and emmetropia (31.2% vs. 29.3%). There were no significant differences in the distribution of ametropia and biometric components between white and British Asian samples. Conclusion. The absence of a significant difference in refractive error and ocular components between white and British Asian students exposed to the same educational system is of interest. However, it is clear that a further study incorporating formal epidemiologic methods of analysis is required to address adequately the recent proposal that juvenile myopia develops principally from myopiagenic environments and is relatively independent of ethnicity.

SVR-GARCH com misturas de kernels gaussianos

Dissertação (mestrado)—Universidade de Brasília, Departamento de Administração, Programa de Pós-graduação em Administração, 2016.