Forecasting volatility by means of threshold models

The aim of this paper is to compare the forecasting performance of competing threshold models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out‐of‐sample forecasting ability of the SETAR‐Threshold GARCH (SETAR‐TGARCH) and the SETAR‐Threshold Stochastic Volatility (SETAR‐THSV) models compared to the GARCH model and Stochastic Volatility (SV) model. However, the main problem in evaluating the predictive ability of volatility models is that the ‘true’ underlying volatility process is not observable and thus a proxy must be defined for the unobservable volatility. For the class of nonlinear state space models (SETAR‐THSV and SV), a modified version of the SIR algorithm has been used to estimate the unknown parameters. The forecasting performance of competing models has been compared for two return time series: IBEX 35 and S&P 500. We explore whether the increase in the complexity of the model implies that its forecasting ability improves. Copyright © 2007 John Wiley & Sons, Ltd.     

Action de l'orientation et de la qualité de la lumière sur le développement des protonémas de Bryales

Summary The radiations coming from Blanc Brillant de Luxe' fluorescent stimulate the growth and ramification of protonema ofCeratodon purpureus (Hedw.) Brid. This stimulation is caused by red light (660 nm). Multidirectional lightening is more favorable than unidirectional exposition.     

Immunochemical identity of dipeptidyl aminopeptidase IV from pig serum, liver, submaxillary gland and kidney.

The enzymes which were extracted by autodigestion from the microsomal fractions of the pig kidney, liver and submaxillary gland and from the serum showed an immunochemical identity by a double immunodiffusion test. But the kidney enzyme had a different pI-value from the pI-values of the enzymes of other organs.     

Observation of robust edge superconductivity in Fe(Se,Te) under strong magnetic perturbation

The iron-chalcogenide high temperature superconductor Fe(Se,Te) (FST) has been reported to exhibit complex magnetic ordering and nontrivial band topology which ...