Robust bootstrap forecast densities for GARCH returns and volatilities

Bootstrap procedures are useful to obtain forecast densities for both returns and volatilities in the context of generalized autoregressive conditional heteroscedasticity models. In this paper, we analyse the effect of additive outliers on the finite sample properties of these bootstrap densities and show that, when obtained using maximum likelihood estimates of the parameters and standard filters for the volatilities, they are badly affected with dramatic consequences on the estimation of Value-at-Risk. We propose constructing bootstrap densities for returns and volatilities using a robust parameter estimator based on variance targeting implemented together with an adequate modification of the volatility filter. We show that the performance of the proposed procedure is adequate when compared with available robust alternatives. The results are illustrated with both simulated and real data.     

The European delay in transition to parenthood: the Italian case

A delay in the transition to parenthood is common to all European countries, but Mediterranean and North European young people follow different pathways of transition to adulthood, which are described in the article. Since 2003, we have conducted four social inquiries in Italian urban contexts involving male and female young people with and without children and the article is therefore focused on Italy. The principal purpose of this research programme is to interpret the determinants of the Italian phenomenon of delaying the birth of the first child. The interpretative axes for conceptualizing the problem are intergender and intergenerational comparisons. In particular, the results of these inquiries indicate that in Italy the delay of the parenthood transition is linked to the policy-makers' ‘delay’ in realizing that the decision to postpone having children is not strongly linked to any ‘crisis of family values’. The real problem is that since the beginning of the twentieth century, the present younger generation is the first to suffer from a general decrease in social opportunities as compared with the previous one. The mechanism is illustrated by Bourdieu: the new generation's members continue to form their life expectations on the basis of their parents' situations without considering the changes in conditions (e.g. inflation of study titles) that restrict their access to social resources. According to our results, the delay in the assumption of the parental role is an unintentional effect of a set of intentional actions aimed at creating and consolidating life conditions supporting self-realization. ‘Delayers’ continually try to resist the distressing sensations of precariousness, instability, vulnerability and uncertainty recognized by influential sociologists as distinctive features of contemporary life. Consequently, the delay in the family-building process takes on an active connotation: the attempt is to fill the gap in life chances related to gender and generational memberships. The last part of the article is dedicated to a comparison of European countries' social policies in support of parenthood.     

The Determinants of Retail Productivity: A Critical Review of the Evidence

This paper discusses the literature on the established determinants of productivity in the retail sector. It also draws attention to some neglected strands of research which provide useful insights into strategies that could allow productivity enhancements in this area of the economy. To date, very few attempts have been made to integrate different specialisms in order to explain what drives productivity in retail. Here this paper rectifies this omission by putting together studies from economics, geography, knowledge management and employment studies. It is the authors’ view that quantitative studies of retail productivity should focus on total factor productivity in retailing as the result of competition/composition effects, planning regulations, information and communications technology, the multinational operation element and workforce skills. Further, the fact that retail firms possess advantages that are transferable between locations suggests that investment in strategies enhancing the transfer of explicit and tacit knowledge between and within businesses are crucial to achieve productivity gains.     

The mutual benefit movement in Chile from its origins to the present time (1853-1992)

The mutual benefit movement in Chile first appeared with the beginnings of industrialization and urbanization from the 1830s onwards. The first associations of urban workers emerged in 1853: this was followed by an initial period of expansion of mutual benefit activities until 1890. Almost all the urban trades were represented. During this period the mutual benefit movement was the principal organizing force for popular demands. From the 1890s onwards mutual benefit — linked with the workers'movement — grew rapidly and entered on a process of unification. Encouraging the development of the trade union movement, it took a leading part in determining the shape of the people's movements and maintained this role until 1924: this period marked the high point of mutual benefit activities in Chile. Mutual benefit organizations defended workers'demands and the boundaries between mutual benefit and trade union organizations were quite fluid. But the adoption of the social legislation and the support offered by certain leaders of the mutual benefit movement to the military dictatorship marked the beginning of the movement's decline. Efforts were then made to extend its scope of activities and unify the mutual benefit movement in Chile and in Latin America as a whole. The results of this were limited and the crisis continued after the Second World War. The 1973 coup d'état aggravated the situation still further. Today, with the virtual destruction of social security and its replacement by a system of private insurance schemes, one needs to ask whether the Chilean mutual benefit movement, which at one time was the principal form of popular organization, has a future.     

The classification of parametric choices under uncertainty: analysis of the portfolio choice problem

This paper describes the admissible classes of parametric distribution functions of return portfolios and analyzes their consistency with the maximization of the expected utility. In particular, we present a general theory and a unifying framework with the following aims: (1) studying the implications of the classical market restrictions on the portfolio distributions; (2) establishing general rules of ordering, when the uncertain prospect depends by a finite number of parameters; (3) understanding how a dispersion measure has to be used, in order to obtain the investors' optimal portfolios.     

Strong formulation for the spot 5 daily photograph scheduling problem

Earth observation satellites, such as the SPOT 5, take photographs of the earth according to consumers’ demands. Obtaining a good schedule for the photographs is a combinatorial optimization problem known in the literature as the daily photograph scheduling problem (DPSP). The DPSP consists of selecting a subset of photographs, from a set of candidates, to different cameras, maximizing a profit function and satisfying a large number of constraints. Commercial solvers, with standard integer programming formulations, are not able to solve some DPSP real instances available in the literature. In this paper we present a strengthened formulation for the DPSP, based on valid inequalities arising in node packing and 3-regular independence system polyhedra. This formulation was able, with a commercial solver, to solve to optimality all those instances in a short computation time.     

Standard Exponential Cure Rate Model with Informative Censoring

In this article, we consider the standard cure rate model proposed by Boag (1949 Boag , J. W. ( 1949 ). Maximum likelihood estimates of the proportion of patients cured by cancer therapy . J. Roy. Statist. Soc. B 11 : 15 – 53 . [Google Scholar]) and Berkson and Gage (1952 Berkson , J. , Gage , R. ( 1952 ). Survival curve for cancer patients following treatment . J. Amer. Statist. Assoc. 47 : 501 – 515 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]). We present a new definition of informative censoring similar to Lawless (1982 Lawless , J. F. ( 1982 ). Statistical Models and Methods for Lifetime Data . New York : Wiley .[Crossref] , [Google Scholar]) and the corresponding likelihood function. Under informative censoring, we obtain the Fisher information matrix of the exponential standard cure rate model. We verify, with simulated data, the impact caused by informative censoring in the coverage probabilities and in the lengths of asymptotic confidence intervals of the parameters of interest. An example with real data is analyzed.