Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function

In financial analysis it is useful to study the dependence between two or more time series as well as the temporal dependence in a univariate time series. This article is concerned with the statistical modeling of the dependence structure in a univariate financial time series using the concept of copula. We treat the series of financial returns as a first order Markov process. The Archimedean two-parameter BB7 copula is adopted to describe the underlying dependence structure between two consecutive returns, while the log-Dagum distribution is employed to model the margins marked by skewness and kurtosis. A simulation study is carried out to evaluate the performance of the maximum likelihood estimates. Furthermore, we apply the model to the daily returns of four stocks and, finally, we illustrate how its fitting to data can be improved when the dependence between consecutive returns is described through a copula function.     

The influence of negative medical diagnoses and verbal and nonverbal support activation strategies on the interactive coping process

Sensitive Interaction Systems Theory suggests that complex problems, including adverse medical diagnoses, can create tension in the social support process. In this experiment one member of a romantic couple received medical feedback that either threatened gender roles or was irrelevant. The couple's interaction was covertly recorded for the support activation behaviors displayed by the support seeker and for the interactive coping behaviors offered by the help giver. Both type of support activation and type of problem affected the use of support behavior.Nonverbal support activation behaviors promoted helpers' use ofavoidance interactive coping behaviors, whereasverbal activation behaviors promotedapproach interactive coping behaviors, suggesting a tit-for-tat dynamic. The gender-role relevance of the medical diagnosis also influenced helpers' use of approach behaviors, although not the support seekers' need for support or efforts to elicit support.     

Lentic and lotic odonate communities and the factors that influence them in urban versus rural landscapes

Habitat alteration via urbanization has very different effects on even closely related taxa. Most research investigating the ecological effects of urbanization has focused on birds or mammals, resulting in a relatively poor understanding of how the species richness and community composition of invertebrates may change. We quantified differences in species richness of adult odonates (dragonflies and damselflies) at lentic and lotic sites in urban and rural landscapes, and we examined environmental factors that might drive the differences in community composition that we observed. For lotic sites, species richness did not differ between urban versus rural sites for either dragonflies or damselflies. For lentic sites, urban and rural sites contained similar dragonfly species richness, but damselfly species richness was significantly lower at urban sites than at rural sites. Differences in lentic odonate community composition were associated with the amount of urban development within 150 m of each site, mean algal coverage, and distance to the urban center. At lotic sites, water temperature and distance to the urban center were correlated with differences in odonate community composition. The differing responses to urbanization observed in this study were probably a consequence of differences between lentic versus lotic ecosystems and between dragonflies versus damselflies in dispersal capability and habitat specificity. Given that different environmental factors affected these taxa differently in lentic and lotic sites, maintaining the highest level of odonate diversity possible across a landscape will require the use of different management practices for each ecosystem type.     

A class of estimators for quantitative sensitive data

Randomized response methods for quantitative sensitive data are treated in an unified approach which includes the use of auxiliary information at the estimation stage. A class of estimators for the mean of a sensitive variable is proposed under a generic randomization model and the optimum estimator is obtained. Some special models are discussed in detail. To evaluate the degree of respondents’ confidentiality in models using auxiliary variables, a new measure of privacy protection is introduced. Different models are then compared both from the perspective of efficiency and privacy protection.     

Knowledge Spillovers from FDI: A Critical Review from the International Business Perspective

This paper reviews and organizes the theoretical and empirical research on foreign direct investment (FDI) knowledge spillovers from the international business perspective. In doing so, it develops a framework for the analysis of this phenomenon. The suggested FDI knowledge spillover framework integrates both the macro‐level (country, industry, institutions) and micro‐level (multinational firm, headquarters, subsidiary, local firms) antecedents of spillovers with their consequences, and proposes to analyse spillovers along three main attributes that characterize their occurrence, i.e. their magnitude, scope and speed.     

Constraining campaigning: the legal treatment of non-profit policy advocacy across 24 countries

This paper presents a comparative analysis of the findings of a 24 country study of the legal restrictions on the freedom of non-profit and charitable organisations to engage in public policy campaigning. The countries are divided into those which organise the legal status of non-profit bodies around the concept of a charity, and those that do not. The central finding is that all and only charity law countries have constraints on campaigning which are specific to non-profit bodies. The paper reviews a number of possible explanations for this, at the level of jurisprudential rationales which might show that it is necessary or at least rational for only the charity law countries to have developed such restrictions. To varying degrees, all are found wanting. It is suggested that no explanation based on an ‘inner logic of the law’ will serve to explain the phenomenon, and that future research might concentrate on comparative political history rather than on jurisprudence. Planning Officer, Social Services Department, Royal County of Berkshire. formerfy Acting Head of Policy Analysis and Research, National Council for Voluntary Organisations, London, United Kingdom. (Most of the research for this paper was conducted when this author was Head of Policy Analysis and Research at the National Council for Voluntary Organisations, London, UK.) Full information about the research summarised here is given in 6 and Randon, 1994. This research was conducted with the support of the National Council for Voluntary Organisations. We are grateful to all our respondents for their time in answering a difficult questionnaire, provision of documentation and alternative contacts, patience and advice. They are too numerous to list here: a full list is available from the authors. Some, to whom we are particularly grateful, must remain anonymous because they work in countries or in professional positions where campaigning is a sensitive subject. The Nuffield Foundation made available a small grant to cover our translation costs; PROFTRANS undertook most of the translations for us. Martin Knapp, Marilyn Taylor and Nigel Tarling helped to identify potential respondents. Tymen van der Ploeg, Jacques Defourny and Lindsay Driscoll assisted in piloting the questionnaire. Lindsay Driscoll and Bridget Phelps read and commented on early drafts of part of the paper. The editors and anonymous referees for this journal provided important additional information and advice. The usual disclaimer of responsibility for our errors applies to all of them.     

SOURCES OF INFORMATION ABOUT HIV/AIDS,TRUST OF SOURCES AND PERCEIVED RISK OF INFECTION

The relationship between sources of information about AIDS/HIV, trust of the sources, how informed about AIDS people thought they were, and perceived risk to self and others were examined using three samples. One included young heterosexual students (113 females and 91 males), while the others included slightly older heterosexuals (74 females and 73 males) and homosexuals (82 males) from the general community. Homosexual men were the only group who trusted the same sources from which they received the most information (eg gay publications and AIDS organisations). Heterosexuals trusted expert sources the most, but the students received most information from magazines aimed at their peer groups and the heterosexuals in the community sample received most information from the print media. For the students, perceived personal risk was influenced most by perceived risk to male friends and people with the same sexual practices, whereas for the community samples it was influenced most by perceived risk to people with the same practices. The results suggest a strong peer influence on perceptions of personal risk of HIV infection.     

International Business Cycles with Endogenous Incomplete Markets

Backus, Kehoe, and Kydland (1992), Baxter and Crucini (1995), and Stockman and Tesar (1995) find two major discrepancies between standard international business cycle models with complete markets and the data: In the models, cross‐country correlations are much higher for consumption than for output, while in the data the opposite is true; and cross‐country correlations of employment and investment are negative, while in the data they are positive. This paper introduces a friction into a standard model that helps resolve these anomalies. The friction is that international loans are imperfectly enforceable; any country can renege on its debts and suffer the consequences for future borrowing. To solve for equilibrium in this economy with endogenous incomplete markets, the methods of Marcet and Marimon (1999) are extended. Incorporating the friction helps resolve the anomalies more than does exogenously restricting the assets that can be traded.     

Ethics, regulation and the new artificial intelligence, part II: autonomy and liability

This is the second article in a two-part series on the social, ethical and public policy implications of the new artificial intelligence (AI). The first article briefly presented a neo-Durkheimian understanding of the social fears projected onto AI, before arguing that the common and enduring myth of an AI takeover arising from the autonomous decision-making capability of AI systems, most recently resurrected by Professor Kevin Warwick, is misplaced. That article went on to argue that, nevertheless, some genuine and practical issues in the accountability of AI systems that must be addressed. This second article, drawing further on the neo-Durkheimian theory, sets out a more detailed understanding of what it is for a system to be autonomous enough in its decision making to blur the boundary between tool and agent. The importance of this is that this blurring of categories is often the basis, the first article argued, of social fears.