Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates

Reducible diffusions (RDs) are nonlinear transformations of analytically solvable Basic Diffusions (BDs). Hence, by construction RDs are analytically tractable and flexible diffusion processes. Existing literature on RDs has mostly focused on time-homogeneous transformations, which to a significant extent fail to explore the full potential of RDs from both theoretical and practical points of view. In this paper, we propose flexible and economically justifiable time variations to the transformations of RDs. Concentrating on the Constant Elasticity Variance (CEV) RDs, we consider nonlinear dynamics for our time-varying transformations with both deterministic and stochastic designs. Such time variations can greatly enhance the flexibility of RDs while maintaining sufficient tractability of the resulting models. In the meantime, our modeling approach enjoys the benefits of classical inferential techniques such as the Maximum Likelihood (ML). Our application to the UK and the US short-term interest rates suggests that from an empirical point of view time-varying transformations are highly relevant and statistically significant. We expect that the proposed models can describe more truthfully the dynamic time-varying behavior of economic and financial variables and potentially improve out-of-sample forecasts significantly.

Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Systemic psychotherapy as an intervention for post-traumatic stress responses: an introduction, theoretical rationale and overview of developments in an emerging field of interest

The purpose of this article is to critically examine the literature to provide a rationale for including systemic family therapy (SFT) in the psycho-social treatment of people suffering the impact of post-traumatic stress (PTS). Attention is drawn to the relatively underdeveloped academic literature on PTS and the family. The impact of PTS is conceptualized within a psycho-social framework and the current evidence base for psycho-social interventions for PTS responses is described, highlighting the opportunity and need to undergird this area of daily practice. The impact of PTS on the family at multiple levels is identified, emphasizing its recursive nature. The case for SFT is articulated and a range of models of family intervention for PTS briefly reviewed, concluding with an emphasis on Walsh's key processes in family resilience as a framework for practice.

Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set

We propose an exchange rate model that is a hybrid of the conventional specification with monetary fundamentals and the Evans���Lyons microstructure approach. We estimate a model augmented with order flow variables, using a unique data set: almost 100 monthly observations on interdealer order flow on dollar/euro and dollar/yen. The augmented macroeconomic, or ���hybrid,��� model exhibits greater in-sample stability and out of sample forecasting improvement vis-��-vis the basic macroeconomic and random walk specifications.

Interlocking directorates and conflicts of interest: The Rotterdamsche Bankvereeniging, M��ller & Co. and the Dutch financial crisis of the 1920s

How can interlocking directorates cause financial instability for universal banks? A detailed history of the Rotterdamsche Bankvereeninging in the 1920s answers this question in a case study. This large commercial bank adopted a new German-style universal banking business model from the early 1910s, sharing directors with the firms it financed as a means of controlling its interests. Then, in 1924, it required assistance from the Dutch state in order to survive a bank run brought on by public concerns over its close ties with M��ller & Co., a trading conglomerate that suffered badly in the economic downturn of the early 1920s. Using a new narrative history combined with an interpretive model, this article shows how the interlocking directorates between the bank and this major client, and in particular the direction of influence of these interlocks, resulted in a conflict of interest that could not be easily overcome.

THE ROLE OF SENSE OF CONTROL AND SOCIAL SUPPORT IN MEDIATING THE IMPACT OF PSYCHOLOGICAL DISTRESS - A TEST OF THE HYPOTHESIS OF FUNCTIONAL SUBSTITUTION

<p>The purpose of this paper is to examine the manner in which beliefs relating to sense of control and perceived social support mediate the impact of objective circumstances on psychological distress. In particular it focuses on the nature of the interaction between such variables. The results provide no evidence favouring the displacement hypothesis whereby the benefits of social support involve costs in terms of independence. Consistent support, however, is found for the functional substitution hypothesis. The conclusion is unaffected by the introduction of distinctions relating to types of support and types of power.</p>

Who Feels Inferior? A Test of the Status Anxiety Hypothesis of Social Inequalities in Health

The empirical association between income inequality, population health and other social problems is now well established and the research literature suggests that the relationship is not artefactual. Debate is still ongoing as to the cause of this association. Wilkinson, Marmot and colleagues have argued for some time that the relationship stems from the psycho-social effects of status comparisons. Here, income inequality is a marker of a wider status hierarchy that provokes an emotional stress response in individuals that is harmful to health and well-being. We label this the ���status anxiety hypothesis���. If true, this would imply a structured relationship between income inequality at the societal level, individual income rank and anxiety relating to social status. This paper sets out strong and weak forms of the hypothesis and then presents three predictions concerning the structuring of ���status anxiety��� at the individual level given different levels of national income inequality and varying individual income. We then test these predictions using data from a cross-national survey of over 34,000 individuals carried out in 2007 in 31 European countries. Respondents from low inequality countries reported less status anxiety than those in higher inequality countries at all points on the income rank curve. This is an important precondition of support for the status anxiety hypothesis and may be seen as providing support for the weaker version of the hypothesis. However, we do not find evidence to support the stronger version of the hypothesis which requires the negative effect of income rank on status anxiety to be exacerbated by increasing income inequality.

Study on risk assessment and management and prevention of conflicts of interest in the prevention and fight against betting-related match fixing in the EU 28: Final Report

This report concerns the provisions and practices on betting-related match fixing in sports<br/>within the 28 Member States. Carried out in late 2013/early 2014, respondents in each Member<br/>State reported on that state���s gambling-related provisions in respect of football and tennis and<br/>(in each country) a third sport determined on the basis of either its popularity (in terms of<br/>participation or television viewing) or the existence of betting-related ���scandals��� in that sport<br/>within that particular jurisdiction. Those reports helped the authors to compare the Member<br/>States��� regulatory and self-regulatory frameworks relating to risk assessment and conflict of<br/>interest management, with a view to indicating areas of best practice, identifying particularly<br/>good legislative frameworks and highlighting areas where change was either desirable or<br/>necessary. While some individual Member States have legislation which might provide<br/>templates that others could adapt for their own use, the authors were not convinced that ���more<br/>law���, whether at the national or European level, was desirable. Rather, more effective<br/>cooperation among the stakeholders was identified as being more likely to provide tangible<br/>benefits than would new legal frameworks.

Partial shoeprint retrieval using multiple point-of-interest detectors and SIFT descriptors

Shoeprint evidence collected from crime scenes can play an important role in forensic investigations. Usually, the analysis of shoeprints is carried out manually and is based on human expertise and knowledge. As well as being error prone, such a manual process can also be time consuming; thus affecting the usability and suitability of shoeprint evidence in a court of law. Thus, an automatic system for classification and retrieval of shoeprints has the potential to be a valuable tool. This paper presents a solution for the automatic retrieval of shoeprints which is considerably more robust than existing solutions in the presence of geometric distortions such as scale, rotation and scale distortions. It addresses the issue of classifying partial shoeprints in the presence of rotation, scale and noise distortions and relies on the use of two local point-of-interest detectors whose matching scores are combined. In this work, multiscale Harris and Hessian detectors are used to select corners and blob-like structures in a scale-space representation for scale invariance, while Scale Invariant Feature Transform (SIFT) descriptor is employed to achieve rotation invariance. The proposed technique is based on combining the matching scores of the two detectors at the score level. Our evaluation has shown that it outperforms both detectors in most of our extended experiments when retrieving partial shoeprints with geometric distortions, and is clearly better than similar work published in the literature. We also demonstrate improved performance in the face of wear and tear. As matter of fact, whilst the proposed work outperforms similar algorithms in the literature, it is shown that achieving good retrieval performance is not constrained by acquiring a full print from a scene of crime as a partial print can still be used to attain comparable retrieval results to those of using the full print. This gives crime investigators more flexibility is choosing the parts of a print to search for in a database of footwear.

Retrieving Regions of Interest for User Exploration

We consider an application scenario where points of interest (PoIs) each have a web presence and where a web user wants to iden- tify a region that contains relevant PoIs that are relevant to a set of keywords, e.g., in preparation for deciding where to go to conve- niently explore the PoIs. Motivated by this, we propose the length- constrained maximum-sum region (LCMSR) query that returns a spatial-network region that is located within a general region of in- terest, that does not exceed a given size constraint, and that best matches query keywords. Such a query maximizes the total weight of the PoIs in it w.r.t. the query keywords. We show that it is NP- hard to answer this query. We develop an approximation algorithm with a (5 + ��) approximation ratio utilizing a technique that scales node weights into integers. We also propose a more efficient heuris- tic algorithm and a greedy algorithm. Empirical studies on real data offer detailed insight into the accuracy of the proposed algorithms and show that the proposed algorithms are capable of computingresults efficiently and effectively.