Intergenerational transmission of social anxiety: the role of social referencing processes in infancy

Responses to an unfamiliar adult were examined in infants of mothers with social phobia (N = 79) and infants of nonanxious comparison mothers (N = 77) at 10 and 14 months in a social referencing paradigm. On each occasion, a female stranger first interacted with the mother and then approached and interacted with the infant. Over time, infants of mothers with social phobia showed increasing avoidance of the stranger, particularly when they were behaviorally inhibited. In boys, maternal social phobia was associated with increasing fearful responses. Infant avoidance was predicted by expressed maternal anxiety and low levels of encouragement to interact with the stranger. The findings are discussed in relation to theories concerning the intergenerational transmission of social anxiety.

Diversification when it hurts? The joint distributions of real estate and equity markets

Much of the literature on the construction of mixed asset portfolios and the case for property as a risk diversifier rests on correlations measured over the whole of a given time series. Recent developments in finance, however, focuses on dependence in the tails of the distribution. Does property offer diversification from equity markets when it is most needed - when equity returns are poor. The paper uses an empirical copula approach to test tail dependence between property and equity for the UK and for a global portfolio. Results show strong tail dependence: in the UK, the dependence in the lower tail is stronger than in the upper tail, casting doubt on the defensive properties of real estate stocks.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.