The validity and structure of culture-level personality scores: Data from ratings of young adolescents

We examined properties of culture-level personality traits in ratings of targets (N=5,109) ages 12 to 17 in 24 cultures. Aggregate scores were generalizable across gender, age, and relationship groups and showed convergence with culture-level scores from previous studies of self-reports and observer ratings of adults, but they were unrelated to national character stereotypes. Trait profiles also showed cross-study agreement within most cultures, 8 of which had not previously been studied. Multidimensional scaling showed that Western and non-Western cultures clustered along a dimension related to Extraversion. A culture-level factor analysis replicated earlier findings of a broad Extraversion factor but generally resembled the factor structure found in individuals. Continued analysis of aggregate personality scores is warranted.

Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations

Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a large number of competing estimation procedures have been proposed. This article provides a critical evaluation of the various estimation techniques. Special attention is given to the ease of implementation and comparative performance of the procedures when estimating the parameters of the Cox–Ingersoll–Ross and Ornstein–Uhlenbeck equations respectively.

The level and quality of Value-at-Risk disclosure by commercial banks

In this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level of VaR disclosures, we develop a VaR Disclosure Index that captures many different facets of market risk disclosure. Using panel data over the period 1996–2005, we find an overall upward trend in the quantity of information released to the public. We also find that Historical Simulation is by far the most popular VaR method. We assess the accuracy of VaR figures by studying the number of VaR exceedances and whether actual daily VaRs contain information about the volatility of subsequent trading revenues. Unlike the level of VaR disclosure, the quality of VaR disclosure shows no sign of improvement over time. We find that VaR computed using Historical Simulation contains very little information about future volatility.