An autoregressive conditional filtering process to remove intraday seasonal volatility and its application to testing the noisy rational expectations model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

Un -equal opportunity: Sex and school among first and second generation Mexican immigrant adolescent girls

The purpose of this dissertation was to determine the interactions of sexuality and education among low socioeconomic status first and second generation Mexican immigrant adolescent girls. Much of the existing research differentiates between immigrant generations with little examination of the differences within a particular immigrant generation. This study utilized qualitative methods to examine how various social institutions intersected to influence the young women's decisions about education and sexuality. The methodology included more than three years of participant observation in a South Florida high school and surrounding community; structured and unstructured interviews with twenty young women, their family members, school personnel, and community activists; and surveys conducted with the young women and their parent or guardian. ^ Moving beyond the limits of essentialist immigration theories, this project revealed within group (i.e. immigrant generation) complexities as well as between group similarities. The data included in this dissertation delineate how relationships of power and control permeated the lives of first and second generation Mexican immigrant adolescent girls. The lens of this dissertation is focused on the salient issues of sexuality and education: two dominant forces in many adolescent lives. ^ I found the young women represented a variety of positions on the academic orientation and sexuality continuums and engaged in activities that both reinforced and countered their stated positions on each of these issues. Specifically, first and second generation immigrants are often viewed as maintaining opposing viewpoints about both education and female sexuality however, for these young women the within group variation was larger than the between group variation. While all the young women in this study expressed a belief in the value of education, they engaged in activities that both fortified and contradicted that expressed position. Additionally, although acculturation can lead to increased sexual activity and decreased engagement with education, the first generation immigrant young women in this study became pregnant and/or withdrew from school in equal proportions to their second generation counterparts. In summary, structural forces combined, often inadvertently, and contributed to these young women's spiraling negative academic orientation and/or rational choice of motherhood. Finally, the findings are linked to policy implications. ^

An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.