Efficient volatility estimation in a two-factor model

We statistically analyze a multivariate Heath-Jarrow-Morton diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process and an exponential function of time to maturity. This exponential term includes some real parameter measuring the rate of increase of the second factor as time goes to maturity. From historical data, we efficiently estimate the time to maturity parameter in the sense of constructing an estimator that achieves an optimal information bound in a semiparametric setting. We also nonparametrically identify the paths of the volatility processes and achieve minimax bounds. We address the problem of degeneracy that occurs when the dimension of the process is greater than two, and give in particular optimal limit theorems under suitable regularity assumptions on the drift process. We consistently analyze the numerical behavior of our estimators on simulated and real datasets of prices of forward contracts on electricity markets.     

QUOTA‐HOPPING IN‐BOND DIVERSION

We show that the U.S. in‐bond system of imports may be used by firms to illegally avoid trade barriers, a practice known as in‐bond diversion. The illicit scheme involves declaring Chinese exports bound for Mexico but diverting them to the U.S. market while in transit, thus creating a gap between Chinese and Mexican reports. Using the phaseout and removal of U.S. quotas at the end of the Multifiber Agreement as a policy experiment, as well as variation in quota bindingness across products, we show that quota‐bound products were associated with larger trade gaps which shrunk following the quota removals. (JEL F13, O17, O19)     

Multivariate hypothesis testing using generalized and {2}-inverses – with applications

The use of generalized inverses in Wald's-type quadratic forms of test statistics having singular normal limiting distributions does not guarantee to obtain chi-square limiting distributions. In this article, the use of {2} -inverses for that problem is investigated. Alternatively, Imhof-based test statistics can also be defined, which converge in distribution to weighted sum of chi-square variables. The asymptotic distributions of these test statistics under the null and alternative hypotheses are discussed. Under fixed and local alternatives, the asymptotic powers are compared theoretically. Simulation studies are also performed to compare the exact powers of the test statistics in finite samples. A data analysis on the temperature and precipitation variability in the European Alps illustrates the proposed methods.     

Effects of sleep inertia on cognitive performance following a 1-hour nap

Abstract

This study investigated the effects of a 1-h nap on subsequent performance in spatial memory (SM) and logical reasoning (LR) tasks. The objective was to evaluate the duration of the effects of sleep inertia (SI). The performance was measured in two independent groups of subjects. The 1-h nap took place at 00:00 h in group 1 and at 03:00 h in group 2. In each task, the experimental design comprised one no-nap condition in which subjects had no sleep before the night tests, and a nap condition that comprised the 1-h nap followed by the test sessions. To measure the duration of SI effects, the subjects were tested in two 30-min sessions and the data in each session were analysed in sub-units of time of 3 min each. In each task the results showed no effects on accuracy, and no circadian effects of napping were found. In each task, analyses of pooled data of the two groups showed that the performance in the 1-h nap condition exhibited significant reductions of speed immediately following awakening, when compared with no-nap, reflecting SI effects. In SM, the slowing lasted 24 min, and 27 min in LR. Practical implications of the results are discussed.     

Grassroots mobilization in revolutionary Nicaragua: The case of the squatter settlements

Examining two Nathan Farb Adirondack landscape photographs from a wall calendar, this paper asks whether or not one can read a Nature photograph as an ideological text First, the paper traces Farb's way of seeing Nature to the emergence of the 19th century bourgeoisie and the Transcendental philosophy of Emerson and Thoreau in which Nature is positioned as an alternative to modernity and urban existence. Second, it notes that the Nature photograph contains three levels of discourse: substantive, technical and aesthetic. As a photograph moves through these levels of discourse, both its exchange value and its sign value increase. Third, it investigates the ambivalent relationship between the photograph and its subject Fourth, it examines the ideological boundaries of alternative ways of photographing Nature. The paper concludes that the realistic landscape photograph is deeply rooted in the history of the American bourgeoisie, its way of seeing is an extension of bourgeois semiotics, and its value as a commodity‐sign is a function of bourgeois economics.     

A Communication Perspective on Video Lottery Terminals

Video Lottery Terminals (VLT) are associated with pathological gambling and with most of the requests for help in combating gambling addiction. Embeddedness of a person in his or her social network is among the communicational factors that may help explain this phenomenon. To verify this, we compared ego networks of VLT gamblers, of gamblers of games with low request for help and of VLT gamblers in treatment (n = 90). The networks of regular VLT gamblers are small and dense and offer little social support. Gamblers in treatment also have small networks, but they are less dense, have more components and offer more social support. Networks of gamblers with low requests for assistance are approximately twice the size as those of VLT gamblers, are sparser and offer more companionship. In conclusion, the VLT gambler is not an isolated individual, but rather an individual ‘shut-in’ a small network of tightly knitted relationships.     

Measuring poverty without the Mortality Paradox

Under income-differentiated mortality, poverty measures reflect not only the “true” poverty, but, also, the interferences or noise caused by the survival process at work. Such interferences lead to the Mortality Paradox: the worse the survival conditions of the poor are, the lower the measured poverty is. We examine several solutions to avoid that paradox. We identify conditions under which the extension, by means of a fictitious income, of lifetime income profiles of the prematurely dead neutralizes the noise due to differential mortality. Then, to account not only for the “missing” poor, but, also, for the “hidden” poverty (premature death), we use, as a fictitious income, the welfare-neutral income, making indifferent between life continuation and death. The robustness of poverty measures to the extension technique is illustrated with regional Belgian data.     

Book reviews

Steven E. Aschheim, Brothers and Strangers. The East European Jew in German and German Jewish Consciousness, 1800–1923 (Madison, University of Wisconsin Press, 1982). Pp.xiv + 331. $25.00.

Ezra Mendelsohn, The Jews of East Central Europe Between the World Wars (Bloomington and London, Indiana University Press, 1983). Pp. 300. £19.25.

Hans van Amersfoort, Immigration and the Formation of Minority Groups: The Dutch Experience 1945–1975 (Cambridge, Cambridge University Press, 1982). Pp.vi + 243. £19.50. (Translated from the Dutch by Robert Lyng).

Centre for Contemporary Cultural Studies, The Empire Strikes Back: Race and Racism in ‘70s Britain (London, Hutchinson University Library, 1982). Pp.324. £5.95.

Susan Benson, Ambiguous Ethnicity: Interracial Families in London (Cambridge, Cambridge University Press, 1982). Pp.xi + 172. £16.50 (hardback); £5.50 (paperback).

Ashok Ohri, Basil Manning and Paul Curno (eds.), Community Work and Racism: Community Work Seven (London, Routledge &; Kegan Paul, 1982). Pp.xv+188. £5.95.

Harold Pollins, Economic History of the Jews in England (London, Associated University Presses, 1983). Pp.339. £20.

Australian Council on Population and Ethnic Affairs, Multiculturalism for All Australians (Canberra, Australian Government Publishing Service, 1982). Pp.54. NP.

Peter D. Osborne, The Other Australia: The Crisis in Aboriginal Health (Occasional Monograph 2, Department of Political Science, University of Tasmania, Hobart, 1982). Pp.144. NP.

J.W. Blassingame (ed.), The Frederick Douglass Papers: Series One, Volume 2: 1847–54, Speeches, Debates and Interviews (New Haven, CT, Yale University Press, 1983). Pp.616. £38.

Robert Ross, Cape of Torments: Slavery and Resistance in South Africa (London, Routledge &; Kegan Paul, 1983). Pp.xi + 160. £9.50.