A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps

ABSTRACT

We introduce a new methodology for estimating the parameters of a two-sided jump model, which aims at decomposing the daily stock return evolution into (unobservable) positive and negative jumps as well as Brownian noise. The parameters of interest are the jump beta coefficients which measure the influence of the market jumps on the stock returns, and are latent components. For this purpose, at first we use the Variance Gamma (VG) distribution which is frequently used in modeling financial time series and leads to the revelation of the hidden market jumps' distributions. Then, our method is based on the central moments of the stock returns for estimating the parameters of the model. It is proved that the proposed method provides always a solution in terms of the jump beta coefficients. We thus achieve a semi-parametric fit to the empirical data. The methodology itself serves as a criterion to test the fit of any sets of parameters to the empirical returns. The analysis is applied to NASDAQ and Google returns during the 2006–2008 period.     

Extending Bayesian back-calculation to estimate age and time specific HIV incidence

Lifetime Data Analysis - CD4-based multi-state back-calculation methods are key for monitoring the HIV epidemic, providing estimates of HIV incidence and diagnosis rates by disentangling their...     

Vegetation on and around large-scale buildings positively influences native tropical bird abundance and bird species richness

High population growth in the tropics is driving urbanisation, removing diverse natural ecosystems. This is causing native species to suffer while introduced synanthropes flourish. City planners are developing urban greenspace networks, in part trying to address this issue. Architects contribute to these greenspace networks by designing elevated and ground level green spaces on large-scale buildings. However, little evidence is available on whether building green spaces support native fauna. This is true for birds in tropical Singapore that support important ecosystem services and have existence value. Therefore, in this study, we conducted bird surveys and statistical analyses to determine, if and how vegetation on three building green space types (ground gardens, roof gardens and green walls) have a positive impact on native or introduced bird species. We found that elevated greenery (roof gardens and green walls) on large-scale buildings supported a higher richness of birds and abundance of urban native birds than control roofs and walls without vegetation. Ground gardens supported similar levels of native species as roof gardens but also a larger proportion of generalist synanthropes. However, we found no tropical forest habitat specialists across any space type. Therefore, we recommend roof gardens and ground gardens as a potential space for urban natives outside of a less competitive ground-level urban environment. Our study also found certain building design elements (height of elevated space, presence of specific plants) supported different species groups. Therefore, we suggest that these ecological requirements for different species groups are considered when designing a building’s green space.

     

Extreme Energy Poverty Incidence and Determinants in Nigeria: A Multidimensional Approach

Social Indicators Research - Energy poverty has emerged in recent times as a crucial aspect of poverty, afflicting the developing world in general and Nigeria in particular. Drawing from some of...     

From sex objects to bumbling idiots: tracing advertising students’ perceptions of gender and advertising

While much attention has been given to critiquing sexism and stereotyping in advertising texts, less weight is afforded to examining the gendered opinions and worldviews of the practitioners who create such texts and even less focus on such attitudes as held by advertising students—the next generation of advertisers. This paper is concerned with exploring advertising students’ attitudes towards representations of the sexes in adverts, and how this may reflect their gendered opinions more generally. Analysing individual, semi-structured student interviews (n = 12) reveals that, while there was widespread acknowledgement that sexual objectification of women in advertising remains prevalent, there was a discursive turn towards a concern for men and boys, and assertions that misandry has emerged as a concerning and unwelcome trend in advertising imagery and texts. This was bolstered by a less prevalent theme; one which lauds the figure of the “tomboy” and thereby serves to privilege the male experience.     

Do the Constructs of the FACES IV Change Based on Definitions of “Family?” A Measurement Invariance Test

The Family Adaptability and Cohesion Scale (FACES) IV does not provide instructions about which family members respondents should think about while answering questions. This study examined which family members respondents thought about while completing the FACES IV, and if this changed measurement invariance and population heterogeneity of the measure. Using a sample of n = 511 individuals, a latent class analysis showed three distinct classes: Nuclear Family, Family of Origin, and All of the Above. The FACES IV demonstrated measurement invariance across classes on the majority of subscales; however, population heterogeneity tests suggested that the means and variances of the subscales varied across classes. The findings suggest further examination of how the measure functions with unique family constellations is warranted.     

Growing Pains: The Transformative Journey from a Nascent to a Formal Not-For-Profit Venture

This article examines how a social venture transitions from nascent to formal status and argues that the transformation of the organization set in motion by establishing formal boundaries is a deeply profound one. Drawing from the nonprofit and social entrepreneurship literature on what prompts and energizes individuals to initiate new not-for-profit ventures, and linking it to a notion of revolutionary crisis as organizations emerge and develop, we seek to illuminate and explore the tension, and its consequences, between nonprofit entrepreneurs and the organization they create as the new venture transitions from nascent to formal. We do this by presenting the results from an in-depth case study examining the gestation and boundary-forming phases of Robert’s Place Cooperative, a plucky start-up cooperative in a midsize Midwestern city.     

Perceptions of aging among rural, midwestern senior citizens: signs of women's resiliency

This study utilized both quantitative and qualitative approaches to examine perceptions of aging among rural-dwelling senior citizens (203 women and 112 men), ages 65 and older. Quantitative results revealed that, despite no significant gender differences in the total number of medical conditions reported, women were less likely than men to report that health problems interfered with their daily functioning. Qualitative analyses revealed that women were particularly like to identify relationships, frame of mind, participating in activities, and religion/spirituality as important contributors to successful aging.