Central Limit Theorems for the Non‐Parametric Estimation of Time‐Changed Lévy Models

Abstract. Let {Z_t}_{t 0} be a Lévy process with Lévy measure ν and let be a random clock, where g is a non‐negative function and is an ergodic diffusion independent of Z. Time‐changed Lévy models of the form are known to incorporate several important stylized features of asset prices, such as leptokurtic distributions and volatility clustering. In this article, we prove central limit theorems for a type of estimators of the integral parameter β(?):=∫?(x)ν(dx), valid when both the sampling frequency and the observation time‐horizon of the process get larger. Our results combine the long‐run ergodic properties of the diffusion process with the short‐term ergodic properties of the Lévy process Z via central limit theorems for martingale differences. The performance of the estimators are illustrated numerically for Normal Inverse Gaussian process Z and a Cox–Ingersoll–Ross process .     

Second‐order bias‐corrected AIC in multivariate normal linear models under non‐normality

This paper deals with a bias correction of Akaike's information criterion (AIC) for selecting variables in multivariate normal linear regression models when the true distribution of observation is an unknown non‐normal distribution. It is well known that the bias of AIC is $O(1)$ , and there are a number of the first‐order bias‐corrected AICs which improve the bias to $O(n^{-1})$ , where $n$ is the sample size. A new information criterion is proposed by slightly adjusting the first‐order bias‐corrected AIC. Although the adjustment is achieved by merely using constant coefficients, the bias of the new criterion is reduced to $O(n^{-2})$ . Then, a variance of the new criterion is also improved. Through numerical experiments, we verify that our criterion is superior to others. The Canadian Journal of Statistics 39: 126–146; 2011 © 2011 Statistical Society of Canada     

La formation en cours d'emploi en Europe: déterminants et effets sur les salaires

Partant des données du Panel communautaire de ménages (PCM) pour la période 1995–2001 dans six pays, les auteurs étudient les déterminants des activités de formation et les effets de celle‐ci sur les salaires. A partir de quatre indicateurs caractérisant la formation, ils montrent que, si les estimations par la méthode des moindres carrés ordinaires indiquent que, presque partout, la formation valorise substantiellement les salaires, les estimations avec effets fixes font apparaǐtre une incidence quasi nulle. Les effets sur les salaires seraient donc surestimés faute de prise en compte adéquate de la corrélation entre la formation et d'autres facteurs affectant les salaires.     

Discrimination and Adjustment for Mexican American Adolescents: A Prospective Examination of the Benefits of Culturally Related Values

Mexican American adolescents face disparities in mental health and academic achievement, perhaps in part because of discrimination experiences. However, culturally related values, fostered by ethnic pride and socialization, may serve to mitigate the negative impact of discrimination. Guided by the Stress Process Model, the current study examined risk and protective processes using a 2‐wave multi‐informant study with 750 Mexican American families. Specifically, we examined 2 possible mechanisms by which Mexican American values may support positive outcomes in the context of discrimination: as a protective factor (moderator) or risk reducer (mediator). Analyses supported the role of Mexican American values as a risk reducer. This study underscores the importance of examining multiple mechanisms of protective processes in understanding Mexican American adolescent resilience.     

Free floating in the cosmopolis? Exploring the identity‐belonging of transnational knowledge workers

In this article I explore what I call the ‘identity‐belonging’ of transnational knowledge workers, a diverse group of serially migrating career professionals who have spent extended periods of time in at least three countries, usually following career opportunities. Unlike most recent writing on transnationalism, which focuses on enduring connections of migrants with their ‘home’ countries/places, here I explore a transnationalism that may transcend the national, and generally the territorial, principle, with repercussions for identity‐belonging. In this context, how transnational knowledge workers position themselves towards belonging to a nation and towards the idea of cosmopolitanism is of particular interest. From data collected through in‐depth interviews in Australia and Indonesia, I conclude that their globally recognized profession forms the central axis of their identity‐belonging, alongside a weak identification with their nation of origin. The feeling of belonging to and identifying with particular locales and local communities was articulated flexibly and instrumentally in association with professional and wider social networks, while no primordial territorial attachments could be identified.     

‘They’ve Always Been There for Me’: Grandparental Involvement and Child Well‐Being

With diversifying families, increased life expectancy, growing numbers of dual‐worker households and higher rates of family breakdown, grandparents are now playing an increasing role in their grandchildren’s lives. Despite growing importance there has been little empirical research exploring how grandparental involvement impacts on young people’s well‐being. This national study, which includes a survey of 1596 children (aged 11–16) and in‐depth interviews with 40 young people, aimed to address this deficit. Multivariate analyses demonstrate that grandparental involvement is significantly associated with child well‐being – results that are reinforced by qualitative evidence. Findings suggest grandparents may be under‐recognised in the policy agenda.