Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations

In this article, we investigate the effects of careful modeling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end, we allow the individual unconditional variances in conditional correlation generalized autoregressive conditional heteroscedasticity (CC-GARCH) models to change smoothly over time by incorporating a nonstationary component in the variance equations such as the spline-GARCH model and the time-varying (TV)-GARCH model. The variance equations combine the long-run and the short-run dynamic behavior of the volatilities. The structure of the conditional correlation matrix is assumed to be either time independent or to vary over time. We apply our model to pairs of seven daily stock returns belonging to the S&P 500 composite index and traded at the New York Stock Exchange. The results suggest that accounting for deterministic changes in the unconditional variances improves the fit of the multivariate CC-GARCH models to the data. The effect of careful specification of the variance equations on the estimated correlations is variable: in some cases rather small, in others more discernible. We also show empirically that the CC-GARCH models with time-varying unconditional variances using the TV-GARCH model outperform the other models under study in terms of out-of-sample forecasting performance. In addition, we find that portfolio volatility-timing strategies based on time-varying unconditional variances often outperform the unmodeled long-run variances strategy out-of-sample. As a by-product, we generalize news impact surfaces to the situation in which both the GARCH equations and the conditional correlations contain a deterministic component that is a function of time.     

Educational attainment and employment of young adults ageing out of care: A registry study based on the Finnish birth cohort 1987

Adolescents growing up outside their birth homes are at major risk for multiple adversities in early adulthood, including low education and unemployment. The transition from out-of-home placement to independent living overlaps with the transition from school to work and higher education. However, the support during this critical phase is often inadequate. Adolescents ageing out of care are also more likely to have faced adversities in their birth families. Yet, the interplay between different risk factors and having aged out of care has gained little attention. This study aimed to assess known risk factors for low education and unstable employment and their interaction with ageing out of care, controlling for birth-home-related adversities. We assessed this topic using logistic and linear regression modelling based on the Finnish birth cohort 1987 (n = 59 476) registry. Our analysis showed that obtaining upper secondary and higher education was much less likely among those ageing out of care, and they had spent 52–80 fewer days annually in employment after graduation. Few interactions with other risk factors were, however, found. Efforts are needed to prevent inequalities in education and employment for those ageing out of care in the transition phase from school to work.     

Vegetated roofs in boreal climate support mobile open habitat arthropods,with differentiation between meadow and succulent roofs

Urban Ecosystems - Vegetated roofs are hoped to benefit urban wildlife, yet there are few empirical results regarding the conservation potential of such roofs. In this paper, we focus on arthropods...     

Perceptions of Justice in the Making: Rescaling of Customary Law in Post-Suharto Maluku,Indonesia

This article questions how successful neo-traditional law has been in providing access to justice to Kei Islanders of Maluku, Eastern Indonesia during recent political transitions. It describes the prevailing model of justice in which traditional law draws some of its authority from the state but provides its own normative framework for addressing community disputes. After the fall of Suharto's New Order regime, people began to apply neo-traditional law to ethnic and resource conflicts, arguing that it took precedence over state law in these emerging domains. Although the neo-traditionalist revival affirmed the autonomy of traditional legal institutions, actual legal procedures and outcomes depended on the response of state authorities and national publics to newly activated traditional normative frameworks. The politics of legality in post-Suharto Indonesia have produced increasingly state-oriented models of justice, but legal outcomes still determine the choice between different normative frameworks.     

Anerkennung der beruflichen Kompetenzen von Flüchtlingen – Ein Beitrag zur IntegrationRecognition of professional competences of refuges – a contribution to their integration

In the coming years the integration of refugees in Germany will be a major challenge. The paper initially employs psychological theories, such as the self-determination theory, social identity theory and latent functions of employment, to reveal why the integration of refugees into the national labor market is an important factor for their integration into society as a whole. The labor market, confronting a shortage of skilled professionals caused by demographic change, shows a high potential for the integration of refugees. However, it appears that formal requirements in the current recognition process of occupational qualifications, for example in the craft industry, are still very high. The paper describes – on the basis of case studies – an optimized recognition process of occupational qualifications, in which, in addition to the mere checking of documents, the professional competences among the refugees are assessed on site at the business.     

Duality of weakly disposable technology

The axiom of weak disposability is frequently imposed in data envelopment analysis (DEA) models involving undesirable outputs such as pollution. This paper sheds new light on the economic interpretation of weak disposability by developing dual formulations of the weakly disposable DEA technology. We find that the economic implications of weak disposability on the multiplier DEA problem are two-fold: (1) the shadow prices of the undesirable outputs can be positive or negative, and (2) the economic loss of the benchmark cannot exceed the suck cost of the inputs. We interpret the second implications as a limited liability condition. The dual formulations developed in this paper enable one to estimate shadow prices of the undesirable outputs using the weakly disposable technology. The insights gained are illustrated by a numerical example and an empirical application to the US power plants.     

Family support services buffer the effect of child welfare notifications on child removals

Previous studies have found mixed results about the effects of family support services within the child protection system. The purpose of the study is to examine whether family support services are associated with the need for child removals at the community level. The material of the study consists of Finnish municipalities (N = 292) and their child protection indicators. Linear regression analysis was conducted to analyse the associations between the dependent variable (child removals) and the main predictors (child welfare notifications and family support services). It was found that family support services are associated with child removals. The more children there are in family support services, the more there are also child removals in a municipality. The key finding of the analysis is that a higher rather than lower proportion of clients in family support services buffers the increased effect of demand (child welfare notifications) on child removals better. In this sense, the demand for child removals is not only associated with the characteristics of children and families but may be partly explained by the role of family support services in a municipality. The present study underlines the significance of a system-level approach to child protection.     

A marketization process in dispute: An analysis of serviced housing for the elderly in Finland, 2000–14

Marketization can be viewed as a potential response to the economic challenges of the public sector. The present study is focused on the development of marketization in serviced housing for the elderly in municipalities within Finland. Marketization is approached by asking the question: What kind of municipality‐level factors are associated with marketization and its development? The data consist of 290 municipalities and cover the years 2000–14. According to the study, the size of the municipality, the political distribution of the municipality council, and the economic situation of the municipality are found to be associated with marketization. More preciesly, the municipality size was found to be a kind of prism, which creates two different realities when it is linked with political distribution and transfers. In the case of big municipalities, the big share of Green‐Left council members on municipality councils has been associated with a low level of marketization. However, in the case of small‐ and medium‐sized municipalities, the low level of marketization has been associated with the government statutory transfers between the state and municipalities, which has helped smaller municipalities to avoid fiscal stress. In a policy context, the present study suggests that the marketization process can be slowed down by supporting the economically weakest municipalities to avoid fiscal stress. On the other hand, the marketization process can be supported by creating bigger municipalities which are then attractive enough to create an effective market mechanism.     

Theory of integer-valued data envelopment analysis under alternative returns to scale axioms

Kuosmanen and Kazemi Matin [Theory of integer valued data envelopment analysis. European Journal of Operational Research 2009;192:658–67] developed an axiomatic foundation for a data envelopment analysis (DEA) model that assumes subsets of input and output variables to be integer valued. In this paper we extend and generalize the axiomatic foundation for the integer DEA under variable, non-decreasing and non-increasing returns to scale. These model variants are achieved by introducing new axioms of natural convexity and natural augmentability. We also develop mixed integer linear programming (MILP) formulations for computing efficiency scores in these environments. An empirical example illustrates the approach.     

Structural Change and the Kaldor Facts in a Growth Model With Relative Price Effects and Non‐Gorman Preferences

U.S. data reveal three facts: (1) the share of goods in total expenditure declines at a constant rate over time, (2) the price of goods relative to services declines at a constant rate over time, and (3) poor households spend a larger fraction of their budget on goods than do rich households. I provide a macroeconomic model with non‐Gorman preferences that rationalizes these facts, along with the aggregate Kaldor facts. The model is parsimonious and admits an analytical solution. Its functional form allows a decomposition of U.S. structural change into an income and substitution effect. Estimates from micro data show each of these effects to be of roughly equal importance.