Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Summary. The availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error—the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation-intensive methods.     

High Risk or Low: How Location on a "Risk Ladder" Affects Perceived Risk

Efforts to explain risk magnitude often rely on a "risk ladder" in which exposure levels and associated risk estimates are arrayed with low levels at the bottom and high ones at the top. Two experiments were conducted to test the hypothesis that perceived threat and intended mitigation vary with the location of the subject's assigned level on the risk ladder. Subjects were New Jersey homeowners, asked to assume a particular level of radon or asbestos contamination in their homes, to read a brochure explaining the risk, and then to complete a questionnaire. Both studies found that the difference between an assigned level one-quarter of the way up the ladder and the same level three-quarters of the way up the ladder significantly affected threat perception; the effect on mitigation intentions was significant in only one of the studies. Variations in assigned risk also affected threat perception and mitigation intentions. Variations in test magnitude (e.g., 15 fibers per liter vs. 450 fibers per cubic foot, roughly equivalent risks) had no effect, nor did the distinction between radon and asbestos affect the dependent variables. These findings suggest that communicators can design risk ladders to emphasize particular risk characteristics.     

Disability and employment: towards an understanding of discourse and policy

This article explores the nature of disability employment policy drawing on evidence from fifteen countries. In line with earlier sociological approaches to disability it describes two ways of framing policy in the area. These two paradigms are developed and used to critically evaluate employment policy under the headings: legislative measures, open employment-financial employment support services and sheltered/supported provision. The dilemmas that may arise during implementation of policy are discussed and the consequences for the construction of an emancipatory employment policy. Finally, the article suggests some themes or dimensions that a coherent disability policy should have.     

Antisocial personality disorder and pathological gambling

The prevalence of antisocial personality disorder and its relationship to criminal offenses in pathological gamblers was investigated. A semi-structured interview schedule containing DSM-III criteria for antisocial personality and the California Psychological Inventory Socialisation subscale was administered to a sample of 306 pathological gamblers. Of the total sample, 35% reported no offense. Forty eight percent admitted to the commission of a gambling related offense, 6% to a non-gambling related offense, and 11% to both types of offense. Fifteen percent of subjects met DSM-III diagnostic criteria for antisocial personality disorder. Though these subjects were at greatest risk for committing criminal offenses, offenses were committed independently of DSM-III antisocial personality disorder in the majority of gamblers. It was concluded that features of antisocial personality emerged in response to repeated attempts to conceal excessive gambling and gambling induced financial difficulties.This study was supported by a grant from the Criminology Research Council. The views expressed are the responsibility of the authors and are not necessarily those of the Council. The contribution of Anna Frankova, Research Assistant, is gratefully acknowledged.     

Managing organizational change—A strategic approach

Developing the competence, commitment and capacity for change of people is a vital element in the creation and maintenance of competitive advantage and should be an integral part of the strategic equations and business plans of any firm. This theme, examples of ‘good’ practice, and strategies to implement a strategic approach to people have been explained and developed in a brief case ‘action pack’ produce by the authors of this article for the MSC and NEDO. Key factors identified in the development of the three ‘C’s are effective leadership, involvement and good employee communications, stress on performance management, appropriate reward systems and training and development.     

A REVIEW AND EVALUATION OF MARITAL AND FAMILY THERAPIES FOR AFFECTIVE DISORDERS

Although the efficacy of individual treatments of affective disorders has been well-documented, there are also significant limitations to existing treatments. In the last decade attention has focused increasingley on the interpersonal context of affective illness, and on marital and family relationships in particular. As a result, a number of approaches have been developed which directly involve family members in treatment. In this article we evaluate the current status of marital and family therapies for affective illness. We begin with a discussion of several lines of research bearing on the relationships between family processes and affective illness. The available treatment outcome data evaluating the efficacy of marital and family interventions are then reviewed, with particular attention paid to predictors of treatment success and cost efficacy issues. Finally, we suggest several priorities for future research.     

Paradoxes of pure curiosity

We consider how a rational decision theorist would justify committing resources to an investigation designed to satisfy pure curiosity. We derive a strange result about the need to be completely open-minded about the outcome.