Statistical estimation errors of VaR under ARCH returns

In this paper we discuss some problems of existing methods for calculating the Value-at-Risk (VaR) in ARCH setting. It should be noted that the commonly used approaches often confuse the true innovations with the empirical residuals, i.e., estimation errors for unknown ARCH parameters are ignored. We adjust this by using the asymptotics of the residual empirical process, and propose a feasible VaR which, according to the spirit of VaR, keeps the assets away from a specified risk with high confidence level. Its meaningfulness in comparison with the usual VaR will be illustrated clearly by numerical studies.     

Communication With Parents and Body Satisfaction in College Students

Abstract

Objective: This study examined how communication with parents is related to college students’ body satisfaction. Participants and Methods: Participants (N = 134; 58 males and 76 females) completed a survey in March 2011 assessing body satisfaction and perceptions of communication with mothers and fathers. Results: Daughters’ body satisfaction was negatively correlated with perceptions of problematic communication with mothers and fathers. Sons’ body satisfaction was positively correlated with open communication with their mothers and negatively correlated with problematic communication with their mothers. Conclusions: Findings indicated problematic communication with mothers was the most powerful predictor of daughters’ body satisfaction, whereas open communication with mothers was the best predictor of sons’ body satisfaction.     

Determinants of Women's Entry into Self–Employment

Objective . Building on recent studies that have shown how employment– and family–related characteristics are uniquely intertwined in facilitating women's decisions to work for themselves, I examine the process of transitions into self–employment among white, African–American, and Hispanic women. Methods . This study analyzes data from the National Longitudinal Survey of Youth, a national probability sample of those born between 1957 and 1964, which allows me to apply a dynamic model for studying women's employment transitions. Results . Regardless of race or ethnicity, factors such as work experience and the presence of a spouse encourage women to become self–employed. At the same time, the distributions of these characteristics for African–American women, and to a lesser extent Latinas as well, significantly account for their slower entry into self–employment. The effect of children on women's entry into self–employment, which earlier studies often found to be positive, especially among whites, is mixed. Conclusions . These findings reveal significant racial/ethnic differences in the process of female self–employment and also call into question the view that self–employment allows working mothers to better combine their careers with family responsibilities than does wage/salary sector employment.     

Local Whittle likelihood approach for generalized divergence

There are many approaches in the estimation of spectral density. With regard to parametric approaches, different divergences are proposed in fitting a certain parametric family of spectral densities. Moreover, nonparametric approaches are also quite common considering the situation when we cannot specify the model of process. In this paper, we develop a local Whittle likelihood approach based on a general score function, with some special cases of which, the approach applies to more applications. This paper highlights the effective asymptotics of our general local Whittle estimator, and presents a comparison with other estimators. Additionally, for a special case, we construct the one-step ahead predictor based on the form of the score function. Subsequently, we show that it has a smaller prediction error than the classical exponentially weighted linear predictor. The provided numerical studies show some interesting features of our local Whittle estimator.     

Improved estimation for the autocovariances of a Gaussian stationary process

For a Gaussian stationary process with mean μ and autocovariance function γ(·), we consider to improve the usual sample autocovariances with respect to the mean squares error (MSE) loss. For the cases μ=0 and μ≠0, we propose sort of empirical Bayes type estimators Γ? and Γ?, respectively. Then their MSE improvements upon the usual sample autocovariances are evaluated in terms of the spectral density of the process. Concrete examples for them are provided. We observe that if the process is near to a unit root process the improvement becomes quite large. Thus, consideration for estimators of this type seems important in many fields, e.g., econometrics.     

Good Jobs, Good Deeds: The Gender-Specific Influences of Job Characteristics on Volunteering

While research has shown that having a “good” job significantly promotes formal volunteering, we have limited knowledge of how this paid work-to-volunteer work relationship may differ between men and women. Based on the gender-identification spillover theory, we hypothesize that because of the societal expectations that women should be caring, giving and communal, positive job traits such as authority and autonomy promote women’s volunteering more than men’s. Our analysis of data from the National Survey of Midlife in the United States shows that women who exercise supervisory authority on the job volunteer significantly more hours than women who do not, whereas job authority makes no difference in the number of hours volunteered for men. Meanwhile, job autonomy promotes men’s volunteering, but not women’s. Implications of these and related findings for future research on gender and volunteering are discussed.