Bayesian MCMC Mapping of Quantitative Trait Loci in a Half-sib Design: a Graphical Model Perspective

Graphical models provide a powerful and flexible approach to the analysis of complex problems in genetics. While task-specific software may be extremely efficient for any particular analysis, it is often difficult to adapt to new computational challenges. By viewing these genetic applications in a more general framework, many problems can be handled by essentially the same software. This is advantageous in an area where fast methodological development is essential. Once a method has been fully developed and tested, problem-specific software may then be required. The aim of this paper is to illustrate the potential use of a graphical model approach to genetic analyses by taking a very simple and well-understood problem by way of example.     

A model of fractional cointegration, and tests for cointegration using the bootstrap

The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these procedures, ARFIMA models are fitted to the data, and the estimates used to simulate the null hypothesis of non-cointegration in a vector autoregressive modelling framework. The simulations are used to estimate p-values for alternative regression-based test statistics, including the F goodness-of-fit statistic, the Durbin–Watson statistic and estimates of the residual d. The bootstrap distributions are economical to compute, being conditioned on the actual sample values of all but the dependent variable in the regression. The procedures are easily adapted to test stronger null hypotheses, such as statistical independence. The tests are not in general asymptotically pivotal, but implemented by the bootstrap, are shown to be consistent against alternatives with both stationary and nonstationary cointegrating residuals. As an example, the tests are applied to the series for UK consumption and disposable income. The power properties of the tests are studied by simulations of artificial cointegrating relationships based on the sample data. The F test performs better in these experiments than the residual-based tests, although the Durbin–Watson in turn dominates the test based on the residual d.     

On the source of contrarian and momentum strategies in the Italian equity market

This paper investigates the source of momentum profits, while inferring the validity of the assumptions underlying rational and behavioural theories. Using a unique sample of securities listed in the Italian Stock Exchange from 1950 to 1995, we observe that buying better performing stocks in the previous 3-12 months and selling worse performing stocks over the same period yields significant profits in the short term (less than 1 year). Results also hold when conditioned upon different risk specifications. On the other hand, the continuation effect seems to significantly revert over a longer period. More importantly, in contrast with Conrad and Kaul [Rev. Financ. Stud. 11 (1998) 489], bootstrap and Monte Carlo simulations show that momentum profits are more likely to be generated by stock returns time series properties rather than by their cross-sectional differences. While the overall findings cannot reject the market efficiency hypothesis, we argue that behavioural theory may be a possible “story” to interpret the continuation effect.     

Private benefits from control block trades in the Spanish stock exchange

A control block trade can be explained by the expectation of financial gains, shared by all shareholders, or by the expectation of private benefits, exclusive to the buyer and possibly at the expense of other shareholders’ rents. The market for corporate control contributes to social welfare when it improves the efficiency of the allocation of resources. When the objective of a block transaction is private benefits, social welfare may be negatively impacted as minority shareholders could withdraw from the market. Therefore the estimation of private benefits would allow the efficiency of the market for corporate control to be assessed. Specifically, the aim of this paper is to calculate private benefits in the Spanish market for partial control. Using a sample of partial control transactions over the period 1990–2016, we find that the median of private benefits is negative, therefore it appears that there is no inefficient use of resources in the Spanish partial control market as a whole, however private costs are detected. The variability of private benefits is explained in a significant way by variables related to the control structure of the target firm, such as the controlling position of the buyer after the transaction, the contestability of control and the cross-shareholdings between the buyer and large shareholders. Performance and the size of the firm are significant as well.     

Assessing Variability of Complex Descriptive Statistics in Monte Carlo Studies Using Resampling Methods

Good statistical practice dictates that summaries in Monte Carlo studies should always be accompanied by standard errors. Those standard errors are easy to provide for summaries that are sample means over the replications of the Monte Carlo output: for example, bias estimates, power estimates for tests and mean squared error estimates. But often more complex summaries are of interest: medians (often displayed in boxplots), sample variances, ratios of sample variances and non‐normality measures such as skewness and kurtosis. In principle, standard errors for most of these latter summaries may be derived from the Delta Method, but that extra step is often a barrier for standard errors to be provided. Here, we highlight the simplicity of using the jackknife and bootstrap to compute these standard errors, even when the summaries are somewhat complicated. © 2014 The Authors. International Statistical Review © 2014 International Statistical Institute     

Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission mechanism of systemic risk spillovers by block models. Based on conditional value at risk (CoVaR) and single index model (SIM) quantile regression technique, we analyse the tail risk connectedness and find that during market crashes, stock market exposes to more systemic risk and more connectedness. Further, the orthogonal pulse function shows that Herfindahl-Hirschman Index (HHI) of edges has a significant positive effect on systemic risk, but the impact shows a certain lagging feature. Besides, the directional connectedness of sectors shows that systemic risk receivers and transmitters vary across time, and we adopt PageRank index to identify systemically important sector released by utilities and financial sectors. Finally, by block model we find that the tail risk network of Chinese sectors can be divided into four different spillover function blocks. The role of blocks and the spatial spillover transmission path between risk blocks are time-varying. Our results provide useful and positive implications for market participants and policy makers dealing with investment diversification and tracing the paths of risk shock transmission.     

Stock liquidity and stock prices crash-risk: Evidence from India

In this paper, we examine the role of stock liquidity as a governance mechanism to discipline managers for withholding bad news (stock price crash-risk). This topic is useful to emerging markets because the dominance of controlling owners limits the monitoring of internal governance. Stock liquidity can be altered by the financial market regulations, thereby improving firm-level governance. In empirical analysis, we show that stock liquidity decreases stock price crash-risk. We identify two possible mechanisms through which stock liquidity reduces stock price crash-risk: the threat of intervention and price informativeness.     

A Brief Survey of Modern Optimization for Statisticians

Modern computational statistics is turning more and more to high‐dimensional optimization to handle the deluge of big data. Once a model is formulated, its parameters can be estimated by optimization. Because model parsimony is important, models routinely include non‐differentiable penalty terms such as the lasso. This sober reality complicates minimization and maximization. Our broad survey stresses a few important principles in algorithm design. Rather than view these principles in isolation, it is more productive to mix and match them. A few well‐chosen examples illustrate this point. Algorithm derivation is also emphasized, and theory is downplayed, particularly the abstractions of the convex calculus. Thus, our survey should be useful and accessible to a broad audience.     

递增阶梯定价:一个综述

作为较独特的非线性定价,递增阶梯定价使消费者预算凸边界非光滑,进而导致某些消费者消费决策异度集中而难以甄别。此特征致使递增阶梯定价机制的理论和实证研究非常复杂。鉴于公共资源的特殊性,公共资源定价需要合理地兼顾效率、社会公正和成本完全补偿原则。在多元化目标角度上,本文初步验证了递增阶梯定价机制的最优性,虽然此最优性受制于接入率和特征信息等假定。递增阶梯定价下的需求设定趋于统一但估计方法却趋于复杂化和多样化。关于递增阶梯定价下的(价格和收入)需求效应明显与否的问题存在完全相反的结果,实证研究和理论对其不一致性给出多种解释和探讨。这种差异性可能由于消费者对价格、价格设计者对家庭特征等信息不完全,还可能因为各实证分析结果中的时间、市场或产品特征维度含义差异所致。基于多元化目标和资源特性的递增阶梯定价机制的设计和执行问题,将成为递增阶梯定价理论研究发展的一大方向。     

Do Transition Economies and Developing Countries Have Similar Destinies?

This paper evaluates the potential of transition economies for achieving sustainable improvements in living standards vis-à-vis developing countries based on their productivity performance. The comparison is made using a bootstrapped Malmquist productivity index and its technological and efficiency change components. The results of estimation indicate that transition economies enjoy significantly higher increases in technical efficiency than developing countries with comparable rates of real GDP growth. Therefore, these results suggest that the former group of countries may have better growth prospects than the latter group, giving empirical support to Stern and Fries’ (Foreign Policy 111:164–165, 1998) optimism that transition economies are the “tiger” economies of tomorrow.