A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Weighted and two-stage least squares estimation of semiparametric truncated regression models

This paper provides a root-n consistent, asymptotically normal weighted least squares estimator of the coefficients in a truncated regression model. The distribution of the errors is unknown and permits general forms of unknown heteroskedasticity. Also provided is an instrumental variables based two-stage least squares estimator for this model, which can be used when some regressors are endogenous, mismeasured, or otherwise correlated with the errors. A simulation study indicates that the new estimators perform well in finite samples. Our limiting distribution theory includes a new asymptotic trimming result addressing the boundary bias in first-stage density estimation without knowledge of the support boundary. © 2007 Cambridge University Press.

Maladaptive trauma appraisals mediate the relation between attachment anxiety and PTSD symptom severity.

OBJECTIVE: In a large sample of community-dwelling older adults with histories of exposure to a broad range of traumatic events, we examined the extent to which appraisals of traumatic events mediate the relations between insecure attachment styles and posttraumatic stress disorder (PTSD) symptom severity. METHOD: Participants completed an assessment of adult attachment, in addition to measures of PTSD symptom severity, event centrality, event severity, and ratings of the A1 PTSD diagnostic criterion for the potentially traumatic life event that bothered them most at the time of the study. RESULTS: Consistent with theoretical proposals and empirical studies indicating that individual differences in adult attachment systematically influence how individuals evaluate distressing events, individuals with higher attachment anxiety perceived their traumatic life events to be more central to their identity and more severe. Greater event centrality and event severity were each in turn related to higher PTSD symptom severity. In contrast, the relation between attachment avoidance and PTSD symptoms was not mediated by appraisals of event centrality or event severity. Furthermore, neither attachment anxiety nor attachment avoidance was related to participants' ratings of the A1 PTSD diagnostic criterion. CONCLUSION: Our findings suggest that attachment anxiety contributes to greater PTSD symptom severity through heightened perceptions of traumatic events as central to identity and severe. (PsycINFO Database Record