ARFIMA approximation and forecasting of the limiting aggregate structure of long‐memory process

This article studies Man and Tiao's (2006) low‐order autoregressive fractionally integrated moving‐average (ARFIMA) approximation to Tsai and Chan's (2005b) limiting aggregate structure of the long‐memory process. In matching the autocorrelations, we demonstrate that the approximation works well, especially for larger d values. In computing autocorrelations over long lags for larger d value, using the exact formula one might encounter numerical problems. The use of the ARFIMA(0, d, d?₁) model provides a useful alternative to compute the autocorrelations as a really close approximation. In forecasting future aggregates, we demonstrate the close performance of using the ARFIMA(0, d, d?₁) model and the exact aggregate structure. In practice, this provides a justification for the use of a low‐order ARFIMA model in predicting future aggregates of long‐memory process. Copyright © 2008 John Wiley & Sons, Ltd.     

On a dynamic mixture GARCH model

This paper proposes a new mixture GARCH model with a dynamic mixture proportion. The mixture Gaussian distribution of the error can vary from time to time. The Bayesian Information Criterion and the EM algorithm are used to estimate the number of parameters as well as the model parameters and their standard errors. The new model is applied to the S&P500 Index and Hang Seng Index and compared with GARCH models with Gaussian error and Student's t error. The result shows that the IGARCH effect in these index returns could be the result of the mixture of one stationary volatility component with another non‐stationary volatility component. The VaR based on the new model performs better than traditional GARCH‐based VaRs, especially in unstable stock markets. Copyright © 2008 John Wiley & Sons, Ltd.     

Upper intestinal lipids regulate energy and glucose homeostasis

Upon the entry of nutrients into the small intestine, nutrient sensing mechanisms are activated to allow the body to adapt appropriately to the incoming nutrients. To date, mounting evidence points to the existence of an upper intestinal lipid-induced gut–brain neuronal axis to regulate energy homeostasis. Moreover, a recent discovery has also revealed an upper intestinal lipid-induced gut–brain–liver neuronal axis involved in the regulation of glucose homeostasis. In this mini-review, we will focus on the mechanisms underlying the activation of these respective neuronal axes by upper intestinal lipids.     

Über einheitliche Racemate des 1-Oxo-2-methyl-7-methoxy-octahydrophenanthren-2-carbonsäuremethylesters

Summary The racemic mixture of 1-oxo-2-methyl-7-methoxy-octahydrophenanthrene-2-carboxylic acid methyl esters has been separated into three crystalline racemates.     

Umlagerung von Azulen in Naphthalin

Summary Azulene (I) is converted into Naphthalene (II) by heating for 48 hours to 330° C.

---

---

74. Mitt. zur Kenntnis der Sesquiterpene.