HEAVY-TAILED-DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

To capture mean and variance asymmetries and time‐varying volatility in financial time series, we generalize the threshold stochastic volatility (THSV) model and incorporate a heavy‐tailed error distribution. Unlike existing stochastic volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time‐delay parameter. Self‐exciting and exogenous threshold variables are considered to investigate the impact of a number of market news variables on volatility changes. Adopting a Bayesian approach, we use Markov chain Monte Carlo methods to estimate all unknown parameters and latent variables. A simulation experiment demonstrates good estimation performance for reasonable sample sizes. In a study of two international financial market indices, we consider two variants of the generalized THSV model, with US market news as the threshold variable. Finally, we compare models using Bayesian forecasting in a value‐at‐risk (VaR) study. The results show that our proposed model can generate more accurate VaR forecasts than can standard models.     

A note on interval‐censored lifetime data and the constant‐sum condition of oiler,gómez & calle (2004)

Oiler, Gomez & Calle (2004) give a constant sum condition for processes that generate interval‐censored lifetime data. They show that in models satisfying this condition, it is possible to estimate non‐parametrically the lifetime distribution based on a well‐known simplified likelihood. The author shows that this constant‐sum condition is equivalent to the existence of an observation process that is independent of lifetimes and which gives the same probability distribution for the observed data as the underlying true process.     

A general inverse sampling scheme and its application to adaptive cluster sampling

Not having a variance estimator is a seriously weak point of a sampling design from a practical perspective. This paper provides unbiased variance estimators for several sampling designs based on inverse sampling, both with and without an adaptive component. It proposes a new design, which is called the general inverse sampling design, that avoids sampling an infeasibly large number of units. The paper provide estimators for this design as well as its adaptive modification. A simple artificial example is used to demonstrate the computations. The adaptive and non‐adaptive designs are compared using simulations based on real data sets. The results indicate that, for appropriate populations, the adaptive version can have a substantial variance reduction compared with the non‐adaptive version. Also, adaptive general inverse sampling with a limitation on the initial sample size has a greater variance reduction than without the limitation.     

Fundamentals of Theory and Practice Revisited; The Mutiny and the Bounty: The Place of Milan Ideas Today

The author traces the development of the Milan approach from the beginning, through the split into two teams in 1980, and subsequent developments in theory and application. He identifies possible unrecognised or undeclared influences of Milan in other family therapy approaches.     

The Exclusion of Disabled People from Positions of Power in British Voluntary Organisations

Disabled people are excluded in various ways from a wide range of social privileges, activities and institutions. Voluntary and charitable organisations promote themselves as champions of disabled people in their struggle for access to the ordinary choices and opportunities of everyday life. This paper reports the findings of an empirical study which demonstrate that in voluntary agencies governed by able-bodied people, disabled people are excluded from positions of power and influence, and they experience the same sorts of barriers and constraints as those with which they are confronted in the wider world. Furthermore, the development of agencies governed by disabled people themselves is constrained by their lack of access to money, staff and other resources.     

The effects of language on judgments of universal facial expressions of emotion

Because of the close connection between culture and language, a number of writers have suggested that bilinguals will differ in their behavior because of differences in the degree of assimilation of different cultures in the same individual. We tested this notion by obtaining data from bilingual (English and Hindi) college students in India using a well-studied cross-cultural research paradigm involving emotional perception. Subjects judged universal facial expressions of emotion in two separate sessions, one conducted entirely in English, the other in Hindi. In each session, they judged which emotion was being portrayed, and how intensely. Subjects recognized anger, fear, and sadness more accurately in English than in Hindi. They also attributed greater intensity to female photos of anger when rating in Hindi, but attributed greater intensity to female photos of sadness when rating in English. These findings were discussed in relation to the theoretical connection between culture and language.     

Vulnerability and Agenda: Context and Process in Project Management

This paper explores how the project management role is conditioned by the context in which change is progressed. The argument draws on Pettigrew's (1985, 1987) contextual and processual view of change, a view which does not clarify the management implications of contextual variation. Using data from a two-stage research design combining diary and survey methods, four context dimensions are identified, concerning ‘interlocking’, ‘shifting sands’, ‘ownership’ and ‘senior management view’. For analytical purposes, two extreme contexts are characterized as exposing the project manager to high and low levels of ‘vulnerability’ respectively. Project management literature typically offers a rational-linear account of change, and concentrates on ‘content’ and ‘control’ agendas, concerning technical expertise on the one hand, and planning, budgeting and monitoring techniques on the other. Sociological analyses reveal the limitations of the rational-linear account, and focus on the political and cultural dimensions of the ‘process’ agenda. The data suggest how contextual variation affects the relative priority of these agendas. The management implications of these findings are explored, for project management selection, career progression, and the development of diagnostic skills and ‘agenda management’ strategies.     

PREDICTING MARITAL SUCCESS FOR PREMARITAL COUPLE TYPES BASED ON PREPARE

Recent studies have shown that group differences in marital stability and satisfaction can be predicted based on premarital relationship quality. There is also a growing literature indicating that there are distinct types of relationships, both premaritally and developmentally over time. This study examined the relationship between the four premarital types (Vitalized, Harmonious, Traditional, and Conflicted) identified by Fowers and Olson (1992) and relationship outcome over a 3-year period with 393 couples. A substantial relationship was found, with conflicted couples being the most likely to separate or divorce. Vitalized couples had the highest levels of satisfaction, followed by Harmonious, Traditional, and Conflicted couples. Traditional couples were less likely to have divorced than Harmonious couples, even though Harmonious couples had higher premarital relationship satisfaction scores.