A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps

ABSTRACT

We introduce a new methodology for estimating the parameters of a two-sided jump model, which aims at decomposing the daily stock return evolution into (unobservable) positive and negative jumps as well as Brownian noise. The parameters of interest are the jump beta coefficients which measure the influence of the market jumps on the stock returns, and are latent components. For this purpose, at first we use the Variance Gamma (VG) distribution which is frequently used in modeling financial time series and leads to the revelation of the hidden market jumps' distributions. Then, our method is based on the central moments of the stock returns for estimating the parameters of the model. It is proved that the proposed method provides always a solution in terms of the jump beta coefficients. We thus achieve a semi-parametric fit to the empirical data. The methodology itself serves as a criterion to test the fit of any sets of parameters to the empirical returns. The analysis is applied to NASDAQ and Google returns during the 2006–2008 period.     

Communication in Statistics-Theory and methods improved GQL estimation method for the generalised BINMA(1) model

In a recent research, the quasi-likelihood estimation methodology was developed to estimate the regression effects in the Generalized BINMA(1) (GBINMA(1)) process. The method provides consistent parameter estimates but, in the intermediate computations, moment estimating equations were used to estimate the serial- and cross-correlation parameters. This procedure may not result optimal parameter estimates, in particular, for the regression effects. This paper provides an alternative simpler GBINMA(1) process based on multivariate thinning properties where the main effects are estimated via a robust generalized quasi-likelihood (GQL) estimation approach. The two techniques are compared through some simulation experiments. A real-life data application is studied.     

Producing ‘internal suspect bodies’: divisive effects of UK counter‐terrorism measures on Muslim communities in Leeds and Bradford

Research on UK government counter‐terrorism measures has claimed that Muslims are treated as a ‘suspect community’. However, there is limited research exploring the divisive effects that membership of a ‘suspect community’ has on relations within Muslim communities. Drawing from interviews with British Muslims living in Leeds or Bradford, I address this gap by explicating how co‐option of Muslim community members to counter extremism fractures relations within Muslim communities. I reveal how community members internalize fears of state targeting which precipitates internal disciplinary measures. I contribute the category of ‘internal suspect body’ which is materialized through two intersecting conditions within preventative counter‐terrorism: the suspected extremist for Muslims to look out for and suspected informer who might report fellow Muslims. I argue that the suspect community operates through a network of relations by which terrors of counter‐terrorism are reproduced within Muslim communities with divisive effects.     

“Migrant Capital” and Domestic Work: Labour Trajectories of Immigrant Women in Spain

This article analyses the labour trajectory of migrant women in domestic service. The research considers women's working conditions upon arrival, or their “migrant capital” (i.e. their human, social and economic capital) as the defining factors in their labour trajectories. The study, conducted on a sample of migrant women in domestic service, reveals the different value each type of capital has at each stage of a labour trajectory. The social network is the core capital in their first job. Nevertheless, the key factors in labour mobility are human capital and a household's financial needs. The processes of administrative regularization and family reunification prompt far‐reaching changes in these women's labour trajectories. Finally, labour trajectories during the economic crisis have been shaped by financial needs, leading to a decapitalization of the human capital acquired, with even legal status surrendering its value.     

Enrolment in Mathematics and Physics at The Advanced Level in Secondary School Among Two Generations of Highly Skilled Immigrants

This research focuses on enrolment in advanced level Mathematics and Physics in secondary school among first and second generations of Former Soviet Union immigrants and third generation Israeli‐born Jews. The article made use of the Israeli Ministry of Education's database, which includes data on all students who finished their secondary education with a matriculation certificate in 2013. Our findings show the advantage of enrolment in Physics, which is perceived as the most difficult subject, among FSU immigrant students compared to the third generation of Israeli‐born students. This advantage may be explained by their STEM (Science, Technology, Engineering and Mathematics)‐related cultural capital. However, first‐generation FSU students were less likely to be enrolled in advanced‐level Mathematics compared to third‐generation Jews. These findings may emphasize the role of the Israeli education system as a gatekeeper in entering more prestigious Mathematics.     

Innovative approaches to regulating decent work for domestic workers in Côte d'Ivoire: Labour administration and the judiciary under a general labour code

The authors offer a contextualized analysis of judicial decisions rendered during 1971–2013 in Côte d'Ivoire, where domestic work is regulated by a general labour code. Assessments of those decisions, alongside qualitative interviews of institutional actors, elucidate how innovative practices were mainly derived from the code by attentive inspectors and by jurisprudence evolving to treat domestic work like any other. Yet limitations emanating from the inability to grapple with the specificity of domestic work are also identified. Reaffirming that the regulation of domestic work must embrace its duality (work like any other and work like no other), the authors conclude with a call for an international community of learning on decent work for domestic workers.     

SODA WARS: THE EFFECT OF A SODA TAX ELECTION ON UNIVERSITY BEVERAGE SALES

We examine how soda sales changed due to the campaign attention and election outcome of a local excise tax on sugar‐sweetened beverages. Using panel data of beverage sales from university retailers in Berkeley, California, we estimate that soda purchases relative to control beverages significantly dropped immediately after the election, months before the tax was implemented in the city of Berkeley or on campus. Supplemental scanner data from off‐campus retailers reveal this result is not unique to the university setting. Our findings suggest soda tax media coverage and election outcomes can have larger effects on purchasing behavior than the tax itself. (JEL D12, H20, C23, I38, Q18)     

“Thank You for Including Us!” – Introducing a Community‐Based Collaborative Approach to Translating Clinic Materials

When working with clients in another language, having culturally relevant and properly translated clinic materials is vital to effective clinical practice. Not having them presents a barrier for bilingual therapists and their clients. This paper reviews common translation methods and introduces a multi‐level, community‐based approach for translating clinic materials for non‐English speaking clients. Informed by decolonizing practices, this five‐tier method includes members from the target community as cultural brokers to verify the accuracy and nuances of language for their cultural group, as well as a constant comparative method to ensure methodological rigor in the process of inclusion. We present community member's feedback and recommendations, as well as discuss advantages and challenges of using this collaborative culturally responsive translation method.