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...     

Conjugal intimacy,gender and modernity in contemporary China

The new generation of modernity theorists have forecast the democratization of gender relations within intimate relationships in late‐modern times. Chinese society has undergone rapid and dramatic changes in its unique trajectory of political, social and economic reform. Using China as an example of a region which has been largely ignored in contemporary social theory, this article enters the debate to contest the extent to which conjugal relationships are democratized in line with modernity. We further test the assertion that modern marriages are characterized by increased self‐disclosure and communication between partners. Data from a national survey on Chinese families is analysed in relation to the level of self‐disclosure between husbands and wives; gender division of housework; household decision‐making; and home ownership. We highlight the impact of gender, cohort and location (urban, rural or migrant) on experiences of modernity and draw attention to the material, social and cultural factors which continue to shape conjugal relations in contemporary Chinese society. Based on our findings, we contest the argument that disclosing intimacy between intimate partners is a defining characteristic of modern relationships, and suggest that other social factors may condition degrees of self‐disclosure in marriage. Similarly, we question the extent to which heterosexual conjugal equality is attained: the cultural practices and values of patrilineal family organization, together with material circumstances, continue to influence marital relations in China.     

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.     

Self as enterprise: digital disability practices of entrepreneurship and employment in the wave of ‘Internet + disability’ in China

ABSTRACT

Situated in China’s neoliberal context and its rapid development of information communication technologies (ICTs), this study aimed to examine how disabled people in China transformed themselves into new self-enterprising subjects in the wave of ‘Internet?+?Disability.’ In order to answer this question, this study tried to develop an analytical framework to illustrate the disability practices that situated in the ICTs and neoliberal context, underpinned by the discourse of ‘self as enterprise,’ and demonstrated by the practices of entrepreneurship and employment. Based on the research design of case studies and methods that included ethnographic participant observation and in-depth interviews, this study explained how a disabled entrepreneur, Mr. Yuan, took advantage of the wave of ‘Internet?+?Disability’ to realize his dream of entrepreneurship and face the uncertainties of a precarious entrepreneurship. It also explained how Mr. Yuan’s employees achieved their dreams of employment but suffered the precariousness of enterprising subjects.     

Spaces of Muslim Identity in Inverness,Scotland

Each generation of immigrants has its own challenges; for example, how to maintain already constructed identities among first generation immigrants and how to construct identities of the second generation of immigrants. Numerous literature suggests that the previous studies on these topics have been conducted within larger cities such as London, Glasgow or Edinburgh. This article examines how Muslim immigrants in a small city maintain and modify some aspects of their religious and cultural identities. The data consist of 30 interviews conducted with first and second generation of Muslim immigrants in Scotland, analysis of which suggests the size of the city does not appear to affect daily Muslim practices nor their ability to maintain Muslim identity. Rather, access to shared spaces, such as Inverness Masjid and the local halal meat shop, become critical to how Muslim's maintain and modify their identity in a new place.     

A ONE-PERIOD STOCHASTIC INVENTORY PROBLEM WITH A LUMP-SUM PENALTY COST

This paper presents an inventory problem related to the one-period stochastic inventory (or “newsboy”) problem. In this problem, the firm has to decide how much product to order to meet a random one-period demand. The version of the problem presented is novel in two respects. First, demand is explicitly permitted to be negative, and second, the penalty (or shortage) cost is assumed to be independent of the magnitude of the shortage. This situation is shown to change the form of the cost function and to complicate the determination of optimal policies. The form of the optimal policy is developed, and two example problems are presented in some detail.     

创业团队异质性如何影响绩效:基于团队氛围中介效应的分析

从团队氛围的视角揭示为何异质性的创业团队更具优势,成功率更大,异质性的团队成员因为优势互补而直接提升创业绩效,此外创业团队异质性还通过团队氛围间接影响创业绩效。团队氛围对于帮助创业企业化解由于成员异质性所引起的矛盾和误解进而提升绩效具有重要作用,团队氛围在创业团队异质性影响绩效的关系中发挥部分中介作用。