A Local Linear Least-Absolute-Deviations Estimator of Volatility

An important empirical characteristic of financial time series is that the unconditional distribution of the returns tends to possess heavy tails. This is the motivation for the particular local kernel volatility estimator proposed in this work. Whereas least-square-deviations (LSD) estimators are strongly affected by heavy-tailed distributions, the performance of least-absolute-deviations (LAD) estimators is not. This robustness to heavy tails is evidenced by the more flexible assumptions made on the distributional moments of the observable variable. The simulation examples also highlight the superior performances of the LAD estimator when compared to the LSD estimator under heavy tails conditions. The full nonparametric model is described and the asymptotic properties of the LAD estimator are derived. Extensive Monte Carlo studies strongly suggest that the LAD estimator is asymptotically adaptive to the unknown conditional first moment. The LAD estimator is also used to estimate the volatility of the S&P500 and the BOVESPA returns.     

Firm-specific human capital, job matching, and turnover: evidence from major league baseball, 1900–1992

The two dominant labor market turnover hypotheses, the firm-specific human capital model (FSHCM) and the job-matching model, suggest different patterns of player mobility in major league baseball. The matching hypothesis predicts greater mobility of players in positions that require substantial team production. A better match may offer large productivity gains. Alternately, the FSHCM predicts players in positions requiring the greatest amount of teamwork will benefit from specific knowledge, making them less likely to change teams. We examine the frequency distribution of trades by player position from 1900–1992 and find the FSHCM provides the best explanation for turnover in this industry.     

Synergistic effect of social support and self-efficacy on physical exercise in older adults

The purpose of the current study was to examine whether the effects of social support on physical exercise in older adults depend on individual perceptions of self-efficacy. Three hundred nine older German adults (age 65-85) were assessed at 3 points in time (3 months apart). In hierarchical-regression analyses, support received from friends and exercise self-efficacy were specified as predictors of exercise frequency while baseline exercise, sex, age, and physical functioning were controlled for. Besides main effects of self-efficacy and social support, an interaction between social support and self-efficacy emerged. People with low self-efficacy were less likely to be active in spite of having social support. People with low support were less likely to be active even if they were high in self-efficacy. This points to the importance of both social support and self-efficacy and implies that these resources could be targets of interventions to increase older adults' exercise.