LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.     

Stjepan Metrović and Michel Maffesoli's 'implosive' defence of the Durkheimian tradition: theoretical convergences around Baudrillard's thesis on the 'end' of the social

This paper critically examines Metrovi? and Maffesoli's attempt to understand postmodernity through Émile Durkheim's nonrational link between society, religion and morality. Metrovi? (1991, 1997) and Maffesoli's (1996) work draws upon this emotional element when attempting to refute Baudrillard's (1983) cognitively focused, if implicit, critique of the Durkheimian tradition. Despite their best intentions, Metrovi? and Maffesoli still fail to exploit the partialities of Baudrillard's critique to the full. While both have some appreciation of the link between emotion and religion as found in Durkheim's The Elementary Forms of Religious Life (1912) they, nevertheless, fall short of grasping its full conceptual importance. This leads them to an implicit acceptance of Baudrillard's thesis on the ‘end’ of the social. This pitfall could have been avoided if Metrovi? and Maffesoli had built their respective analyses of the postmodern condition on a closer reading of The Elementary Forms. Reading this text alongside those other insights on emotion and social life as contained within Durkheim and Mauss's Primitive Classification (1903) and Talcott Parsons's subsequent writings on the sociological problem of religion, would have helped to distance the work of Metrovi? and Maffesoli from that of Baudrillard, and allowed them to offer a stronger and more comprehensive defence of the said tradition.     

Refugee Children in Wales: Coping and Adaptation in the Face of Adversity

This article aims to makes a contribution to redressing a methodological and theoretical imbalance in existing research on refugee and asylum‐seeking children. It draws on two qualitative studies from Wales with children and young people. The samples include unaccompanied minors and children living with families as well as both children who are supported in the asylum system and those who have been granted refugee status. The focus on ecological post‐migratory stressors and coping processes that young people identify as being integral to their well‐being and, once granted status, to how they adapt to settlement includes a selective study of some of the sources of resilience referred to in the children's talk. Recognising the interplay between individual and environment leads to a discussion of both personal attributes and collective cultural identities.     

Diagnostics for dependence within time series extremes

Summary. The analysis of extreme values within a stationary time series entails various assumptions concerning its long- and short-range dependence. We present a range of new diagnostic tools for assessing whether these assumptions are appropriate and for identifying structure within extreme events. These tools are based on tail characteristics of joint survivor functions but can be implemented by using existing estimation methods for extremes of univariate independent and identically distributed variables. Our diagnostic aids are illustrated through theoretical examples, simulation studies and by application to rainfall and exchange rate data. On the basis of these diagnostics we can explain characteristics that are found in the observed extreme events of these series and also gain insight into the properties of events that are more extreme than those observed.     

BURR CRITICAL VALUE APPROXIMATIONS FOR TESTS OF AUTOCORRELATION AND HETEROSCEDASTICITY

The paper evaluates the accuracy of Burr approximations of critical values and p-values for test a of autocorrelation and heteroscedasticity in the linear regression model.     

FINITE HORIZONS, INFINITE HORIZONS, and THE REAL INTEREST RATE

Using an overlapping-generations model in which households may have either finite or infinite horizons, I derive the implications of each horizon for the steady-state real interest rate. I then formulate an econometric model of the steady-state real interest rate and devise tests that can distinguish between finite and infinite horizons. These tests are applied to annual and quarterly U.S. data, which span the period 1875–1988. The results are inconsistent with finite horizons, and broadly consistent with infinite horizons.