Bias‐corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting

This paper proposes the use of the bias‐corrected bootstrap for interval forecasting of an autoregressive time series with an arbitrary number of deterministic components. We use the bias‐corrected bootstrap based on two alternative bias‐correction methods: the bootstrap and an analytic formula based on asymptotic expansion. We also propose a new stationarity‐correction method, based on stable spectral factorization, as an alternative to Kilian's method exclusively used in past studies. A Monte Carlo experiment is conducted to compare small‐sample properties of prediction intervals. The results show that the bias‐corrected bootstrap prediction intervals proposed in this paper exhibit desirable small‐sample properties. It is also found that the bootstrap bias‐corrected prediction intervals based on stable spectral factorization are tighter and more stable than those based on Kilian's stationarity‐correction. The proposed methods are applied to interval forecasting for the number of tourist arrivals in Hong Kong. Copyright © 2010 John Wiley & Sons, Ltd.     

A decision rule to minimize daily capital charges in forecasting value‐at‐risk

Under the Basel II Accord, banks and other authorized deposit‐taking institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of value‐at‐risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realized losses are above the estimated risk. In this paper we analyze the profit‐maximizing problem of an ADI subject to capital requirements under the Basel II Accord as ADIs have to choose an optimal VaR reporting strategy that minimizes daily capital charges. Accordingly, we suggest a dynamic communication and forecasting strategy that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor's 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits. Copyright © 2009 John Wiley & Sons, Ltd.     

Radiolarians from the British North‐Polar Expedition (1875–1876): re‐examination of the H. B. Brady (1878) collection

The earliest report on radiolarians from the Arctic Ocean (north of the Arctic Circle) was provided by H. B. Brady (1878 Brady, H. B. 1878. On the reticularian and radiolarian Rhizopoda (Foraminifera and Polycystina) of the North‐Polar Expedition of 1875–76.. Annals and Magazine of Natural History, Series 5, 1: 425–440. [Taylor & Francis Online] , [Google Scholar]). He documented the occurrences of 10 genera from soundings in northern Baffin Bay and north of Greenland, but he did not illustrate any specimens in his report. We have re‐examined Brady's original slide collection, housed at the Natural History Museum, London (NHM), in order to refine his radiolarian identifications to species level. We have identified 11 radiolarian taxa in his slides, but some are definitely more characteristic of tropical oceans rather than high northern latitudes. We conclude that this is most likely due to sample contamination or misidentification of samples. Therefore, the actual occurrence of tropically affiliated radiolarians recorded from the Arctic is uncertain and should be regarded with suspicion.     

Foraging by the flower-dwelling spider,Misumenops argenteus (Thomisidae), at high prey density sites

In this study, the foraging sites of the crab spider Misumenops argenteus on Trichogoniopsis adenantha (Asteraceae) were investigated over a 2-year period. The choice of sites was examined in relation to prey density in rainy and dry seasons, in leaves versus stems, reproductive branches versus vegetative branches, and in flowerheads in different phenophases. Misumenops argenteus generally occupied sites where the prey frequency was high, indicating that this species was able to evaluate the quality of the foraging sites, as predicted by optimal foraging theory. One exception to the rule was that adult males occurred at all sites, independently of prey density, as also observed in other spider species in which males search for females and not for prey. In addition, young (third and fourth instar) spiders occupied flowerheads with few prey, but which provided shelter.     

A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models

In this paper, we investigate the performance of a class of M‐estimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of value‐at‐risk. The class of estimators includes the least absolute deviation (LAD), Huber's, Cauchy and B‐estimator, as well as the well‐known quasi maximum likelihood estimator (QMLE). We use a wide range of summary statistics to compare both the in‐sample and out‐of‐sample VaR estimates of three well‐known stock indices. Our empirical study suggests that in general Cauchy, Huber and B‐estimator have better performance in predicting one‐step‐ahead VaR than the commonly used QMLE. Copyright © 2011 John Wiley & Sons, Ltd.     

华南某些含锡斑岩的岩石化学与地球化学特征

华南某些含锡斑岩体的化学成分以富硅、贫钙、镁、铁、富碱为特征。其分异指数(DI)一般在90％以上,固结指数低于3,属张裂性花岗岩。根据闻广提出的含锡岩体b值在1～8之间,s值在79～84之间的看法,含锡斑岩的b值和s值均位于锡矿化区间。含锡斑岩体的微量元素以高氟、富铷、贫锶、贫钡为特征。铌钽比值近于1。稀土元素分析表明:∑REE含量较高,相对富集重稀土,铕出现显著负异常。初始锶同位素比值(~(86)Sr/~(87)Sr)_i等于0.711～0.716。说明含锡斑岩体的岩浆系由下部地壳物质重熔而成。     

皖南叶附生苔研究——安徽苔藓植物区系研究之一

本文报道了皖南叶附生苔4科10属17种,较前记录增加了3科7属15种;11种为安徽省新记录,其中粗柱疣鳞苔(新拟名)(Cololejeunea ornata Ev.)为中国新记录;原为热带太平洋岛屿分布的狭瓣细鳞苔(Lejeunea borneensis Horik.)首次在大陆上被发现。皖南叶附生苔种类丰富,仅次于福建武夷山而在华东地区居第二位。尖叶薄鳞苔(Leptolejeunea elliptica)、尖舌扁萼苔(Radula acuminata)、棉毛疣鳞苔(Cololejeunea floccosa)和狭叶残叶苔(Leptocolea oblonga)是组成本地区叶附生苔群落的常见种。对附主植物的研究表明叶附生苔对附主的选择并不严格,光滑无毛,质地较厚的叶面似更适合叶附生苔的生长。     

东准噶尔地区板块构造特征及演化

该文根据区域地质构造特征、蛇绿岩带产出状态及地球物理资料等，划分东准噶尔及其邻区板块和次级构造单元，并探讨东准噶尔地区基底性质，从而揭示了东准噶尔板块由早古生代的大洋环境向晚古生代的大陆边缘至陆壳的演化历程和造山模式。     

豫南杉木萌芽林生长规律的研究

通过定点试验观测和典型抽样调查,研究了豫南杉木萌芽林生长发育规律.结果表明:杉木萌芽率随伐桩直径增加而下降,平均萌芽率可达90%以上;萌芽林生长与立地条件和原杉木生长情况有关,山区和丘陵立地条件为10立地指数以上;萌芽林生长前期快于实生林,但其树高、胸径、材积和生长过程与实生林相差不大.     

Bias in the estimation of non‐linear transformations of the integrated variance of returns

Volatility models such as GARCH, although misspecified with respect to the data‐generating process, may well generate volatility forecasts that are unconditionally unbiased. In other words, they generate variance forecasts that, on average, are equal to the integrated variance. However, many applications in finance require a measure of return volatility that is a non‐linear function of the variance of returns, rather than of the variance itself. Even if a volatility model generates forecasts of the integrated variance that are unbiased, non‐linear transformations of these forecasts will be biased estimators of the same non‐linear transformations of the integrated variance because of Jensen's inequality. In this paper, we derive an analytical approximation for the unconditional bias of estimators of non‐linear transformations of the integrated variance. This bias is a function of the volatility of the forecast variance and the volatility of the integrated variance, and depends on the concavity of the non‐linear transformation. In order to estimate the volatility of the unobserved integrated variance, we employ recent results from the realized volatility literature. As an illustration, we estimate the unconditional bias for both in‐sample and out‐of‐sample forecasts of three non‐linear transformations of the integrated standard deviation of returns for three exchange rate return series, where a GARCH(1, 1) model is used to forecast the integrated variance. Our estimation results suggest that, in practice, the bias can be substantial. Copyright © 2006 John Wiley & Sons, Ltd.