The economics of child well-being

This paper presents an integrated economic approach that organizes and interprets the evidence on child development. It also discusses the indicators of child well-being that are used in international comparisons. Recent evidence on child development is summarized, and policies to promote child well-being are discussed. The chapter concludes with some open questions and suggestions for future research

The detection and estimation of long memory in stochastic volatility

We propose a new time series representation of persistence in conditional variance called a long memory stochastic volatility (LMSV) model. The LMSV model is constructed by incorporating an ARFIMA process in a standard stochastic volatility scheme. Strongly consistent estimators of the parameters of the model are obtained by maximizing the spectral approximation to the Gaussian likelihood. The finite sample properties of the spectral likelihood estimator are analyzed by means of a Monte Carlo study. An empirical example with a long time series of stock prices demonstrates the superiority of the LMSV model over existing (short-memory) volatility models.info:eu-repo/semantics/publishedVersio

On the Forecasting Accuracy of Multivariate GARCH Models

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems. We consider 10 assets from NYSE and NASDAQ and compare 125 model based one-step-ahead conditional variance forecasts over a period of 10 years using the model confidence set (MCS) and the Superior Predictive Ability (SPA) tests. Model performances are evaluated using four statistical loss functions which account for different types and degrees of asymmetry with respect to over/under predictions. When considering the full sample, MCS results are strongly driven by short periods of high market instability during which multivariate GARCH models appear to be inaccurate. Over relatively unstable periods, i.e. dot-com bubble, the set of superior models is composed of more sophisticated specifications such as orthogonal and dynamic conditional correlation (DCC), both with leverage effect in the conditional variances. However, unlike the DCC models, our results show that the orthogonal specifications tend to underestimate the conditional variance. Over calm periods, a simple assumption like constant conditional correlation and symmetry in the conditional variances cannot be rejected. Finally, during the 2007-2008 financial crisis, accounting for non-stationarity in the conditional variance process generates superior forecasts. The SPA test suggests that, independently from the period, the best models do not provide significantly better forecasts than the DCC model of Engle (2002) with leverage in the conditional variances of the returns.Variance matrix, forecasting, multivariate GARCH, loss function, model confidence set, superior predictive ability

Stock Market Integration in Africa: The Case of the Johannesburg Stock Exchange and Selected African Countries

African stock markets are deemed to be small, segmented and illiquid. Given this back ground, the study utilises monthly data for the period 2000-2008, employing the Johansen and Julius cointegration method to determine the long-run relationship between the five selected African stock markets. Granger causality tests were also conducted to establish if there are any causal links between the stock markets in Africa. The analysis in the study indicates that African stock markets are improving in performance, generally, growing and developing. However empirical results indicate that African markets are segmented. Further analysis to determine the relationship between the five selected African stock markets and the world stock markets shows that African stock markets are affected by developments in the international markets. Hence, portfolio diversification opportunities exist in the African stock markets suggesting that investors should also consider investing in their African countries as they offer opportunities rather than considering investing in the international markets only

Developing an index of vulnerability to motor fuel price increases in England

As the outlook for oil prices remains uncertain, this paper develops a method to assess which areas of England would be most vulnerable to future motor fuel price increases. Building on previous research, we define and operationalise three dimensions of vulnerability: exposure (the cost burden of motor fuel), sensitivity (income) and adaptive capacity (accessibility with modes alternative to the car). We exploit unique data sets available in England, including the ‘MOT’ vehicle inspection data and DfT Accessibility Statistics. This allows us to map vulnerability to fuel price increases at a spatially disaggregated level (Lower-layer Super Output Areas), taking into account motor-fuel expenditure for all travel purposes, and the ability of households to shift to other modes of travel. This is an advancement on the ‘oil vulnerability’ indices developed in previous international research

Designing Composite Entrepreneurship Indicators: An Application Using Consensus PCA

Existing indicators of entrepreneurial activity (such as the Global Entrepreneurship Monitor, Entrepreneurship Barometer, FORA.s Entrepreneurship Index, OECD and Economic Commission.s sets of indicators, among others) and several variables that have been considered good proxies for entrepreneurship during the last decades seem to be unsuitable to capture the complex relationship among economic, social, and demographic factors driving entrepreneurial activity.In order to suggest a consistent methodology for measuring entrepreneurship, we review some of the most well-known theoretical dimensions of entrepreneurship and a selection of associated indicators is proposed. Indicators and measures are grouped under theoretical categories and a set of entrepreneurship indicators is constructed using multivariate statistical analysis (Consensus PCA based on NIPALS, with an extension of Probability PCA for dealing with missing values) for a panel of developed and developing countries.entrepreneurship, index, principal components analysis

Settling for limited privacy: how much does it help?

This thesis explores practical and theoretical aspects of several privacy-providing technologies, including tools for anonymous web-browsing, verifiable electronic voting schemes, and private information retrieval from databases. State-of-art privacy-providing schemes are frequently impractical for implementational reasons or for sheer information-theoretical reasons due to the amount of information that needs to be transmitted. We have been researching the question of whether relaxing the requirements on such schemes, in particular settling for imperfect but sufficient in real-world situations privacy, as opposed to perfect privacy, may be helpful in producing more practical or more efficient schemes. This thesis presents three results. The first result is the introduction of caching as a technique for providing anonymous web-browsing at the cost of sacrificing some functionality provided by anonymizing systems that do not use caching. The second result is a coercion-resistant electronic voting scheme with nearly perfect privacy and nearly perfect voter verifiability. The third result consists of some lower bounds and some simple upper bounds on the amount of communication in nearly private information retrieval schemes; our work is the first in-depth exploration of private information schemes with imperfect privacy

Service Offshoring and White-Collar Employment

This paper empirically studies the effects of service offshoring on white-collar employment, using data for more than one hundred U.S. occupations. A model of firm behavior based on separability allows to derive the labor demand elasticity with respect to service offshoring for each occupation. Estimation is performed with Quasi-Maximum Likelihood, to account for high degrees of censoring in the employment variable. The estimated elasticities are then related to proxies for the skill level and the degree of tradability of the occupations. Results show that service offshoring increases high skilled employment and decreases medium and low skilled employment. Within each skill group, however, service offshoring penalizes tradable occupations and benefits non-tradable occupations.Occupations; Skills; Tradability; Separability; Quasi-Maximum Likelihood