On hysteretic vector autoregressive model with applications

This paper proposes a new hysteretic vector autoregressive (HVAR) model in which the regime switching may be delayed when the hysteresis variable lies in a hysteresis zone. We integrate an adapted multivariate Student-t distribution from amending the scale mixtures of normal distributions. This HVAR model allows for a higher degree of flexibility in the degrees of freedom for each time series. We use the proposed model to test for a causal relationship between any two target time series. Using posterior odds ratios, we overcome the limitations of the classical approach to multiple testing. Both simulated and real examples herein help illustrate the suggested methods. We apply the proposed HVAR model to investigate the causal relationship between the quarterly growth rates of gross domestic product of United Kingdom and United States. Moreover, we check the pairwise lagged dependence of daily PM2.5 levels in three districts of Taipei.     

HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

To capture mean and variance asymmetries and time‐varying volatility in financial time series, we generalize the threshold stochastic volatility (THSV) model and incorporate a heavy‐tailed error distribution. Unlike existing stochastic volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time‐delay parameter. Self‐exciting and exogenous threshold variables are considered to investigate the impact of a number of market news variables on volatility changes. Adopting a Bayesian approach, we use Markov chain Monte Carlo methods to estimate all unknown parameters and latent variables. A simulation experiment demonstrates good estimation performance for reasonable sample sizes. In a study of two international financial market indices, we consider two variants of the generalized THSV model, with US market news as the threshold variable. Finally, we compare models using Bayesian forecasting in a value‐at‐risk (VaR) study. The results show that our proposed model can generate more accurate VaR forecasts than can standard models.     

Functional and emotional traits of corporate social media message strategies: Behavioral insights from S&P 500 Facebook data

Drawing from literature regarding public engagement, the Elaboration Likelihood Model (ELM), computer-mediated communication research, and emotion psychology, this study examines the effects of companies’ social media communication strategies on public engagement behaviors as indexed by post likes, shares, and comments. Specifically, it investigates how corporate Facebook posts’ functional traits (functional interactivity and vividness) and emotional traits (emotion presence, valence, and strength) impact public engagement online. Through data mining and computer-assisted sentiment analysis of 33,379 posts from 106 Standard & Poor 500 companies’ Facebook accounts, this study finds a negative effect of functional interactivity but a positive effect of vividness on engagement. It also shows that emotional traits overall yield stronger public engagement outcomes. Two-way interactions between emotional and functional features are also detected. Theoretical and practical implications are discussed.     

Migration Planning Among Female Prospective Labour Migrants from Nepal: A Comparison of First‐Time and Repeat‐Migrants

As international female labour migration has increased, so too have efforts to prevent the exploitation of labour migrants. However, evidence to underpin prevention efforts remains limited, with little known about labour migrants’ migration planning processes. Using data from a survey of female prospective labour migrants from Nepal, this article compares socio‐demographics and migration‐planning processes between first‐time and repeat‐migrants. We identified several factors which might increase repeat‐migrants’ vulnerability to exploitation during the migration process, or obstruct their engagement in pre‐migration interventions: more rapid migration planning than first‐time migrants; lower involvement in community groups; and a perception that they already have the knowledge they need. Only one‐third of repeat‐migrants planned to go to the same destination and 42 per cent to work in the same sector as previously. With repeat‐migration a common livelihoods strategy, it is crucial that interventions are guided by evidence on the needs of both first‐time‐ and repeat‐migrants.     

Case Reading as a Practice and Training Intervention in Domestic Violence and Child Protection

This article explores the role of a case-reading tool, developed by the Safe and Together Institute, deployed across five Australian states, and which engaged workers from child protection (CP) and specialist domestic and family violence (DFV) services. It aimed to assess the extent to which DFV is identified in CP case files and to assess the quality of case practice from a DFV-informed perspective, as documented in the case file. The Safe and Together approach to child welfare provides a robust foundation upon which practitioners from statutory and nonstatutory backgrounds can work collaboratively and reach consensus about how best to ensure the safety and wellbeing of children living with DFV. The case reading is both a process of transformative working for practitioners and an analytical tool through which their agencies can affect systemic change.

IMPLICATIONS

• A national audit of 20 child protection case files using the Safe and Together case-reading process indicated that documented child protection practice sits at the lower end of a domestic and family violence-informed Continuum of Practice.

• Analysis indicates a need to improve: child protection engagement with fathers who use DFV, assessments of their parenting role and its impact on children and family functioning; identification of adult survivors’ protective capacities and their impact on children.

• Research in this area may have broader implications for other professions and government policy both nationally and internationally.

     

Exercise-related menstrual dysfunction: implications for menopausal health

Physical activity is a well recognized approach to the enhancement of general health and wellbeing in both healthy and diseased populations. However, excessive activity can result in exercise-related menstrual dysfunction (ERMD), which can adversely affect bone health and increase the risk of infertility and cardiovascular events in later life. Physicians should maintain a high awareness of EMRD in assessing health risks in the menopausal woman.     

High‐frequency family contact: a road to nowhere for infants

Understanding the practices which support the best interests of infants when placed in out‐of‐home care in the first year of life is a significant challenge. A study based in Victoria, Australia, explored the practice by the Children's Court of ordering high‐frequency contact (4–7 days a week) with the infant's mother and father when they are placed in care in the first year of life. A literature review revealed little attention to the issue of frequency of family contact for infants. An audit of case files of all infants in care in mid‐2007 showed that at 1 year follow‐up, there was no difference in the reunification rate for children with a period of high‐frequency contact and those with less contact with their mothers and fathers. Focus groups revealed deep divisions of opinion about high‐frequency family contact which are played out in the adversarial Children's Court system in Victoria. The study highlights the complexity of understanding and supporting the attachment relationships at this critical period in the infant's life.