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.     

The Food Crisis and its Impacts on Poverty in Senegal and Mali: Crossed Destinies

This article uses two CGE macro‐micro models to analyse the distributional impact of the food crisis and policy responses in two neighbouring African countries, both of which are strongly dependent on agriculture. The approach captures structural differences at both the macro and micro level for household income and expenditure structures, and the results reveal differences for poverty impact at the national and sub‐group levels, as well as for inequality and pro‐poor analysis. The importance of country‐specific analysis and the risk of extrapolating conclusions from one country to another are also highlighted.     

Exercise-related menstrual dysfunction: implications for menopausal health

Physical activity is a well recognized approach to the enhancement of general health and wellbeing in both healthy and diseased populations. However, excessive activity can result in exercise-related menstrual dysfunction (ERMD), which can adversely affect bone health and increase the risk of infertility and cardiovascular events in later life. Physicians should maintain a high awareness of EMRD in assessing health risks in the menopausal woman.     

On hysteretic vector autoregressive model with applications

This paper proposes a new hysteretic vector autoregressive (HVAR) model in which the regime switching may be delayed when the hysteresis variable lies in a hysteresis zone. We integrate an adapted multivariate Student-t distribution from amending the scale mixtures of normal distributions. This HVAR model allows for a higher degree of flexibility in the degrees of freedom for each time series. We use the proposed model to test for a causal relationship between any two target time series. Using posterior odds ratios, we overcome the limitations of the classical approach to multiple testing. Both simulated and real examples herein help illustrate the suggested methods. We apply the proposed HVAR model to investigate the causal relationship between the quarterly growth rates of gross domestic product of United Kingdom and United States. Moreover, we check the pairwise lagged dependence of daily PM2.5 levels in three districts of Taipei.     

Functional and emotional traits of corporate social media message strategies: Behavioral insights from S&P 500 Facebook data

Drawing from literature regarding public engagement, the Elaboration Likelihood Model (ELM), computer-mediated communication research, and emotion psychology, this study examines the effects of companies’ social media communication strategies on public engagement behaviors as indexed by post likes, shares, and comments. Specifically, it investigates how corporate Facebook posts’ functional traits (functional interactivity and vividness) and emotional traits (emotion presence, valence, and strength) impact public engagement online. Through data mining and computer-assisted sentiment analysis of 33,379 posts from 106 Standard & Poor 500 companies’ Facebook accounts, this study finds a negative effect of functional interactivity but a positive effect of vividness on engagement. It also shows that emotional traits overall yield stronger public engagement outcomes. Two-way interactions between emotional and functional features are also detected. Theoretical and practical implications are discussed.     

Supporting foster and kinship carers to promote the mental health of children

The majority of children and young people removed from the care of their parents by the state of Victoria, Australia, reside in foster or kinship care. These children have experienced a broad range of adverse conditions and are up to 4 times more likely to experience problems with mental health than their mainstream peers. This paper draws on the perspectives of foster and kinship carers, describing the disconnection between their role as mental health advocates and their interest in early intervention in a field which is dominated by crisis and the historic marginalisation of foster and kinship carers. Thirty‐one foster and kinship carers across greater metropolitan Melbourne, Australia, contributed to this study through interviews and focus groups. Participants demonstrated a practical understanding of mental health and an ability to identify a range of conditions that have an adverse impact on the mental health of children and young people in their care. The paper concludes that there is a lack of systemic support and even a range of barriers that affect the capacity of foster and kinship carers to promote the mental health and well‐being of the children and young people in their care.     

A Study of Clinical Change in Individual Career Counseling

This study examined the clinical significance of career counseling effects. Participants were 111 university students (83% women) who participated in individual career counseling sessions at their university. All participants completed the French version of the Outcome Questionnaire–30.2 (OQ‐30.2; Lambert, Finch, Okiishi, & Burlingame, 2005) immediately before the 1st session (pretest) and at the beginning of the last session (posttest). The OQ‐30.2 assesses 3 client life domains: subjective discomfort, problems in interpersonal relationships, and problems in social role satisfaction. Using Jacobson and Truax’s (1991) statistical approach to assessing clinical change, the authors compared clients’ pretest OQ‐30.2 scores with their posttest scores. Among clients with a “dysfunctional” score (n = 59) at the study’s inception, 34% recovered and 14% improved, whereas 41% of clients with functional scores (n = 52) at the study’s inception improved. The results suggest that individual career counseling can make a difference in the lives of many clients; they also highlight the importance of further outcome research that accounts for possible variability in clients’ responses to career counseling.