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.     

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.     

Ethnic preferences and perceptions among Asian and White British middle school children

Asian and White middle school children were shown photographs of unknown Afro-Caribbean, Asian, and White individuals of approximately the same age as themselves, and asked which one wax most like them, which one they would prefer to be, which ones they would prefer to engage in various activities with, and finally, to allocate positive and negative traits to the three groups or to nobody. A similar majority of both Asian and While children selected an own-race photograph as being most like them, but only about a half selected the own-race photograph as the one they would most like to he. For sharing activities, children showed a strong own-tender preference, followed by an own-race preference. White children stated a greater preference for sharing activities with White children, then with Afro-Caribbean children, and least with Asian children. Asian children preferred Asian and White children the most, Afro-Caribbean the least. On a stereotypes test, similar trends were obtained; White children evaluated While children highest and Asian lowest; Asian children tended to evaluate Asian children highest but to a nonsignificant extent. The relative proportion of Asian/White children in school appeared to have little systematic influence on the results, thus arguing against the contact hypothesis of prejudice reduction in its simple form.     

Modified cross-validation in density estimation

We propose a new modified (biased) cross-validation method for adaptively determining the bandwidth in a nonparametric density estimation setup. It is shown that the method provides consistent minimizers. Some simulation results are reported on which compare the small sample behavior of the new and the classical cross-validation selectors.     

Recurrent pain in college students.

The authors investigated the prevalence of recurrent pain in a college student sample. Of the 1,564 students surveyed, 467 (29%) indicated that they had experienced recurrent pain at an intensity that was mostly in the mild-to-moderate range. Students who reported having recurrent pain were significantly older and more depressed than students who did not indicate they suffered from recurrent pain. Pain intensity was positively correlated (r = .14) with depression among the students who reported having recurrent pain. Implications of the findings for future research, treatment, and health promotion efforts are discussed.     

The effect of 1980s tort reform legislation on general liability and medical malpractice insurance

A large number of states adopted tort reforms in the mid-1980s to limit the dramatic surge in insurance losses and premiums. Evidence based on liability insurance data by state indicates that these reforms substantially influenced general liability insurance. The levels of losses, premiums, and loss ratios (a measure of insurance profitability) all reflected the impact of the reforms. The large-scale reform efforts in 1986 were particularly influential. Medical malpractice insurance was much less sensitive to the reform efforts.     

A SCALE IN SEARCH OF A CONSTRUCT: COMMENTS ON GAVIN AND WAMBOLDT

The article examines some issues raised in Gavin and Wamboldt's (1992) recent study on the Family-of-Origin Scale (FOS) (Hovestadt, Anderson, Piercy, Cochran, & Fine, 1985). The discussion centers on unresolved concerns regarding the validity and utility of the FOS and on unsubstantiated and potentially misleading claims made in the Gavin and Wamboldt article. A case is made for conceptual and methodological precision in the study of family phenomena.     

A response to “the emotional consequences of physical child abuse” by Annaclare van Dalen

The author responds to the article by Annaclare van Dalen (1989), disputing her statement that there is little in the literature about the emotional consequences of child abuse. The author reviews the pertinent literature, which is abundant. The author disagrees with van Dalen's statement that the child experiences physical abuse outside the body, and with the statement that the child experiences sexual abuse as pleasurable. In addition the author disagrees with van Dalen's sharp differentiation between physical abuse and sexual abuse, and proposes that sexual abuse be regarded as a variant of physical abuse.     

What to Do at Low Doses: A Bounding Approach for Economic Analysis

To quantify the health benefits of environmental policies, economists generally require estimates of the reduced probability of illness or death. For policies that reduce exposure to carcinogenic substances, these estimates traditionally have been obtained through the linear extrapolation of experimental dose-response data to low-exposure scenarios as described in the U.S. Environmental Protection Agency's Guidelines for Carcinogen Risk Assessment (1986). In response to evolving scientific knowledge, EPA proposed revisions to the guidelines in 1996. Under the proposed revisions, dose-response relationships would not be estimated for carcinogens thought to exhibit nonlinear modes of action. Such a change in cancer-risk assessment methods and outputs will likely have serious consequences for how benefit-cost analyses of policies aimed at reducing cancer risks are conducted. Any tendency for reduced quantification of effects in environmental risk assessments, such as those contemplated in the revisions to EPA's cancer-risk assessment guidelines, impedes the ability of economic analysts to respond to increasing calls for benefit-cost analysis. This article examines the implications for benefit-cost analysis of carcinogenic exposures of the proposed changes to the 1986 Guidelines and proposes an approach for bounding dose-response relationships when no biologically based models are available. In spite of the more limited quantitative information provided in a carcinogen risk assessment under the proposed revisions to the guidelines, we argue that reasonable bounds on dose-response relationships can be estimated for low-level exposures to nonlinear carcinogens. This approach yields estimates of reduced illness for use in a benefit-cost analysis while incorporating evidence of nonlinearities in the dose-response relationship. As an illustration, the bounding approach is applied to the case of chloroform exposure.