Estimation methods for stochastic volatility models: a survey

Abstract.  Although stochastic volatility (SV) models have an intuitive appeal, their empirical application has been limited mainly due to difficulties involved in their estimation. The main problem is that the likelihood function is hard to evaluate. However, recently, several new estimation methods have been introduced and the literature on SV models has grown substantially. In this article, we review this literature. We describe the main estimators of the parameters and the underlying volatilities focusing on their advantages and limitations both from the theoretical and empirical point of view. We complete the survey with an application of the most important procedures to the S&P 500 stock price index.     

On randomization, modeling and experimental design; a new example in an old discussion

Fisher and "Student" quarreled in the early days of statistics about the design of experiments, meant to measure the difference in yield between to breeds of corn. This discussion comes down to randomization versus model building. More than half a century has passed since, but the different views remain. In this paper the discussion is put in terms of artificial randomization and natural randomization, the latter being what remains after appropriate modeling. Also the Bayesian position is discussed. An example in terms of the old corn-breeding discussion is given, showing that a simple robust model may lead to inference and experimental design that outperforms the inference from randomized experiments by far. Finally similar possibilities are suggested in statistical auditing.     

网络经济下企业统计的转型浅析

网络经济对我国现行的企业统计带来了严峻挑战。企业统计必须要适应网络经济的需求,快速实现转型。应抓住统计作为信息管理工具在网络经济时代企业管理中的优势,从信息系统建设、完善统计工作、注重人才等方面,制定企业统计转型的思路。充分利用现代计算机技术、数据库技术和网络技术,实现统计数据采集、处理和管理的现代化。以其充分发挥职能作用,更好地为企业的生产经营管理活动服务。     

铁路行包办理站的优化方法研究

行包办理站的优化是一种基于全路车站行包办理量统计分析的优化方法。是解决多因素条件影响下铁路行包办理站址选择的依据。根据全路铁路行包办理站办理量及旅客列车加挂行李车编挂方案,按照始发终到、中途及中转车站作业情况,采用分析的方法给出了行包办理站设置的原则,并在此基础上得出未来行包办理站的优化方案。方案的执行可行性强,灵活且有针对性,对未来行包办理站的发展具有指导性意义。     

EMR系统与病案统计系统数据接口方案设计与实施

针对病案统计系统中所需病案首页数据的要求,本文介绍在EMR系统中提取此数据设计的接口方法及分析思路,实现电子病历系统与病案统计系统病人医疗数据的信息共建共享。