A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets

This article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets. The correlation and the log-volatility dynamics are driven by two independent Markov chains, thus allowing for different effects such as volatility spill-overs and correlation shifts with various degrees of intensity. We outline a suitable Bayesian inference procedure based on Markov chain Monte Carlo algorithms. We then apply the model to some major and Asian-Pacific cross rates against the U.S. dollar and find strong evidence supporting the existence of contagion effects and correlation drops during crises, closely in line with the stylized facts outlined in the contagion literature. A comparison of this model with its closest competitors, such as a time-varying parameter VAR, reveals that our model has a better predictive ability. Supplementary materials for this article are available online     

A Stochastic Volatility Model With Realized Measures for Option Pricing

Abstract

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence—the crucial parameter in pricing Standard and Poor’s 500 Index options.     

Inferences in dichotomous classifications with misclassifications based on sequential repetitive classifications

To create inferences in dichotomous classifications with misclassifications and possibly perform repeated classifications, the maximum likelihood method is commonly used, mainly because of its efficiency in obtaining parameter estimators of a mixture of two binomial distributions. One simpler alternative that is operationally easier is to consider the simple majority method. In this method, each of n items are classified r times as conforming or non-conforming. The final classification of the item is determined by the most frequent class. This method yielded lower mean squared errors than the maximum likelihood and the moments estimators and is asymptotically efficient. In this paper, we introduce a new approach in which the realization of all r repeated classifications of each item may not be needed. Each of n items is sequentially classified as conforming or nonconforming, and the process ceases when the frequency of conforming or non-conforming classification reaches the integer a. We show that, by a Monte Carlo simulation, the last procedure presents a lower mean squared error than the simple majority results for a similar number of r repeated classifications.     

Education and gender bias in the sex ratio at birth: Evidence from India

This article investigates the possible existence of a nonlinear link between female disadvantage in natality and education. To this end, we devise a theoretical model based on the key role of social interaction in explaining people’s acquisition of preferences, which justifies the existence of a nonmonotonic relationship between female disadvantage in natality and education. The empirical validity of the proposed model is examined for the case of India, using district-level data. In this context, our econometric analysis pays particular attention to the role of spatial dependence to avoid any potential problems of misspecification. The results confirm that the relationship between the sex ratio at birth and education in India follows an inverted U-shape. This finding is robust to the inclusion of additional explanatory variables in the analysis, and to the choice of the spatial weight matrix used to quantify the spatial interdependence between the sample districts.     

Fertility Decline in Former “Asian Tigers”

The fertility opportunity hypothesis suggests that individuals and couples adjust family size in response to their perception that economic opportunity is increasing (or diminishing.) A sense that opportunities are expanding encourages a relatively high, even rising, family size target. On the contrary, the perception that opportunities and resources will fall short of satisfying the aspirations of oneself or family lead to lowering family size targets. The literature suggests that family size target translates into completed family size on the order of 85 to 90 percent. The economic collapse of former Asian tigers in late summer, 1997, offered a chance to test the hypothesis prospectively. In, 1998, an author (Abernethy) predicted that fertility rates in the nine Asian tiger economies would fall during the 1997-1999 interval at a faster rate than had been observed in immediately preceding two-year intervals. This paper reports the results of tests of the hypothesis with respect to the Asian tigers and several other country clusters for which no particular prediction was made. Preliminary findings appear to support the fertility opportunity hypothesis.     

Older women, their children, and grandchildren: a feminist perspective on family relationships

Using gerontological and feminist frameworks, we explored the relationships older women have with their children and grandchildren. In-depth, qualitative interviews were conducted with 34 women, ranging in age from 55 to 88. From our analyses of the women's perceptions of their family relationships, two themes were prevalent: the centrality of children and the peripherality of grandchildren in their everyday lives. The women had varying degrees of involvement with their children and grandchildren, and these relationships contributed to their sense of self and family. Their relationships were not stagnant, but were continually reshaped as both the women and their family members proceeded through the life course.     

Is Football an Indicator of Development at the International Level?

The aim of this paper is to examine whether football can be considered an indicator of development at the international level. An empirical econometric model is designed in order to analyse development in terms of GDP per capita as well as in terms of the Human Development Index. Cross-sectional and time-series information are used. The results suggest that FIFA rankings of national teams can be used to complement our understanding of multidimensional development, in particular, in those countries where the availability of information is not as good as researchers would like.     

Adult Attachment,Love Styles,Relationship Experiences and Subjective Well-Being: Cross-Cultural and Gender Comparison between Americans,Portuguese, and Mozambicans

Attachment security, love styles, and romantic relationship experiences are closely associated with subjective well-being (SWB). A few studies have empirically observed significant relations between these variables. However, no studies have included all of these predictors to analyze the unique contribution of each to SWB, and no cross-cultural studies have analyzed these variables simultaneously. This article examined (a) the relations between attachment security, love styles, romantic relationship experiences and subjective well-being, (b) the unique contribution of each to predict SWB, and (c) cross-cultural and gender differences in the predictors of SWB across three samples of 1,574 university students: 497 from North Carolina (US), 544 from Maputo (Mozambique), and 533 from Lisbon (Portugal). We found cross-cultural differences in the three samples. The main predictor of SWB was attachment security in the US and Portuguese samples, while in the Mozambican it was eros love style. Storge love style positively predicted SWB in the US and Portuguese samples, but not in the Mozambican. In contrast, mania love style predicted the SWB of Mozambicans but not that of Americans or Portuguese. We found gender similarities and differences: the association between attachment security and SWB was not gender-specific; the associations between love styles, relationship experiences and SWB were gender-specific.