On the estimation of non linear functions in stochastic volatility models

Abstract

This paper focuses on the inference of suitable generally non linear functions in stochastic volatility models. In this context, in order to estimate the variance of the proposed estimators, a moving block bootstrap (MBB) approach is suggested and discussed. Under mild assumptions, we show that the MBB procedure is weakly consistent. Moreover, a methodology to choose the optimal length block in the MBB is proposed. Some examples and simulations on the model are also made to show the performance of the proposed procedure.     

Does board gender diversity affect firm risk-taking? Evidence from the French stock market

Journal of Management and Governance - Drawing from a sample of French companies that made up the SBF 120 index over the period 2006–2010 (before the enactment of the...     

Missing data and forecasting in multivariate time series: An application of the common components dynamic linear model

Summary The paper deals with missing data and forecasting problems in multivariate time series making use of the Common Components Dynamic Linear Model (DLMCC), presented in Quintana (1985), and West and Harrison (1989). Some results are presented and discussed: exploiting the correlation between series, estimated by the DLMCC, the paper shows as it is possible to update state vector posterior distributions for the unobserved series. This is realized on the base of the updating of the observed series state vectors, for which the usual Kalman filter equations can be applied. An application concerning some Italian private consumption series provides an example of the model capabilities.     

Away from Dissatisfaction,Closer to Well-Being: A Multidimensional Synthetic Measure

As part of the international debate on methods for measuring the social progress of a population, there has been increasing interest in individual subjective opinions about different aspects of quality of life (elementary indicators). In the literature, many methods have been introduced for producing measures of subjective well-being based on these opinions. Some of these methods aim to construct synthetic measures that allow us to consider all the aspects simultaneously. This topic often requires subjective methodological choices and/or distributional assumptions and, when the opinions are encoded by means of categorical ordinal values, the eventual quantification of the original variables. Here, starting from the Istat multipurpose survey on households’—aspects of daily life, we propose an original method for constructing a global satisfaction index. We introduce a variable based on the joint distribution of all the elementary indicators that is able to express the individual degree of global satisfaction. This approach allows us to maintain the original ordinal data scale and to avoid any aggregation formula. By comparing the observed distribution of the new variable and the theoretical one, which refers to the situation of overall dissatisfaction (all individuals are dissatisfied for every aspect), we propose three indices of global satisfaction. We also implemented two simulation studies that confirms both the efficacy and robustness of our method. We then applied it to measure the global satisfaction degree of the Italian population, using Istat multipurpose survey data for the year 2013.     

Adolescent Psychological Well‐being,Radicalism, and Activism: The Mediating Role of Social Disconnectedness and the Illegitimacy of the Authorities

The identification of factors that counter youth’s radicalization while promoting democratic activism is a timely social issue. This paper examines the association of psychological well‐being (PWB) with violent radicalism and nonviolent activism, by focusing on the mediating role of both social disconnectedness (SD) and the perceived illegitimacy of the authorities (PIoA). Two mediation structural equation models (full vs. partial) were applied to data collected from 328 Italian adolescents (14–19 years). The results showed how SD and PIoA fully mediated the link of PWB with radicalism (negatively) and activism (positively). This model was further supported when compared with an alternative one proposing PWB as a mediator between SD and PIoA. The findings are discussed in light of the existing literature and provide potential implications for practice.     

Maternal singing of lullabies during pregnancy and after birth: Effects on mother–infant bonding and on newborns’ behaviour. Concurrent Cohort Study

Background

Mother–infant bonding is of great importance for the development and the well-being of the baby. The aim of this Concurrent Cohort Study was to investigate the effects of mothers singing lullabies on bonding, newborns’ behaviour and maternal stress.

Carry‐over in cross‐over trials in bioequivalence: theoretical concerns and empirical evidence

There is now general agreement that pre‐testing for carry‐over in the AB/BA design is harmful and that efficient analysis of this design must proceed on the assumption that carry‐over has not affected the results to any appreciable degree. A general consensus has not been achieved in the case of higher‐order designs. Since particular forms of carry‐over can be estimated on a within‐patient basis and unbiased within‐patient treatment estimators are possible, some statisticians favour pre‐testing and some favour automatic adjustment for carry‐over. We present theoretical arguments that show that, just as in the AB/BA case, the strategy of pre‐testing is biased as a whole and also that the loss in terms of efficiency in adjusting is not negligible. We also present data from two large series of bioequivalence studies to provide empirical evidence that in this context carry‐over is either absent or rare. We conclude that adjusting or testing for carry‐over in bioequivalence studies is at worst harmful and at best pointless, and that this may also apply to other kinds of study. Copyright © 2004 John Wiley & Sons, Ltd.     

The Role and Implications of Values-based Leadership

This paper aims at analysing conceptually spiritual leadership in the organizational field. First, we identify if a relation between spirituality and leadership can exist and then if and how this influences employer/employees reciprocal behaviour. In the early years, the focus has changed, trying to deepen the differences between religion and spirituality and emphasizing the last one as a source of success for leaders. We focused on the understanding of the effects that spirituality has on the system of values and the role of values and emotions in determining a successful leader. Finally, we emphasize the role of values-based leadership capabilities within strategic management, aiming at highlighting the importance of a shared system of values in leading employees.