New HEAVY Models for Fat-Tailed Realized Covariances and Returns

ABSTRACT

We develop a new score-driven model for the joint dynamics of fat-tailed realized covariance matrix observations and daily returns. The score dynamics for the unobserved true covariance matrix are robust to outliers and incidental large observations in both types of data by assuming a matrix-F distribution for the realized covariance measures and a multivariate Student's t distribution for the daily returns. The filter for the unknown covariance matrix has a computationally efficient matrix formulation, which proves beneficial for estimation and simulation purposes. We formulate parameter restrictions for stationarity and positive definiteness. Our simulation study shows that the new model is able to deal with high-dimensional settings (50 or more) and captures unobserved volatility dynamics even if the model is misspecified. We provide an empirical application to daily equity returns and realized covariance matrices up to 30 dimensions. The model statistically and economically outperforms competing multivariate volatility models out-of-sample. Supplementary materials for this article are available online.     

Bootstrap bias corrections for ensemble methods

This paper examines the use of a residual bootstrap for bias correction in machine learning regression methods. Accounting for bias is an important obstacle in recent efforts to develop statistical inference for machine learning. We demonstrate empirically that the proposed bootstrap bias correction can lead to substantial improvements in both bias and predictive accuracy. In the context of ensembles of trees, we show that this correction can be approximated at only double the cost of training the original ensemble. Our method is shown to improve test set accuracy over random forests by up to 70% on example problems from the UCI repository.     

The Validity of the Day Reconstruction Method in the German Socio-economic Panel Study

The Day Reconstruction Method (DRM) is a useful tool for evaluating short-term changes in emotional experiences over a variety of daily situations. However, traditional method of collecting DRM data can be time-intensive for both researchers and participants. In this paper we provide evidence that a random-sampling approach to DRM assessment can provide useful data that are largely consistent with previous research that used the full version of the DRM. In a nationally representative sample of 2303 people, we demonstrate that (1) there is variability in emotional ratings of episodes that replicates what has been found in prior studies, (2) correlations with global measures are typically small in magnitude (<0.30), (3) correlations with personality are for the most part negligible, (4) correlations with global ratings of domain satisfaction are higher for domain-relevant situations, and (5) parents report more positive affect while providing care for their children when compared to other activities, and this effect can account for the observed differences in emotional experiences of parents and non-parents.     

Career‐Related Parent Support and Career Barriers: An Investigation of Contextual Variables

The authors used social cognitive career theory (Lent, Brown, & Hackett, 1994 ) as the basis for examining the person and contextual variables of gender, ethnicity, educational and career barriers, and career‐related parent support for incoming 1st‐year African American, Asian, Latino, and White college students. Women, as compared to men, perceived significantly higher levels of career barriers but similar levels of coping efficacy in dealing with these barriers. Women also reported receiving more career‐related emotional support from parents than did men. For all participants, career‐related parent support accounted for a significant portion of the variance for perceptions of educational and career barriers and coping efficacy with educational and career barriers.     

The Impact of Complexity on Knowledge Transfer in Manufacturing Networks

Coordinating knowledge transfer within multi‐plant manufacturing networks is a challenging task. Using a computational model, we examine when it is beneficial to create production knowledge within a central unit, the “lead factory,” and transfer it to geographically dispersed plants. We demonstrate that the knowledge transfer generates a trade‐off between a positive cost‐saving effect due to fewer adaptations in each plant, and a negative transfer cost effect due to the costly knowledge transfer itself. The complexity of the production process moderates the performance implications of the knowledge transfer because it determines the relative strength of these two effects. For production processes with low complexity, knowledge transfer can engender superior network performance. Here, an optimal extent of knowledge transfer exists, and thus, a complete knowledge transfer is not performance maximizing. For production processes with medium and high levels of complexity, performance is reduced rather than enhanced through knowledge transfer so that it is optimal not to transfer any knowledge from the lead factory to the plants. While we analyze knowledge transfer within a manufacturing network, our results are transferable to other settings that consist of a knowledge sending and receiving unit.     

ICT,young people and social work: distances and opportunities

ABSTRACT

The relationship between social work and Information and Communication Technologies (ICTs) is an awkward one in Spanish tradition, particularly from social work perspective due to a certain lack of institutional and professional competence in terms of understanding the capabilities of ICTs. Young people use ICTs to connect to each other and express themselves, however. ICTs represent a means—increasingly the main one—for young people to build and communicate their own identities and understand reality. As with other social sciences, social work suffers from a difficult relationship with young people. Youth is often studied differently and sometimes perceived as a problem that ends when adulthood is reached. In this context, the relationship among ICTs, social work and young people is also a difficult one. But this problem may also be a solution. By adopting a critical ICT approach, social work can create innovative initiatives and frameworks to improve communication between social work practitioners and teachers as with young people and students. Imagination and empathy will clearly be key to achieving this, in addition to deeper involvement in the use of new software and applications that can offer enhanced communication and build bridges between social workers and young people.     

Intergenerational income immobility in Finland: contrasting roles for parental earnings and family income

An intergenerational model is developed, nesting heritable earning abilities and credit constraints limiting human capital investments in children. Estimates on a large, Finnish data panel indicate very low transmission from parental earnings, suggesting that the parameter of inherited earning ability is tiny. Family income, particularly during the phase of educating children, is shown to be much more important in shaping children’s lifetime earnings. This influence of parental incomes on children’s earnings rises as the children age because the returns to education rise. Despite Finland’s well-developed welfare state, persistence in economic status across generations is much higher than previously thought.     

A Nordhaus-Gaddum-type result for the induced path number

The induced path number ??(G) of a graph G is defined as the minimum number of subsets into which the vertex set of G can be partitioned so that each subset induces a graph. A Nordhaus-Gaddum-type result is a (tight) lower or upper bound on the sum (or product) of a parameter of a graph and its complement. If G is a subgraph of H, then the graph H?E(G) is the complement of G relative to H. In this paper, we consider Nordhaus-Gaddum-type results for the parameter ?? when the relative complement is taken with respect to the complete bipartite graph K _n,n .     

Global Economic Integration and Local Community Resilience: Road Paving and Rural Demographic Change in the Southwestern Amazon

Recent years have witnessed an expansion in international investment in large‐scale infrastructure projects with the goal of achieving global economic integration. We focus on one such project, the Inter‐Oceanic Highway in the “MAP” region, a trinational frontier where Bolivia, Brazil, and Peru meet in the southwestern Amazon. We adopt a resilience approach as an integrative framework to understand various types of road‐paving impacts. We focus on migration activity as an indicator of retention of collective memory, a concept associated with resilience. We pursue a comparative analysis of the three sides of the MAP frontier as well as subregions within each side. Since road paving may be mediated by other factors, we distinguish among the effects of multiple explanatory factors. Data come from a multinational survey of rural communities. The findings show considerable net migration and turnover, both indicative of eroding collective memory and a lack of demographic resilience to externally induced change in the MAP frontier. The findings indicate variation across the frontier, which road paving helps explain, along with some of the mediating factors. These findings contribute to the literature on the impacts of new infrastructure and integration as well as the study of social‐ecological resilience.     

More is less? The volunteer stewardship framework and models

Scholars have devoted substantial attention to developing conditional models of volunteer administration and management, but no consensus surrounds the criteria underlying the different models or the rationale. The literature reveals a welter of possibilities but no clear choice. This study conceives the primary managerial challenges as securing access to and guiding volunteer energy into productive volunteering, and the volunteer administrator as the central actor in this process. Based on how volunteers are accessed and guided in their roles, we develop the Volunteer Stewardship Framework, which distinguishes volunteer administration according to two key dimensions: organizational access to volunteer energy (private resource vs. common pool) and guidance of volunteers (unitary vs. shared). Results of a survey of volunteer administration practitioners in the Netherlands show that respondents working under the four models emanating from the Framework recognize different elements of volunteer administration as “Very Important.”