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.     

Banks winners in tournaments are difficult to recognize

Given a tournament T, a Banks winner of T is the top vertex of any maximal (with respect to inclusion) transitive subtournament of T. In this technical note, we show that the problem of deciding whether some fixed vertex v is a Banks winner for T is NP-complete. Received: 22 February 2002/Accepted: 20 June 2002 Supported by the START program Y43-MAT of the Austrian Ministry of Science. I would like to thank two thank the referees for a careful reading of the paper, for helpful remarks, and for many suggestions how to improve the presentation.     

Family Cap and Nonmarital Fertility: The Racial Conditioning of Policy Effects

Using an experimental design, this research examines the effect of the nation's first family cap on the births, abortions, and contraception use of over 8,000 women receiving public assistance in New Jersey. The family cap denies additional cash benefits to children conceived while the mother is receiving public assistance. Our research shows that a targeted welfare benefit manipulation does influence fertility behavior; however, the effect is conditioned by race. We find that Black women in the experimental group have a 21% lower birth rate and a 32% higher abortion rate than Black women in the control group. We do not find a birth effect for Hispanic or White women. We discuss the policy implications of the effects of a segmented family cap.     

Transnational Migration: Bringing Gender In

This article aims to bring gender into an even tighter transnational migration focus by broadening and deepening our original framework of “gendered geographies of power,” linking it more directly to existing and emerging scholarship. We examine and highlight previously neglected areas such as the role of the state and the social imaginary in gendering transnational processes and experiences. We identify topics that remain under‐appreciated, under‐researched, and/or under‐theorized. Finally, we initiate a discussion of how a gendered analysis of transnational migration can help bridge this particular research to other gendered transnational processes under study that do not privilege migration.     

Testing symmetry under a skew Laplace model

We develop tests of hypothesis about symmetry based on samples from possibly asymmetric Laplace distributions and present exact and limiting distribution of the test statistics. We postulate that the test statistic derived under the Laplace model is a rational choice as a measure of skewness and can be used in testing symmetry for other, quite general classes of skew distributions. Our results are applied to foreign exchange rates for 15 currencies.     

More than Myth: The Developmental Significance of Romantic Relationships During Adolescence

Adolescents' romantic relationships have attracted popular interest, but, until recently, little scientific curiosity. Research has been impeded by erroneous assumptions that adolescent relationships are trivial and transitory, that they provide little information beyond measures of the influence of parent‐child and peer relationships, and that their impact is primarily associated with problems of behavior and adjustment. This article proposes that distinguishing five features of romantic relationships (involvement, partner selection, relationship content, quality, and cognitive and emotional processes) is essential to describing adolescents' relationships and their developmental significance. These distinctions also help to clarify the role of context, age‐related variations, and individual differences in the impact of romantic experiences. Research is needed to illuminate questions of how and under what conditions romantic relationships affect individual development and how romantic and other close relationships jointly influence developmental trajectories during adolescence.     

Foster parenting: A developmental model

This paper proposes a developmental framework for foster parents and outlines four distinct growth stages. Such a framework can be of value to program administrators who are required to assess foster parent development during the crucial matching process. To draw a distinction between each developmental stage, specific instrumental tasks and indicators are outlined.     

Measuring Substance Abuse Treatment Need Among Adults in Florida: A Social Indicators Approach

Determining the size and demographiccharacteristics of substance abuse populationsis extremely important for implementing publicpolicies aimed at the control of substanceabuse. Such information not only assists in theallocation of limited treatment resources bythe state, but also in the monitoring ofsubstance abuse trends over time and in theevaluation of innovative policy initiatives. Inthis study, we develop three composite measuresof treatment need. We then use these measuresto estimate treatment need for alcohol abuseand for controlled substance abuse within eachof Florida's 67 counties. This study providesan important empirical component of communityplanning, quantifying and, to a limited degree,specifying the level of need for the substanceabuse treatment of community residents. Anadditional benefit is the development of a costeffective and unobtrusive methodology fordetermining empirically when levels of need arechanging so that treatment levels can beadjusted accordingly. With proper use,policymakers can readily employ the methodologydeveloped in this study in Florida andelsewhere to make better-informed decisions inthe allocation of finite substance abusetreatment resources.