Data-swapping: A technique for disclosure control

This paper describes data-swapping as an approach to disclosure control for statistical databases. Data-swapping is a data transformation technique where the underlying statistics of the data are preserved. It can be used as a basis for microdata release or to justify the release of tabulations.     

Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence

ABSTRACT

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semimartingale log asset price process, which is subject to noise and nonsynchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance estimates. The latter originate from a local method of moments (LMM), which recently has been introduced by Bibinger et al.. We prove consistency and a point-wise stable central limit theorem for the proposed spot covariance estimator in a very general setup with stochastic volatility, leverage effects, and general noise distributions. Moreover, we extend the LMM estimator to be robust against autocorrelated noise and propose a method to adaptively infer the autocorrelations from the data. Based on simulations we provide empirical guidance on the effective implementation of the estimator and apply it to high-frequency data of a cross-section of Nasdaq blue chip stocks. Employing the estimator to estimate spot covariances, correlations, and volatilities in normal but also unusual periods yields novel insights into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity patterns, (ii) reveal substantial intraday variability associated with (co-)variation risk, and (iii) can increase strongly and nearly instantaneously if new information arrives. Supplementary materials for this article are available online.     

Economic Conditions in Rome and Their Lessons for Us

Abstract

The Economic and Social History of an English Village (Crawley, Hampshire) A.D. 909-1928. By N. S. B. Gras and E. C. Gras. Harvard University Press, Cambridge, 1930, XV, 730 pp. $7.50.

The American Revolution and the British Empire. By R. Coupland. Longmans, Green and Co. London, New York, Toronto, 1930; vii, 331 pp. $4.50. Reviewed by Robert Livingston Schuyler.

The Genius of Mexico. Lectures Delivered before the Fifth Seminar in Mexico, 19.10. Edited by Hubert C. Herring and Katharine Terrill. The Committee on Cultural Relations with Latin America, New York, 1931. 334 pp. Reviewed by Milton W. Hamilton.

A Guide to the Study of Medieval History. By Louis J. Paetow. Revised Edition under the Auspices of the Medieval Academy of America, Dana C. Munro, editor in chief. New York, 1931. (Crofts, $6.00). Reviewed by John L. La Monte.

International Government. By Edmund C. Mower. D. C. Heath &; Co., Boston, 1931. xix, 736 pp. $5.00.

International Law. A Restatement of Principles in Conformity with Actual Practise. By Ellery C. Stowell. Henry Holt &; Co., New York, 1931. xxvi, 829 pp. $4.75. Reviewed by Walden Moore.

A History of South America. By Charles Edmund Akers. E. P. Dutton and Co., New York, 1930. xxxii, 781 pp. Illus. Maps. $5.

A History of the Argentine Republic. By F. A. Kirkpatrick. Cambridge University Press, Cambridge, 1931. xxvii, 255 pp. Illus. Maps.

Narratives of the Discovery of America. By A. W. Lawrence and Jean Young. Jonathan Cape and Harrison Smith, New York, 1931. viii, 300 pp. Maps. $3.

Select Documents Illustrating the four Voyages of Columbus. Vol. 1. By Cecil Jane. The Hakluyt Society, London, 1930. Illus. Maps. Reviewed by A. Curtis Wilgus.

The American Public Mind. By Peter Odegard. Columbia University Press, New York, 1930. 308 pp.

American Society. By Charles F. Thwing. The Macmillan Company, New York, 1931. 271 pp. Reviewed by R. Stanley McCordock.

The Cabinet Council of England in the Seventeenth and Eighteenth Centuries, 1622-1784, vol. 1. By Edward Raymond Turner. The Johns Hopkins Press, Baltimore, 1930. xi, 469 pp. $7.50. Reviewed by Charles F. Mullett.

A History of the Hebrew People from the Earliest Times to the Year 70 A.D. Largely in the Language of Bible. Prepared by George A. Barton. The Century Co., New York, London, 1930, 464 pp. $3.50. Reviewed by Salo Baron.

Nelson W. Aldrich: a Leader in American Politics. By Nathaniel Wright Stephenson. Charles Scribner's Sons, New York, 1930. xii, 496 pp. Reviewed by Herbert B. Howe.     

Generalized Haber's Law for Exponential Concentration Decline,with Application to Riparian‐Aquatic Pesticide Ecotoxicity

A simple analytic solution to the dynamic version of Haber's law was derived, conditional on a specified toxic load exponent (n) and on exponential decline in environmental toxicant concentration. Such conditions are particularly relevant to assessing ecotoxicity risk posed (e.g., to juvenile salmonids) by agricultural organophosphate (OP) pesticides that are subject to degradation and/or dissipation. A dynamic Haber's law model was fit to previously published detailed data on lethality for two aquatic species induced by six agricultural OP pesticides, and more crude fits were obtained to less detailed data on five other OP and on two non‐OP pesticides, indicating that for lethality, a range of 0.5 ≤ n ≤ 1.5 may be typical for OP pesticides. The AgDRIFT^® stream deposition model was next used to establish that first‐order or exponential loss, with dilution half‐times on the order of ≤0.01 days, pertains approximately to pesticide residues in streams that arise after aerial application of agricultural pesticides 100 feet upwind. The analytic model was then applied to demonstrate that pesticide concentrations deposited in downwind streams following an aerial application are effectively diluted by about 50‐ to 300‐fold from their initial concentration. Riparian ecotoxicity risk assessment models that ignore this effective dilution, and base pesticide‐specific estimates of reduced survival on the initial concentrations, are therefore unrealistically conservative.     

Cultural and Transnational Influences on the Use of Information Communication Technologies in Adult Long-Distance Family Relationships: An Extension of Media Multiplexity Theory

Geographically dispersed family members utilize frequent and diverse modes of communication to maintain their relationships. In transnational families separated by national boarders, family members may face constraints on channel selection due to cultural and/or structural factors. We draw from media multiplexity theory (MMT) and the cultural dimensions model to examine how transnationalism, societal individualism-collectivism (I-C), family allocentrism, and relational closeness influence the use of information communication technologies (ICTs) to maintain long-distance family relationships (LDFRs). Whereas results of the analysis provide cross-cultural support for MMT’s predictions regarding closeness and ICT frequency, the analysis reveals little support for MMT’s predictions regarding closeness and ICT variety. This study extends MMT by including culture in the study of relational closeness and ICT use, highlights the importance of family allocentrism when applying MMT to LDFRs, and demonstrates how transnational families can have frequent communication to maintain close, long-distance ties despite limited channel variety. Keywords: Culture, Immigrants, Information Communication Technologies, Long Distance Families, Relational ClosenessThis work was supported by the Humanities Center Faculty Fellowship program at Wayne State University.