Volatility return intervals analysis of the Japanese market
Jung, W.-S.; Wang, F. Z.; Havlin, S.; Kaizoji, T.; Moon, H.-T.; Stanley, H. E.
2008-03-01
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval τ and its mean . We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.
Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
Gontis, V.; Havlin, S.; Kononovicius, A.; Podobnik, B.; Stanley, H. E.
2016-11-01
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive macroscopic equations based on the microscopic herding interactions of agents and find that they are able to reproduce various stylized facts of different markets and different assets with the same set of model parameters. We show that the power-law properties and the scaling of return intervals and other financial variables have a similar origin and could be a result of a general class of non-linear stochastic differential equations derived from a master equation of an agent system that is coupled by herding interactions. Specifically, we find that this approach enables us to recover the volatility return interval statistics as well as volatility probability and spectral densities for the NYSE and FOREX markets, for different assets, and for different time-scales. We find also that the historical S&P500 monthly series exhibits the same volatility return interval properties recovered by our proposed model. Our statistical results suggest that human herding is so strong that it persists even when other evolving fluctuations perturbate the financial system.
Return volatility interval analysis of stock indexes during a financial crash
Li, Wei-Shen; Liaw, Sy-Sang
2015-09-01
We investigate the interval between return volatilities above a certain threshold q for 10 countries data sets during the 2008/2009 global financial crisis, and divide these data into several stages according to stock price tendencies: plunging stage (stage 1), fluctuating or rebounding stage (stage 2) and soaring stage (stage 3). For different thresholds q, the cumulative distribution function always satisfies a power law tail distribution. We find the absolute value of the power-law exponent is lowest in stage 1 for various types of markets, and increases monotonically from stage 1 to stage 3 in emerging markets. The fractal dimension properties of the return volatility interval series provide some surprising results. We find that developed markets have strong persistence and transform to weaker correlation in the plunging and soaring stages. In contrast, emerging markets fail to exhibit such a transformation, but rather show a constant-correlation behavior with the recurrence of extreme return volatility in corresponding stages during a crash. We believe this long-memory property found in recurrence-interval series, especially for developed markets, plays an important role in volatility clustering.
Stock market returns, volatility, and future output
Hui Guo
2002-01-01
In this article, Hui Guo shows that, if stock volatility follows an AR(1) process, stock market returns relate positively to past volatility but relate negatively to contemporaneous volatility in Merton’s (1973) Intertemporal Capital Asset Pricing Model. The model helps explain the recent finding that stock market volatility drives out returns in forecasting real gross domestic product growth because the predictive power of returns is hampered by their positive correlation with past volatilit...
Pricing Volatility of Stock Returns with Volatile and Persistent Components
DEFF Research Database (Denmark)
Zhu, Jie
In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock m......, a positive or risk-premium effect exists between return and the volatile component, yet the persistent component is not significantly priced for return dynamic process....... markets. Their in-mean effects on return are also tested. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant pricing factor of asset returns for most markets...
Pricing Volatility of Stock Returns with Volatile and Persistent Components
DEFF Research Database (Denmark)
Zhu, Jie
2009-01-01
This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock ma...... markets. A positive or risk-premium effect exists between the return and the volatile component, yet the persistent component is not significantly priced for the return dynamic process....... markets. Their in-mean effects on returns are tested. The empirical results show that the persistent component is much more important for the volatility dynamic process than is the volatile component. However, the volatile component is found to be a significant pricing factor of asset returns for most...
Oil Volatility Risk and Expected Stock Returns
DEFF Research Database (Denmark)
Christoffersen, Peter; Pan, Xuhui (Nick)
After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...... return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...... of funding liquidity constraints suggesting an economic channel for the effect....
Oil Volatility Risk and Expected Stock Returns
DEFF Research Database (Denmark)
Christoffersen, Peter; Pan, Xuhui (Nick)
After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...... return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...
Incomplete information, idiosyncratic volatility and stock returns
Berrada, Tony Nicolas; Hugonnier, Julien
2011-01-01
We develop a q-theoretic model of investment under incomplete information that explains the link between idiosyncratic volatility and stock returns. When calibrated to match properties of the US business cycles as well as various firms and industry characteristics, the model generates a negative relation between idiosyncratic volatility and stock returns. We show that conditional on earning surprises, the link is positive after good news and negative after bad news. This result provides new i...
A model for stock returns and volatility
Ma, Tao; Serota, R. A.
2014-03-01
We prove that Student’s t-distribution provides one of the better fits to returns of S&P component stocks and the generalized inverse gamma distribution best fits VIX and VXO volatility data. We further prove that stock returns are best fit by the product distribution of the generalized inverse gamma and normal distributions. We find Brown noise in VIX and VXO time series and explain the mean and the variance of the relaxation times on approach to the steady-state distribution.
The Economic Value of Predicting Stock Index Returns and Volatility
W.A. Marquering (Wessel); M.J.C.M. Verbeek (Marno)
2001-01-01
textabstractIn this paper, we analyze the economic value of predicting stock index returns as well as volatility. On the basis of simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from
The Economic Value of Predicting Stock Index Returns and Volatility
Marquering, W.; Verbeek, M.J.C.M.
2000-01-01
In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from 1954-1998, we
The Volatility Effect: Lower Risk without Lower Return
D.C. Blitz (David); P. van Vliet (Pim)
2007-01-01
textabstractWe present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this volatility effect within the US, European and
Factor Structure in Commodity Futures Return and Volatility
DEFF Research Database (Denmark)
Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther
Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...... with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008......-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity...
Factor Structure in Commodity Futures Return and Volatility
DEFF Research Database (Denmark)
Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther
with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008...
The correlation dimension of returns with stochastic volatility
Diks, C.G.H.
2004-01-01
Signs of low-dimensional scaling of correlation integrals of financial returns have often been reported in the literature. In this paper conditions are considered under which correlation integrals of returns generated by stochastic volatility models show scaling. Subject to certain conditions on the
Range-based volatility, expected stock returns, and the low volatility anomaly
2017-01-01
One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics. PMID:29190652
Return and Volatility Spillovers Among Asian Stock Markets
Directory of Open Access Journals (Sweden)
Prashant Joshi
2011-06-01
Full Text Available The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931 and lowest for China (0.824. The implication of weak integration is that investors will benefit from reduction of diversifiable risk.
Stock return, seasonality and asymmetric conditional volatility in steel & iron subsector
Directory of Open Access Journals (Sweden)
V. Chirila
2015-01-01
Full Text Available This paper presents the results obtained following the testing of five hypotheses regarding conditional return and volatility of the most listed European stocks in the steel & iron subsector. The following elements of the stocks are analysed: time variation of volatility, seasonality of return and volatility, relationship between return and volatility and volatility asymmetry. The results obtained confirm for all the analyzed stocks the existence of volatility variation in time, the lack of correlation between return and volatility, the existence of asymmetry phenomenon of volatility and the presence in some stocks of the seasonality effect both for return and volatility.
A Multivariate Nonparametric Test for Return and Volatility Timing
W.A. Marquering (Wessel); M.J.C.M. Verbeek (Marno)
2004-01-01
textabstractThis paper develops a novel approach to simultaneously test for market timing in stock index returns and volatility. The tests are based on the estimation of a system of regression equations with indicator variables and provide detailed information about the statistical significance of
Volatility modeling of asset returns | Babayemi | International Journal ...
African Journals Online (AJOL)
This research was carried out using the daily close share price of Nestle Nigeria Plc to identify and model its volatility of returns in the Nigerian Stock Exchange Market. The result of the study showed that basic Generalized Conditionally Heteroskedastic Model (GARCH (1,1)) model (with Gaussian Error Assumptions) best ...
Directory of Open Access Journals (Sweden)
Xu Gong
2014-01-01
Full Text Available The logarithmic realized volatility is divided into the logarithmic continuous sample path variation and the logarithmic discontinuous jump variation on the basis of the SV-RV model in this paper, which constructs the stochastic volatility model with continuous volatility (SV-CJ model. Then, we use high-frequency transaction data for five minutes of the CSI 300 stock index as the study sample, which, respectively, make parameter estimation on the SV, SV-RV, and SV-CJ model. We also comparatively analyze these three models' prediction accuracy by using the loss functions and SPA test. The results indicate that the prior logarithmic realized volatility and the logarithmic continuous sample path variation can be used to predict the future return volatility in China's stock market, while the logarithmic discontinuous jump variation is poor at its prediction accuracy. Besides, the SV-CJ model has an obvious advantage over the SV and SV-RV model as to the prediction accuracy of the return volatility, and it is more suitable for the research concerning the problems of financial practice such as the financial risk management.
On fractality and chaos in Moroccan family business stock returns and volatility
Lahmiri, Salim
2017-05-01
The purpose of this study is to examine existence of fractality and chaos in returns and volatilities of family business companies listed on the Casablanca Stock Exchange (CSE) in Morocco, and also in returns and volatility of the CSE market index. Detrended fluctuation analysis based Hurst exponent and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) model are used to quantify fractality in returns and volatility time series respectively. Besides, the largest Lyapunov exponent is employed to quantify chaos in both time series. The empirical results from sixteen family business companies follow. For return series, fractality analysis show that most of family business returns listed on CSE exhibit anti-persistent dynamics, whilst market returns have persistent dynamics. Besides, chaos tests show that business family stock returns are not chaotic while market returns exhibit evidence of chaotic behaviour. For volatility series, fractality analysis shows that most of family business stocks and market index exhibit long memory in volatility. Furthermore, results from chaos tests show that volatility of family business returns is not chaotic, whilst volatility of market index is chaotic. These results may help understanding irregularities patterns in Moroccan family business stock returns and volatility, and how they are different from market dynamics.
The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Posedel, Petra
We study the risk premium and leverage effect in the S&P500 market using the stochastic volatility-in-mean model of Barndor¤-Nielsen & Shephard (2001). The Merton (1973, 1980) equilibrium asset pricing condition linking the conditional mean and conditional variance of discrete time returns...... is reinterpreted in terms of the continuous time model. Tests are per- formed on the risk-return relation, the leverage effect, and the overidentifying zero intercept restriction in the Merton condition. Results are compared across alternative volatility proxies, in particular, realized volatility from high......-frequency (5-minute) returns, implied Black-Scholes volatility backed out from observed option prices, model-free implied volatility (VIX), and staggered bipower variation. Our results are consistent with a positive risk-return relation and a significant leverage effect, whereas an additional overidentifying...
Electronic trading system and returns volatility in the oil futures market
Energy Technology Data Exchange (ETDEWEB)
Liao, Huei-Chu [Department of Economics, Tamkang University (China); Lee, Yi-Huey [Department of Industrial Economics, Tamkang University (China); Suen, Yu-Bo [Department of Finance and Banking, Aletheia University (China)
2008-09-15
This paper uses daily Brent crude prices to investigate the employment of electronic trading on the returns conditional volatility in the oil futures market. After a suitable GARCH model is established, the conditional volatility series are found. The Bai and Perron model is then used to find two significant structural breaks for these conditional volatility series around two implementation dates of electronic trading. This result indicates that the change in the trading system has significant impacts on the returns volatility since our estimated second break date is very close to the all-electronic trade implementation date. Moreover, the conditional volatility in the all-electronic trading period is found to be more dominated by the temporal persistence rather than the volatility clustering effect. All these evidence can shed some light for explaining the high relationship between more volatile world oil price and the more popular electronic trade. (author)
Directory of Open Access Journals (Sweden)
Taly I
2015-09-01
Full Text Available The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1 model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.
How to obtain high returns with lower volatility in emerging markets?
Directory of Open Access Journals (Sweden)
Nipun Agarwal
2014-12-01
Full Text Available Emerging markets equity indexes are usually seen as high return with a high degree of volatility associated with them. However, this should not be the case, if you choose high-quality firms that have increasing returns and lower volatility. The intent of this paper is to introduce the risk weighted alpha (RWA indexation method that helps identify stocks that have stable increasing returns with lower volatility. In order to review this method in the context of emerging markets scenario, this paper takes the example of the Sensex index listed on the Bombay Stock Exchange (BSE that comprises India’s top 30 stocks by market capitalisation. Results show that some stocks like Hindustan Lever do show increasing returns and lower volatility. The RWA Sensex index outperforms the BSE Sensex index, while still maintaining a beta that is the same as that in the BSE Sensex index.
Return volatilities of the Korea treasury bond in financial markets
Jung, Jae-Won; Kim, Kyungsik
2012-02-01
We investigate the long memory property in the volatility of the Korean futures market. For our model, we analyze the high-frequency data of the KTB503 by applying the FIGARCH model. From the result of our analysis, we conclude that the volatility of the KTB503 exhibits the feature of the long memory. In particular, this long memory feature is compared to those used in other studies.
Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
Wang, Jie; Wang, Jun; Stanley, H. Eugene
2018-02-01
To investigate the characteristics of extreme events in financial markets and the corresponding return intervals among these events, we use a Potts dynamic system to construct a random financial time series model of the attitudes of market traders. We use multiscale multifractal detrended cross-correlation analysis (MM-DCCA) and Lempel-Ziv complexity (LZC) perform numerical research of the return intervals for two significant China's stock market indices and for the proposed model. The new MM-DCCA method is based on the Hurst surface and provides more interpretable cross-correlations of the dynamic mechanism between different return interval series. We scale the LZC method with different exponents to illustrate the complexity of return intervals in different scales. Empirical studies indicate that the proposed return intervals from the Potts system and the real stock market indices hold similar statistical properties.
Bid-Ask Spreads, Trading Volume and Return Volatility: Intraday Evidence from Indian Stock Market
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Rashmi Ranjan Paital
2016-01-01
Full Text Available This paper empirically examines the relationship between stock return volatility, trading volume and bid-ask spread within the scope of mixture of distribution hypothesis (MDH and sequential information arrival hypothesis (SIAH in the Indian stock market using high frequency 5-minute data set over the period of 2 July 2012 to 31 December 2012. This is the first kind of study in India using bid-ask spread as an additional information variable along with trading volume to investigate the relationship with stock return volatility. Our empirical findings provide evidence of a positive contemporaneous relationship between return volatility and trading volume, and also between return volatility and bid-ask spread. Moreover, the results of Granger causality test show that the information content of trading volume and bid-ask spread are useful for predicting stock return volatility. Our results indicate that information arrival to investors tends to follow a sequential rather than a simultaneous process. This finding is consistent with the sequential information arrival hypothesis and contradicts the mixture of distribution hypothesis.
Modelling Time-Varying Volatility in Financial Returns
DEFF Research Database (Denmark)
Amado, Cristina; Laakkonen, Helinä
2014-01-01
The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and their implications for the capital markets. We contribute to this literature by using a modified...... being captured by a stable GARCH(1,1) process and the second driven by the level of uncertainty in the financial market....... version of the time-varying GARCH model of Amado and Teräsvirta (2013) to analyze whether the increasing uncertainty has caused excess volatility in the US and European government bond markets. In our model, volatility is multiplicatively decomposed into two time-varying conditional components: the first...
Tsionas, Mike G.; Michaelides, Panayotis G.
2017-09-01
We use a novel Bayesian inference procedure for the Lyapunov exponent in the dynamical system of returns and their unobserved volatility. In the dynamical system, computation of largest Lyapunov exponent by traditional methods is impossible as the stochastic nature has to be taken explicitly into account due to unobserved volatility. We apply the new techniques to daily stock return data for a group of six countries, namely USA, UK, Switzerland, Netherlands, Germany and France, from 2003 to 2014, by means of Sequential Monte Carlo for Bayesian inference. The evidence points to the direction that there is indeed noisy chaos both before and after the recent financial crisis. However, when a much simpler model is examined where the interaction between returns and volatility is not taken into consideration jointly, the hypothesis of chaotic dynamics does not receive much support by the data ("neglected chaos").
An Application of GARCH while investigating volatility in stock returns of the World.
Subhani, Muhammad Imtiaz; Hasan, Syed Akif; Osman, Ms. Amber
2012-01-01
A healthy stock market is a sign of sound and healthy economy. Stock market is a volatile market affected, at times directly and most often indirectly, by many micro and macroeconomic players. Of these players interest rates and exchange rates are among the ones undertaken in this study. The rationale behind this study is to ascertain the volatility in stock returns of various stock exchanges in relevance to interest rates and exchange rates over a range of 8 countries for assorted periods. G...
The dynamic conditional relationship between stock market returns and implied volatility
Park, Sung Y.; Ryu, Doojin; Song, Jeongseok
2017-09-01
Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.
Yang, Yan; Copeland, Laurence; Cardiff University
2014-01-01
We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of market volatility. Bullish sentiment leads to higher market excess return while bearish sentiment leads to lower excess return. Sentiment-augmented EGARCH component model compares favourably to the origina...
Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence
Bentes, Sonia R.
2015-11-01
This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market conditions, which is particularly relevant in periods of high volatility. This makes understanding gold volatility important for a number of theoretical and empirical applications, namely investment valuation, portfolio selection, risk management, monetary policy-making, futures and option pricing, hedging strategies and value-at-risk (VaR) policies (e.g. Baur and Lucey (2010)). We use daily data from August 2, 1976 to February 6, 2015 and divide the full sample into two periods: the in-sample period (August 2, 1976-October 24, 2008) is used to estimate model coefficients, while the out-of-sample period (October 27, 2008-February 6, 2015) is for forecasting purposes. Specifically, we employ the GARCH(1,1), IGARCH(1,1) and FIGARCH(1, d,1) specifications. The results show that the FIGARCH(1, d,1) is the best model to capture linear dependence in the conditional variance of the gold returns as given by the information criteria. It is also found to be the best model to forecast the volatility of gold returns.
Symmetry analysis of Black-Scholes equation for small values of volatility and rate of return
Directory of Open Access Journals (Sweden)
M. Nadjafikhah
2014-07-01
of volatility and rate of return parameters. A novel method for obtaining the approximate symmetry of a singularly perturbed partial differential equation (PDE is introduced. Further, we compute the optimal system in the singular case. Finally, by combining two methods, a new approach that calculates the approximate generators for admitted Lie groups of asset price is provided.
How the 52-week high and low affect option-implied volatilities and stock return moments
Driessen, J.J.A.G.; Lin, T.C.; van Hemert, O.
2013-01-01
We provide a new perspective on option and stock price behavior around 52-week highs and lows. We analyze whether option-implied volatilities (IVs) change when stock prices approach or break through their 52-week high or low. We also study the effects of highs and lows on a stock’s beta and return
The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets
Umutlu, M.; Akdeniz, L.; Salih, A.A.
2009-01-01
In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total
The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
C-L. Chang (Chia-Lin); H-K. Hsu (Hui-Kuang); M.J. McAleer (Michael)
2013-01-01
textabstractThis paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models
Modeling and Forecasting Stock Return Volatility and the Term Structure of Interest Rates
M.D. de Pooter (Michiel)
2007-01-01
markdownabstractThis dissertation consists of a collection of studies on two topics: stock return volatility and the term structure of interest rates. _Part A_ consists of three studies and contributes to the literature that focuses on the modeling and forecasting of financial market
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Huang, Zhuo (Albert); Shek, Howard Howan
GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a realized measure of volatility in these models. In this paper we introduce a new framework for the joint modeling of returns and realized measures of volatility. The Realized GARCH...... framework nests most GARCH models as special cases and is, in many ways, a natural extension of standard GARCH models. We pay special attention to linear and log-linear Realized GARCH specifications. This class of models has several attractive features. It retains the simplicity and tractability...... of the classical GARCH framework; it implies an ARMA structure for the conditional variance and realized measures of volatility; and models in this class are parsimonious and simple to estimate. A key feature of the Realized GARCH framework is a measurement equation that relates the observed realized measure...
DEFF Research Database (Denmark)
Bollerslev, Tim; Andersen, Torben G.; Diebold, Francis X.
-Nielsen and Shephard (2004a, 2005) for related bi-power variation measures, the present paper provides a practical and robust framework for non-parametrically measuring the jump component in asset return volatility. In an application to the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury...... bond yield, we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process. Moreover, many jumps appear directly associated with specific macroeconomic news announcements. Separating jump from non-jump movements in a simple...... but sophisticated volatility forecasting model, we find that almost all of the predictability in daily, weekly, and monthly return volatilities comes from the non-jump component. Our results thus set the stage for a number of interesting future econometric developments and important financial applications...
Expected stock returns and volatility in a production economy: a theory and some evidence
Singal, Padamja; Smith, Stephen D.
1999-01-01
The sign of the relationship between expected stock market returns and volatility appears to vary over time, a result that seems at odds with basic notions of risk and return. In this paper we construct an economy where production involves the use of both labor and capital as inputs. We show that when capital investment is "sticky," the sign of the relation between stock market risk and return varies in accordance with the supply of labor but requires no time variation in preferences. In part...
Finite-size effects on return interval distributions for weakest-link-scaling systems
Hristopulos, Dionissios T.; Petrakis, Manolis P.; Kaniadakis, Giorgio
2014-05-01
The Weibull distribution is a commonly used model for the strength of brittle materials and earthquake return intervals. Deviations from Weibull scaling, however, have been observed in earthquake return intervals and the fracture strength of quasibrittle materials. We investigate weakest-link scaling in finite-size systems and deviations of empirical return interval distributions from the Weibull distribution function. Our analysis employs the ansatz that the survival probability function of a system with complex interactions among its units can be expressed as the product of the survival probability functions for an ensemble of representative volume elements (RVEs). We show that if the system comprises a finite number of RVEs, it obeys the κ-Weibull distribution. The upper tail of the κ-Weibull distribution declines as a power law in contrast with Weibull scaling. The hazard rate function of the κ-Weibull distribution decreases linearly after a waiting time τc∝n1/m, where m is the Weibull modulus and n is the system size in terms of representative volume elements. We conduct statistical analysis of experimental data and simulations which show that the κ Weibull provides competitive fits to the return interval distributions of seismic data and of avalanches in a fiber bundle model. In conclusion, using theoretical and statistical analysis of real and simulated data, we demonstrate that the κ-Weibull distribution is a useful model for extreme-event return intervals in finite-size systems.
Finite-size effects on return interval distributions for weakest-link-scaling systems.
Hristopulos, Dionissios T; Petrakis, Manolis P; Kaniadakis, Giorgio
2014-05-01
The Weibull distribution is a commonly used model for the strength of brittle materials and earthquake return intervals. Deviations from Weibull scaling, however, have been observed in earthquake return intervals and the fracture strength of quasibrittle materials. We investigate weakest-link scaling in finite-size systems and deviations of empirical return interval distributions from the Weibull distribution function. Our analysis employs the ansatz that the survival probability function of a system with complex interactions among its units can be expressed as the product of the survival probability functions for an ensemble of representative volume elements (RVEs). We show that if the system comprises a finite number of RVEs, it obeys the κ-Weibull distribution. The upper tail of the κ-Weibull distribution declines as a power law in contrast with Weibull scaling. The hazard rate function of the κ-Weibull distribution decreases linearly after a waiting time τ(c) ∝ n(1/m), where m is the Weibull modulus and n is the system size in terms of representative volume elements. We conduct statistical analysis of experimental data and simulations which show that the κ Weibull provides competitive fits to the return interval distributions of seismic data and of avalanches in a fiber bundle model. In conclusion, using theoretical and statistical analysis of real and simulated data, we demonstrate that the κ-Weibull distribution is a useful model for extreme-event return intervals in finite-size systems.
Energy Technology Data Exchange (ETDEWEB)
Hammoudeh, Shawkat; Yuan, Yuan; Chiang, Thomas [LeBow College of Business, Drexel University, Philadelphia, PA (United States); Nandha, Mohan [Accounting and Finance, Monash University, Melbourne (Australia)
2010-08-15
This paper examines the impacts of world, country, and sector-specific variables on the stock return volatility of twenty-seven US sectors in the short- and long-run, accounting for the asymmetric shocks based on GARCH models. In the standard GARCH model the two world variables, oil and Morgan Stanley Capital Index (MSCI), have differing impacts on the US equity sector returns' volatility, with oil price dampening it while MSCI heightening it for most sectors. This result underlines the need for hedging more against world capital market risk relative to oil risk which is probably hedged by many sectors. The world and country factors' impacts are not as pervasive across the board, compared with the sector-specific impacts of the P/B ratio and trading volume which affect almost all sectors. Increases in the P/B ratio would reduce the aggregate volatility, while increases in the trading volume would heighten it for all sectors. Asymmetry of factor impacts on volatility is also found for most sectors. Most of the GARCH factor results are confirmed in the CGARCH model with the exception of the impact of interest rate on the short-lived transitory volatility. Finally, interesting econometric results on the inclusion or exclusion of trading volumes are discussed. (author)
Modelling time-varying volatility in the Indian stock returns: Some empirical evidence
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Trilochan Tripathy
2015-12-01
Full Text Available This paper models time-varying volatility in one of the Indian main stock markets, namely, the National Stock Exchange (NSE located in Mumbai, investigating whether it has been affected by the recent global financial crisis. A Chow test indicates the presence of a structural break. Both symmetric and asymmetric GARCH models suggest that the volatility of NSE returns is persistent and asymmetric and has increased as a result of the crisis. The model under the Generalized Error Distribution appears to be the most suitable one. However, its out-of-sample forecasting performance is relatively poor.
Behavior of Stock Price Variability over Trading and Nontrading Periods, and Daily Return Volatility
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Sumiyana Sumiyana
2007-09-01
This study concludes that return variance over trading and nontrading periods, along with overnight and lunch break nontrading session, and the first and second trading session, has differed significantly. In addition, daily return volatility is also not identical significantly. Subsequently, this study used size, trading volume, bid-ask spreads and up-down market as control variables. This study contradicts to all prior studies. This study especially suggests contra evidence in comparisons with previous concepts and theories in regards to size, trading volume, bid-ask spreads, and up-down market as control variables.
Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns
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Singh Amanjot
2017-10-01
Full Text Available The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
DEFF Research Database (Denmark)
Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim
Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...... alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properties of the SQR model and to guide us...... in the search for alternative specifications. We then estimate the models using maximum likelihood on S&P500 returns. Finally, we employ nonlinear least squares on a panel of option data. In comparison with earlier studies that explicitly solve the filtering problem, we analyze a more comprehensive option data...
Weather effects on stock returns and volatility in South Asian markets
Sheikh, Muhammad Fayyaz; Shah, Syed Zulfiqar Ali; Mahmood, Shahid
2017-01-01
We study the effect of mood-proxy variables on index returns and volatility in six South Asian markets. Our mood-proxy variables include six weather (temperature, humidity, cloud cover, air pressure, visibility, and wind speed), three weather indicator variables (fog, thunder storm and rain or drizzle) and two biorhythmic variables (SAD and lunar phases). We adopt a robust approach and attempt to select the best parsimonious econometric model for each market. Our findings suggest that mood-pr...
Pan, Zhiyuan; Liu, Li
2018-02-01
In this paper, we extend the GARCH-MIDAS model proposed by Engle et al. (2013) to account for the leverage effect in short-term and long-term volatility components. Our in-sample evidence suggests that both short-term and long-term negative returns can cause higher future volatility than positive returns. Out-of-sample results show that the predictive ability of GARCH-MIDAS is significantly improved after taking the leverage effect into account. The leverage effect for short-term volatility component plays more important role than the leverage effect for long-term volatility component in affecting out-of-sample forecasting performance.
Cold and Cryogenic Curation of Lunar Volatile Samples Returned to Earth
Calaway, M. J.; Allen, C. C.
2011-01-01
The study of volatile compounds and volatile elements, such as H, He, C, N, O, H2O, CH4, SO2, CO, CO2, NH3, HCN, etc., are commonly used for constraining evolutionary processes on planets, satellites, and asteroids, as well as formulating models of solar system formation. For Lunar science, the recent evidence of regolith and rocks containing small amounts of OH- and/or H2O has renewed scientific interest into the study of lunar volatiles [1, 2]. Future lunar sample return missions will include the study of volatiles as a high priority. Comet particles from the Stardust mission, asteroid particles from Hayabusa, meteorites, and subsurface lunar samples all occupied subfreezing environments prior to collection. Valuable geochemical information on volatiles is often lost when these samples are allowed to reach ambient temperatures on Earth. The ability to store, document, subdivide, and transport extraterrestrial geologic samples while maintaining below freezing or cryogenic temperatures is required for the complete scientific study of such samples, as well as future samples from a wide range of solar system bodies.
Equity Returns and Volatilities Before and After the 2007-08 Financial Crisis
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Dedi Lidija
2017-05-01
Full Text Available This paper investigates the linkages among equity markets of four European countries (Germany, France, Italy, UK and the USA in terms of market returns and transmission of volatilities. We use daily exchange traded funds (ETF data from January 2002 to March 2016 and utilize both a Multivariate Autoregressive Moving Average model (MARMA and a Generalized Autoregressive Conditional Heteroskedasticity model (GARCH. We divided the data into three separate periods: before the 2007-08 financial crisis, during the crisis and after the crisis. The results show the existence of significant co-movement of returns in all three selected periods although some important differences before and after the financial crisis are noted. Findings also include marked increases in integration of the markets and thus diminishing diversification opportunities for investors. Volatilities appear to react strongly to market movements and their shocks fade away slowly in all five countries during the crisis period. There is also strong evidence of volatility spillovers particularly during and after the crisis periods.
Estimating the Volatility of Cocoa Price Return with ARCH and GARCH Models
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Lya Aklimawati
2013-08-01
Full Text Available Dynamics of market changing as a result of market liberalization have an impact on agricultural commodities price fluctuation. High volatility on cocoa price movement reflect its price and market risk. Because of price and market uncertainty, the market players face some difficulties to make a decision in determining business development. This research was conducted to 1 understand the characteristics of cocoa price movement in cocoa futures trading, and 2analyze cocoa price volatility using ARCH and GARCH type model. Research was carried out by direct observation on the pattern of cocoa price movement in the futures trading and volatility analysis based on secondary data. The data was derived from Intercontinental Exchange ( ICE Futures U.S. Reports. The analysis result showed that GARCH is the best model to predict the value of average cocoa price return volatility, because it meets criteria of three diagnostic checking, which are ARCH-LM test, residual autocorrelation test and residual normality test. Based on the ARCH-LM test, GARCH (1,1did not have heteroscedasticity, because p-value 2 (0.640139and F-statistic (0.640449 were greater than 0.05. Results of residual autocorrelation test indicated that residual value of GARCH (1,1 was random, because the statistic value of Ljung-Box (LBon the 36 th lag is smaller than the statistic value of 2. Whereas, residual normality test concluded the residual of GARCH (1,1 were normally distributed, because AR (29, MA (29, RESID (-1^2, and GARCH (-1 were significant at 5% significance level. Increasing volatility value indicate high potential risk. Price risk can be reduced by managing financial instrument in futures trading such as forward and futures contract, and hedging. The research result also give an insight to the market player for decision making and determining time of hedging. Key words: Volatility, price, cocoa, GARCH, risk, futures trading
The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
DEFF Research Database (Denmark)
Osterrieder, Daniela; Schotman, Peter C.
are dominated by a level factor, which requires persistence in the spot interest rate. We find that a fractionally integrated process for the short rate plus a fractionally integrated specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain...... the stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with innovations in the level factor to explain the volatility...
Modeling the return and volatility of the Greek electricity marginal system price
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Theodorou, Petros [Department of Economics, Athens University of Economics and Business, 76, Patission Street, 104 34 Athens (Greece); Karyampas, Dimitrios [School of Economics, Mathematics and Statistics, Birkbeck, University of London (United Kingdom)
2008-07-15
Traditional cost based optimization models (WASP) for expansion planning do not allow for mark-to-market valuation and cannot satisfy arbitrage free requirements. This work will fill this gap by developing and estimating models for mark-to-market valuation. Furthermore the present paper examines the return and volatility of the newly born Greek's electricity market's marginal system price. A detailed description of the market mechanism and regulation is used to describe how prices are determined in order to proceed with return and volatility modeling. Continuous time mean reverting and time varying mean reverting stochastic processes have been solved in discrete time processes and estimated econometrically along with ARMAX and GARCH models. It was found that GARCH model gave much better estimation and forecasting ability. Strong persistence in mean has been found giving suspicions of market inefficiency and strong incentives for arbitrage opportunities. Finally, the change in the regulatory framework has been controlled and found to have significant impact. (author)
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Okičić Jasmina
2015-04-01
Full Text Available The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE, focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.
ANALYSIS OF THE RETURNS AND VOLATILITY OF THE ENVIRONMENTAL STOCK LEADERS
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Viorica Chirila
2013-09-01
Full Text Available The last years have been faced with a blasting development of the Socially Responsible Investments (SRI worldwide even though the economic environment has been shaken by a global economic and financial crisis. The aim of this paper is to analyze the return and risk characteristics of the sustainably managed companies that pay particular attention to the environment responsibility in comparison with those that pay more attention to the corporate governance and respectively to the social responsibility. These characteristics are useful both to the individual and institutional investors as well as to the portfolio managers. For the comparative analysis we started from the study of descriptive characteristics of return and risk of indices portfolios of the environmental social and governance stock leaders and we focused on their univariate econometric modelling by means of the heteroskedastic models. The studies undertaken until now are centered on the performance obtained by the portfolios of sustainable indices and on the modelling of the volatility of sustainable indices. We would like to investigate the characteristics of return and risk of the assets of the sustainably managed companies that could attract active investors towards the sustainably managed companies that pay particular attention to the environment responsibility in comparison with those paying increased attention to the corporate governance and respectively to the social responsibility.
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Hassan Mohammadi
2015-04-01
Full Text Available Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen over 2 January 2001 to 8 February 2013 suggest: (1 evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 evidence of unidirectional ARCH and GARCH effects from the U.S. to the other three markets; (3 correlations of returns vary across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between mainland China and Hong Kong markets and low correlations of 6.4% and 7.2% between the U.S. and China’s two markets; thus, international investors may benefit by allocating their assets in China’s markets; (4 the patterns of dynamic conditional correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent financial crisis of 2007.
DOES WTI OIL PRICE RETURNS VOLATILITY SPILLOVER TO THE EXCHANGE RATE AND STOCK INDEX IN THE US?
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Ching-Chun Wei
2014-04-01
Full Text Available The purpose of this paper is to examine whether the volatility of the West Texas Intermediate oil spot returns (WTIR is affected by the Texas Light Sweet oil futures returns (FUR, the exchange rate returns between the US dollar and the Euro (ERR, and the S&P 500 energy index returns (EIR, and if any of those have changed over time. The daily data of the WTIR, the FUR, the ERR, and the EIR between the period of January 4, 2000 and September 30, 2009, were utilized. The empirical results of the multivariate GARCH of the BEKK model indicated that the WTIR is significantly affected by its own past volatility, and by the volatility of FUR, ERR, and EIR. Most likely, WTIR employs a structural conversion in our dummy variable for selected time points. This suggests that investors could use the FUR’s past volatility as a basis for WTIR purchase. In addition, the changes in ERR’s and EIR’s past volatility can be partially used as a basis for the same purpose.
Long-range dependence in returns and volatility of global gold market amid financial crises
Omane-Adjepong, Maurice; Boako, Gideon
2017-04-01
Using sampled historical daily gold market data from 07-03-1985 to 06-01-2015, and building on a related work by Bentes (2016), this paper examines the presence of long-range dependence (LRD) in the world's gold market returns and volatility, accounting for structural breaks. The sampled gold market data was divided into subsamples based on four global crises: the September 1992 collapse of the European Exchange Rate Mechanism (ERM), the Asian financial crisis of mid-1997, the Subprime meltdown of 2007, and the recent European sovereign debt crisis, which hit the world's market with varying effects. LRD test was carried-out on the full-sample and subsample periods using three semiparametric methods-before and after adjusting for structural breaks. The results show insignificant evidence of LRD in gold returns. However, very diminutive evidence is found for periods characterized by financial/economic shocks, with no significant detections for post-shock periods. Collectively, this is indicative that the gold market is less speculative, and hence could be somehow less risky for hedging and portfolio diversification.
Confidence intervals for return levels for the peaks-over-threshold approach
Schendel, Thomas; Thongwichian, Rossukon
2017-01-01
The peaks-over-threshold (POT) approach is an important alternative to the annual block maxima (ABM) method in flood frequency analysis. POT requires the mathematical description of both, the number of exceedances over the threshold as well as the values of those exceedances. Regardless the method, estimates of extreme flood events are typically associated with a large range of uncertainty, which is usually showcased by appropriate confidence intervals (CIs). However, existing methods to estimate CIs for return levels for the POT approach have mostly neglected its dual-domain character and focused on the distribution of the magnitudes only. We present here a customization of two methods, the Profile Likelihood (PL) and test inversion bootstrap (TIB), which account for the dual-domain structure of POT. Both, PL and TIB, are in the framework of ABM already successfully employed for estimating CIs of extreme flood events. A comparison of the performance of the estimated CIs (in terms of coverage error) of the PL, TIB, and percentile bootstrap is done. As result, it is seen that both the lower and upper boundary of the CIs are strongly underestimated for the percentile bootstrap approach. A similar effect (although in a much less pronounced way) can be observed for PL. The performance of the TIB is usually superior to the percentile bootstrap and PL and yielded reasonable estimates for the CIs for large return periods.
Faff, R.; Kremmer, M.; Hodgson, A.
2004-01-01
This paper extends the existing literature by analysing the dual impact of changes in the interest rate and interest rate volatility on the distribution of Australian financial sector stock returns. In addition, a multivariate GARCH-M model is used to analyse the impact of deregulation on the
Bentes, Sonia R.
2016-02-01
This paper examines the long memory behavior in the volatility of gold returns using daily data for the period 1985-2009. We divided the whole sample into eight sub-samples in order to analyze the robustness and consistency of our results during different crisis periods. This constitutes our main contribution. We cover four major world crises, namely, (i) the US stock market crash of 1987; (ii) the Asian financial crisis of 1997; (iii) the World Trade Center terrorist attack of 2001 and finally, (iv) the sub-prime crisis of 2007, in order to investigate how the fractional integrated parameter of the FIGARCH(1, d,1) model evolves over time. Our findings are twofold: (i) there is evidence of long memory in the conditional variance over the whole sample period; (ii) when we consider the sub-sample analysis, the results show mixed evidence. Thus, for the 1985-2003 period the long memory parameter is positive and statistically significant in the pre-crisis sub-samples, and there is no evidence of long memory in the crisis sub-sample periods; however the reverse pattern occurs for the 2005-2009 period. This highlights the unique characteristics of the 2007 sub-prime crisis.
Zaeem, Faz
2015-01-01
This research aims to evaluate and comparative the impact of earnings surprises on stock returns and volatility using high frequency data from stock markets in Australia and United States of America. Findings indicate that the correlation between earnings surprise and stock returns and volatility is statistically significant in both markets. US stocks tend to respond more strongly to negative earnings surprises as compared to Australian stocks due to varying corporate governance and legal env...
CSIR Research Space (South Africa)
Kraaij, T
2012-05-01
Full Text Available -1 Applied Vegetation Science (2012) Doi: 10.1111/j.1654-109X.2012.01209.x Proteaceae juvenile periods and post-fire recruitment as indicators of minimumfire return interval in eastern coastal fynbos Tineke Kraaij, Richard M. Cowling, BrianW. van... of the slowest-maturing species. We established juvenile periods and recruitment success (measured as the ratio of post-fire recruits to the pre-burn population) after fires at different intervals, of serotinous, reseeding shrubs in the Proteaceae. From...
Stock Return and Cash Flow Predictability: The Role of Volatility Risk
DEFF Research Database (Denmark)
Bollerslev, Tim; Xu, Lai; Zhou, Hao
risk premium positively forecast both short-horizon returns and dividend growth rates. We also confirm that dividend yield positively forecasts long-horizon returns, but that it cannot forecast dividend growth rates. Our equilibrium-based “structural” factor GARCH model permits much more accurate...
Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach
Piplack, J.; Beine, M.; Candelon, B.
2009-01-01
This paper analyzes common factors in the continuous volatility component, co-extreme and co-jump behavior of a sample of stock market indices. In order to identify those components in stock price processes during a trading day we use high-frequency data and techniques. We show that in most of the
Directory of Open Access Journals (Sweden)
Paweł Sakowski
2016-10-01
Full Text Available This article aims to extend evaluation of the classic multifactor model of Carhart (1997 for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015. Our intention is to test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach and the fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular market (which is a common approach in the literature, we check performance of these models for weekly data of 81 world investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a single country. Empirical evidence reveals important differences between results for classical models estimated on single stocks (either in international or US-only frameworks and models evaluated for equity indices. Additionally, we observe substantial discrepancies between results for developed countries and emerging markets. Finally, using weekly data for the last 15 years we illustrate the importance of model risk and data overfitting effects when drawing conclusions upon results of multifactor models.
Returns on Investments and Volatility Rate in the Nigerian Banking Industry
LAWAL A. I.; OLOYE M. I.; OTEKUNRIN A. O.; Ajayi, S.A.
2013-01-01
Most investment decisions focus on a forecast of future events that is either explicit or implicit. Generally asset pricing models postulate a positive relationship between a stock portfolio’s expected returns and risk, which is often modelled by the variance of the asset price. The essence of this paper is to use GARCH in mean and EGARCH to examine the relationship between mean returns on the Nigeria commercial banks portfolio investments and its conditional variance or standard deviation. A...
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Awad Abd El-Halim
2013-06-01
Full Text Available Alternate furrow irrigation with proper irrigation intervals could save irrigation water and result in high grain yield with low irrigation costs in arid areas. Two field experiments were conducted in the Middle Nile Delta area of Egypt during the 2010 and 2011 seasons to investigate the impact of alternate furrow irrigation with 7-d (AFI7 and 14-d intervals (AFI14 on yield, crop water use efficiency, irrigation water productivity, and economic return of corn (Zea mays L. as compared with every-furrow irrigation (EFI, conventional method with 14-d interval. Results indicated that grain yield increased under the AFI7 treatment, whereas it tended to decrease under AFI14 as compared with EFI. Irrigation water saving in the AFI7 and AFI14 treatments was approximately 7% and 17%, respectively, as compared to the EFI treatment. The AFI14 and AFI7 treatments improved both crop water use efficiency and irrigation water productivity as compared with EFI. Results also indicated that the AFI7 treatment did not only increase grain yield, but also increased the benefit-cost ratio, net return, and irrigation water saving. Therefore, if low cost water is available and excess water delivery to the field does not require any additional expense, then the AFI7 treatment will essentially be the best choice under the study area conditions.
DEFF Research Database (Denmark)
Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per Houmann
and non-parametric jump detection statistics constructed from high-frequency intra- day data. A sequence of relatively simple-to-implement moment-based tests involving various transforms of the daily returns speak directly to the import of different features of the under- lying continuous-time processes......We provide an empirical framework for assessing the distributional properties of daily specu- lative returns within the context of the continuous-time modeling paradigm traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...... that might have generated the data. As such, the tests may serve as a useful diagnostic tool in the specification of empirically more realistic asset pricing models. Our results are also directly related to the popular mixture-of-distributions hypoth- esis and the role of the corresponding latent information...
Kamstra, Mark J; Kramer, Lisa A; Levi, Maurice D
2013-02-01
In a 2011 reply to our 2010 comment in this journal, Berument and Dogen maintained their challenge to the existence of the negative daylight-saving effect in stock returns reported by Kamstra, Kramer, and Levi in 2000. Unfortunately, in their reply, Berument and Dogen ignored all of the points raised in the comment, failing even to cite the Kamstra, et al. comment. Berument and Dogen continued to use inappropriate estimation techniques, over-parameterized models, and low-power tests and perhaps most surprisingly even failed to replicate results they themselves reported in their previous paper, written by Berument, Dogen, and Onar in 2010. The findings reported by Berument and Dogen, as well as by Berument, Dogen, and Onar, are neither well-supported nor well-reasoned. We maintain our original objections to their analysis, highlight new serious empirical and theoretical problems, and emphasize that there remains statistically significant evidence of an economically large negative daylight-saving effect in U.S. stock returns. The issues raised in this rebuttal extend beyond the daylight-saving effect itself, touching on methodological points that arise more generally when deciding how to model financial returns data.
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Nurul Huda
2015-04-01
Full Text Available Objective - Islamic banks are banks which its activities, both fund raising and funds distribution are on the basis of Islamic principles, namely buying and selling and profit sharing. Islamic banking is aimed at supporting the implementation of national development in order to improve justice, togetherness, and equitable distribution of welfare. In pursuit of supporting the implementation of national development, Islamic banking often faced stability problems of financing instruments being operated. In this case, it is measured by the gap between the actual rate of return and the expected rate of return. The individual actual RoR of this instrument will generate an expected rate of return. This raises the gap or difference between the actual rate of return and the expected rate of return of individual instruments, which in this case is called the abnormal rate of return. The stability of abnormal rate of return of individual instruments is certainly influenced by the stability of the expected rate of return. Expected rate of return has a volatility or fluctuation levels for each financing instrument. It is also a key element or material basis for the establishment of a variance of individual instruments. Variance in this case indicates the level of uncertainty of the rate of return. Individual variance is the origin of the instrument base for variance in the portfolio finance that further a portfolio analysis. So, this paper is going to analyze the level of expected RoR volatility as an initial step to see and predict the stability of the fluctuations in the rate of return of Indonesian Islamic financing instruments.Methods – Probability of Occurence, Expected Rate of Return (RoR and GARCH (Generalized Autoregressive Conditional Heteroscedasticity.Results - The expected RoR volatility of the murabaha and istishna financing instruments tend to be more volatile than expected RoR volatility of musharaka and qardh financing instruments
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María Sánchez
2016-11-01
Full Text Available The action consists of moving with small kicks a tin of cola refresh -without Brand-from a point of the city up to other one. During the path I avoid bollards, the slope differences between sidewalks, pedestrians, parked motorcycles, etc. Volatility wants to say exactly that the money is getting lost. That the money is losing by gentlemen and by ladies who are neither financial sharks, nor big businessmen… or similarly, but ingenuous people, as you or as me, who walk down the street.
The influence of jumping risk and volatility risk on TAIEX option return
Lee, Wei-Long; Hsieh, Ching-Tang; Huang, Jui-Chan; Wu, Tzu-Jung
2017-06-01
Due to the low profits in recent years environmental, as well as the development of financial engineering that promote the derivatives trading Volume increased. Moreover, the fastest-growing of selected right and the lack of research about option risk. This study aim to explore the relationship between the risk and reward of selected right in Taiwan index. This study focus on the pricing the jump risk of selected right in Taiwan index. Using cross-sectional data as a 12-month study period, using the iteration method to research the effects of abnormal returns, the result shows that different risk factors of fluctuations affected the abnormal returns obviously will cause risk premium as well as the jump risk which consistent with the theory of behavioral finance. However, according to traditional finance theory, contrary to the results of this study consider that higher risks should generate higher-paying as well. According this study, the investors in behavioral finance in modern financial theory is not rational, and the trading behavior is non-random, moreover, the financial market is non-efficiency. Instead, the high risk low reward.
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Steen Petter
2009-02-01
Full Text Available Abstract Background One of the factors that limits survival from out-of-hospital cardiac arrest is the interruption of chest compressions. During ventricular fibrillation and tachycardia the electrocardiogram reflects the probability of return of spontaneous circulation associated with defibrillation. We have used this in the current study to quantify in detail the effects of interrupting chest compressions. Methods From an electrocardiogram database we identified all intervals without chest compressions that followed an interval with compressions, and where the patients had ventricular fibrillation or tachycardia. By calculating the mean-slope (a predictor of the return of spontaneous circulation of the electrocardiogram for each 2-second window, and using a linear mixed-effects statistical model, we quantified the decline of mean-slope with time. Further, a mapping from mean-slope to probability of return of spontaneous circulation was obtained from a second dataset and using this we were able to estimate the expected development of the probability of return of spontaneous circulation for cases at different levels. Results From 911 intervals without chest compressions, 5138 analysis windows were identified. The results show that cases with the probability of return of spontaneous circulation values 0.35, 0.1 and 0.05, 3 seconds into an interval in the mean will have probability of return of spontaneous circulation values 0.26 (0.24–0.29, 0.077 (0.070–0.085 and 0.040(0.036–0.045, respectively, 27 seconds into the interval (95% confidence intervals in parenthesis. Conclusion During pre-shock pauses in chest compressions mean probability of return of spontaneous circulation decreases in a steady manner for cases at all initial levels. Regardless of initial level there is a relative decrease in the probability of return of spontaneous circulation of about 23% from 3 to 27 seconds into such a pause.
Peterson, B.; Hummerick, M.; Roberts, M.; Krummins, V.; Kish, A.; Garland, J.; Maxwell, S.; Mills, A.
In addition to the mass and energy costs associated with bioregenerative systems for advanced life support, the storage and processing of waste on spacecraft requires both atmospheric and biological management. Risks to crew health may arise from the presence of potential human pathogens in waste or from decay processes during waste storage and/or processing. This study reports on the permanent gas, trace volatile organic and microbiological analyses of crew refuse returned from shuttle missions STS-105, 109 and 110. The research objective is to characterize the biological stability of the waste stream, to assess the risks associated with its storage, and to provide baseline measures for the evaluation of waste processing technologies. Microbiological samples were collected from packaging material, food waste, bathroom waste, and bulk liquid collected from the volume F waste container. The number of culturable bacteria and total bacteria were determined by plating on R2A media and by Acridine Orange direct count, respectively. Samples of the trash were analyzed for the presence of fecal and total coliforms and other human-associated bacteria. Dry and ash weights were determined to estimate both water and organic content of the materials. The aerobic and anaerobic bio-stability of stored waste was determined by on-line monitoring of CO2 and by laboratory analysis of off-gas samples for hydrogen sulfide and methane. Volatile organic compounds and permanent gases were analyzed using EPA method TO15 with gas chromatography/mass spectrometry and by gas chromatography with selective detectors . This study establishes a baseline measure of waste composition, labile organics, and microbial load for this material.
Chelcy R. Ford; Emily S. Minor; Gordon A. Fox
2010-01-01
We investigated the effect of fire and fire frequency on stand structure and longleaf pine (Pinus palustris P. Mill.) growth and population demography in an experimental research area in a southwest Florida sandhill community. Data were collected from replicated plots that had prescribed fire-return intervals of 1, 2, 5, or 7 years or were left...
Xia, Zhiyuan; Zhai, Xiandun; Liu, Beibei; Mo, Yaonan
2016-11-01
Precise measurement of cadaver decomposition rate is the basis to accurate post-mortem interval (PMI) estimation. There are many approaches explored in recent years, however, it is still unsolved completely. Total volatile basic nitrogen (TVB-N), which is an important index to predict meat freshness and shelf life in food science, could serve as an indicator for measuring PMI associated decomposition rate of cadavers. The aim of this work was to establish a practical method to determine TVB-N in cadaver soft tissues (mainly skeletal muscle) for measuring decomposition rate. Determination of TVB-N in the simulation and animal experiments was conducted by steam distillation and conductometric titration using Kjeldahl distillation unit and conductivity meter. In simulation, standard concentrations of ammonium were used as TVB analogies, TVB-N contents were determined and the recovery rates of nitrogen were calculated. In animal experiment, TVB-N in skeletal muscle of forty-two rats was determined at different PMIs for 312 h at 24 °C ± 1 °C. The relationship between PMI and TVB-N was investigated also. The method showed high precision with 99%-100% recovery rates. TVB-N in skeletal muscle changed significantly with PMI especially after 24 h, and the data fit well to y = 3.35 E-5x3-2.17 E-2x2+6.13x-85.82 (adj. R2 = 0.985). ECi (initial electrical conductivity in the samples just before titration) had positive linear relationship to final measured TVB-N values, y = 1.98x+16.16 (adj. R2 = 0.985). The overall results demonstrated that the method is accurate, rapid and flexible, which could be expected as a basic technique for measuring decomposition rate in later PMI-estimation researches. Further studies are needed to validate our findings. Copyright © 2016 Elsevier Ltd and Faculty of Forensic and Legal Medicine. All rights reserved.
Asymmetric Realized Volatility Risk
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David E. Allen
2014-06-01
Full Text Available In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are nearly Gaussian, this unpredictability brings considerably more uncertainty to the empirically relevant ex ante distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility model, which incorporates the fact that realized volatility series are systematically more volatile in high volatility periods. Returns in this framework display time varying volatility, skewness and kurtosis. We provide a detailed account of the empirical advantages of the model using data on the S&P 500 index and eight other indexes and stocks.
A Jump-Diffusion Model with Stochastic Volatility and Durations
DEFF Research Database (Denmark)
Wei, Wei; Pelletier, Denis
Market microstructure theories suggest that the durations between transactions carry information about volatility. This paper puts forward a model featuring stochastic volatility, stochastic conditional duration, and jumps to analyze high frequency returns and durations. Durations affect price...... jumps in two ways: as exogenous sampling intervals, and through the interaction with volatility. We adopt a bivariate Ornstein-Ulenbeck process to model intraday volatility and conditional duration. We develop a MCMC algorithm for the inference on irregularly spaced multivariate processes with jumps....... The algorithm provides smoothed estimates of the latent variables such as spot volatility, conditional duration, jump times, and jump sizes. We apply this model to IBM data and find that volatility and conditional duration are interdependent. We also find that jumps play an important role in return variation...
Azevedo, C; Maia, I; Canada, N; Simões, J
2014-10-01
The main aims of the present study were to compare the pregnancy rate (PR), regular returns-to-estrus, and calving interval of a CO-Synch + controlled internal drug release (CIDR) device, commonly used to synchronize ovulations in beef cows, with the classical Ovsynch protocol in high-producing dairy cows. Holstein-Friesian cows (n = 128) from six commercial dairy herds, ≥40 days postpartum and not previously inseminated, were randomly assigned to one of two treatments. Cows submitted to Ovsynch protocol (group OS as control group; n = 66) received 10 μg of a GnRH analogue 7 days before and 48 hours after 25 mg PGF2α, followed by artificial insemination (AI) 16 hours after the second GnRH administration. Cows submitted to CO-Synch + CIDR (1.38 g of progesterone) inserted for 7 days beginning at the first GnRH administration (group CoS + CD; n = 62) had the second administration of GnRH concurrent with AI, 64 hours after CIDR removal/PGF2α administration. Nonpregnant cows with return-to-estrus between 18 and 24 days after first AI were reinseminated (second AI). Logistic regressions were used to analyze PR and returns-to-estrus. No effect of group or herd was observed in PR at first timed AI. However, the sum of cows pregnant at first AI and nonpregnant cows with regular returns-to-estrus and the total PR (first + second AI) were influenced by group treatment. Overall, cows of group CoS + CD (total PR = 56.5%) were 2.1 times more likely to became pregnant after AI and until first regular returns-to-estrus than cows of group OS. The calving interval was lower in group CoS + CD (425.9 ± 78.8 days; ±SD) than in group OS (475.3 ± 83.7 days). The CO-Synch + CIDR protocol was reliable to use in dairy herds and provided reproductive advantages when compared with Ovsynch protocol. Copyright © 2014 Elsevier Inc. All rights reserved.
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Arfaoui Mongi
2015-06-01
Full Text Available This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH model of Engle and Kroner [1995]; and the VAR-DCC-GARCH model of Engle [2002]. Our findings confirm that both markets are interdependent and corroborate the stock and flow oriented approaches. We also find that, comparing to optimal weights, hedge ratios are typically low, denoting that hedging efficiency is quite good. Our estimation of hedging efficiency suggests that incorporating foreign exchange in a full stock, unhedged portfolio increases the risk-adjusted return while reducing its variance. (We note here that the forex market is overweighted for both portfolio allocations and hedging strategies. Moreover, this conclusion holds for all countries in all three models.
Lloyd, John D.; Slater, Gary L.; Snyder, James R.
2012-01-01
Standing dead trees, or snags, are an important habitat element for many animal species. In many ecosystems, fire is a primary driver of snag population dynamics because it can both create and consume snags. The objective of this study was to examine how variation in two key components of the fire regime—fire-return interval and season of burn—affected population dynamics of snags. Using a factorial design, we exposed 1 ha plots, located within larger burn units in a south Florida slash pine (Pinus elliottii var. densa Little and Dorman) forest, to prescribed fire applied at two intervals (approximately 3-year intervals vs. approximately 6-year intervals) and during two seasons (wet season vs. dry season) over a 12- to 13-year period. We found no consistent effect of fire season or frequency on the density of lightly to moderately decayed or heavily decayed snags, suggesting that variation in these elements of the fire regime at the scale we considered is relatively unimportant in the dynamics of snag populations. However, our confidence in these findings is limited by small sample sizes, potentially confounding effects of unmeasured variation in fire behavior and effects (e.g., intensity, severity, synergy with drought cycles) and wide variation in responses within a treatment level. The generalizing of our findings is also limited by the narrow range of treatment levels considered. Future experiments incorporating a wider range of fire regimes and directly quantifying fire intensity would prove useful in identifying more clearly the role of fire in shaping the dynamics of snag populations.
DattaChaudhuri, Tamal; Ghosh, Indranil
2015-06-01
Volatility in stock markets has been extensively studied in the applied finance literature. In this paper, Artificial Neural Network models based on various back propagation algorithms have been constructed to predict volatility in the Indian stock market through volatility of NIFTY returns and volatility of gold returns. This model considers India VIX, CBOE VIX, volatility of crude oil returns (CRUDESDR), volatility of DJIA returns (DJIASDR), volatility of DAX returns (DAXSDR), volatility of Hang Seng returns (HANGSDR) and volatility of Nikkei returns (NIKKEISDR) as predictor variables. Three sets of experiments have been performed over three time periods to judge the effectiveness of the approach.
Idiosyncratic Volatility Puzzle
DEFF Research Database (Denmark)
Aslanidis, Nektarios; Christiansen, Charlotte; Lambertides, Neophytos
In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-Önance factors as well as upon traditional asset pricing factors. The macro-Önance factors are constructed...... from a large pool of macroeconomic and Önancial variables. Cleaning for macro-Önance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the e§ects from macro-Önance factors are economically strong...
Option Valuation with Observable Volatility and Jump Dynamics
DEFF Research Database (Denmark)
Christoffersen, Peter; Feunou, Bruno; Jeon, Yoontae
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity...... dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...... for straightforward filtering and estimation of the model. Our model belongs to the affine class enabling us to derive the conditional characteristic function so that option values can be computed rapidly without simulation. When estimated on S&P500 index options and returns the new model performs well compared...
DEFF Research Database (Denmark)
Bach, Christian; Christensen, Bent Jesper
We include simultaneously both realized volatility measures based on high-frequency asset returns and implied volatilities backed out of individual traded at the money option prices in a state space approach to the analysis of true underlying volatility. We model integrated volatility as a latent...... process is downward biased. Implied volatility performs better than any of the alternative realized measures when forecasting future integrated volatility. The results are largely similar across the stock market (S&P 500), bond market (30-year U.S. T-bond), and foreign currency exchange market ($/£ )....
Option Valuation with Observable Volatility and Jump Dynamics
DEFF Research Database (Denmark)
Christoffersen, Peter; Feunoua, Bruno; Jeon, Yoontae
dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing...... for straightforward filtering and estimation of the model. Our model belongs to the affine class enabling us to derive the conditional characteristic function so that option values can be computed rapidly without simulation. When estimated on S&P500 index options and returns the new model performs well compared...
Socio-economy and stock market volatility
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Md Sharif Hossain
2017-10-01
Full Text Available We evaluate how stock market return volatility behaves with respect to socioeconomic factors namely- interest rate volatility, foreign exchange rate volatility, S &P 500 index volatility, broad money supply volatility, per capita GDP, domestic investment, industry value addition, tertiary level of education, urbanization, and strike and blockades using time series data from 1976-2015. We find that interest rate volatility has significant positive impact on stock market return volatility where broad money supply volatility, foreign exchange rate volatility, tertiary level of education, and domestic investment have significant negative impact on stock market volatility based on stepwise regression. Therefore, increase in tertiary level of education and domestic investment makes the stock market more stable. From the estimated result of VAR model, results show no short run causality among these variables.
Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models
J. Chen (Jinghui); M. Kobayashi (Masahito); M.J. McAleer (Michael)
2017-01-01
markdownabstractThe paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The
Time-Varying Periodicity in Intraday Volatility
DEFF Research Database (Denmark)
Andersen, Torben Gustav; Thyrsgaard, Martin; Todorov, Viktor
with a constant time-of-day periodic component. We first construct time-of-day volatility estimates and studentize the high-frequency returns with these periodic components. If the intraday volatility periodicity is invariant over time, then the distribution of the studentized returns should be identical across......We develop a nonparametric test for deciding whether return volatility exhibits time-varying intraday periodicity using a long time-series of high-frequency data. Our null hypothesis, commonly adopted in work on volatility modeling, is that volatility follows a stationary process combined...... the trading day. Consequently, the test is based on comparing the empirical characteristic function of the studentized returns across the trading day. The limit distribution of the test depends on the error in recovering volatility from discrete return data and the empirical process error associated...
DEFF Research Database (Denmark)
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
Stock market volatility clusters in time, carries a risk premium, is fractionally inte- grated, and exhibits asymmetric leverage effects relative to returns. This paper develops a first internally consistent equilibrium based explanation for these longstanding empirical facts. The model is cast...
Forecasting Exchange Rate Volatility in the Presence of Jumps
DEFF Research Database (Denmark)
Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns using recent nonparametric statistical techniquesto compute realized return volatility and its separate continuous sample path and jumpcomponents, and measures based on prices...... for impliedvolatility than for realized volatility in this market. Finally, we show that the jump componentof future realized exchange rate volatility is to some extent predictable, and thatoption implied volatility is the dominant forecast of the future jump component....
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Cüneyt AKAR
2015-06-01
Full Text Available This paper aims to determine the relationship between stock returns and volatility of liquidity in Turkish Stock Market. It is also investigated whether various liquidity measures sort the stocks in the same way according to their liquidities. The data used in the study contains the closing prices, trading volumes and free floating of the stocks that are included in Borsa Istanbul 100 Index (BIST100 and covers the period from 28.02.2011 to 18.11.2014. Generalized Autoregressive Conditional Heteroscedasticity (GARCH and Autoregressive Moving Average models (ARMA are used to perform empirical analysis. According to the results, it can not be determined the clear significant relationship between stock returns and volatility of liquidity. Results also show that while stock size and Amihud illiquidity criteria sort the stocks in the same way, stock return standard deviation criterion produces different ranking.
The Economic Value of Realized Volatility
DEFF Research Database (Denmark)
Christoffersen, Peter; Feunoua, Bruno; Jacobs, Kris
2014-01-01
develop a new class of affine discrete-time option valuation models that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas, and we assess the option valuation properties using Standard & Poor’s (S&P) 500 return and option data. We find...... that realized volatility reduces the pricing errors of the benchmark model significantly across moneyness, maturity, and volatility levels....
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to r...
DEFF Research Database (Denmark)
Dias, Gustavo Fruet; Scherrer, Cristina; Papailias, Fotis
The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show...... that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity......). Finally, we compute volatility discovery for 30 actively traded stocks in the U.S. and report that Nyse and Arca dominate Nasdaq....
DEFF Research Database (Denmark)
Dorn, Jochen
concepts, next to nothing is known about position reverting strategies and how, and -even more important- in which context they are applied in practice. In the recent market downturn only one sector generated signicant profits for the leading investment banks: Volatility trading activities, namely on Forex......This article aims to shed a light on innovative fund management concepts which emerged after the crisis. Two main strategies seem to dominate the financial turmoil: Absolute return concepts and long/short trading techniques. While there already exists exhaustive literature on absolute return......, interest rates and commodities. If an investor positions himself on the (volatility) market within a long/short trading framework, he typically bets on a traditional mispricing arbitrage. However as this corresponds to a call spread with equal exercise prices, this strategy alone would not generate enough...
Stochastic volatility selected readings
Shephard, Neil
2005-01-01
Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P. K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-7, S. J. Taylor. 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices, B. Rosenberg. 4. The Pricing of Options on Assets with Stochastic Volatilities, J. Hull and A. White. 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, F. X. Diebold and M. Nerlove. 6. Multivariate Stochastic Variance Models. 7. Stochastic Autoregressive...
Option Pricing using Realized Volatility
DEFF Research Database (Denmark)
Stentoft, Lars Peter
Inverse Gaussian distributed innovations is the corresponding benchmark model when only daily data is used. Finally, we perform an empirical analysis using stock options for three large American companies, and we show that in all cases our model performs significantly better than the corresponding......In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...
Global Variance Risk Premium and Forex Return Predictability
Aloosh, Arash
2014-01-01
In a long-run risk model with stochastic volatility and frictionless markets, I express expected forex returns as a function of consumption growth variances and stock variance risk premiums (VRPs)—the difference between the risk-neutral and statistical expectations of market return variation. This provides a motivation for using the forward-looking information available in stock market volatility indices to predict forex returns. Empirically, I find that stock VRPs predict forex returns at a ...
Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models
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Claudiu Ilie OPREANA
2013-12-01
Full Text Available This paper aims to analyse the market risk (estimated by Value-at-Risk on the Romanian capital market using modern econometric tools to estimate volatility, such as EWMA, GARCH models. In this respect, I want to identify the most appropriate volatility forecasting model to estimate the Value-at-Risk (VaR of a portofolio of representative indices (BET, BET-FI and RASDAQ-C. VaR depends on the volatility, time horizon and confidence interval for the continuous returns under analysis. Volatility tends to happen in clusters. The assumption that volatility remains constant at all times can be fatal. It is determined that the most recent data have asserted more influence on future volatility than past data. To emphasize this fact, recently, EWMA and GARCH models have become critical tools in financial applications. The outcome of this study is that GARCH provides more accurate analysis than EWMA.This approach is useful for traders and risk managers to be able to forecast the future volatility on a certain market.
DEFF Research Database (Denmark)
Casas, Isabel; Gijbels, Irène
2012-01-01
The objective of this paper is to introduce the break-preserving local linear (BPLL) estimator for the estimation of unstable volatility functions for independent and asymptotically independent processes. Breaks in the structure of the conditional mean and/or the volatility functions are common...... in Finance. Nonparametric estimators are well suited for these events due to the flexibility of their functional form and their good asymptotic properties. However, the local polynomial kernel estimators are not consistent at points where the volatility function has a break. The estimator presented...
... Weston M, et al. Effects of low-volume high-intensity interval training (HIT) on fitness in adults: A meta-analysis ... 2014;44:1005. Gillen JB, et al. Is high-intensity interval training a time-efficient exercise strategy to improve health ...
Volatility modeling for IDR exchange rate through APARCH model with student-t distribution
Nugroho, Didit Budi; Susanto, Bambang
2017-08-01
The aim of this study is to empirically investigate the performance of APARCH(1,1) volatility model with the Student-t error distribution on five foreign currency selling rates to Indonesian rupiah (IDR), including the Swiss franc (CHF), the Euro (EUR), the British pound (GBP), Japanese yen (JPY), and the US dollar (USD). Six years daily closing rates over the period of January 2010 to December 2016 for a total number of 1722 observations have analysed. The Bayesian inference using the efficient independence chain Metropolis-Hastings and adaptive random walk Metropolis methods in the Markov chain Monte Carlo (MCMC) scheme has been applied to estimate the parameters of model. According to the DIC criterion, this study has found that the APARCH(1,1) model under Student-t distribution is a better fit than the model under normal distribution for any observed rate return series. The 95% highest posterior density interval suggested the APARCH models to model the IDR/JPY and IDR/USD volatilities. In particular, the IDR/JPY and IDR/USD data, respectively, have significant negative and positive leverage effect in the rate returns. Meanwhile, the optimal power coefficient of volatility has been found to be statistically different from 2 in adopting all rate return series, save the IDR/EUR rate return series.
Escape problem under stochastic volatility: the Heston model.
Masoliver, Jaume; Perelló, Josep
2008-11-01
We solve the escape problem for the Heston random diffusion model from a finite interval of span L . We obtain exact expressions for the survival probability (which amounts to solving the complete escape problem) as well as for the mean exit time. We also average the volatility in order to work out the problem for the return alone regardless of volatility. We consider these results in terms of the dimensionless normal level of volatility-a ratio of the three parameters that appear in the Heston model-and analyze their form in several asymptotic limits. Thus, for instance, we show that the mean exit time grows quadratically with large spans while for small spans the growth is systematically slower, depending on the value of the normal level. We compare our results with those of the Wiener process and show that the assumption of stochastic volatility, in an apparently paradoxical way, increases survival and prolongs the escape time. We finally observe that the model is able to describe the main exit-time statistics of the Dow-Jones daily index.
DEFF Research Database (Denmark)
Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
estimate alternative specifications of the model using a set of daily bipower measures for 7 stock indexes and 16 individual NYSE stocks. The estimates of the jump component confirm that the probability of jumps dramatically increases during the financial crisis. Compared to other realized volatility...... models, the introduction of the jump component provides a sensible improvement in the fit, as well as for in-sample and out-of-sample volatility tail forecasts....
The world price of jump and volatility risk
Driessen, J.J.A.G.; Maenhout, P.
2013-01-01
We study international integration of markets for jump and volatility risk, using index option data for the main global markets. To explain the cross-section of expected option returns we focus on return-based multi-factor models. For each market separately, we provide evidence that volatility and
Volatility Forecast in Crises and Expansions
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Sergii Pypko
2015-08-01
Full Text Available We build a discrete-time non-linear model for volatility forecasting purposes. This model belongs to the class of threshold-autoregressive models, where changes in regimes are governed by past returns. The ability to capture changes in volatility regimes and using more accurate volatility measures allow outperforming other benchmark models, such as linear heterogeneous autoregressive model and GARCH specifications. Finally, we show how to derive closed-form expression for multiple-step-ahead forecasting by exploiting information about the conditional distribution of returns.
Stochastic volatility and stochastic leverage
DEFF Research Database (Denmark)
Veraart, Almut; Veraart, Luitgard A. M.
This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...
Asymmetry Effects of shocks in Chinese Stock Markets Volatility
DEFF Research Database (Denmark)
Hou, Ai Jun
2013-01-01
The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies...... a generalized additive nonparametric smoothing technique to examine the volatility of the Chinese stock markets. The empirical results indicate that an asymmetric effect of negative news exists in the Chinese stock markets. Furthermore, compared with other parametric models, the generalized additive...
Level Shifts in Volatility and the Implied-Realized Volatility Relation
DEFF Research Database (Denmark)
Christensen, Bent Jesper; de Magistris, Paolo Santucci
We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the mult......We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization...... to the multivariate case of the univariate level shift technique by Lu and Perron (2008). An application to the S&P500 index and a simulation experiment show that the recently documented empirical properties of strong persistence in volatility and forecastability of future realized volatility from current implied...
Comet coma sample return instrument
Albee, A. L.; Brownlee, Don E.; Burnett, Donald S.; Tsou, Peter; Uesugi, K. T.
1994-01-01
The sample collection technology and instrument concept for the Sample of Comet Coma Earth Return Mission (SOCCER) are described. The scientific goals of this Flyby Sample Return are to return to coma dust and volatile samples from a known comet source, which will permit accurate elemental and isotopic measurements for thousands of individual solid particles and volatiles, detailed analysis of the dust structure, morphology, and mineralogy of the intact samples, and identification of the biogenic elements or compounds in the solid and volatile samples. Having these intact samples, morphologic, petrographic, and phase structural features can be determined. Information on dust particle size, shape, and density can be ascertained by analyzing penetration holes and tracks in the capture medium. Time and spatial data of dust capture will provide understanding of the flux dynamics of the coma and the jets. Additional information will include the identification of cosmic ray tracks in the cometary grains, which can provide a particle's process history and perhaps even the age of the comet. The measurements will be made with the same equipment used for studying micrometeorites for decades past; hence, the results can be directly compared without extrapolation or modification. The data will provide a powerful and direct technique for comparing the cometary samples with all known types of meteorites and interplanetary dust. This sample collection system will provide the first sample return from a specifically identified primitive body and will allow, for the first time, a direct method of matching meteoritic materials captured on Earth with known parent bodies.
The Effect of Long Memory in Volatility on Stock Market Fluctuations
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2007-01-01
Recent empirical evidence demonstrates the presence of an important long memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this property...... on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...... risk-return trade-off and long memory in volatility....
The newsboy problem with resalable returns
J.A.M. Mostard (Julien); R.H. Teunter (Ruud)
2003-01-01
textabstractWe analyze a newsboy problem with resalable returns. A single order is placed before the selling season starts. Purchased products may be returned by the customer for a full refund within a certain time interval. Returned products are resalable, provided they arrive back before the end
The Newsboy Problem with Resalable Returns
J. Mostard (Julien); R.H. Teunter (Ruud)
2002-01-01
textabstractWe analyze a newsboy problem with resalable returns. A single order is placed before the selling season starts. Purchased products may be returned by the customer for a full refund within a certain time interval. Returned products are resalable, provided they arrive back before the end
Exchange Rate Volatility, Global Financial Crisis and the Day-of-the ...
African Journals Online (AJOL)
Although the results failed to support the presence the day-of-the week effect in the FOREX rate returns, there was evidence of this effect on the volatility of the returns. Additionally, available evidence indicated persistence in volatility of the Nigerian foreign exchange market returns. The results further showed that the ...
Yang, Ge; Wang, Jun
2016-11-01
A random agent-based financial model is developed and investigated by the finite-range multitype contact dynamic system, in an attempt to reproduce and study the dynamics of financial markets. And an analysis method of detecting duration and intensity relationship in volatility series is introduced, called the volatility duration analysis. Then the auto-correlation analysis suggests that there exists evident volatility clustering feature in absolute volatility durations for the simulation data and the real data. Besides, the Lempel-Ziv complexity analysis is applied to study the complexity of the returns, the corresponding absolute returns and the volatility duration returns, which can reflect the fluctuation behaviors, the volatility behaviors and the volatility duration behaviors. At last, the multifractal phenomena of volatility durations of returns are comparatively studied for Shanghai Composite Index and the proposed model by multifractal detrended fluctuation analysis.
Nekvasil, H.; McCubbin, F. M.; Lindsley, D. H.
2009-05-01
Samples returned from the Apollo Missions prompted a variety of experimental investigations (e.g., [1-4]) which form the basis of our current understanding of lunar compositional evolution. The observed low abundances of solidus temperature-suppressing volatiles justified volatile-free experiments. However, the low-pressure nature of the samples makes it unlikely that volatiles were retained during magma ascent and eruption. In an effort to re-assess the lunar mantle volatile budget, we are focusing on the mineral apatite because of its incorporation of F, Cl, and OH as essential structural constituents and its greater ability to retain such volatiles relative to melt. Apatite grains analyzed from magnesian- and alkali-suite rocks (14161,7111, 14161,7269 and 14161,7264), KREEPy impact melt rocks associated with magnesian- and alkali-suite rocks (14161,7233; 14161,7110; 14161,7062; 12033,634-25; SaU 169-4), and mare basalts (79195; 12037,224; 74246; 12023,147,1; 10084; LAP 02205; LAP 03632; NWA 2977) by electron microprobe using the technique of [5,6] show two distinct compositional groups. Apatite from the mare basalts analyzed are primarily mixtures of fluor- "missing component" (OH?) apatite with low Cl abundance, while that from the magnesian- and alkali-suite rocks are fluor-chlor mixtures. Apatite/basaltic melt partition coefficients for F, Cl, and H2O from the data of [7] provide first estimates of magmatic volatile abundances in lunar magmas. They suggest that magmatic water may have been more abundant than F and Cl at the stage of apatite crystallization in mare basalts. In contrast, at this stage, the magmas that produced the Mg-and alkali suite minerals were F- and Cl-dominated. These results have wide-reaching implications regarding the chemical and physical evolution of the Moon and therefore, the next generation of experimental investigations. [1] Walker et al. 1973 EPSL 20, 325-336. [2] Walker et al. 1975 GCA 39, 1219-1235. [3] Longhi 1992 GCA 69
Directory of Open Access Journals (Sweden)
Serpil TÜRKYILMAZ
2014-04-01
Full Text Available ÖZ: Çalışma ARFIMA-FIGARCH modelleri yardımıyla Türkiye hisse senedi piyasası getirilerinde ikili uzun hafıza özelliğinin varlığını incelemekte dolayısıyla zayıf formda etkin piyasa hipotezini test etmektedir. Bu amaçla kullanılan veri 2010-2013 dönemi Borsa İstanbul (BIST için günlük hisse senedi kapanış fiyatlarını içermektedir. Öncelikle ortalama ve oynaklıktaki uzun hafızanın varlığı ayrı olarak incelenmiştir. ARFIMA modeli sonuçları BIST getirileri için ortalamada uzun hafıza özelliği gösterirken, getiri oynaklıklarındaki uzun hafızanın varlığı için FIGARCH modeli de istatistiksel olarak anlamlı sonuçlar vermiştir. İkinci olarak, ortalama ve oynaklıktaki birlikte uzun hafıza özelliği ARFIMA-FIGARCH modeli ile değerlendirilmiştir. Sonuç olarak, ortalamada uzun hafızanın varlığına dair bir bulgu elde edilemezken, oynaklığın öngörülebilir bir yapı gösterdiği Türkiye borsası etkin bir piyasa değildir. Anahtar Kelimeler: ARFIMA-FIGARCH, İkili Uzun Hafıza, Oynaklık, Yapısal Kırılma, Etkin Piyasa Hipotezi. ABSTRACT: The study examines presence of dual long memory property in returns of Turkish Stock Market by using ARFIMA-FIGARCH model and, tests Weak Form Efficient Market Hypothesis. The data set consists of daily closing prices for the period 2010 to 2013 of Istanbul Stock Exchange. Firstly, long memory property in return and volatility has been investigated separately. FIGARCH model indicates statistically significant findings while the results of ARFIMA model display long memory dynamics in returns of BIST. Secondly, long memory in return and volatility has been evaluated simultaneously by using ARFIMA-FIGARCH model. Consequently, Turkish Stock Market is not Efficient Market because volatility shows forecastable structure while there have not been obtained any finding about presence of long memory in return. Keywords: ARFIMA-FIGARCH, Dual Long Memory
Effects of daylight savings time changes on stock market volatility.
Berument, M Hakan; Dogan, Nukhet; Onar, Bahar
2010-04-01
The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.
Trading Mechanisms, Return’s Volatility, and Efficiency in the Casablance Stock Exchange
Directory of Open Access Journals (Sweden)
El Mehdi Ferrouhi
2013-07-01
Full Text Available Normal 0 false false false EN-US X-NONE X-NONE This paper studies the impact of the stock market continuity on the returns volatility and on the market efficiency in the Casablanca Stock Exchange. For the most active stocks, the trading mechanism used is the continuous market which is preceded by a call market pre opening session. Results obtained concerning return volatility and efficiency under the two trading mechanisms show that the continuous market returns are more volatile than the call market returns and 50% of stocks studied show independence between variations. Keywords: Trading mechanism, microstructure, call market, continuous market, efficiency, volatility
Pricing Volatility Referenced Assets
Directory of Open Access Journals (Sweden)
Alan De Genaro Dario
2006-12-01
Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.
Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange
Takaishi, Tetsuya; Watanabe, Toshiaki
2016-04-01
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate realized volatility separately in the two trading sessions, i.e. morning and afternoon, of the Tokyo Stock Exchange and find that the microstructure noise decreases the realized volatility at small sampling frequency. Using realized volatility as a proxy of the integrated volatility we standardize returns in the morning and afternoon sessions and investigate the normality of the standardized returns by calculating variance, kurtosis and 6th moment. We find that variance, kurtosis and 6th moment are consistent with those of the standard normal distribution, which indicates that the return dynamics of the Nikkei Stock Average are well described by a Gaussian random process with time-varying volatility.
DEFF Research Database (Denmark)
Agergaard, Jytte; Brøgger, Ditte
2016-01-01
Migration to domestic and international destinations has become an emblematic feature of Nepal’s societal changes. Part of this development is education migration from rural to urban areas within the borders of Nepal, an often overlooked but increasingly important aspect of contemporary migration...... flows. By focusing on these educational migrants, this paper explores how they connect to their rural homes. Guided by a critical reading of the migration-development scholarship, the paper examines how migrants and their relatives make sense of educational migrants’ remitting and returning practices......, and by comparing three groups of educational migrants, the migrants’ reasons for staying connected and sending remittances are scrutinized. The paper finds that although educational migrants do not generate extensive economic remittances for local development in Nepal, they stay connected to their rural homes...
The multivariate supOU stochastic volatility model
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole; Stelzer, Robert
structure of the volatility, the log returns, as well as their "squares" are discussed in detail. Moreover, we give several examples in which long memory effects occur and study how the model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations....... In particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup)OU stochastic volatility models can be combined with a factor modelling approach....
Expected Stock Returns and Variance Risk Premia
DEFF Research Database (Denmark)
Bollerslev, Tim; Tauchen, George; Zhou, Hao
of the time series variation in post 1990 aggregate stock market returns, with high (low) premia predicting high (low) future returns. Our empirical results depend crucially on the use of "model-free," as opposed to Black- Scholes, options implied volatilities, along with accurate realized variation measures...... constructed from high-frequency intraday, as opposed to daily, data. The magnitude of the predictability is particularly strong at the intermediate quarterly return horizon, where it dominates that afforded by other popular predictor variables, like the P/E ratio, the default spread, and the consumption...
Realized Stochastic Volatility with General Asymmetry and Long Memory
M. Asai (Manabu); C-L. Chang (Chia-Lin); M.J. McAleer (Michael)
2017-01-01
textabstractThe paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the
Predicting volatility and correlations with Financial Conditions Indexes
Opschoor, A.; van Dijk, D.; van der Wel, M.
2014-01-01
We model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily stock returns
The world price of jump and volatility risk
Driessen, J.; Maenhout, P.
2006-01-01
Jump and volatility risk are important for understanding equity returns, option pricing and asset allocation. This paper is the first to study international integration of markets for jump and volatility risk, using data on index options for each of the three main global markets: US S&P 500 index
Size and earnings volatility of US bank holding companies
de Haan, J.; Poghosyan, T.
2012-01-01
We examine whether bank earnings volatility depends on bank size. Using quarterly data for bank holding companies in the United States for the period 1995Q1-2010Q3 and controlling for the quality of management, leverage, and diversification, we find that bank size reduces return volatility. However,
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Kokholm, Thomas
to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...
Multifractal in Volatility of Family Business Stocks Listed on Casablanca STOCK Exchange
Lahmiri, Salim
In this paper, we check for existence of multifractal in volatility of Moroccan family business stock returns and in volatility of Casablanca market index returns based on multifractal detrended fluctuation analysis (MF-DFA) technique. Empirical results show strong evidence of multifractal characteristics in volatility series of both family business stocks and market index. In addition, it is found that small variations in volatility of family business stocks are persistent, whilst small variations in volatility of market index are anti-persistent. However, large variations in family business volatility and market index volatility are both anti-persistent. Furthermore, multifractal spectral analysis based results show strong evidence that volatility in Moroccan family business companies exhibits more multifractality than volatility in the main stock market. These results may provide insightful information for risk managers concerned with family business stocks.
Stock return distribution in the BRICS
Directory of Open Access Journals (Sweden)
George Adu
2015-12-01
Full Text Available Stock returns in emerging market economies exhibit patterns that are distinctively different from developed countries: returns are noted to be highly volatile and autocorrelated, and long horizon returns are predictable. While these stylized facts are well established, the assumption underlying the distribution of returns is less understood. In particular, the empirical literature continues to rely on the normality assumption as a starting point, and most asset pricing models tend to overstretch this point. This paper questions the rationale behind this supposition and proceeds to test more formally for normality using multivariate joint test for skewness and kurtosis. Additionally, the paper extends the literature by examining a number of empirical regularities for Brazil, Russia, India, China and South Africa (the BRICS for short. Our main findings are that the distribution of stock returns for the BRICS exhibits peakedness with fatter and longer tails, and this is invariant to both the unit of measurement and the time horizon of returns. Volatility clustering is prevalent in all markets, and this decays exponentially for all but Brazil. The relationship between risk and return is found to be significant and risk premiums are prevalent in our sample.
Volatility Spillover Effects in European Equity Markets
Baele, L.
2003-01-01
This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a country speciffic shock, a regional European
Value-at-risk modeling and forecasting with range-based volatility models: empirical evidence
Directory of Open Access Journals (Sweden)
Leandro dos Santos Maciel
Full Text Available ABSTRACT This article considers range-based volatility modeling for identifying and forecasting conditional volatility models based on returns. It suggests the inclusion of range measuring, defined as the difference between the maximum and minimum price of an asset within a time interval, as an exogenous variable in generalized autoregressive conditional heteroscedasticity (GARCH models. The motivation is evaluating whether range provides additional information to the volatility process (intraday variability and improves forecasting, when compared to GARCH-type approaches and the conditional autoregressive range (CARR model. The empirical analysis uses data from the main stock market indexes for the U.S. and Brazilian economies, i.e. S&P 500 and IBOVESPA, respectively, within the period from January 2004 to December 2014. Performance is compared in terms of accuracy, by means of value-at-risk (VaR modeling and forecasting. The out-of-sample results indicate that range-based volatility models provide more accurate VaR forecasts than GARCH models.
C-L. Chang (Chia-Lin); Y. Li (Y); M.J. McAleer (Michael)
2015-01-01
markdownabstract__Abstract__ Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the
C-L. Chang (Chia-Lin); Y. Li (Y); M.J. McAleer (Michael)
2015-01-01
markdownabstract__Abstract__ Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the
J. Chen (Jinghui); M. Kobayashi (Masahito); M.J. McAleer (Michael)
2016-01-01
textabstractThe paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993),
McCubbin, F. M.; Liu, Y.; Barnes, J. J.; Boyce, J. W.; Day, J. M. D.; Elardo, S. M.; Hui, H.; Magna, T.; Ni, P.; Tartese, R.;
2017-01-01
The chapter will begin with an introduction that defines magmatic volatiles (e.g., H, F, Cl, S) versus geochemical volatiles (e.g., K, Rb, Zn). We will discuss our approach of understanding both types of volatiles in lunar samples and lay the ground work for how we will determine the overall volatile budget of the Moon. We will then discuss the importance of endogenous volatiles in shaping the "Newer Views of the Moon", specifically how endogenous volatiles feed forward into processes such as the origin of the Moon, magmatic differentiation, volcanism, and secondary processes during surface and crustal interactions. After the introduction, we will include a re-view/synthesis on the current state of 1) apatite compositions (volatile abundances and isotopic compositions); 2) nominally anhydrous mineral phases (moderately to highly volatile); 3) volatile (moderately to highly volatile) abundances in and isotopic compositions of lunar pyroclastic glass beads; 4) volatile (moderately to highly volatile) abundances in and isotopic compositions of lunar basalts; 5) volatile (moderately to highly volatile) abundances in and isotopic compositions of melt inclusions; and finally 6) experimental constraints on mineral-melt partitioning of moderately to highly volatile elements under lunar conditions. We anticipate that each section will summarize results since 2007 and focus on new results published since the 2015 Am Min review paper on lunar volatiles [9]. The next section will discuss how to use sample abundances of volatiles to understand the source region and potential caveats in estimating source abundances of volatiles. The following section will include our best estimates of volatile abundances and isotopic compositions (where permitted by available data) for each volatile element of interest in a number of important lunar reservoirs, including the crust, mantle, KREEP, and bulk Moon. The final section of the chapter will focus upon future work, outstanding questions
Exponential GARCH Modeling with Realized Measures of Volatility
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Huang, Zhuo
We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...
Possible Sources of Polar Volatiles
Schultz, P. H.
2011-12-01
Extensive analyses of returned Apollo samples demonstrated that the Moon is extremely volatile poor. While this conclusion remains true, various measurements since the late 90's implicated the presence of water: e.g., enhanced reflection of circularly polarized radar signals and suppression of epithermal neutrons near the poles. More recently, traces of H2O have been discovered inside volcanic glass, along with more significant amounts residing in hydrous minerals (apatite) returned from both highland and mare landing sites. Three recent lunar missions (DIXI, M3, Cassini) identified hydrous phases on/near the lunar surface, whereas the LCROSS probe detected significant quantities of volatiles (OH, H2O and other volatiles) excavated by the Centaur impact. These new mission results and sample studies, however, now allow testing different hypotheses for the generation, trapping, and replenishment of these volatiles. Solar-proton implantation must contribute to the hydrous phases in the lunar regolith in order to account for the observed time-varying abundances and occurrence near the lunar equator. This also cannot be the entire story. The relatively low speed LCROSS-Centaur impact (2.5km/s) could not vaporize such hydrous minerals, yet emissions lines of OH (from the thermal disassociation of H2O), along with other compounds (CO2, NH2) were detected within the first second, before ejecta could reach sunlight. Telescopic observations by Potter and Morgan (1985) discovered a tenuous lunar atmosphere of Na, but the LCROSS UV/Vis spectrometer did not detect the Na-D line until after the ejecta reached sunlight (along with a line pair attributed to Ag). With time, other volatile species emerged (OH, CO). The LAMP instrument on the Lunar Reconnaissance Orbiter had a different viewpoint from the side (rather than from above) and detected many other atomic species release by the LCROSS-Centaur impact. Consequently, it appears that there is a stratigraphy for trapped species
Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data
Piotr Gurgul; Robert Syrek
2013-01-01
This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange and five from the Warsaw Stock Exchange. Taking into account high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. The paper presents some patterns of causal and other relationships between stock returns, realized volatility and expected and unexpected...
Recurrence interval analysis of trading volumes.
Ren, Fei; Zhou, Wei-Xing
2010-06-01
We study the statistical properties of the recurrence intervals τ between successive trading volumes exceeding a certain threshold q. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2009. Similar to the recurrence interval distribution of the price returns, the tail of the recurrence interval distribution of the trading volumes follows a power-law scaling, and the results are verified by the goodness-of-fit tests using the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cramér-von Mises criterion. The measurements of the conditional probability distribution and the detrended fluctuation function show that both short-term and long-term memory effects exist in the recurrence intervals between trading volumes. We further study the relationship between trading volumes and price returns based on the recurrence interval analysis method. It is found that large trading volumes are more likely to occur following large price returns, and the comovement between trading volumes and price returns is more pronounced for large trading volumes.
High and low or close to close prices? Evidence from the multifractal volatility
Liu, Zhichao; Ma, Feng; Long, Yujia
2015-06-01
In this study, we examine the daily returns and daily range returns dependent on close-close and the high-low prices when forecasting multifractal volatility in the Chinese stock market. In in-sample forecasting we find that both the daily returns and range returns have a significant impact on the future multifractal volatility, existing the well-established phenomenon of "leverage effects" of the positive and negative returns. Moreover, using the MF-DFA method, we find that both the two series present the persistence and exhibit the multifractal features. Furthermore, our MCS test results show that the ARFIMA-lnMFV-R and ARFIMA-lnMFV-LR models provide relatively superior volatility forecasts in comparison to all other models. Finally, we find that the daily returns calculated by close to close prices have a greater power than the daily range return calculated by high and low prices in forecasting.
Stochastic volatility of the futures prices of emission allowances: A Bayesian approach
Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin
2017-01-01
Understanding the stochastic nature of the spot volatility of emission allowances is crucial for risk management in emissions markets. In this study, by adopting a stochastic volatility model with or without jumps to represent the dynamics of European Union Allowances (EUA) futures prices, we estimate the daily volatilities and model parameters by using the Markov Chain Monte Carlo method for stochastic volatility (SV), stochastic volatility with return jumps (SVJ) and stochastic volatility with correlated jumps (SVCJ) models. Our empirical results reveal three important features of emissions markets. First, the data presented herein suggest that EUA futures prices exhibit significant stochastic volatility. Second, the leverage effect is noticeable regardless of whether or not jumps are included. Third, the inclusion of jumps has a significant impact on the estimation of the volatility dynamics. Finally, the market becomes very volatile and large jumps occur at the beginning of a new phase. These findings are important for policy makers and regulators.
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
DEFF Research Database (Denmark)
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian
data. The model setup allows us to directly assess the structural inter-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that the leverage effect, or asymmetry between returns and volatility, works primarily through the continuous...
Market Skewness Risk and the Cross Section of Stock Returns
DEFF Research Database (Denmark)
Young Chang, Bo; Christoffersen, Peter F.; Jacobs, Kris
2013-01-01
The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high...... exposure to innovations in implied market skewness exhibit low returns on average. The results are robust to various permutations of the empirical setup. The market skewness risk premium is statistically and economically significant and cannot be explained by other common risk factors such as the market...... excess return or the size, book-to-market, momentum, and market volatility factors, or by firm characteristics....
Risk-Return Trade-Off for European Stock Markets
DEFF Research Database (Denmark)
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.
This paper adopts dynamic factor models with macro-finance predictors to revisit the intertemporal risk-return relation in five large European stock markets. We identify country specific, Euro area, and global factors to determine the conditional moments of returns considering the role of higher......-order moments as additional measures of risk. The preferred combination of factors varies across countries. In the linear model, there is a strong but negative relation between conditional returns and conditional volatility. A Markov switching model describes the risk-return trade-off well. A number...... of variables have explanatory power for the states of the European stock markets....
Electricity Price Modelling with a Regime Switching Volatility
Silvana Musti; Viviana Fanelli
2010-01-01
We present a methodology to model electricity price dynamics by applying the interest rate theory toolkit. We construct the electricity market following [16] and applying the Heath, Jarrow and Morton ([7]) model. The electricity returns forward curve evolution using the Regime Switching Volatility is the instrument chosen to reflect into a simulating model the natural seasonality of electricity prices. The model calibration and the volatility parameters estimation allow to simulate in a reali...
Modeling and forecasting petroleum futures volatility
Energy Technology Data Exchange (ETDEWEB)
Sadorsky, Perry [York Univ., Schulich School of Business, Toronto, ON (Canada)
2006-07-15
Forecasts of oil price volatility are important inputs into macroeconometric models, financial market risk assessment calculations like value at risk, and option pricing formulas for futures contracts. This paper uses several different univariate and multivariate statistical models to estimate forecasts of daily volatility in petroleum futures price returns. The out-of-sample forecasts are evaluated using forecast accuracy tests and market timing tests. The TGARCH model fits well for heating oil and natural gas volatility and the GARCH model fits well for crude oil and unleaded gasoline volatility. Simple moving average models seem to fit well in some cases provided the correct order is chosen. Despite the increased complexity, models like state space, vector autoregression and bivariate GARCH do not perform as well as the single equation GARCH model. Most models out perform a random walk and there is evidence of market timing. Parametric and non-parametric value at risk measures are calculated and compared. Non-parametric models outperform the parametric models in terms of number of exceedences in backtests. These results are useful for anyone needing forecasts of petroleum futures volatility. (author)
Predictability of Stock Returns
Directory of Open Access Journals (Sweden)
Ahmet Sekreter
2017-06-01
Full Text Available Predictability of stock returns has been shown by empirical studies over time. This article collects the most important theories on forecasting stock returns and investigates the factors that affecting behavior of the stocks’ prices and the market as a whole. Estimation of the factors and the way of estimation are the key issues of predictability of stock returns.
A Jump Diffusion Model for Volatility and Duration
DEFF Research Database (Denmark)
Wei, Wei; Pelletier, Denis
by the market microstructure theory. Traditional measures of volatility do not utilize durations. I adopt a jump diffusion process to model the persistence of intraday volatility and conditional duration, and their interdependence. The jump component is disentangled from the continuous part of the price......, volatility and conditional duration process. I develop a MCMC algorithm for the inference of irregularly spaced multivariate process with jumps. The algorithm provides smoothed estimates of the latent variables such as spot volatility, jump times and jump sizes. I apply this model to IBM data and I find...... meaningful relationship between volatility and conditional duration. Also, jumps play an important role in the total variation, but the jump variation is smaller than traditional measures that use returns sampled at lower frequency....
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Kokholm, Thomas
We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...
A Consistent Pricing Model for Index Options and Volatility Derivatives
DEFF Research Database (Denmark)
Cont, Rama; Kokholm, Thomas
2013-01-01
We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...
Improving Volatility Risk Forecasting Accuracy in Industry Sector
Directory of Open Access Journals (Sweden)
S. Al Wadi
2017-01-01
Full Text Available Recently, the volatility of financial markets has contributed a necessary part to risk management. Volatility risk is characterized as the standard deviation of the constantly compound return per day. This paper presents forecasting of volatility for the Jordanian industry sector after the crisis in 2009. ARIMA and ARIMA-Wavelet Transform (WT have been conducted in order to select the best forecasting model in the content of industry stock market data collected from Amman Stock Exchange (ASE. As a result, the researcher found that ARIMA-WT has more accuracy than ARIMA directly. The results have been introduced using MATLAB 2010a and R programming.
The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
DEFF Research Database (Denmark)
Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
We study the relation between realized and implied volatility in the bond market. Realizedvolatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures.Implied volatility is backed out from prices of associated bond options. Recent nonparametric...... components. We also introduce a new vector HAR (VecHAR) modelfor the resulting simultaneous system, controlling for possible endogeneity of implied volatility inthe forecasting equations. We show that implied volatility is a biased and ineﬃcient forecast in thebond market. However, implied volatility does......, and bond options appear to be calibrated toincorporate information about future jumps in Treasury bond prices, and hence interest rates....
Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data
Directory of Open Access Journals (Sweden)
Piotr Gurgul
2013-09-01
Full Text Available This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange and five from theWarsaw Stock Exchange. Taking into account high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. The paper presents some patterns of causal and other relationships between stock returns, realized volatility and expected and unexpected trading volume. There is a linear causality running from realized volatility to expected trading volume, and a lack of nonlinear dependence in the opposite direction. The authors detected strong linear and nonlinear causality from stock returns to expected trading volume. They did not find causality running in the opposite direction. In addition, the existence of fractional cointegration was examined. Despite the equality of the long memory parameters of realized volatility and trading volumes, they do not move together in the long term horizon.
'EMU equity markets' return variance and spill over effects from short-term interest rates
DEFF Research Database (Denmark)
Hou, Ai Jun
2013-01-01
), stock returns have a negative relationship with the volatility, and the volatility process responds asymmetrically to shocks to equity returns, especially to bad news. The other regime (a bull market regime) appears to be a high mean, low variance state, within which the returns have a positive...... relationship with the volatility, and the volatility is lower and more persistent. We find also that there is a significant impact of fluctuations in the short term interest rate on the conditional variance and conditional returns in the EMU countries. Such impact is asymmetrical, and it appears to be stronger...... in the bear market and when the interest rate changes upward. The results are of importance to EMU monetary policy makers stabilizing the inflation and output through the interest rate, and to financial market participants making effective investment decisions and formulating appropriate risk management...
Long-term memory and volatility clustering in high-frequency price changes
oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun
2008-02-01
We studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return series, while a strong long-term memory property was found in the volatility time series. The possible causes of the long-term memory property were investigated using the return data filtered by the AR(1) model, reflecting the short-term memory property, the GARCH(1,1) model, reflecting the volatility clustering property, and the FIGARCH model, reflecting the long-term memory property of the volatility time series. The memory effect in the AR(1) filtered return and volatility time series remained unchanged, while the long-term memory property diminished significantly in the volatility series of the GARCH(1,1) filtered data. Notably, there is no long-term memory property, when we eliminate the long-term memory property of volatility by the FIGARCH model. For all data used, although the Hurst exponents of the volatility time series changed considerably over time, those of the time series with the volatility clustering effect removed diminish significantly. Our results imply that the long-term memory property of the volatility time series can be attributed to the volatility clustering observed in the financial time series.
Energy Technology Data Exchange (ETDEWEB)
Le Pen, Yannick [Institut d' Economie et de Management de Nantes - IAE, Universite de Nantes, Chemin de la Censive du Tertre, BP 52231, 44322 Nantes cedex 3 (France); Sevi, Benoit [Universite d' Angers (GRANEM), Faculte de Droit, Economie et Gestion, Universite d' Angers, 13 allee Francois Mitterrand, BP 13633, 49036 Angers cedex 01 (France)
2010-07-15
Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify the impact of shock on expected conditional volatility. We observe that a shock has a high positive impact only if its size is large compared to the current level of volatility. The impact of shocks are usually not persistent, which may be a consequence of the non-storability of power. Finally, we estimate the density of the VIRF at different forecast horizons. These fitted distributions are asymmetric and show that large increases in expected conditional volatilities are possible even if their probability is low. These results have interesting implications for market participants whose risk management policy depends on option prices which themselves depend on the characteristics of volatility. (author)
Improving Garch Volatility Forecasts
Klaassen, F.J.G.M.
1998-01-01
Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our model
Setyawan, I. Roni; Sudarto
2006-01-01
This paper examines the validity of Efficient Market Hypothesis (EMH) valuation model through stock price volatility and earning volatility excesses. Our research also analyzes stock price reaction to earning. Based on existence of stock price mispricing; there is no investor who will obtain abnormal return if we follow EMH. We find JS is not efficient. Over the observation periods; investors have more concerned with stock market volatility than earning quality. Specifically they have remaine...
Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
M. Asai (Manabu); C-L. Chang (Chia-Lin); M.J. McAleer (Michael)
2016-01-01
markdownabstractThe paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the
DEFF Research Database (Denmark)
Monica, Dario Della; Goranko, Valentin; Montanari, Angelo
2011-01-01
We discuss a family of modal logics for reasoning about relational structures of intervals over (usually) linear orders, with modal operators associated with the various binary relations between such intervals, known as Allen’s interval relations. The formulae of these logics are evaluated at int...
Risk and Returns to Education. NBER Working Paper No. 18300
Brown, Jeffrey; Fang, Chichun; Gomes, Francisco
2012-01-01
We analyze the returns to education in a life-cycle framework that incorporates risk preferences, earnings volatility (including unemployment), and a progressive income tax and social insurance system. We show that such a framework significantly reduces the measured gains from education relative to simple present-value calculations, although the…
Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); J. Tian (Jiarong)
2016-01-01
textabstractThe primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns
Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary
DEFF Research Database (Denmark)
Dahl, Christian Møller; Iglesias, Emma M.
, it is shown, by a small simulation study, that the estimators for the parameters in an ARGARCH model will be seriously inconsistent if the data generating process actually is a GARCH-AR process. Second, we provide an LM test for neglected GARCH-AR effects and discuss its finite sample size properties. Third...
Predictable return distributions
DEFF Research Database (Denmark)
Pedersen, Thomas Quistgaard
This paper provides detailed insights into predictability of the entire stock and bond return distribution through the use of quantile regression. This allows us to examine speci…c parts of the return distribution such as the tails or the center, and for a suf…ciently …ne grid of quantiles we can...... trace out the entire distribution. A univariate quantile regression model is used to examine stock and bond return distributions individually, while a multivariate model is used to capture their joint distribution. An empirical analysis on US data shows that certain parts of the return distributions...... are predictable as a function of economic state variables. The results are, however, very different for stocks and bonds. The state variables primarily predict only location shifts in the stock return distribution, while they also predict changes in higher-order moments in the bond return distribution. Out...
Expected Stock Returns and Variance Risk Premia
DEFF Research Database (Denmark)
Bollerslev, Tim; Zhou, Hao
We find that the difference between implied and realized variation, or the variance risk premium, is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, with high (low) premia predi...... to daily, data. Our findings suggest that temporal variation in both risk-aversion and volatility-risk play an important role in determining stock market returns.......We find that the difference between implied and realized variation, or the variance risk premium, is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, with high (low) premia...... predicting high (low) future returns. The magnitude of the return predictability of the variance risk premium easily dominates that afforded by standard predictor variables like the P/E ratio, the dividend yield, the default spread, and the consumption-wealth ratio (CAY). Moreover, combining the variance...
Classifying Returns as Extreme
DEFF Research Database (Denmark)
Christiansen, Charlotte
2014-01-01
I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately, and two, a novel multivariate classification scheme...... that classifies extreme returns for several markets jointly. The new classification scheme holds about the same information as the old one, while demanding a shorter sample period. The new classification scheme is useful....
Gonzalo Castex
2011-01-01
Attending college is thought of as a very profitable investment decision, as its estimated annualized return ranges from 8% to 13%. However, a large fraction of high school graduates do not enroll in college. I reconcile the observed high average returns to schooling with relatively low attendance rates when considering college as a risky investment decision. A high dropout risk has two important effects on the estimated average returns to college: selection bias and risk premium. In order to...
Lebofsky, L. A.; Jones, T. D.; Herbert, F.
1989-01-01
Asteroids appear in light of telescopic and meteority studies to be the most accessible repositories of early solar system history available. In the cooler regions of the outer asteroid belt, apparently unaffected by severe heating, the C, P, and D populations appear to harbor significant inventories of volatiles; the larger primordial belt population may have had an even greater percentage of volatile-rich, low-albedo asteroids, constituting a potent asteroid for veneering early terrestrial planet atmospheres. The volatile-rich asteroids contain carbon, structurally bound and adsorbed water, as well as remnants of interstellar material predating the solar system.
Multivariate Option Pricing with Time Varying Volatility and Correlations
DEFF Research Database (Denmark)
Rombouts, Jeroen V.K.; Stentoft, Lars Peter
In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk ...
Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); Y-A. Wang (Yu-Ann)
2016-01-01
textabstractThe recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers
Essays on oil price volatility and irreversible investment
Pastor, Daniel J.
In chapter 1, we provide an extensive and systematic evaluation of the relative forecasting performance of several models for the volatility of daily spot crude oil prices. Empirical research over the past decades has uncovered significant gains in forecasting performance of Markov Switching GARCH models over GARCH models for the volatility of financial assets and crude oil futures. We find that, for spot oil price returns, non-switching models perform better in the short run, whereas switching models tend to do better at longer horizons. In chapter 2, I investigate the impact of volatility on firms' irreversible investment decisions using real options theory. Cost incurred in oil drilling is considered sunk cost, thus irreversible. I collect detailed data on onshore, development oil well drilling on the North Slope of Alaska from 2003 to 2014. Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the hazard rate of drilling an oil well both when aggregating all the fields, and in individual fields.
Comet Odyssey: Comet Surface Sample Return
Weissman, Paul R.; Bradley, J.; Smythe, W. D.; Brophy, J. R.; Lisano, M. E.; Syvertson, M. L.; Cangahuala, L. A.; Liu, J.; Carlisle, G. L.
2010-10-01
Comet Odyssey is a proposed New Frontiers mission that would return the first samples from the surface of a cometary nucleus. Stardust demonstrated the tremendous power of analysis of returned samples in terrestrial laboratories versus what can be accomplished in situ with robotic missions. But Stardust collected only 1 milligram of coma dust, and the 6.1 km/s flyby speed heated samples up to 2000 K. Comet Odyssey would collect two independent 800 cc samples directly from the surface in a far more benign manner, preserving the primitive composition. Given a minimum surface density of 0.2 g/cm3, this would return two 160 g surface samples to Earth. Comet Odyssey employs solar-electric propulsion to rendezvous with the target comet. After 180 days of reconnaissance and site selection, the spacecraft performs a "touch-and-go” maneuver with surface contact lasting 3 seconds. A brush-wheel sampler on a remote arm collects up to 800 cc of sample. A duplicate second arm and sampler collects the second sample. The samples are placed in a return capsule and maintained at colder than -70 C during the return flight and at colder than -30 C during re-entry and for up to six hours after landing. The entire capsule is then refrigerated and transported to the Astromaterials Curatorial Facility at NASA/JSC for initial inspection and sample analysis by the Comet Odyssey team. Comet Odyssey's planned target was comet 9P/Tempel 1, with launch in December 2017 and comet arrival in June 2022. After a stay of 300 days at the comet, the spacecraft departs and arrives at Earth in May 2027. Comet Odyssey is a forerunner to a flagship Cryogenic Comet Sample Return mission that would return samples from deep below the nucleus surface, including volatile ices. This work was supported by internal funds from the Jet Propulsion Laboratory.
Modeling volatility using state space models.
Timmer, J; Weigend, A S
1997-08-01
In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).
What determines return risks for bank equities in Turkey?
Directory of Open Access Journals (Sweden)
Emre Ozsoz
2014-03-01
Full Text Available By using data from thirteen publicly traded commercial and deposit banks this paper estimates the determinants of market risk for banks' equities in the case of an emerging market economy, Turkey. The analysis reveals that maturity composition of banks' loans, share of trading income in banks' overall revenue stream and its foreign-ownership structure are important indicators of the volatility of its equity returns. Banks with shorter loan maturity positions are regarded by investors as safer companies to invest in while increases in trading income as a source of banks' overall revenue increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk.
Asymmetric conditional volatility in international stock markets
Ferreira, Nuno B.; Menezes, Rui; Mendes, Diana A.
2007-08-01
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.
U.S. Department of Health & Human Services — Hospital returns â national data. This data set includes national-level data for the hospital return days (or excess days in acute care) measures and the 30-day...
U.S. Department of Health & Human Services — Hospital returns â state data. This data set includes state-level data for the hospital return days (or excess days in acute care) measures and the 30-day...
DEFF Research Database (Denmark)
Nicolaisen, Jeppe; Faber Frandsen, Tove
2008-01-01
The paper introduces a new journal impact measure called The Reference Return Ratio (3R). Unlike the traditional Journal Impact Factor (JIF), which is based on calculations of publications and citations, the new measure is based on calculations of bibliographic investments (references) and returns...
Lacaze, Pierre-Camille
2014-01-01
Written for scientists, researchers, and engineers, Non-volatile Memories describes the recent research and implementations in relation to the design of a new generation of non-volatile electronic memories. The objective is to replace existing memories (DRAM, SRAM, EEPROM, Flash, etc.) with a universal memory model likely to reach better performances than the current types of memory: extremely high commutation speeds, high implantation densities and retention time of information of about ten years.
Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models
Directory of Open Access Journals (Sweden)
Hojin Lee
2009-12-01
Full Text Available We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast. Contrary to prior evidence, however, the results in this paper suggest that no asymmetric GARCH model is superior to basic GARCH(1,1 model. It is our prior knowledge that, for equity returns, it is unlikely that positive and negative shocks have the same impact on the volatility. In order to reflect this intuition, we implement three diagnostic tests for volatility models: the Sign Bias Test, the Negative Size Bias Test, and the Positive Size Bias Test and the tests against the alternatives of QGARCH and GJR-GARCH. The asymmetry test results indicate that the sign and the size of the unexpected return shock do not influence current volatility differently which contradicts our presumption that there are asymmetric effects in the stock market volatility. This result is in line with various diagnostic tests which are designed to determine whether the GARCH(1,1 volatility estimates adequately represent the data. The diagnostic tests in section 2 indicate that the GARCH(1,1 model for weekly KOSPI returns is robust to the misspecification test. We also investigate two representative asymmetric GARCH models, QGARCH and GJR-GARCH model, for our out-of-sample forecasting performance. The out-of-sample forecasting ability test reveals that no single model is clearly outperforming. It is seen that the GJR-GARCH and QGARCH model give mixed results in forecasting ability on all four criteria across all forecast horizons considered. Also, the predictive accuracy test of Diebold and Mariano based on both absolute and squared prediction errors suggest that the forecasts from the linear and asymmetric GARCH models need not be significantly different from each other.
The Use of Risk and Return for Testing the Stability of Stock Markets
Directory of Open Access Journals (Sweden)
Viorica Chirilă
2014-04-01
Full Text Available The European Central Bank stipulates that a financial system is stable if the financial risks are evaluated and rewarded correctly and if the economic and financial shocks are absorbed. When analyzing the return and volatility of the stock exchanges we may ascertain that a stock exchange is stable if there is a connection between return and volatility and if the shocks determined by the new positive and negative information do not cause significant changes of the volatility. We took into consideration the values of the indices of stock markets from Holland (AEX, Belgium (BEL, Romania (BET, Hungary (BUX, Germany (DAX, France (CAC, Czech Republic (PX, Slovakia (SAX, Austria (ATX, Estonia (OMXT, Latvia (OMXR and Lithuania (OMXV. In order to test the relationship between return-volatility and volatility asymmetry we estimated a GJR-GARCH-M model. The results confirm the lack of existence of a correlation between return and volatility for the entire period under analysis and the existence of the volatility asymmetry.
The risks and returns of stock investment in a financial market
Li, Jiang-Cheng; Mei, Dong-Cheng
2013-03-01
The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.
Comparative Performance of Volatility Models for Oil Price
Directory of Open Access Journals (Sweden)
Afees A. Salisu
2012-07-01
Full Text Available In this paper, we compare the performance of volatility models for oil price using daily returns of WTI. The innovations of this paper are in two folds: (i we analyse the oil price across three sub samples namely period before, during and after the global financial crisis, (ii we also analyse the comparative performance of both symmetric and asymmetric volatility models for the oil price. We find that oil price was most volatile during the global financial crises compared to other sub samples. Based on the appropriate model selection criteria, the asymmetric GARCH models appear superior to the symmetric ones in dealing with oil price volatility. This finding indicates evidence of leverage effects in the oil market and ignoring these effects in oil price modelling will lead to serious biases and misleading results.
Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model
Wei, Yu; Yu, Qianwen; Liu, Jing; Cao, Yang
2018-02-01
This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market.
On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis
Slim, Skander
2016-12-01
This paper investigates the performance of time-changed Lévy processes with distinct sources of return volatility variation for modeling cross-sectional option prices on the CAC40 index during the subprime crisis. Specifically, we propose a multi-factor stochastic volatility model: one factor captures the diffusion component dynamics and two factors capture positive and negative jump variations. In-sample and out-of-sample tests show that our full-fledged model significantly outperforms nested lower-dimensional specifications. We find that all three sources of return volatility variation, with different persistence, are needed to properly account for market pricing dynamics across moneyness, maturity and volatility level. Besides, the model estimation reveals negative risk premium for both diffusive volatility and downward jump intensity whereas a positive risk premium is found to be attributed to upward jump intensity.
Kansas Data Access and Support Center — LIDAR-derived binary (.las) files containing classified points of all returns. We have 3 classifications Unclassified, Ground, Low points. The average Ground Sample...
Factors related to successful return to work following multidisciplinary rehabilitation.
Awang, Halimah; Tan, Lih Yoong; Mansor, Norma; Tongkumchum, Phattrawan; Eso, Mayuening
2017-06-28
To examine factors associated with successful return to work among participants in a Social Security Organisation Return To Work programme. Secondary data for 9,850 participants were obtained from the Social Security Organisation Return To Work database. The dependent variable was the Return To Work programme outcome, successful return to employment (same employer or different employer) or unsuccessful return. Logistic regression analysis with weighted sum contrasts was performed to assess the odds ratios with 95% confidence interval (95% CI) for successful return to employment across the various subgroups of participants. Overall, 65.5% of participants successfully returned to employment, either with their former employers or with new employers. Successful return to employment was found to be significantly higher than the overall proportion among those participants who had had commuting accidents, followed by those who had had workplace accidents. Successful return to employment was also associated with injuries of the upper and lower limbs, employers who were interested in hiring disabled workers, motivation to participate in the programme, an intervention period of 3 months or less, age 29 years or younger, and male participants. A structured multidisciplinary intervention programme provides a positive outcome in terms of returning to work. Related factors have various impacts on successful return to work.
Effects of Daylight Saving Time changes on stock market volatility: a reply.
Berument, Hakan; Dogan, Nukhet
2011-12-01
There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empirical evidence suggests that the positive relationship between return and volatility becomes negative on the Mondays following DST changes.
Multifractals in Western Major STOCK Markets Historical Volatilities in Times of Financial Crisis
Lahmiri, Salim
In this paper, the generalized Hurst exponent is used to investigate multifractal properties of historical volatility (CHV) in stock market price and return series before, during and after 2008 financial crisis. Empirical results from NASDAQ, S&P500, TSE, CAC40, DAX, and FTSE stock market data show that there is strong evidence of multifractal patterns in HV of both price and return series. In addition, financial crisis deeply affected the behavior and degree of multifractality in volatility of Western financial markets at price and return levels.
Understanding Interest Rate Volatility
DEFF Research Database (Denmark)
Volker, Desi
This thesis is the result of my Ph.D. studies at the Department of Finance of the Copenhagen Business School. It consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The rst essay, \\Monetary Policy Uncertainty...... and Interest Rates", examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay, \\A Regime-Switching A ne Term Structure Model with Stochastic Volatility" (co-authored with Sebastian Fux), investigates the ability of the class of regime switching models...... with and without stochastic volatility to capture the main stylized features of U.S. interest rates. The third essay, \\Variance Risk Premia in the Interest Rate Swap Market", investigates the time-series and cross-sectional properties of the compensation demanded for holding interest rate variance risk. The essays...
Levent, Korap
2008-01-01
In this paper, the volatility content of the YTL/US$ exchange rate return has been examined for the post-2001 crisis period till the early periods of 2008. Using exponential GARCH (EGARCH) methodology, estimation results indicate that volatility shocks on exchange rate return seem to be persistent so that the forecasts of the conditional variance converge to the steady state quite slowly. Besides, conditional variance of the exchange rate return reacts differently to equal magnitude negative ...
DEFF Research Database (Denmark)
Christoffersen, Peter; Heston, Steven; Jacobs, Kris
using a two-factor stochastic volatility model. Because the factors have distinct correlations with market returns, and because the weights of the factors vary over time, the model generates stochastic correlation between volatility and stock returns. Besides providing more flexible modeling of the time......State-of-the-art stochastic volatility models generate a "volatility smirk" that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk. However......, the data indicate that the slope and the level of the smirk fluctuate largely independently. While single-factor stochastic volatility models can capture the slope of the smirk, they cannot explain such largely independent fluctuations in its level and slope over time. We propose to model these movements...
Daily happiness and stock returns: Some international evidence
Zhang, Wei; Li, Xiao; Shen, Dehua; Teglio, Andrea
2016-10-01
In this paper, we examine the relations between the daily happiness sentiment extracted from Twitter and the stock market performance in 11 international stock markets. By partitioning this happiness sentiment into quintiles from the least to the happiest days, we first show that the contemporary correlation coefficients between happiness sentiment and index return in the 4 and most-happiness subgroups are higher than that in least, 2 and 3-happiness subgroups. Secondly, the happiness sentiment can provide additional explanatory power for index return in the most-happiness subgroup. Thirdly, the daily happiness can granger-cause the changes in index return for the majority of stock markets. Fourthly, we find that the index return and the range-based volatility of the most-happiness subgroup are larger than those of other subgroups. These results highlight the important role of social media in stock market.
Long Run Estimations for the Volatility of Time Series in the Brazilian Financial Market
Directory of Open Access Journals (Sweden)
Alex Sandro Monteiro de Moraes
2014-03-01
Full Text Available The models of the GARCH family, normally used for the estimates of volatility for longer periods, keep unchanged the relative weights assigned to the observations both old and new, regardless of the volatility´s forecasted horizon. The purpose of this article is to verify if the increase in relative weights assigned to the earlier observations due to the increase of the forecast horizon results in better estimates of volatility. Through the use of seven forecasting models of volatility and return series of financial markets assets, the estimates obtained in the sample (in-sample were compared with observations outside the sample (out-of-sample. Based on this comparison, it was found that the best estimates of expected volatility were obtained by the modified EGARCH model and the ARLS model. We conclude that the use of traditional forecasting models of volatility, which keep unchanged relative weights assigned to both old and new observations, was inappropriate.
To return permanently or to return temporarily?: Explaining migrants' intentions
Bilgili, Ö.; Siegel, M.
2014-01-01
This paper studies migrants' intentions to return to their origin country by making the distinction between permanent return, temporary return and participation in temporary return programmes. Using survey data from first generation migrants in the Netherlands, we explore how migrants' experiences
The impact of financial crises on the risk-return tradeoff and the leverage effect
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
50% in magnitude during …financial crises. No such changes are observed during NBER recessions, so in this sense …financial crises are special. Applications to a number of major developed and emerging international stock markets confirm the increase in the leverage effect, whereas the international......We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features...... and allows the co-existence of long memory in volatility and short memory in returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage effect to change during financial crises. An application to the daily U.S. stock index return series from 1926...
The impact of financial crises on the risk-return tradeoff and the leverage effect
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
2015-01-01
% in magnitude during financial crises. No such changes are observed during NBER recessions, so in this sense financial crises are special. Applications to a number of major developed and emerging international stock markets confirm the increase in the leverage effect, whereas the international evidence......We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features...... and allows the co-existence of long memory in volatility and short memory in returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage effect to change during financial crises. An application to the daily U.S. stock index return series from 1926...
The Returns to Entrepreneurship
DEFF Research Database (Denmark)
Van Praag, Mirjam; Raknerud, Arvid
Empirical studies show low pecuniary returns of switching from wage employment to entrepreneurship. We reconsider the pecuniary gains of this switching by employing a two-stage procedure, where the randomness in the timing of inheritance transfers is used as an exclusion restriction to identify...... causal effects. The model is estimated on data covering the whole Norwegian population of individuals matched to the entire population of firms established in the period 2002-2011. The results indicate that the average returns to entrepreneurship are significantly negative for individuals entering...... entrepreneurship through self-employment and modest, but significantly positive, for incorporated startups....
Directory of Open Access Journals (Sweden)
Nader Naifar
2016-09-01
Full Text Available The aim of this paper is to investigate the dependence structure between sukuk (Islamic bonds yields and stock market (returns and volatility in the case of Saudi Arabia. We consider three Archimedean copula models with different tail dependence structures namely Gumbel, Clayton, and Frank. This study shows that the sukuk yields exhibit significant dependence only with stock market volatility. In addition, the dependence structure between sukuk yields and stock market volatility are symmetric and linked with the same intensity.
African Journals Online (AJOL)
Buchi
optimal interval after which they can conceive especially if the previous birth was by caesarean ... after termination of pregnancy (as early as 14 days). 6 than do women who deliver at term. Majority of these .... Contraceptive Pills (COCPs) are commenced at 6 months post partum in a breast feeding mother because the ...
Indian Academy of Sciences (India)
We identify a subclass of timed automata called product interval automata and develop its theory. These automata consist of a network of timed agents with the key restriction being that there is just one clock for each agent and the way the clocks are read and reset is determined by the distribution of shared actions across ...
Indian Academy of Sciences (India)
M. Senthilkumar (Newgen Imaging) 1461 1996 Oct 15 13:05:22
in both logical and language theoretic terms. We also show that product interval automata are expressive enough to model the timed behaviour of asynchronous digital circuits. Keywords. Timed automata; distributed systems; logic. 1. Introduction. Timed automata as formulated by Alur & Dill (1994) have become a canonical ...
Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
Gong, Xiaoli; Zhuang, Xintian
2017-10-01
Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps in Heston stochastic volatility model by the classical tempered stable (CTS) distribution and normal tempered stable (NTS) distribution to construct stochastic volatility tempered stable Lévy processes (TSSV) model. The TSSV model framework permits infinite activity jump behaviors of return dynamics and time varying volatility consistently observed in financial markets through subordinating tempered stable process to stochastic volatility process, capturing leptokurtosis, fat tailedness and asymmetry features of returns. By employing the analytical characteristic function and fast Fourier transform (FFT) technique, the formula for probability density function (PDF) of TSSV returns is derived, making the analytical formula for foreign equity option (FEO) pricing available. High frequency financial returns data are employed to verify the effectiveness of proposed models in reflecting the stylized facts of financial markets. Numerical analysis is performed to investigate the relationship between the corresponding parameters and the implied volatility of foreign equity option.
DEFF Research Database (Denmark)
Kristensen, Benedikte Møller
This PhD thesis is about shamanism among the Duha in Mongolia. It is based on 22 months of fieldwork (1999 - 2012) among the Duha reindeer nomads in Northern Mongolia, and examines why the Duha return to their traditional livelihood as hunters and herders in the taiga has resulted in a turn to wa...
Higher Education Endowments Return
Bahlmann, David; Walda, John D.; Sedlacek, Verne O.
2012-01-01
A new study of endowments by the National Association of College and University Business Officers (NACUBO) and the Commonfund Institute has brought good news to college and universities: While endowment returns dropped precipitously in fiscal year 2009 as a result of the financial crisis and accompanying slide in equity markets, they climbed to an…
DEFF Research Database (Denmark)
Olwig, Karen Fog
2012-01-01
Research on female migrant caregivers has tended to focus upon the emotional and social problems they encounter working abroad, given women’s traditional role as caregivers for their own families. This article analyses how Caribbean women who have returned after a period abroad as domestic workers...
Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models
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Z. Rasouli Birami
2016-10-01
Full Text Available Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major agricultural products faced accelerated price increases and then rapidly decreased. This paper focused on the price volatility of major commodities related to three market levels of Iran’s meat market, including hay (the input level, calf and sheep (the wholesale level and beef and mutton (the retail level. In particular, efforts will made to find more appropriate models for explaining the behavior of volatility of the return series and to identify which return series are more volatile. The effects of good and bad news on the volatility of prices in each return series will also be studied. Materials and Methods: Different GARCH type models have been considered the best for modeling volatility of return series. Nonlinear GARCH models were introduced to capture the effect of good and bad news separately. The paper uses some GARCH type models including GARCH, Exponential GARCH (EGARCH, GJR-GARCH, Threshold GARCH (TGARCH, Simple Asymmetric GARCH (SAGARCH, Power GARCH (PGARCH, Non-linear GARCH (NGARCH, Asymmetric Power GARCH (APGARCH and Non-linear Power GARCH (NPGARCH to model the volatility of hay, calf, sheep, beef and mutton return series. The data on hay, calf, sheep, and beef and mutton monthly prices are published by Iran’s livestock support firm. The paper uses monthly data over the sample period of the May 1992 to the March 2014. Results and Discussion: Descriptive statistics of the studied return series show evidence of skewness and kurtosis. The results here show that all the series has fat tails. The significant p-values for the Ljung-Box Q-statistics mean that the auto-correlation exists in the squared residuals. The presence of unit roots in the return series is confirmed by the
Pregbalin induced recurrent syncopal attacks with prolong QT interval.
Adar, Adem; Cakan, Fahri; Önalan, Orhan
2017-08-30
Long QT syndrome may lead to fatal dysrhythmia. Prolongation of QT interval due to pregabalin has been shown in rats and no data is available in humans. We report a 80-year-old female patient using pregabalin. She was presented to emergency room with syncope attacks. Her admission electrocardiography demonstrated prolonged QT interval. After excluding the possible causes of the long QT syndrome, we attributed prolonged QT interval to pregabalin therapy. After discontinuation of pregabalin QT interval returned to normal range and patient experienced no further syncope attacks. It is first time for documentation of prolonged QT due to pregabalin in humans. © 2017 Wiley Periodicals, Inc.
Nonlinear Analysis of Return Time Series Model by Oriented Percolation Dynamic System
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Anqi Pei
2013-01-01
behaviors of distribution and leverage effect of return time series are studied for the proposed model and the real stock market by comparison. We also investigate the scaling behaviors of return intervals. And a scaling function of exponential parameter is introduced to analyze fluctuation behaviors of return intervals. The empirical research exhibits that, for proper parameters, the simulation data of the model can fit the real markets to a certain extent.
Applications of interval computations
Kreinovich, Vladik
1996-01-01
Primary Audience for the Book • Specialists in numerical computations who are interested in algorithms with automatic result verification. • Engineers, scientists, and practitioners who desire results with automatic verification and who would therefore benefit from the experience of suc cessful applications. • Students in applied mathematics and computer science who want to learn these methods. Goal Of the Book This book contains surveys of applications of interval computations, i. e. , appli cations of numerical methods with automatic result verification, that were pre sented at an international workshop on the subject in EI Paso, Texas, February 23-25, 1995. The purpose of this book is to disseminate detailed and surveyed information about existing and potential applications of this new growing field. Brief Description of the Papers At the most fundamental level, interval arithmetic operations work with sets: The result of a single arithmetic operation is the set of all possible results as the o...
An Exploration of Asset Returns in a Production Economy with Relative Habits
Budría, Santiago
2005-01-01
This paper explores asset returns in a production economy with habit forming households. I show that a model with capital adjustment costs and relative habits is consistent with salient financial facts, such as the equity premium, the market price of risk, and the riskfree interest rate. These predictions are not at odds with good business cycle predictions. In the model economy investment is strongly procyclical and more volatile than output, which in turn is more volatile than consumption. ...
The value premium and time-varying volatility
Li, X.; Brooks, C.; Miffre, J.
2009-01-01
Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stock...
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Subotić Milan M.
2004-01-01
Full Text Available The paper offers a critical discussion of the thesis about the revived philosophical and political significance of Lenin, as recently propounded by Slavoj Zizek. Analyzing Zizek's writings, the author argues that the call for a "return to Lenin" derives from Zizek's strategy of "textual provocation" and the frustrating position of the leftist, radical tradition of political thought after the collapse of communism.
Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
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Ying Wang
2016-12-01
Full Text Available The application of stochastic volatility (SV models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters. When option data are insufficient or unavailable, market practitioners must estimate the model from the historical returns of the underlying asset and then transform the resulting model into its risk-neutral equivalent. However, the likelihood function of an SV model can only be expressed in a high-dimensional integration, which makes the estimation a highly challenging task. The Bayesian approach has been the classical way to estimate SV models under the data-generating (physical probability measure, but the transformation from the estimated physical dynamic into its risk-neutral counterpart has not been addressed. Inspired by the generalized autoregressive conditional heteroskedasticity (GARCH option pricing approach by Duan in 1995, we propose an SV model that enables us to simultaneously and conveniently perform Bayesian inference and transformation into risk-neutral dynamics. Our model relaxes the normality assumption on innovations of both return and volatility processes, and our empirical study shows that the estimated option prices generate realistic implied volatility smile shapes. In addition, the volatility premium is almost flat across strike prices, so adding a few option data to the historical time series of the underlying asset can greatly improve the estimation of option prices.
DEFF Research Database (Denmark)
Dalgaard, Carl-Johan Lars; Hansen, Henrik
2017-01-01
We estimate the average rate of return on investments financed by aid and by domestic resource mobilisation, using aggregate data. Both returns are expected to vary across countries and time. Consequently we develop a correlated random coefficients model to estimate the average returns. Across...... different estimators and two different data sources for GDP and investment our findings are remarkably robust; the average gross return on ‘aid investments’ is about 20 per cent. This is in accord with micro estimates of the economic rate of return on aid projects and with aggregate estimates of the rate...... of return on public capital....
Allan deviation analysis of financial return series
Hernández-Pérez, R.
2012-05-01
We perform a scaling analysis for the return series of different financial assets applying the Allan deviation (ADEV), which is used in the time and frequency metrology to characterize quantitatively the stability of frequency standards since it has demonstrated to be a robust quantity to analyze fluctuations of non-stationary time series for different observation intervals. The data used are opening price daily series for assets from different markets during a time span of around ten years. We found that the ADEV results for the return series at short scales resemble those expected for an uncorrelated series, consistent with the efficient market hypothesis. On the other hand, the ADEV results for absolute return series for short scales (first one or two decades) decrease following approximately a scaling relation up to a point that is different for almost each asset, after which the ADEV deviates from scaling, which suggests that the presence of clustering, long-range dependence and non-stationarity signatures in the series drive the results for large observation intervals.
Ruette, Sylvie
2017-01-01
The aim of this book is to survey the relations between the various kinds of chaos and related notions for continuous interval maps from a topological point of view. The papers on this topic are numerous and widely scattered in the literature; some of them are little known, difficult to find, or originally published in Russian, Ukrainian, or Chinese. Dynamical systems given by the iteration of a continuous map on an interval have been broadly studied because they are simple but nevertheless exhibit complex behaviors. They also allow numerical simulations, which enabled the discovery of some chaotic phenomena. Moreover, the "most interesting" part of some higher-dimensional systems can be of lower dimension, which allows, in some cases, boiling it down to systems in dimension one. Some of the more recent developments such as distributional chaos, the relation between entropy and Li-Yorke chaos, sequence entropy, and maps with infinitely many branches are presented in book form for the first time. The author gi...
Hirschmann, M. M.; Withers, A. C.; Ardia, P.; Stanley, B. D.; Foley, N.
2012-12-01
Volatiles in Earth's upper mantle are dominated by H2O and CO2, but under more reduced conditions likely deeper in the mantle, other volatile species may be important or dominant. However, the speciation, solubilities, and effect on physical properties of reduced magmatic volatiles are poorly constrained. Here we summarize results from an experimental campaign to better understand reduced volatiles in magmas. Experiments emphasize spectroscopic and SIMS characterization of dissolved species in experiments for which fluid fugacities are known, thereby facilitating thermodynamic parameterization. Experimental determinations of molecular H2 solubility in basaltic and andesitic liquids show concentrations that are proportional to H2 fugacity. Because H2 increases with fH2 whereas dissolved H2O increases with fH2O1/2, the relative importance of H2 increases with pressure and for more hydrous magmas. At 1 GPa and IW-1, solubility in basalt reaches 0.3 wt.% (equivalent to 2.7 wt.% H2O). Solubilities at pressures of the deep upper mantle have not been explored experimentally (as is also true for H2O and CO2), but H2 could become the dominant hydrous species at 400 km and deeper, and so deep hydrous melts may have chiefly H2 rather than H2O or OH. Experiments suggest an extremely low partial specific density (0.18 kg/m3) for dissolved H2 at low pressure, and so appreciable dissolved H2 in melt atop the 410 km discontinuity or in the lower mantle may promote positive buoyancy. Solubilities of reduced C-species remain poorly known. In contrast to results in Na2O-SiO2 liquids (Mysen et al., 2009), experiments with a haplobasaltic liquid at controlled CH4 fugacities indicated very small (<0.05 wt.%) CH4 solubilities even at very reduced conditions (
Assessing Day-to-Day Volatility: Does the Trading Time Matter?
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José Valentim Machado Vicente
2014-06-01
Full Text Available The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard deviations of daily returns calculated from intraday prices collected randomly. We find that this distribution has a high degree of dispersion. This means that different investors may not share the same opinion regarding the variability of returns of the same asset. Moreover, the close-to-close volatility is often less than the median of the volatility distribution perceived by investors while the open-to-open volatility is greater than that statistic. From a practical point of view, our results indicate that volatilities estimated using traditional samples of daily returns (i.e., close-to-close and open-to-open returns may not do a good job when used as inputs in financial models since they may not properly capture the risk investors are exposed.
RESOLVE Projects: Lunar Water Resource Demonstration and Regolith Volatile Characterization
2008-01-01
To sustain affordable human and robotic space exploration, the ability to live off the land at the exploration site will be essential. NASA calls this ability in situ resource utilization (ISRU) and is focusing on finding ways to sustain missions first on the Moon and then on Mars. The ISRU project aims to develop capabilities to technology readiness level 6 for the Robotic Lunar Exploration Program and early human missions returning to the Moon. NASA is concentrating on three primary areas of ISRU: (1) excavating, handling, and moving lunar regolith, (2) extracting oxygen from lunar regolith, and (3) finding, characterizing, extracting, separating, and storing volatile lunar resources, especially in the permanently shadowed polar craters. To meet the challenges related to technology development for these three primary focus areas, the Regolith and Environment Science and Oxygen and Lunar Volatile Extraction (RESOLVE) project was initiated in February 2005, through funding by the Exploration Systems Mission Directorate. RESOLVE's objectives are to develop requirements and conceptual designs and to perform breadboard concept verification testing of each experiment module. The final goal is to deliver a flight prototype unit that has been tested in a relevant lunar polar environment. Here we report progress toward the third primary area creating ways to find, characterize, extract, separate, and store volatile lunar resources. The tasks include studying thermal, chemical, and electrical ways to collect such volatile resources as hydrogen, water, nitrogen, methane, and ammonia. We approached this effort through two subtasks: lunar water resource demonstration (LWRD) and regolith volatile characterization (RVC).
Property fund flows and returns
Lee, Stephen L.
2000-01-01
This study is concerned with the impacts on property returns from property fund flows, and with the possibility of a reverse transmission from property fund flows to property returns. In other words this study investigates whether property returns “cause” fund flow changes, or whether fund flow changes “cause” property returns, or causality works in both directions.\\ud \\ud \\ud \\ud
A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
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Leandro Maciel
2012-09-01
Full Text Available Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibovespa indexes. The model comprises both the concept of fuzzy inference systems and GJR-GARCH modeling approach in order to consider the principles of time-varying volatility, leverage effects and volatility clustering, in which changes are cataloged by similarity. Moreover, a differential evolution (DE algorithm is suggested to solve the problem of Fuzzy GJR-GARCH parameters estimation. The results indicate that the proposed method offers significant improvements in volatility forecasting performance in comparison with GARCH-type models and with a current Fuzzy-GARCH model reported in the literature. Furthermore, the DE-based algorithm aims to achieve an optimal solution with a rapid convergence rate.
Interval Female Sterilization.
Stuart, Gretchen S; Ramesh, Shanthi S
2018-01-01
Female sterilization is relied on by nearly one in three women aged 35-44 years in the United States. Sterilization procedures are among the most common procedures that obstetrician-gynecologists perform. The most frequent sterilization procedures include postpartum tubal ligation, laparoscopic tubal disruption or salpingectomy, and hysteroscopic tubal occlusion. The informed consent process for sterilization is crucial and requires shared decision-making between the patient and the health care provider. Counseling should include the specific risks and benefits of the specific surgical approaches. Additionally, women should be counseled on the alternatives to sterilization, including intrauterine contraceptives and subdermal contraceptive implants. Complications, including unplanned pregnancy after successful female sterilization, are rare. The objectives of this Clinical Expert Series are to describe the epidemiology of female sterilization, access to postpartum sterilization, advances in interval sterilization techniques, and clinical considerations in caring for women requesting sterilization.
Modeling Multivariate Volatility Processes: Theory and Evidence
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Jelena Z. Minovic
2009-05-01
Full Text Available This article presents theoretical and empirical methodology for estimation and modeling of multivariate volatility processes. It surveys the model specifications and the estimation methods. Multivariate GARCH models covered are VEC (initially due to Bollerslev, Engle and Wooldridge, 1988, diagonal VEC (DVEC, BEKK (named after Baba, Engle, Kraft and Kroner, 1995, Constant Conditional Correlation Model (CCC, Bollerslev, 1990, Dynamic Conditional Correlation Model (DCC models of Tse and Tsui, 2002, and Engle, 2002. I illustrate approach by applying it to daily data from the Belgrade stock exchange, I examine two pairs of daily log returns for stocks and index, report the results obtained, and compare them with the restricted version of BEKK, DVEC and CCC representations. The methods for estimation parameters used are maximum log-likehood (in BEKK and DVEC models and twostep approach (in CCC model.
The testing of causal stock returns-trading volume dependencies with the aid of copulas
Henryk Gurgul; Roland Mestel; Robert Syrek
2013-01-01
This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the Hellinger distance were conducted. It is worth noting that these tests can be used in general settings since there is no restrietion on the dimension of the data. The parameter which must be set up for the te...
ANALYSING VOLATILITY IN EQUITY INDICES – A MARKOV APPROACH FOR BOTSWANA DOMESTIC COMPANY INDICES
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K.S. Madhava Rao
2012-01-01
Full Text Available
ENGLISH ABSTRACT: TIn financial economics, forecasting volatility in stock indices and currency returns has received considerable attention in the last two decades. Many traditional econometric methods forecast asset returns by a point prediction of volatility. The central contribution of this paper is to suggest an alternative approach for modelling and related analysis of asset returns. In this approach, the volatility in stock returns is defined in terms of categories depending on the mean of stock returns and its standard error. This classification naturally allows the study of volatility in terms of a Markov model. The approach suggested here will be of interest to academics, stock market investors, and analysts.
AFRIKAANSE OPSOMMING: Op die terrein van die finansiële ekonomie het die vooruitskatting van volatiliteit in die aandeelindekse en wisselkoerse baie aandag getrek oor die afgelope twee dekades. Verskeie tradisionele ekonometriese vooruitskattingsmodelle baseer die vooruitskatting van opbrengste op ‘n puntvooruitskatting van die wisselvalligheid. Die bydrae van hierdie artikel is om ‘n alternatiewe metode voor te stel vir die modellering. Volgens die model word die volatiliteit van opbrengste gekategoriseer op grond van die gemiddelde opbrengste en die standaardfout. Dit skep geleetheid vir die toepassing van ‘n Markov-model. Die model sal akademici, beleggers en analiste interesseer.
Interval Estimation of Seismic Hazard Parameters
Orlecka-Sikora, Beata; Lasocki, Stanislaw
2017-03-01
The paper considers Poisson temporal occurrence of earthquakes and presents a way to integrate uncertainties of the estimates of mean activity rate and magnitude cumulative distribution function in the interval estimation of the most widely used seismic hazard functions, such as the exceedance probability and the mean return period. The proposed algorithm can be used either when the Gutenberg-Richter model of magnitude distribution is accepted or when the nonparametric estimation is in use. When the Gutenberg-Richter model of magnitude distribution is used the interval estimation of its parameters is based on the asymptotic normality of the maximum likelihood estimator. When the nonparametric kernel estimation of magnitude distribution is used, we propose the iterated bias corrected and accelerated method for interval estimation based on the smoothed bootstrap and second-order bootstrap samples. The changes resulted from the integrated approach in the interval estimation of the seismic hazard functions with respect to the approach, which neglects the uncertainty of the mean activity rate estimates have been studied using Monte Carlo simulations and two real dataset examples. The results indicate that the uncertainty of mean activity rate affects significantly the interval estimates of hazard functions only when the product of activity rate and the time period, for which the hazard is estimated, is no more than 5.0. When this product becomes greater than 5.0, the impact of the uncertainty of cumulative distribution function of magnitude dominates the impact of the uncertainty of mean activity rate in the aggregated uncertainty of the hazard functions. Following, the interval estimates with and without inclusion of the uncertainty of mean activity rate converge. The presented algorithm is generic and can be applied also to capture the propagation of uncertainty of estimates, which are parameters of a multiparameter function, onto this function.
DEFF Research Database (Denmark)
Dalgaard, Carl-Johan Lars; Hansen, Henrik
2017-01-01
We estimate the average rate of return on investments financed by aid and by domestic resource mobilisation, using aggregate data. Both returns are expected to vary across countries and time. Consequently we develop a correlated random coefficients model to estimate the average returns. Across...... different estimators and two different data sources for GDP and investment our findings are remarkably robust; the average gross return on ‘aid investments’ is about 20 per cent. This is in accord with micro estimates of the economic rate of return on aid projects and with aggregate estimates of the rate...
DEFF Research Database (Denmark)
Dalgaard, Carl-Johan Lars; Hansen, Henrik
We investigate the marginal productivity of investment across countries. The aim is to estimate the return on investments financed by foreign aid and by domestic resource mobilization, using aggregate data. Both returns are expected to vary across countries and time. Consequently we develop...... a correlated random coefficients model, to estimate the average aggregate return on ‘aid investments’ and ‘domestic investments’. Across different estimators and two different sources for GDP and investment data our findings are remarkably robust; the average gross return on ‘aid investments’ is about 20 per...... cent. This is in accord with micro estimates of the economic rate of return....
Political institutions and economic volatility
Klomp, Jeroen; de Haan, Jakob
We examine the effect of political 'institutions' on economic growth volatility, using data from more than 100 countries over the period 1960 to 2005, taking into account various control variables as suggested in previous studies. Our indicator of volatility is the relative standard deviation of the
Emerging non-volatile memories
Hong, Seungbum; Wouters, Dirk
2014-01-01
This book is an introduction to the fundamentals of emerging non-volatile memories and provides an overview of future trends in the field. Readers will find coverage of seven important memory technologies, including Ferroelectric Random Access Memory (FeRAM), Ferromagnetic RAM (FMRAM), Multiferroic RAM (MFRAM), Phase-Change Memories (PCM), Oxide-based Resistive RAM (RRAM), Probe Storage, and Polymer Memories. Chapters are structured to reflect diffusions and clashes between different topics. Emerging Non-Volatile Memories is an ideal book for graduate students, faculty, and professionals working in the area of non-volatile memory. This book also: Covers key memory technologies, including Ferroelectric Random Access Memory (FeRAM), Ferromagnetic RAM (FMRAM), and Multiferroic RAM (MFRAM), among others. Provides an overview of non-volatile memory fundamentals. Broadens readers' understanding of future trends in non-volatile memories.
Directory of Open Access Journals (Sweden)
Abson David J
2013-01-01
Full Text Available Abstract Background Conventional agriculture is increasingly based on highly specialized, highly productive farms. It has been suggested that 1 this specialization leads to farms that lack resilience to changing market and environmental conditions; and 2 that by decreasing agricultural diversity, the resilience of the farming system also decreases. Methods We used agricultural gross margin (GM forecasts from 1966 to 2010 and remote sensing data from agricultural landscapes in the lowland UK, in conjunction with modern portfolio theory, to test the hypothesis that decreasing land-use diversity results in landscapes that provide higher, but more volatile, economic returns. We considered the role of spatial scale on the expected levels of volatility and resilience of agricultural returns. Results We found that: 1 there was a strong linear trade-off between expected GMs and the expected volatility of those GMs in real lowland agricultural landscapes in the UK; 2 land-use diversification was negatively correlated with expected GMs from agriculture, and positively correlated with decreasing expected volatility in GMs; 3 the resilience of agricultural returns was positively correlated with the diversity of agricultural land use, and the resilience of agricultural returns rose quickly with increased land-holding size at small spatial extents, but this effect diminished after landholdings reached 12,000 hectares. Conclusions Land-use diversity may have an important role in ensuring resilient agricultural returns in the face of uncertain market and environmental conditions, and land-holding size plays a pivotal role in determining the relationships between resilience and returns at a landscape scale. Creating finer-grained land-use patterns based on pre-existing local land uses may increase the resilience of individual farms, while maintaining aggregate yield across landscapes.
A Review of Volatility and Option Pricing
Sovan Mitra
2009-01-01
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility. We also survey less commonly known models e.g. hybrid models. We explain various volatility types (e.g. realised and implied volatility) and discuss the empirical properties.
Saad, Shakila; Ahmad, Noryati; Jaffar, Maheran Mohd
2017-11-01
Nowadays, the study on volatility concept especially in stock market has gained so much attention from a group of people engaged in financial and economic sectors. The applications of volatility concept in financial economics can be seen in valuation of option pricing, estimation of financial derivatives, hedging the investment risk and etc. There are various ways to measure the volatility value. However for this study, two methods are used; the simple standard deviation and Exponentially Weighted Moving Average (EWMA). The focus of this study is to measure the volatility on three different sectors of business in Malaysia, called primary, secondary and tertiary by using both methods. The daily and annual volatilities of different business sector based on stock prices for the period of 1 January 2014 to December 2014 have been calculated in this study. Result shows that different patterns of the closing stock prices and return give different volatility values when calculating using simple method and EWMA method.
Effects of Increasing the Time to Reinforcement on Interval Timing in Rats
Higa, Jennifer J.; Tillou, Patrick
2001-01-01
The experiment examined interval timing in rats during a momentary, unsignaled, increase in the time to reinforcement. A session began with intervals programmed according to a fixed interval (FI) 60 s reinforcement schedule, changed to either an FI 90 s, FI 120 s, or FI 180 s schedule at an unpredictable point, and then returned to an FI 60 s schedule after 1, 8, or 24 successive long intervals had elapsed. Overall, postreinforcement wait time duration increased with increases in the schedule...
The pricing of long and short run variance and correlation risk in stock returns
Cosemans, M.
2011-01-01
This paper studies the pricing of long and short run variance and correlation risk. The predictive power of the market variance risk premium for returns is driven by the correlation risk premium and the systematic part of individual variance premia. Furthermore, I find that aggregate volatility risk
A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return
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Yipeng Yang
2016-02-01
Full Text Available In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and volatility clustering phenomenon can be easily seen. Then, a nonparametric analysis is performed and new patterns are discovered. An ARCH model is constructed based on the patterns we discovered and it is capable of manifesting the volatility skew in option pricing. A comparison of our model with the GARCH(1,1 model is carried out. The explanation of the validity on our model through prospect theory is provided, and, as a novelty, we linked the volatility skew phenomenon to the prospect theory in behavioral finance.
Multifractal model of asset returns with leverage effect
Eisler, Z.; Kertész, J.
2004-11-01
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the Lux model and refine the underlying phenomenological picture. We also give a procedure of fitting all parameters to empirical data. We present a new approach to account for the effective length of power-law memory in volatility. The second part of the paper deals with the consequences of asymmetry in returns. We incorporate two related stylized facts, skewness and leverage autocorrelations into the model. Then from Monte Carlo measurements we show, that this asymmetry significantly increases the mean squared error of volatility forecasts. Based on a filtering method we give evidence on similar behavior in empirical data.
Directory of Open Access Journals (Sweden)
Emlyn Flint
2017-03-01
Full Text Available Background: Contingent claims on underlying assets are typically priced under a framework that assumes, inter alia, that the log returns of the underlying asset are normally distributed. However, many researchers have shown that this assumption is violated in practice. Such violations include the statistical properties of heavy tails, volatility clustering, leptokurtosis and long memory. This paper considers the pricing of contingent claims when the underlying is assumed to display long memory, an issue that has heretofore not received much attention. Aim: We address several theoretical and practical issues in option pricing and implied volatility calibration in a fractional Black–Scholes market. We introduce a novel eight-parameter fractional Black–Scholes-inspired (FBSI model for the implied volatility surface, and consider in depth the issue of calibration. One of the main benefits of such a model is that it allows one to decompose implied volatility into an independent long-memory component – captured by an implied Hurst exponent – and a conditional implied volatility component. Such a decomposition has useful applications in the areas of derivatives trading, risk management, delta hedging and dynamic asset allocation. Setting: The proposed FBSI volatility model is calibrated to South African equity index options data as well as South African Rand/American Dollar currency options data. However, given the focus on the theoretical development of the model, the results in this paper are applicable across all financial markets. Methods: The FBSI model essentially combines a deterministic function form of the 1-year implied volatility skew with a separate deterministic function for the implied Hurst exponent, thus allowing one to model both observed implied volatility surfaces as well as decompose them into independent volatility and long-memory components respectively. Calibration of the model makes use of a quasi-explicit weighted
Understanding Guyton's venous return curves
National Research Council Canada - National Science Library
Beard, Daniel A; Feigl, Eric O
2011-01-01
...) was experimentally increased the right atrial pressure decreased, Arthur Guyton and coworkers proposed an interpretation that right atrial pressure represents a back pressure restricting venous return...
Directory of Open Access Journals (Sweden)
S. Griffioen
2011-06-01
Full Text Available Religion is back in Philosophy as a respectable subject. Part 1 first charts what MacIntyre, Taylor and Derrida have meant in this regard. Subsequently, it turns to the Enlightenment to determine what constituted the breakthrough. It is found that even where the Enlightenment gave maximum room to religion i.e. as a civic religion and as “religion of the heart” it still excluded a constitutive relation to a transcendent revelation. Part 2 centres on the religion-faith distinction in reformational philosophy. Similar to the Enlightenment, religion is understood as part of human nature. However, human nature itself is conceived as intrinsically religious and depending for its light on revelation. Secondly, “religion” in this context also encompasses idols and religious substitutes. Thus, it directs attention to shopping malls, football stadiums, health policy, et cetera, as possible contexts of a return of religion. Examples show that this has become a popular approach. However, most of the publications surveyed fail to distinguish between an “analogical” and a “pistically qualified” use of religion, and are open to exaggerations (the shopping mall and football stadiums as temples, etc.. At this junction, the relevance is shown of the religion-faith distinction as well as of Elaine Botha’s theory of metaphors. The epilogue offers an integration of parts one and two.
Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices
C-L. Chang (Chia-Lin); M.J. McAleer (Michael); Y-A. Wang (Yu-Ann)
2016-01-01
textabstractThe recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers
The Effect of Long Memory in Volatility on Stock Market Fluctuations
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard
on returns. Asset pricing theory imposes testable cross- equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...
The Effect of Long Memory in Volatility on Stock Market Fluctuations
DEFF Research Database (Denmark)
Christensen, Bent Jesper; Nielsen, Morten Ørregaard
on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive...
New Evidence on Price and Volatility Effects of Stock Option Introductions
Kabir, M.R.
1997-01-01
This paper adds to the literature dealing with the effect of derivatives trading on underlying securities by examining option listings from the Netherlands. The effects on both stock returns and volatility are investigated using three types of samples, namely, listing of call options alone,
Option pricing for stochastic volatility model with infinite activity Lévy jumps
Gong, Xiaoli; Zhuang, Xintian
2016-08-01
The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.
Hidden temporal order unveiled in stock market volatility variance
Directory of Open Access Journals (Sweden)
Y. Shapira
2011-06-01
Full Text Available When analyzed by standard statistical methods, the time series of the daily return of financial indices appear to behave as Markov random series with no apparent temporal order or memory. This empirical result seems to be counter intuitive since investor are influenced by both short and long term past market behaviors. Consequently much effort has been devoted to unveil hidden temporal order in the market dynamics. Here we show that temporal order is hidden in the series of the variance of the stocks volatility. First we show that the correlation between the variances of the daily returns and means of segments of these time series is very large and thus cannot be the output of random series, unless it has some temporal order in it. Next we show that while the temporal order does not show in the series of the daily return, rather in the variation of the corresponding volatility series. More specifically, we found that the behavior of the shuffled time series is equivalent to that of a random time series, while that of the original time series have large deviations from the expected random behavior, which is the result of temporal structure. We found the same generic behavior in 10 different stock markets from 7 different countries. We also present analysis of specially constructed sequences in order to better understand the origin of the observed temporal order in the market sequences. Each sequence was constructed from segments with equal number of elements taken from algebraic distributions of three different slopes.
Ouaidou, N G
1993-08-01
Sahelian countries occupy an inglorious place in the global list of human development. The human development index is superior to the gross national product (GNP) at measuring the progress of a country in terms of development, because it includes income, longevity, and educational level. The highest ranked Sahelian country holds the 114th position out of a 173 countries. The low human development index scores for the Sahel reflects the socioeconomic crisis which has overcome these countries. In 1991, only 3 of 9 Sahelian countries had a mean GP equal or superior to US$500. Just 2 countries had a life expectancy greater than 50 years. In fact, the Sahel had a lower life expectancy than all of Africa (50 years) and much lower than Asia (64 years) and Latin America (67 years). The economic crisis is worse than the cold statistics show. It destabilizes the most disadvantaged populations. The pressure it exerts often leads public authorities to adopt unpopular measures. It depreciates some sociocultural values and disintegrates traditional social structures. It is accentuated by the effects of war and drought. Internal and external migration increases even as urban hope is uncertain. For most people, the family (the traditional framework of individual development) is ready to break apart, leaving only a disincarnate nuclear entity to subsist. Yet, African history is built around the extended family: the place of reproduction, production, distribution, formation, management, perpetuation of demographic behavior, and social control. Senegal and Mali have created ministries which invest in families. The Third African Conference on Population, in 1992, chose its theme to be the relationship between family, population, and sustainable development. It is important to return to the natural or primordial framework--family--as a refuge against the economic crisis.
Wasiak, Radoslaw; Young, Amanda E; Roessler, Richard T; McPherson, Kathryn M; van Poppel, Mireille N M; Anema, Johannes R
2007-12-01
It is argued that one of the factors limiting the understanding of return to work (RTW) following work disability is the use of measurement tools that do not capture a complete picture of workers' RTW experiences. To facilitate the investigation of RTW, the current authors proposed a developmental conceptualization of RTW, which argues for an expanded awareness that encompasses four phases: off work, work reintegration, work maintenance and advancement. This paper reports on work undertaken with the aim of operationalizing the conceptualization. A review of the RTW and related literature, with databases searched including PubMed, EconLit, and PsycInfo. We began by extracting details of RTW instruments used by previous researchers. We then interpreted these within the context of the phases of RTW. Using the International Classification of Functioning, Disability, and Health (ICF) to inform our thinking and coding structure, we conceptualized phase-based RTW outcomes and categorized them as 'tasks and actions', 'contextual' or 'process driven'. Iteratively, we reviewed existing instruments for their use as measures of RTW. Where gaps in instrumentation were found, the wider vocational and career assessment literature was searched for instruments that could be adapted for use in RTW research. Results indicate that, although numerous research instruments have been used to assess RTW, within the scientific literature some important dimensions of RTW lack instrumentation. In particular, we found that outcomes such as goal setting, motivation, expectation, job seeking, work maintenance, and career advancement require operationalization. Amongst the outcomes had been operationalized, we found considerable variation in conceptual development and application. The lack of consistency and comprehensiveness of RTW measurement is one of the factors compromising the advancement of the field of RTW research. It is suggested that a more complete and psychometrically sound array of
Volatile phytochemicals as mosquito semiochemicals
Nyasembe, Vincent O.; Torto, Baldwyn
2014-01-01
Plant biochemical processes result in the release of an array of volatile chemical substances into the environment, some of which are known to play important plant fitness enhancing functions, such as attracting pollinators, thermal tolerance of photosynthesis, and defense against herbivores. Cunningly, phytophagous insects have evolved mechanisms to utilize these volatiles to their own advantage, either to colonize a suitable host for feeding, reproduction and oviposition or avoid an unsuita...
Directory of Open Access Journals (Sweden)
Venus Kusumawardana
2016-01-01
Full Text Available The purpose of this study was to test an active strategy (moving leverage with a passive strategy (buy, sell and hold strategy to determine which strategy to generate optimal returns with to compair of all strategy. Method by collecting data is then processed and analyzed using software ChartNexus. An indicators moving everage 5, 10, 30, bollingerband and compare the return of an active strategy with passive strategies. The results of this research note that suitable and appropriate technical analysis to forecast stock prices to determine buy, sell and hold, to optimize stock returns and shows that an active strategy is able to out perform a passive strategy when the market is bearish and volatile. The use of passive strategies can provide superior results, when used on a very bullish market conditions. Volatile market conditions that are more suitable to use the strategy of comparison between the strategies of active and passive strategies.
Rational GARCH model: An empirical test for stock returns
Takaishi, Tetsuya
2017-05-01
We propose a new ARCH-type model that uses a rational function to capture the asymmetric response of volatility to returns, known as the "leverage effect". Using 10 individual stocks on the Tokyo Stock Exchange and two stock indices, we compare the new model with several other asymmetric ARCH-type models. We find that according to the deviance information criterion, the new model ranks first for several stocks. Results show that the proposed new model can be used as an alternative asymmetric ARCH-type model in empirical applications.
DEFF Research Database (Denmark)
Zhu, Jie
stock markets. Models with dynamic of Geometric Brownian Motion are adopted, multivariate GARCH models are also introduced to capture the feature of time-varying volatility in stock returns. The results suggest that the different pric- ing can be explained by the difference in expected returns between...
Interval Entropy and Informative Distance
Directory of Open Access Journals (Sweden)
Fakhroddin Misagh
2012-03-01
Full Text Available The Shannon interval entropy function as a useful dynamic measure of uncertainty for two sided truncated random variables has been proposed in the literature of reliability. In this paper, we show that interval entropy can uniquely determine the distribution function. Furthermore, we propose a measure of discrepancy between two lifetime distributions at the interval of time in base of Kullback-Leibler discrimination information. We study various properties of this measure, including its connection with residual and past measures of discrepancy and interval entropy, and we obtain its upper and lower bounds.
Option Valuation with Long-run and Short-run Volatility Components
DEFF Research Database (Denmark)
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat
This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model can...... be viewed as an affine version of Engle and Lee (1999), allowing for easy valuation of European options. The model substantially outperforms a benchmark single-component volatility model that is well-established in the literature, and it fits options better than a model that combines conditional...... heteroskedasticity and Poissonnormal jumps. The component model's superior performance is partly due to its improved ability to model the smirk and the path of spot volatility, but its most distinctive feature is its ability to model the volatility term structure. This feature enables the component model to jointly...
The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab.
Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael
2012-08-01
As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets.
DEFF Research Database (Denmark)
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin
into the continuous sample path variance, the variation arising from discontinuous jumps that occur during the trading day, as well as the overnight return variance. Our empirical results, based on long samples of high-frequency equity and bond futures returns, suggest that the dynamic dependencies in the daily......Building on realized variance and bi-power variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability...... continuous sample path variability is well described by an approximate long-memory HAR-GARCH model, while the overnight returns may be modelled by an augmented GARCH type structure. The dynamic dependencies in the non-parametrically identified significant jumps appear to be well described by the combination...
Automatic Error Analysis Using Intervals
Rothwell, E. J.; Cloud, M. J.
2012-01-01
A technique for automatic error analysis using interval mathematics is introduced. A comparison to standard error propagation methods shows that in cases involving complicated formulas, the interval approach gives comparable error estimates with much less effort. Several examples are considered, and numerical errors are computed using the INTLAB…
Return transmission in HFC networks
Susi, Matti
1996-11-01
The increased demand for high speed data transmission in hybrid-fiber-coax (HFC) networks is putting more pressure to return transmission technology. Most of the current HFC network architectures are optimized for analogue TV signals in the forward path. The assumption is that the same architecture may not be the optimum for return signals. Although the main use for return path is still low bitrate data like Pay-per-View ordering information, network operators are planning and trying the use of high speed cable modems and interactive digital setups. This presentation gives an overview of the alternative solutions used in the reverse path architecture of a modern HFC network.
McClaskey, Carolyn M
2017-11-01
Our ability to discriminate between pitch intervals of different sizes is not only an important aspect of speech and music perception, but also a useful means of evaluating higher-level pitch perception. The current study examined how pitch-interval discrimination was affected by the size of the intervals being compared, and by musical training. Using an adaptive procedure, pitch-interval discrimination thresholds were measured for sequentially presented pure-tone intervals with standard intervals of 1 semitone (minor second), 6 semitones (the tri-tone), and 7 semitones (perfect fifth). Listeners were classified into three groups based on musical experience: non-musicians had less than 3 years of informal musical experience, amateur musicians had at least 10 years of experience but no formal music theory training, and expert musicians had at least 12 years of experience with 1 year of formal ear training, and were either currently pursuing or had earned a Bachelor's degree as either a music major or music minor. Consistent with previous studies, discrimination thresholds obtained from expert musicians were significantly lower than those from other listeners. Thresholds also significantly varied with the magnitude of the reference interval and were higher for conditions with a 6- or 7-semitone standard than a 1-semitone standard. These data show that interval-discrimination thresholds are strongly affected by the size of the standard interval. Copyright © 2017 Elsevier B.V. All rights reserved.
An analysis of first-time blood donors return behaviour using regression models.
Kheiri, S; Alibeigi, Z
2015-08-01
Blood products have a vital role in saving many patients' lives. The aim of this study was to analyse blood donor return behaviour. Using a cross-sectional follow-up design of 5-year duration, 864 first-time donors who had donated blood were selected using a systematic sampling. The behaviours of donors via three response variables, return to donation, frequency of return to donation and the time interval between donations, were analysed based on logistic regression, negative binomial regression and Cox's shared frailty model for recurrent events respectively. Successful return to donation rated at 49·1% and the deferral rate was 13·3%. There was a significant reverse relationship between the frequency of return to donation and the time interval between donations. Sex, body weight and job had an effect on return to donation; weight and frequency of donation during the first year had a direct effect on the total frequency of donations. Age, weight and job had a significant effect on the time intervals between donations. Aging decreases the chances of return to donation and increases the time interval between donations. Body weight affects the three response variables, i.e. the higher the weight, the more the chances of return to donation and the shorter the time interval between donations. There is a positive correlation between the frequency of donations in the first year and the total number of return to donations. Also, the shorter the time interval between donations is, the higher the frequency of donations. © 2015 British Blood Transfusion Society.
Volatility Informed Trading in the Options Market: Evidence from India
Directory of Open Access Journals (Sweden)
Rajesh Pathak
2015-12-01
Full Text Available The purpose of this paper is to investigate the trading activity in options market based on information about expected future volatility in spot market. We employ Common Implied Volatility as a measure of expected volatility and options volume and changes in Open Interests as measures of options trading activity. We first test for simultaneous information flow in the two markets using multiple regression technique. Next, we test for information based or hedge based use of options using Trivariate Vector-auto Regression framework. We further consider the classes of options moneyness and the market trends in our analysis to examine if the trader’s preference of options changes with change in description of options intrinsic value and market environment. We use daily closing data of S&P CNX Nifty Index options traded on National Stock Exchange, India. We, for the most part, find negative and significant relationship in contemporaneous regression suggesting active trading by arbitrageurs. A feedback relationship is observed in vector auto regression analysis suggesting that options are traded in India for both information based trading and hedging purposes. We also observe the relationship to be varying when market trends and classes of options moneyness are considered. This indicates that traders are not indifferent in their choice of trading venue when market conditions and factors change. The results of this study are helpful for traders in managing the risk and return of their portfolio based on volatility forecast. This study is distinctive as it examines the scarcely researched area of volatility informed trading in an emerging market set up.
The price of fixed income market volatility
Mele, Antonio
2015-01-01
Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...
RICE PRICE VOLATILITY IN EAST JAVA
Directory of Open Access Journals (Sweden)
Wati R.Y.E.
2017-09-01
Full Text Available The purpose of the research is analyzing the volatility and volatility spillover of monthly price of paddy at the level of farmers and consumers in 2010-2016. ARCH/GARCH used to analyze volatility and GARCH BEKK-model is used to analyze the volatility spillover. The results of the analysis show that price volatility at the farmer level is very high (extremely high volatility, price volatility at the consumer level is low (low volatility, and volatility spillover does not occur between the farmers and the consumers market. The need to guarantee an effective floor price as well as information disclosure related to the market commodity prices so that the pattern of prices transmission among interrelated markets can be symmetrical.
FRS Geospatial Return File Format
The Geospatial Return File Format describes format that needs to be used to submit latitude and longitude coordinates for use in Envirofacts mapping applications. These coordinates are stored in the Geospatail Reference Tables.
Sample Return Challenges and Technologies
Bouilly, J.-M.; Scheer, H.; Pisseloup, A.
2014-06-01
During the last ten years, Airbus Defence and Space contributed to several Earth Return Capsules projects. The scope of this paper is to present an overview of main results and achievements obtained through mission studies and technology maturation.
Investment Plans and Stock Returns
Owen Lamont
1999-01-01
Capital expenditure plans at the beginning of the year, from a US government survey of firms, explain more than three quarters of the variation in real annual aggregate investment growth between 1948 and 1993. The negative correlation of contemporaneous investment and stock returns is explained by the negative correlation of planned investment and subsequent stock returns. Unexpected revisions to aggregate investment (actual minus plan) within a year are essentially unrelated to current stock...
Language Skills and Economic Returns
Garrouste, Christelle
2008-01-01
This article focuses on the contributions from the emerging positivist epistemological approach, endorsed by the economics of language and the economics of education, to study the returns to language skills, assuming that language competencies constitute key components of human capital. It presents initial results from a study on economic returns to language skills in eight countries enrolled in the International Adult Literacy Survey (IALS) – Chile, the Czech Republic, Denmark, Finland, H...
How to Organise Return Handling
Koster, René; van de Vendel, M.; Brito, Marisa
2001-01-01
textabstractAlready for a long time retailers take back products. In this paper we explore the factors contributing to the decision of combining vs. separating inbound and outbound flows during the return handling process. We do so through a comparative analysis of the operations in nine retailer warehouses, which can be divided in three groups: food retailers, department stores and mail order companies. We identify both aggravating factors and facilitating actions for return handling. Furthe...
Pricing vulnerable options with stochastic volatility
Wang, Guanying; Wang, Xingchun; Zhou, Ke
2017-11-01
In this paper, we investigate the pricing issue of vulnerable options with stochastic volatility by decomposing stochastic volatility into the long-term and short-term volatility. We describe the short-term fluctuation of stochastic volatility using a mean-reverting process, and assume the long-term volatility to be a constant. Based on the proposed model, we derive a pricing formula of vulnerable options in a special case. Numerical results are presented to illustrate the impacts of two stochastic volatility components on vulnerable option prices.
Planetary volatile history - Principles and practice
Fanale, F. P.
1986-01-01
The history and evolution of planetary volatile inventories are considered. Planetary bulk volatile inventories are greatly affected by the distance from the preplanetary nebula center at which material accreted, with volatile contents increasing with increasing distance from the nebula center. Other significant factors include: planetary energetics and internal thermal history, planetary volatile sinks (including space), and operation of external variables such as solar energy on the transient, steady-state array of surface volatiles. The net result of all these processes is a volatile history that is itself a controlling factor in overall planetary history.
Modelling Changes in the Unconditional Variance of Long Stock Return Series
DEFF Research Database (Denmark)
Amado, Cristina; Teräsvirta, Timo
procedure is illustrated with an application to daily returns of the Dow Jones Industrial Average stock index covering a period of more than ninety years. The main conclusions are as follows. First, the LM tests strongly reject the assumption of constancy of the unconditional variance. Second, the results...... show that the long-memory property in volatility may be explained by ignored changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the superiority of volatility forecast accuracy of the new model over the GJR-GARCH model at all...
Modelling changes in the unconditional variance of long stock return series
DEFF Research Database (Denmark)
Amado, Cristina; Teräsvirta, Timo
2014-01-01
is illustrated with an application to 22,986 daily returns of the Dow Jones Industrial Average stock index covering a period of more than ninety years. The main conclusions are as follows. First, the LM tests strongly reject the assumption of constancy of the unconditional variance. Second, the results show...... that the apparent long memory property in volatility may be interpreted as changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the superiority of volatility forecasting accuracy of the new model over the GJR-GARCH model at all horizons for eight...
A Mars Sample Return Sample Handling System
Wilson, David; Stroker, Carol
2013-01-01
We present a sample handling system, a subsystem of the proposed Dragon landed Mars Sample Return (MSR) mission [1], that can return to Earth orbit a significant mass of frozen Mars samples potentially consisting of: rock cores, subsurface drilled rock and ice cuttings, pebble sized rocks, and soil scoops. The sample collection, storage, retrieval and packaging assumptions and concepts in this study are applicable for the NASA's MPPG MSR mission architecture options [2]. Our study assumes a predecessor rover mission collects samples for return to Earth to address questions on: past life, climate change, water history, age dating, understanding Mars interior evolution [3], and, human safety and in-situ resource utilization. Hence the rover will have "integrated priorities for rock sampling" [3] that cover collection of subaqueous or hydrothermal sediments, low-temperature fluidaltered rocks, unaltered igneous rocks, regolith and atmosphere samples. Samples could include: drilled rock cores, alluvial and fluvial deposits, subsurface ice and soils, clays, sulfates, salts including perchlorates, aeolian deposits, and concretions. Thus samples will have a broad range of bulk densities, and require for Earth based analysis where practical: in-situ characterization, management of degradation such as perchlorate deliquescence and volatile release, and contamination management. We propose to adopt a sample container with a set of cups each with a sample from a specific location. We considered two sample cups sizes: (1) a small cup sized for samples matching those submitted to in-situ characterization instruments, and, (2) a larger cup for 100 mm rock cores [4] and pebble sized rocks, thus providing diverse samples and optimizing the MSR sample mass payload fraction for a given payload volume. We minimize sample degradation by keeping them frozen in the MSR payload sample canister using Peltier chip cooling. The cups are sealed by interference fitted heat activated memory
DOES ENERGY CONSUMPTION VOLATILITY AFFECT REAL GDP VOLATILITY? AN EMPIRICAL ANALYSIS FOR THE UK
Directory of Open Access Journals (Sweden)
Abdul Rashid
2013-10-01
Full Text Available This paper empirically examines the relation between energy consumption volatility and unpredictable variations in real gross domestic product (GDP in the UK. Estimating the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP volatility. The results from the Markov regime-switching model show that the variability of energy consumption has a significant role to play in determining the behavior of GDP volatilities. Moreover, the results suggest that the impacts of unpredictable variations in energy consumption on GDP volatility are asymmetric, depending on the intensity of volatility. In particular, we find that while there is no significant contemporaneous relationship between energy consumption volatility and GDP volatility in the first (low-volatility regime, GDP volatility is significantly positively related to the volatility of energy utilization in the second (high-volatility regime.
Interval estimates and their precision
Marek, Luboš; Vrabec, Michal
2015-06-01
A task very often met in in practice is computation of confidence interval bounds for the relative frequency within sampling without replacement. A typical situation includes preelection estimates and similar tasks. In other words, we build the confidence interval for the parameter value M in the parent population of size N on the basis of a random sample of size n. There are many ways to build this interval. We can use a normal or binomial approximation. More accurate values can be looked up in tables. We consider one more method, based on MS Excel calculations. In our paper we compare these different methods for specific values of M and we discuss when the considered methods are suitable. The aim of the article is not a publication of new theoretical methods. This article aims to show that there is a very simple way how to compute the confidence interval bounds without approximations, without tables and without other software costs.
Factors affecting the volatilization of volatile organic compounds from wastewater
Directory of Open Access Journals (Sweden)
Junya Intamanee
2006-09-01
Full Text Available This study aimed to understand the influence of the wind speed (U10cm, water depth (h and suspended solids (SS on mass transfer coefficient (KOLa of volatile organic compounds (VOCs volatilized from wastewater. The novelty of this work is not the method used to determine KOLa but rather the use of actual wastewater instead of pure water as previously reported. The influence of U10cm, h, and SS on KOLa was performed using a volatilization tank with the volume of 100-350 L. Methyl Ethyl Ketone (MEK was selected as a representative of VOCs investigated here in. The results revealed that the relationship between KOLa and the wind speeds falls into two regimes with a break at the wind speed of 2.4 m/s. At U10cm 2.4 m/s, KOLa increased more rapidly. The relationship between KOLa and U10cm was also linear but has a distinctly higher slope. For the KOLa dependency on water depth, the KOLa decreased significantly with increasing water depth up to a certain water depth after that the increase in water depth had small effect on KOLa. The suspended solids in wastewater also played an important role on KOLa. Increased SS resulted in a significant reduction of KOLa over the investigated range of SS. Finally, the comparison between KOLa obtained from wastewater and that of pure water revealed that KOLa from wastewater were much lower than that of pure water which was pronounced at high wind speed and at small water depth. This was due the presence of organic mass in wastewater which provided a barrier to mass transfer and reduced the degree of turbulence in the water body resulting in low volatilization rate and thus KOLa. From these results, the mass transfer model for predicting VOCs emission from wastewater should be developed based on the volatilization of VOCs from wastewater rather than that from pure water.
Wu, Feng
This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed
National Research Council Canada - National Science Library
Francisco López Herrera; Domingo Rodríguez Benavides; Francisco Ortiz Arango
2011-01-01
This paper shows the results of the analysis of the volatility of the peso-dollar peg, which is carried out by a model in which the distribution of the peso's rate of return or appreciation (depreciation...
Intensity of Price and Volatility Spillover Effects in Asia-Pacific Basin Equity Markets
Directory of Open Access Journals (Sweden)
Sazali Abidin
2014-12-01
Full Text Available This paper investigates the intensity of price and volatility spillover effects in five major stock markets within the Asia Pacific basin region with a particular emphasis in the spillover effects between Australia and China. VAR(5 model is used for measuring the return spillover while AR/VAR model with exogenous variables is employed for measuring the effects of same day returns on return spillover. .In modelling the volatility spillover, we employ AR/GARCH model which also incorporates the same day effects. Results of both return and volatility spillover provide evidence that there are significant spillover effects across different markets in the Asia-Pacific region and as well as between Australia and China. This study also provides support to the view that a market is most affected by other markets that opens/closes just before it. The main contribution of this paper is the confirmation of spillover effects between markets in the region, in particular, the interdependence between Australia and China which may have evolved only recently and thus have received relatively little research attention to date.
Testing for long memory in volatility in the Indian Forex market
Directory of Open Access Journals (Sweden)
Kumar Anoop S.
2014-01-01
Full Text Available This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013. In the first part of the analysis the presence of long-term dependence is confirmed in the return series as well as in two measures of unconditional volatility (absolute returns and squared returns by employing three measures of long memory. Next, the presence of long memory in conditional volatility is tested using ARMA-FIGARCH and ARMA-FIAPARCH models under various distributional assumptions. The results confirm the presence of long memory in conditional variance for two models. In the last part, the presence of long memory in conditional mean and conditional variance is verified using ARFIMA-FIGARCH and ARFIMA-FIAPARCH models. It is also found that long-memory models fare well compared to short-memory models in sample forecast performance.
Characterisation of selected volatile organic compounds in ...
African Journals Online (AJOL)
GCMS), was used to identify volatile compounds at three different temperatures. Fifty volatile compounds, inclusive of 14 acids, 14 alcohols, and 22 esters were identified and quantified in the two brands of indigenous banana beer samples. Only 12 ...
Cost Linkages Transmit Volatility Across Markets
DEFF Research Database (Denmark)
Nguyen, Daniel Xuyen; Schaur, Georg
We present and test a model relating a firm's idiosyncratic cost, its exporting status, and the volatilities of its domestic and export sales. In prior models of trade, supply costs for domestic and exports were linear and thus additively separable. We introduce a nonlinear cost function in order...... to link the domestic and export supply costs. This theoretical contribution has two new implications for the exporting firm. First, the demand volatility in the foreign market now directly affects the firm's domestic sales volatility. Second, firms hedge domestic demand volatility with exports. The model...... has several testable predictions. First, larger firms have lower total and domestic sales volatilities. Second, foreign market volatility increases domestic sales volatilities for exporters. Third, exporters allocate output across both markets in order to reduce total sales volatility. We find...
Modeling the Volatility in Global Fertilizer Prices
P-Y. Chen (Ping-Yu); C-L. Chang (Chia-Lin); C-C. Chen (Chi-Chung); M.J. McAleer (Michael)
2010-01-01
textabstractThe main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels
DEFF Research Database (Denmark)
Babaglou, Kadir G.; Christoffersen, Peter; Heston, Stefen L.
We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A second volatility factor is economically most...... important and improves option fit by 18% on average. A U-shaped pricing kernel improves the option fit by 17% on average, and more so for two-factor models. Fat tails improve option fit by just over 3% on average, and more so when a U-shaped pricing kernel is applied. Our results suggest that the three...
Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels
DEFF Research Database (Denmark)
Babaoglu, Kadir; Christoffersen, Peter; Heston, Steven L.
We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A U-shaped pricing kernel is economically most...... important and improves option fit by 17% on average and more so for two-factor models. A second volatility component improves the option fit by 9% on average. Fat tails improve option fit by just over 4% on average, but more so when a U-shaped pricing kernel is applied. Overall these three model features...
Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels
DEFF Research Database (Denmark)
Babaoglu, Kadir Gokhan; Christoffersen, Peter; Heston, Steven
We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare their contribution to describing returns and option data. All three features lead to statistically significant model improvements. A second volatility factor is economically most...... important and improves option …fit by 18% on average. A U-shaped pricing kernel improves the option fit by 17% on average, and more so for two-factor models. Fat tails improve option …fit by just over 3% on average, and more so when a U-shaped pricing kernel is applied. Our results suggest that the three...
Stochastic Volatility and DSGE Models
DEFF Research Database (Denmark)
Andreasen, Martin Møller
This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...
Financial Globalization and Market Volatility
Cordella, Tito; Ospino Rojas, Anderson
2017-01-01
This paper computes a new financial globalization index for a large sample of countries for 1992-2016. Unlike other measures, the financial globalization index corrects for the heteroscedasticity of global volatility. This leads to a downward adjustment of financial globalization trends for developed, emerging, and frontier markets. The paper also shows that financial globalization reduces...
Time Change, Volatility, and Turbulence
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen
A concept of Volatility Modulated Volterra Processes is introduced. Apart from some brief discussion of generalities, the paper focusses on the special case of backward moving average processes driven by Brownian motion. In this framework, a review is given of some recent modelling of turbulent...
Sealed Planetary Return Canister (SPRC) Project
National Aeronautics and Space Administration — Sample return missions have primary importance in future planetary missions. A basic requirement is that samples be returned in pristine, uncontaminated condition,...
Stegmann, Petra
2008-01-01
Näitus "Fluxus East. Fluxuse võrgustikud Ida-Euroopas" Kumu Kunstimuuseumis, kuraator Petra Stegmann. Fluxuse liikumisest leedu kunstniku Yurgis George Maciunase eestvedamisel. Rühmituse ideoloogiast, liikmete tegevusest. Vilniuses asutatud Jonas Mekase Visuaalkunsti Keskuse poolt omandatud leedu kunstnike töödest, nende uurimisest
Decomposing European bond and equity volatility
DEFF Research Database (Denmark)
Christiansen, Charlotte
The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatilities are analyzed simultaneously. A new model belonging to the "volatilityspillover" family is suggested: The conditio...... (stock) volatilities are mainly influenced by bond (stock) effects. Global, regional, and local volatility effects are all important. The introduction of the euro is associated with a structural break....
Energy Technology Data Exchange (ETDEWEB)
Berk, Istemi [Koeln Univ. (Germany). Energiewirtschaftliches Inst.; Aydogan, Berna [Izmir Univ. of Economics (Turkey). Dept. of International Trade and Finance
2012-09-15
The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (V AR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE- 1 00) returns for the period between January 2, 1990 and November 1, 2011. We have also tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a liquidity proxy variable, Chicago Board of Exchange's (CBOE) S and P 500 market volatility index (VIX), into the model. Variance decomposition test results suggest little empirical evidence that crude oil price shocks have been rationally evaluated in the Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of variation in stock market returns.
Dan Neary; Steven T. Overby; Sally M. Haase
2003-01-01
Prescribed fire was returned into over-stocked ponderosa pine stands on the Mogollon Rim of Arizona for the purpose of restoring fire into the ecosystem and removing fuel buildups. Prescribed fires have been ignited at intervals of 1, 2, 4, 6, 8, and 10 years to determine the best fire return interval for Southwest ponderosa pine ecosystems. Two sites were treated; one...
Frederickx, C; Dekeirsschieter, J; Brostaux, Y; Wathelet, J-P; Verheggen, F J; Haubruge, E
2012-06-10
To evaluate postmortem intervals (PMIs), one should take into account the determined age of necrophagous flies present on the cadaver. However, PMI determination needs further improvement, and rapid and accurate approaches have therefore to be developed. While previous studies have focussed on insect cuticular hydrocarbons, here we explore the volatile profile released by larvae and pupae of Calliphora vicina Robineau-Desvoidy (Diptera: Calliphoridae). We monitored changes in volatile compounds daily, by headspace solid-phase microextraction, followed by gas chromatography-mass spectrometry. Branched and unbranched hydrocarbons, alcohols, esters and acids were identified, and the volatile profile was shown to vary, in both composition and quantity, with the age of the larva/pupa under investigation. We concluded, based on the analysis of the released volatile organic compounds, that it is possible to increase the accuracy of the estimated PMI, through improved estimation of the age of blowflies present on the cadaver. Copyright © 2012 Elsevier Ireland Ltd. All rights reserved.
Sample Return Primer and Handbook
Barrow, Kirk; Cheuvront, Allan; Faris, Grant; Hirst, Edward; Mainland, Nora; McGee, Michael; Szalai, Christine; Vellinga, Joseph; Wahl, Thomas; Williams, Kenneth;
2007-01-01
This three-part Sample Return Primer and Handbook provides a road map for conducting the terminal phase of a sample return mission. The main chapters describe element-by-element analyses and trade studies, as well as required operations plans, procedures, contingencies, interfaces, and corresponding documentation. Based on the experiences of the lead Stardust engineers, the topics include systems engineering (in particular range safety compliance), mission design and navigation, spacecraft hardware and entry, descent, and landing certification, flight and recovery operations, mission assurance and system safety, test and training, and the very important interactions with external support organizations (non-NASA tracking assets, landing site support, and science curation).
A Markov switching model of the conditional volatility of crude oil futures prices
Energy Technology Data Exchange (ETDEWEB)
Fong, Wai Mun; See, Kim Hock [Department of Finance and Accounting, National University of Singapore, 119260 Kent Ridge Cresent (Singapore)
2002-01-01
This paper examines the temporal behaviour of volatility of daily returns on crude oil futures using a generalised regime switching model that allows for abrupt changes in mean and variance, GARCH dynamics, basis-driven time-varying transition probabilities and conditional leptokurtosis. This flexible model enables us to capture many complex features of conditional volatility within a relatively parsimonious set-up. We show that regime shifts are clearly present in the data and dominate GARCH effects. Within the high volatility state, a negative basis is more likely to increase regime persistence than a positive basis, a finding which is consistent with previous empirical research on the theory of storage. The volatility regimes identified by our model correlate well with major events affecting supply and demand for oil. Out-of-sample tests indicate that the regime switching model performs noticeably better than non-switching models regardless of evaluation criteria. We conclude that regime switching models provide a useful framework for the financial historian interested in studying factors behind the evolution of volatility and to oil futures traders interested short-term volatility forecasts.
Formation Of Volatile And Non-Volatile Compounds In Cheese
Directory of Open Access Journals (Sweden)
Caglar Mert Aydin
2017-09-01
Full Text Available Flavour development in cheese is a complex process in which major catabolic pathways involved. Initially the curds of different cheese varieties have almost the same flavours however the curd produce flavour compounds which lead to discrimination among cheese verities in terms of flavour throughout ripening. The major biochemical pathways involved throughout ripening of cheese are the followings liberation of FFA free fatty acid associated catabolic reactions the degradation of the casein matrix to peptides and FAA free amino acids the reactions for catabolism of FAA and the metabolism of lactate and citrate. In this review the general pathway for formation of volatile and non-volatile flavour compounds are stated and detailed knowledge as to products of amino acid catabolism proteolysis lipolysis lactate and citrate metabolism well discussed.
Market Returns and Weak-Form Efficiency: the case of the Ghana Stock Exchange
Frimpong, Joseph Magnus; Oteng-Abayie, Eric Fosu
2007-01-01
This paper examines the weak-form efficient market hypothesis (EMH) in the case of the Ghana Stock Exchange (GSE) an emerging market. Daily returns from the Databank Stock Index (DSI) over a 5-year period 1999-2004 were used for the exercise. Random walk (RW) and GARCH(1,1) models are used as the basis for our analysis. The GSE DSI returns series exhibit volatility clustering, an indication of inefficiency on the GSE. The weak-form efficient market (random walk) hypothesis was rejected for t...
Updating representations of temporal intervals.
Danckert, James; Anderson, Britt
2015-12-01
Effectively engaging with the world depends on accurate representations of the regularities that make up that world-what we call mental models. The success of any mental model depends on the ability to adapt to changes-to 'update' the model. In prior work, we have shown that damage to the right hemisphere of the brain impairs the ability to update mental models across a range of tasks. Given the disparate nature of the tasks we have employed in this prior work (i.e. statistical learning, language acquisition, position priming, perceptual ambiguity, strategic game play), we propose that a cognitive module important for updating mental representations should be generic, in the sense that it is invoked across multiple cognitive and perceptual domains. To date, the majority of our tasks have been visual in nature. Given the ubiquity and import of temporal information in sensory experience, we examined the ability to build and update mental models of time. We had healthy individuals complete a temporal prediction task in which intervals were initially drawn from one temporal range before an unannounced switch to a different range of intervals. Separate groups had the second range of intervals switch to one that contained either longer or shorter intervals than the first range. Both groups showed significant positive correlations between perceptual and prediction accuracy. While each group updated mental models of temporal intervals, those exposed to shorter intervals did so more efficiently. Our results support the notion of generic capacity to update regularities in the environment-in this instance based on temporal information. The task developed here is well suited to investigations in neurological patients and in neuroimaging settings.
Uncertain Educational Returns in a Developing Economy
Mohapatra, Sandeep; Luckert, Martin K.
2012-01-01
This paper estimates the distribution of educational returns by gender for India. While previous studies focus on mean returns, the variance of educational returns has important implications for policy-making and micro-level decision making with respect to education. If the variance of educational returns is large, it can leave large sections of…
Managing Product Returns: The Role of Forecasting
B. Toktay; E.A. van der Laan (Erwin); M.P. de Brito (Marisa)
2003-01-01
textabstractIn this article, we discuss ways of actively influencing product returns and we review data-driven methods for forecasting return flows that exploit the fact that future returns are a function of past sales. In particular we assess the value of return forecasting at an operational level,
Language Skills and Economic Returns
Garrouste, Christelle
2008-01-01
This article focuses on the contributions from the emerging positivist epistemological approach, endorsed by the economics of language and the economics of education, to study the returns to language skills, assuming that language competencies constitute key components of human capital. It presents initial results from a study on economic returns…
Uncertain return to southern Sudan
Directory of Open Access Journals (Sweden)
Graham Wood
2006-05-01
Full Text Available Western Equatoria is a focal point for Sudanese refugees returning from neighbouring Uganda, the Central African Republic and the Democratic Republic of the Congo. Arriving with very little, they inevitably compound the poverty of their hosts. Without greater sensitivity, aid could exacerbate deep divisions.
Breastfeeding and returning to work
Public Health Agency
2010-01-01
This leaflet aims to encourage breastfeeding mothers to continue breastfeeding after they have returned to work. It highlights the benefits of continuing to breastfeed, sets out the options for combining breastfeeding and work, explains the rights breastfeeding mothers have to support from their employer, and outlines what facilities and equipment mothers will need to express milk at work.
How to Organise Return Handling
M.B.M. de Koster (René); M. van de Vendel; M.P. de Brito (Marisa)
2001-01-01
textabstractAlready for a long time retailers take back products. In this paper we explore the factors contributing to the decision of combining vs. separating inbound and outbound flows during the return handling process. We do so through a comparative analysis of the operations in nine retailer
Return migration of foreign students
Bijwaard, G.E.; Wang, Qi
2013-01-01
Using unique administrative micro panel data, this paper presents a comprehensive empirical analysis of the return of recent foreign students in The Netherlands. The life course experiences of these students in the host, both on the labour market and in marriage formation, impact their decision to
BOUSALAM, Issam; HAMZAOUI, Moustapha
2016-01-01
Despite the increasing attention given to Islamic investment, there is still existing few empirical papers that examined the performance and volatility of Islamic Funds and indices in comparison to their conventional unscreened counterparts. These studies provide mixed evidence with regards to risk and returns of Islamic funds and indices. This paper aims to expand the literature on this subject by studying the Moroccan case considering the recent introduction of Islamic finance in the countr...
Haemostatic reference intervals in pregnancy
DEFF Research Database (Denmark)
Szecsi, Pal Bela; Jørgensen, Maja; Klajnbard, Anna
2010-01-01
Haemostatic reference intervals are generally based on samples from non-pregnant women. Thus, they may not be relevant to pregnant women, a problem that may hinder accurate diagnosis and treatment of haemostatic disorders during pregnancy. In this study, we establish gestational age-specific refe......Haemostatic reference intervals are generally based on samples from non-pregnant women. Thus, they may not be relevant to pregnant women, a problem that may hinder accurate diagnosis and treatment of haemostatic disorders during pregnancy. In this study, we establish gestational age......-specific reference intervals for coagulation tests during normal pregnancy. Eight hundred one women with expected normal pregnancies were included in the study. Of these women, 391 had no complications during pregnancy, vaginal delivery, or postpartum period. Plasma samples were obtained at gestational weeks 13......-20, 21-28, 29-34, 35-42, at active labor, and on postpartum days 1 and 2. Reference intervals for each gestational period using only the uncomplicated pregnancies were calculated in all 391 women for activated partial thromboplastin time (aPTT), fibrinogen, fibrin D-dimer, antithrombin, free protein S...
Interval matrices: Regularity generates singularity
Czech Academy of Sciences Publication Activity Database
Rohn, Jiří; Shary, S.P.
2018-01-01
Roč. 540, 1 March (2018), s. 149-159 ISSN 0024-3795 Institutional support: RVO:67985807 Keywords : interval matrix * regularity * singularity * P-matrix * absolute value equation * diagonally singilarizable matrix Subject RIV: BA - General Mathematics Impact factor: 0.973, year: 2016
Robust misinterpretation of confidence intervals
Hoekstra, R.; Morey, R.D.; Rouder, J.N.; Wagenmakers, E.-J.
2014-01-01
Null hypothesis significance testing (NHST) is undoubtedly the most common inferential technique used to justify claims in the social sciences. However, even staunch defenders of NHST agree that its outcomes are often misinterpreted. Confidence intervals (CIs) have frequently been proposed as a more
Forecasting volatility of crude oil markets
Energy Technology Data Exchange (ETDEWEB)
Kang, Sang Hoon [Department of Business Administration, Gyeongsang National University, Jinju, 660-701 (Korea); Kang, Sang-Mok; Yoon, Seong-Min [Department of Economics, Pusan National University, Busan, 609-735 (Korea)
2009-01-15
This article investigates the efficacy of a volatility model for three crude oil markets - Brent, Dubai, and West Texas Intermediate (WTI) - with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we assess persistence in the volatility of the three crude oil prices using conditional volatility models. The CGARCH and FIGARCH models are better equipped to capture persistence than are the GARCH and IGARCH models. The CGARCH and FIGARCH models also provide superior performance in out-of-sample volatility forecasts. We conclude that the CGARCH and FIGARCH models are useful for modeling and forecasting persistence in the volatility of crude oil prices. (author)
Childhood income volatility and adult outcomes.
Hardy, Bradley L
2014-10-01
Using data linked across generations in the Panel Study of Income Dynamics, I estimate the relationship between exposure to volatile income during childhood and a set of socioeconomic outcomes in adulthood. The empirical framework is an augmented intergenerational income mobility model that includes controls for income volatility. I measure income volatility at the family level in two ways: (1) instability as measured by squared deviations around a family-specific mean; and (2) instability as percentage changes of 25 % or more. Volatility enters the model both separately and interacted with income level. I find that family income volatility during childhood has a modest negative association with educational attainment. Volatility has a smaller descriptive role in explaining intergenerational outcomes relative to permanent income. Across the income distribution, the negative association between volatility exposure and educational attainment is largest for young adults from moderate-income families.
Directory of Open Access Journals (Sweden)
Dahiru A. Bala
2017-03-01
Full Text Available This paper investigates stock returns volatility spillovers in emerging and developed markets (DMs using multivariate-GARCH (MGARCH models and their variants. In addition, we analyse the impacts of global financial crisis (2007–2009 on stock market volatility interactions and modify the BEKK-MGARCH-type models by including financial crisis dummies to assess their impact on volatilities and spillovers. Major findings reveal that correlations among emerging markets (EMs are lower compared with correlations among DMs and increase during financial crises. Furthermore, we detect evidence of volatility spillovers and observe that own-volatility spillovers are higher than cross-volatility spillovers for EMs suggesting that shocks have not been substantially transmitted among EMs compared to DMs. We also find significant asymmetric behaviour in DMs while weak evidence is detected for EMs. Finally, the DCC-with-skewed-t density model provided improved diagnostics compared to other models partly due to its taking into account fat tails and skewed features often present in financial returns.
Volatility Clustering and Scaling for Financial Time Series due to Attractor Bubbling
Krawiecki, A.; Hołyst, J. A.; Helbing, D.
2002-09-01
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time heat bath dynamics, similar to random Ising systems. The interactions between agents change randomly in time. In the thermodynamic limit, the obtained time series of price returns show chaotic bursts resulting from the emergence of attractor bubbling or on-off intermittency, resembling the empirical financial time series with volatility clustering. For a proper choice of the model parameters, the probability distributions of returns exhibit power-law tails with scaling exponents close to the empirical ones.
Daily value-at-risk modeling and forecast evaluation: The realized volatility approach
Directory of Open Access Journals (Sweden)
Zhen Yao Wong
2016-09-01
Full Text Available One of the main applications of conditional volatility modeling and forecasting of financial assets is the value-at-risk (VaR estimation that is used by financial institutions for reporting the daily capital in risk. It remains a question on whether realized volatility (RV models that incorporate the use of intraday data produce better VaR forecasts compared to methodologies that are based solely on daily returns. This study provides extensive comparison of out-of-sample volatility and VaR forecast performance on three equity market indices: S&P500, FTSE100, and DAX30 using 13 risk models that consist of 5 GARCH specifications, 4 ARFIMAX specifications and 4 HARX specifications. The out-of-sample volatility forecasts are evaluated by various loss functions and simple scoring procedures in order to identity the model that produces the overall best volatility forecasts. For VaR forecasts, the models are evaluated using a two-stage backtesting procedure where the models undergo unconditional and conditional coverage tests to eliminate underperforming models and the qualified models are then evaluated using the quadratic probability score (QPS function that is computed based on various VaR loss functions. The results showed that RV models outperform GARCH models for volatility forecasts, but a simple EGARCH model outperforms the rest models for most of the VaR forecasts. The results also indicated that capturing the asymmetric behavior of volatility dynamics is essential for accurate volatility and VaR forecasts. The findings of this study provide useful information for market risk regulation, financial risk management and further investigations such as extension to derivative markets and options pricing.
Directory of Open Access Journals (Sweden)
Mathius Tandiontong
2017-03-01
Full Text Available Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterminvestments to be able to provide added value and the risk for fixed income. This study focused on thedifference of APTM versus CAPM, and it also focused on the sensitivity of the APTM on the stock returns. Thisstudy was based on the assumption that: there were differences in sectoral stock return volatility, volatility ofmarket risk factors, and macroeconomic risks affecting sectoral differences in the sensitivity of stock returns;there were differences in the results of testing the validity, robustness unconditional CAPM and APTMmultifactorial; and time-varying volatility referring to the phenomena of structural breaks and asymmetriceffect. The method of analysis used nested models with panel data. Data were analyzed by using secondary datafrom 2005-2012. The results of this study concluded that: there was no different sensitivity of stock returnsacross sectors, but there was different insensitivity between systematic risk factors, CAPM and APTM multifactorthat showed the inconsistency of the sectoral shares, but the proven model of unconditional CAPM wasvalid; the difference of factor risk premiums was as a result of the structural break, the financial crisis period of2008 within the period 2005-2012.
DEFF Research Database (Denmark)
Nolte, Ingmar; Voev, Valeri
The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for a joint inference on integrated volatility (IV), noise moments and price-noise relations. In the iid noise...... case we derive the asymptotic variance of the regression parameter estimating the IV, show that it is consistent and compare its asymptotic efficiency against alternative consistent IV measures. In case of noise which is correlated with the efficient return process, we postulate a new "asymptotically...... increasing" type of dependence and analyze its ability to cope with the empirically observed price-noise dependence in quote data. In the empirical section of the paper we apply the LS methodology to estimate the integrated volatility as well as the noise properties of 25 liquid stocks both with midquote...
DEFF Research Database (Denmark)
Dorn, Jochen
on Forex, interest rates and commodities. If an investor positions himself on the (volatility) market within a long/short trading framework, he typically bets on a traditional mispricing arbitrage. However as this corresponds to a call spread with equal exercise prices, this strategy alone would......This article aims to shed a light on innovative fund management concepts which emerged after the crisis. Two main strategies seem to dominate the financial turmoil: Absolute return concepts and long/short trading techniques. While there already exists exhaustive literature on absolute return...... concepts, next to nothing is known about position reverting strategies and how, and -even more important- in which context they are applied in practice. In the recent market downturn only one sector generated significant profits for the leading investment banks: Volatility trading activities, namely...
Remanufacturing lot-sizing under alternative perceptions of returned units' quality
Directory of Open Access Journals (Sweden)
Zikopoulos, C.
2012-01-01
Full Text Available One of the critical parameters in reverse supply chain management is the increased variability of the quality condition of used, returned products. The volatile nature of returns' quality often dictates the establishment of quality assessment procedures and the development of technologies that facilitate the fast, accurate and inexpensive classification of returns. The appropriate degree in which a firm has to allocate resources for acquiring information on the quality of returned units, naturally, depends on the anticipated improvement of recovery activities' profitability. Therefore, the quantification of the savings associated with confronting or resolving quality uncertainty is a necessary input during the determination of the proper recovery procedures' configuration. In the current paper, we study a remanufacturing system in a multi-period setting in which returns' quality information is exploited during remanufacturing planning. However, in the decision-making process, certain aspects of the problem examined, such as the quantification of shortage cost, are overlooked or simplified. The objective is to examine the advisability of acquiring advanced quality information in order to be used during sub-optimal decision-making processes, in comparison with alternative policies which do not take explicitly into account returns' quality information. Moreover, through an extensive numerical analysis we examine the implications of alternative considerations regarding returned units' quality on remanufacturing planning, lead-time and service-levels and evaluate their impact on the overall system operational cost.
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
Czech Academy of Sciences Publication Activity Database
Žikeš, F.; Baruník, Jozef
2016-01-01
Roč. 14, č. 1 (2016), s. 185-226 ISSN 1479-8409 R&D Projects: GA ČR GA13-32263S EU Projects: European Commission 612955 - FINMAP Institutional support: RVO:67985556 Keywords : conditional quantiles * quantile regression * realized measures * value-at-risk Subject RIV: AH - Economics Impact factor: 1.800, year: 2016 http://library.utia.cas.cz/separaty/2014/E/barunik-0434200.pdf
Brounen, Dirk; Kok, N.; Ling, D.C.
2012-01-01
The shareholder composition of listed property companies has changed from the fragmented, retail ownership, to more concentrated, institutional ownership over the past decade. In this paper, we first document significant variation in the composition of the shareholder base across the world's five
Nikica Budimir; Jill Slay
2007-01-01
The research reported in this paper introduces new techniques to aid in the identification of recovered notebook computers so they may be returned to the rightful owner. We identify non-volatile data storage areas as a means of facilitating the safe storing of computer identification information. A forensic proof of concept tool has been designed to test the feasibility of several storage locations identified within this work to hold the data needed to uniquely identify a computer. The tool w...
Haemostatic reference intervals in pregnancy
DEFF Research Database (Denmark)
Szecsi, Pal Bela; Jørgensen, Maja; Klajnbard, Anna
2010-01-01
-specific reference intervals for coagulation tests during normal pregnancy. Eight hundred one women with expected normal pregnancies were included in the study. Of these women, 391 had no complications during pregnancy, vaginal delivery, or postpartum period. Plasma samples were obtained at gestational weeks 13...... protein S was stable. Gestational age-specific reference values are essential for the accurate interpretation of a subset of haemostatic tests during pregnancy, delivery, and puerperium.......Haemostatic reference intervals are generally based on samples from non-pregnant women. Thus, they may not be relevant to pregnant women, a problem that may hinder accurate diagnosis and treatment of haemostatic disorders during pregnancy. In this study, we establish gestational age...
12 CFR 210.12 - Return of cash items and handling of returned checks.
2010-01-01
... returned check that the returned check bears all indorsements applied by parties that previously handled... liability of Reserve Bank. (1) The following provisions apply when a Reserve Bank handles a returned check... sends the returned check that the returned check bears all indorsements applied by parties that...
Stochastic volatility models and Kelvin waves
Lipton, Alex; Sepp, Artur
2008-08-01
We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.
Philopatry: A return to origins
Pearce, John M.
2007-01-01
The word “philopatry” is a combination of the prefix philo (from the Greekphilos, “beloved”) and the Latin patria, which means “fatherland” or “homeland.” Since the first English-language use of “philopatry” in an ornithological context by Huntington (1951), the term has been applied to two types of site-faithful behavior in birds. Closest to the etymological meaning is the first, “natal philopatry,” which means not dispersing far from, or returning to, a birthplace for reproduction. The second is “breeding philopatry,” which means returning to the same breeding area each year, though that area may not be an individual’s birth place (Shields 1982, Anderson et al. 1992). Therefore, any assessment of breeding philopatry likely includes some immigrant individuals, whereas assessments of natal philopatry include only locally hatched or born individuals.
Hebisz, Rafal; Borkowski, Jacek; Zatoń, Marek
2016-01-01
Abstract The aim of this study was to determine differences in glycolytic metabolite concentrations and work output in response to an all-out interval training session in 23 cyclists with at least 2 years of interval training experience (E) and those inexperienced (IE) in this form of training. The intervention involved subsequent sets of maximal intensity exercise on a cycle ergometer. Each set comprised four 30 s repetitions interspersed with 90 s recovery periods; sets were repeated when blood pH returned to 7.3. Measurements of post-exercise hydrogen (H+) and lactate ion (LA-) concentrations and work output were taken. The experienced cyclists performed significantly more sets of maximal efforts than the inexperienced athletes (5.8 ± 1.2 vs. 4.3 ± 0.9 sets, respectively). Work output decreased in each subsequent set in the IE group and only in the last set in the E group. Distribution of power output changed only in the E group; power decreased in the initial repetitions of set only to increase in the final repetitions. H+ concentration decreased in the third, penultimate, and last sets in the E group and in each subsequent set in the IE group. LA- decreased in the last set in both groups. In conclusion, the experienced cyclists were able to repeatedly induce elevated levels of lactic acidosis. Power output distribution changed with decreased acid–base imbalance. In this way, this group could compensate for a decreased anaerobic metabolism. The above factors allowed cyclists experienced in interval training to perform more sets of maximal exercise without a decrease in power output compared with inexperienced cyclists. PMID:28149346
Returns to schooling in Uruguay
Graciela Sanromán
2006-01-01
In this paper we analyze the economic returns to schooling in Uruguay. Instrumental variables are used to estimate mean and quantile regressions. An indicator of whether an Internet connection is available at home is used as an instrument for the years of schooling of the household head. The evidence shows that the simple Mincer OLS estimates are downward biased. When estimates are controlled for measurement error in schooling reports the results indicate that an additional year of schooling ...
Increasing Returns and Economic Geography.
Krugman, Paul
1991-01-01
This paper develops a two-region, two-sector general equilibriun model of location. The location of agricultural production is fixed, but ionopolistcally competitive manufacturing finns choose their location to maximize profits. If transportation costs are high, returns to scale weak, and the share of spending on manufactured goods low, the incentive to produce close to the market leads to an equal division of manufacturing between the regions. With lower transport costs, stronger scale econo...
Righter, K.; Danielson, L.; Pando, K. M.; Marin, N.; Nickodem, K.
2015-01-01
Origin of Earth's volatiles has traditionally been ascribed to late accretion of material after major differentiation events - chondrites, comets, ice or other exogenous sources. A competing theory is that the Earth accreted its volatiles as it was built, thus water and other building blocks were present early and during differentiation and core formation (indigenous). Here we discuss geochemical evidence from three groups of elements that suggests Earth's volatiles were acquired during accretion and did not require additional sources after differentiation.
Implied adjusted volatility functions: Empirical evidence from Australian index option market
Harun, Hanani Farhah; Hafizah, Mimi
2015-02-01
This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is investigated in the context of Standard and Poor/Australian Stock Exchange (S&P/ASX) 200 index options over the course of 2001-2010, which covers the global financial crisis in the mid-2007 until the end of 2008. Both in- and out-of-sample resulted in approximately similar pricing error along the different Leland models. Results indicate that symmetric and asymmetric models of both moneyness ratio and logarithmic transformation of moneyness provide the overall best result in both during and post-crisis periods. We find that in the different period of interval (pre-, during and post-crisis) is subject to a different implied adjusted volatility function which best explains the index options. Hence, it is tremendously important to identify the intervals beforehand in investigating the implied adjusted volatility function.
INTERVAL OBJECTS AND THEIR GRAMMATICAL STRUCTURE
Directory of Open Access Journals (Sweden)
V. M. Ilman
2009-09-01
Full Text Available In the article the structures of free interval objects and formal interval grammar are constructed. The grammar structure takes into account the condition of interval compatibility in the chain constructions of language generated.
Delta hedged option valuation with underlying non-Gaussian returns
Moriconi, L.
2007-07-01
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the market stochastic dynamics, allowing us to write and formally solve the generalized Black-Scholes equation implied by dynamical hedging. A systematic expansion around a non-perturbative starting point is then implemented, recovering the Matacz's conjectured option pricing expression. We perform an application of our formalism to the real stock market and find clear evidence that while past financial time series can be used to evaluate option prices before the expiry date with reasonable accuracy, the stochastic character of volatility is an essential ingredient that should necessarily be taken into account in analytical option price modeling.
DEFF Research Database (Denmark)
Nielsen, Thor Pajhede
and realized losses. However, as pointed out in the literature, see Christoffersen and Pelletier (2004), these aforementioned tests suffer from low rejection frequencies, or (empirical) power when applied to hit-sequences derived from simulations matching empirical stylized characteristics of return data. One......Testing the validity of Value-at-Risk (VaR) forecasts, or backtesting, is an integral part of modern market risk management and regulation. This is often done by applying independence and coverage tests developed in Christoffersen (1998) to so-called hit-sequences derived from VaR forecasts...... key observation of the studies is that higher order dependence in the hit-sequences may cause the observed lower power performance. We propose to generalize the backtest framework for Value-at-Risk forecasts, by extending the original first order dependence of Christoffersen (1998) to allow...
Statistical intervals a guide for practitioners
Hahn, Gerald J
2011-01-01
Presents a detailed exposition of statistical intervals and emphasizes applications in industry. The discussion differentiates at an elementary level among different kinds of statistical intervals and gives instruction with numerous examples and simple math on how to construct such intervals from sample data. This includes confidence intervals to contain a population percentile, confidence intervals on probability of meeting specified threshold value, and prediction intervals to include observation in a future sample. Also has an appendix containing computer subroutines for nonparametric stati
Return to Sport After Anterior Cruciate Ligament Reconstruction in the Skeletally Immature Athlete.
Chicorelli, Anne M; Micheli, Lyle J; Kelly, Michael; Zurakowski, David; MacDougall, Robert
2016-07-01
Determine the percentage of skeletally immature athletes returning to sports after anterior cruciate ligament (ACL) injury and reconstruction. Retrospective case series. Boston Children's Hospital Division of Sports Medicine. Eligible participants were identified by chart review. Males and females aged ≤14 year old who were greater than 2 years after ACL reconstruction surgery seen between January 2001 and May 2009. A total of 250 patients completed the questionnaires. Age, sex, mechanism, and sport played at time of ACL injury. Response to the survey was 75% (250 of 333) which was analyzed using descriptive statistics to provide a summary of the study cohort. Kaplan-Meier survivorship analysis was applied to determine time to return to sports participation after ACL reconstruction with Greenwood formula used to calculate 95% confidence intervals around the estimated percentage returning at 6, 9, 12, 18, and 24-month follow-up. After undergoing ACL reconstruction, 96% of skeletally immature athletes are able to return to sports at the same skill level. Median time to return to sports was 9 months postoperative, with most athletes returning to sports (85%) by 12 months. After undergoing ACL reconstruction, most child athletes are able to return to sports and 50% of these athletes return within 9 months after surgery. After undergoing ACL reconstruction, 96% of athletes ≤14 year old are able to return to sports at the same skill level. Median time to return to sports was 9 months postoperative, with most athletes returning to sports (85%) by 12 months. In our study, patients cited physical limitation, loss of interest in sport, and fear of reinjury as reasons for not returning to previous level of sport. Return to sport may be improved by additional research into sports-specific training and rehabilitation in this cohort.
Rhythmic emission of floral volatiles from Rosa damascena semperflorens cv. 'Quatre Saisons'.
Picone, Joanne M; Clery, Robin A; Watanabe, Naoharu; MacTavish, Hazel S; Turnbull, Colin G N
2004-07-01
The control of rhythmic emission of floral volatiles emitted from Rosa damascena semperflorens cv. 'Quatre Saisons' throughout floral development under various light regimes was studied. 2-Phenylethanol was the major volatile emitted in addition to monoterpenols, oxidised monoterpenols, monoterpenes and aromatic compounds. All detected volatiles were emitted rhythmically, with maximum peaks coinciding 8-10 h into a 12-h photoperiod. For some compounds a secondary, nocturnal peak was apparent. The primary and secondary maxima both occurred at approximately 24-h intervals. Rhythms appeared to be regulated endogenously: rhythmic emission continued upon exposure to continuous light or continuous darkness, and a phase shift in emission was induced upon inversion of the photoperiod. Additionally, emission continued after flower excision. A similar profile of free volatiles was stored within the floral tissue, together with glycosidic forms of 2-phenylethanol (>99% beta-D-glucoside), benzyl alcohol, citronellol and geraniol. Regression analysis indicated a significant decrease in glycosylated 2-phenylethanol through the photoperiod. These results suggest that glycosylated volatiles stored within petals may be a source of rhythmically emitted volatiles.
Directory of Open Access Journals (Sweden)
Álisson Vanin
2013-04-01
Full Text Available The objective of this study was to measure ammonia volatilization from surface application of pig slurry, poultry litter, urea and no fertilization. An experiment was conducted in a randomized block design, in plots repeated over time, with four treatments and four replications. The fertilizers tested were: mineral fertilizer (70 kg ha-1 N, 100 kg ha-1 P2O5 and 30 kg ha-1 of K2O, as urea, triple superphosphate and potassium chloride, respectively, pig slurry (200 m³ ha-1 applied in November 2008 and 200 m³ ha-1 applied in April 2009 and poultry litter (10 t ha-1 applied in November 2008 and 10 t ha-1 applied in April 2009. Five evaluations were performed with 24-hour intervals. Foams were used with glycerin and sulfuric acid, internally fixed in PET bottles for collecting ammonia. After collected, the samples were sent to the laboratory to determine volatilized ammonia levels by the semi-micro Kjedahl distillation method. Fertilization with chicken litter had lower ammonia volatilization in relation to urea and pig slurry. Most of the ammonia volatilization from pig slurry occurred within 48 hours after application, totaling losses of 630 g kg-1 of a total of 8.25 kg ha-1 of volatilized ammonia. The biggest loss by ammonia volatilization was from fertilization with urea, totaling approximately 80 g kg-1 of N applied.
Transparency and stock price volatility: european evidence
Vieira, Elisabete F. Simões; Pinho, Joaquim Carlos da Costa
2007-01-01
This paper studies the key determinants of the information transparency and its consequences for the market, namely in what concerns the stock price volatility, analysing the disclosure practices of two European countries. A transparency and a volatility model are applied. Based on annual reports information, we could not find any significant relationship between transparency and volatility. However, considering the quarterly reports, we find a negative relation between these variables for th...
Volatile compounds profile of Bromeliaceae flowers
SOUZA, Everton Hilo de; Massarioli, Adna P; Moreno, Ivani A. M.; Souza, Fernanda V. D.; Ledo, Carlos A.S.; Severino M de Alencar; Martinelli,Adriana P.
2016-01-01
Volatile compounds play a vital role in the life cycle of plants, possessing antimicrobial and anti-herbivore activities, and with a significant importance in the food, cosmetic, chemical, and pharmaceutical industry. This study aimed to identify the volatile compounds emitted by flowers of thirteen species belonging to four genera of Bromeliaceae, using headspace solid-phase micro-extraction and detection by gas chromatography-mass spectrometry. A total of 71 volatile compounds belonging to ...
Volatiles and Exsolved Vapor in Volcanic Systems
Edmonds, Marie; Wallace, PJ
2017-01-01
The role of volatiles in magma dynamics and eruption style is fundamental. Magmatic volatiles partition between melt, crystal, and vapor phases and, in so doing, change magma properties. This has consequences for magma buoyancy and phase equilibria. An exsolved vapor phase, which may be distributed unevenly through reservoirs, contains sulfur and metals that are either transported into the atmosphere or into ore deposits. This article reviews the controls on volatile solubility and the method...
Identify and Manage the Software Requirements Volatility
Khloud Abd Elwahab; Mahmoud Abd EL Latif; Sherif Kholeif
2016-01-01
Management of software requirements volatility through development of life cycle is a very important stage. It helps the team to control significant impact all over the project (cost, time and effort), and also it keeps the project on track, to finally satisfy the user which is the main success criteria for the software project. In this research paper, we have analysed the root causes of requirements volatility through a proposed framework presenting the requirements volatility causes and how...
Did household consumption become more volatile?
Gorbachev, O.
2011-01-01
I show that after accounting for predictable variation arising from movements in real interest rates, preferences and income shocks, liquidity constraints and measurement errors, volatility of household consumption in the US increased by 25 percent between 1970 and 2004. The increase was lower than that of volatility of family income. Nonwhite and those with less than 13 years of education, for whom there was no differential increase in income volatility, experienced a significantly larger in...
Volatile organic compound sensor system
Schabron, John F.; Rovani, Jr., Joseph F.; Bomstad, Theresa M.; Sorini-Wong, Susan S.; Wong, Gregory K.
2011-03-01
Generally, this invention relates to the development of field monitoring methodology for new substances and sensing chemical warfare agents (CWAs) and terrorist substances. It also relates to a portable test kit which may be utilized to measure concentrations of halogenated volatile organic compounds (VOCs) in the field. Specifically it relates to systems for reliably field sensing the potential presence of such items while also distinguishing them from other elements potentially present. It also relates to overall systems and processes for sensing, reacting, and responding to an indicated presence of such substance, including modifications of existing halogenated sensors and arrayed sensing systems and methods.
Volatiles Which Increase Magma Viscosity
Webb, S.
2015-12-01
The standard model of an erupting volcano is one in which the viscosity of a decompressing magma increases as the volatiles leave the melt structure to form bubbles. It has now been observed that the addition of the "volatiles" P, Cl and F result in an increase in silicate melt viscosity. This observation would mean that the viscosity of selected degassing magmas would decrease rather than increase. Here we look at P, Cl and F as three volatiles which increase viscosity through different structural mechanisms. In all three cases the volatiles increase the viscosity of peralkaline composition melts, but appear to always decrease the viscosity of peraluminous melts. Phosphorus causes the melt to unmix into a Na-P rich phase and a Na-poor silicate phase. Thus as the network modifying Na (or Ca) are removed to the phosphorus-rich melt, the matrix melt viscosity increases. With increasing amounts of added phosphorus (at network modifying Na ~ P) the addition of further phosphorus causes a decrease in viscosity. The addition of chlorine to Fe-free aluminosilicate melts results in an increase in viscosity. NMR data on these glass indicates that the chlorine sits in salt-like structures surrounded by Na and/or Ca. Such structures would remove network-modifying atoms from the melt structure and thus result in an increase in viscosity. The NMR spectra of fluorine-bearing glasses shows that F takes up at least 5 different structural positions in peralkaline composition melts. Three of these positions should result in a decrease in viscosity due to the removal of bridging oxygens. Two of the structural positons of F, however, should result in an increase in viscosity as they require the removal of network-modifying atoms from the melt structure (with one of the structures being that observed for Cl). This would imply that increasing amounts of F might result in an increase in viscosity. This proposed increase in viscosity with increasing F has now been experimentally confirmed.
Volatile organic compound sensor system
Schabron, John F [Laramie, WY; Rovani, Jr., Joseph F.; Bomstad, Theresa M [Laramie, WY; Sorini-Wong, Susan S [Laramie, WY
2009-02-10
Generally, this invention relates to the development of field monitoring methodology for new substances and sensing chemical warfare agents (CWAs) and terrorist substances. It also relates to a portable test kit which may be utilized to measure concentrations of halogenated volatile organic compounds (VOCs) in the field. Specifically it relates to systems for reliably field sensing the potential presence of such items while also distinguishing them from other elements potentially present. It also relates to overall systems and processes for sensing, reacting, and responding to an indicated presence of such substance, including modifications of existing halogenated sensors and arrayed sensing systems and methods.
Volatile Constituents of Zhumaria Majdae
Directory of Open Access Journals (Sweden)
Yazdanparst
1993-07-01
Full Text Available Capillary gas chromatography mass spectrometry (GC- MS analyses of a sample of essential oil of zhumaria Linalool ned by simple water distillation of the pulverized air - dired leaves and flowers of the plant indicated that Linalool and comphor are the two major constituents of the volatile oil. Sylvestrene , y -terpinene, a- Pinene, b - carene, camphene, and Epiborneol constitute the other main components of the essential oil. The GC - MS chromatogram indicated the presence of more than fifty - components in the oil, most of them were present in trace amounts. In this study, the chemical structures of twenty of these consti tuents were elucidated using GC - MS analysis.
DEFF Research Database (Denmark)
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri
We introduce a multivariate GARCH model that utilizes and models realized measures of volatility and covolatility. The realized measures extract information contained in high-frequency data that is particularly beneficial during periods with variation in volatility and covolatility. Applying...
Variational collocation on finite intervals
Energy Technology Data Exchange (ETDEWEB)
Amore, Paolo [Facultad de Ciencias, Universidad de Colima, Bernal DIaz del Castillo 340, Colima, Colima (Mexico); Cervantes, Mayra [Facultad de Ciencias, Universidad de Colima, Bernal DIaz del Castillo 340, Colima, Colima (Mexico); Fernandez, Francisco M [INIFTA (Conicet, UNLP), Diag. 113 y 64 S/N, Sucursal 4, Casilla de Correo 16, 1900 La Plata (Argentina)
2007-10-26
In this paper, we study a set of functions, defined on an interval of finite width, which are orthogonal and which reduce to the sinc functions when the appropriate limit is taken. We show that these functions can be used within a variational approach to obtain accurate results for a variety of problems. We have applied them to the interpolation of functions on finite domains and to the solution of the Schroedinger equation, and we have compared the performance of the present approach with others.
Dijets at large rapidity intervals
Pope, B G
2001-01-01
Inclusive diet production at large pseudorapidity intervals ( Delta eta ) between the two jets has been suggested as a regime for observing BFKL dynamics. We have measured the dijet cross section for large Delta eta in pp collisions at square root s = 1800 and 630 GeV using the DOE detector. The partonic cross section increases strongly with the size of Delta eta . The observed growth is even stronger than expected on the basis of BFKL resummation in the leading logarithmic approximation. The growth of the partonic cross section can be accommodated with an effective BFKL intercept of alpha /sub BFKL/(20 GeV) = 1.65 +or- 0.07.
CAM Stochastic Volatility Model for Option Pricing
Directory of Open Access Journals (Sweden)
Wanwan Huang
2016-01-01
Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.
The effect of volatility on percutaneous absorption.
Rouse, Nicole C; Maibach, Howard I
2016-01-01
Topically applied chemicals may volatilize, or evaporate, from skin leaving behind a chemical residue with new percutaneous absorptive capabilities. Understanding volatilization of topical medications, such as sunscreens, fragrances, insect repellants, cosmetics and other commonly applied topicals may have implications for their safety and efficacy. A systematic review of English language articles from 1979 to 2014 was performed using key search terms. Articles were evaluated to assess the relationship between volatility and percutaneous absorption. A total of 12 articles were selected and reviewed. Key findings were that absorption is enhanced when coupled with a volatile substance, occlusion prevents evaporation and increases absorption, high ventilation increases volatilization and reduces absorption, and pH of skin has an affect on a chemical's volatility. The articles also brought to light that different methods may have an affect on volatility: different body regions; in vivo vs. in vitro; human vs. Data suggest that volatility is crucial for determining safety and efficacy of cutaneous exposures and therapies. Few articles have been documented reporting evaporation in the context of percutaneous absorption, and of those published, great variability exists in methods. Further investigation of volatility is needed to properly evaluate its role in percutaneous absorption.
Assessing Relative Volatility/Intermittency/Energy Dissipation
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole E.; Pakkanen, Mikko; Schmiegel, Jürgen
process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary......We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary...... processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency....
TIME-VARYING BETA AND VOLATILITY IN THE KUALA LUMPUR STOCK EXCHANGE
Directory of Open Access Journals (Sweden)
Mansor Ibrahim
2004-01-01
Full Text Available The paper analyzes the relationship between beta risk and aggregate market volatility for 12sized-based portfolios for the case of Malaysia using daily data from January 1988 to December 2000. The analysis is conducted for the entire sample as well as various sub-samples corresponding to (ithe upward trend in the market from January 1988-December 1992; (ii the huge influx of portfolio investments from January 1993-June 1997, and (Hi the Asian crisis and its aftermath from July 1997-December 2000. The results generally suggest instability in beta risk due to its significant response to aggregate market volatility. Additionally, we also note that the direction of relationship between beta risk and market volatility seems to depend on stock market conditions or sub-samples used. Namely, beta risk seems to decrease with increasing market volatility for the whole sample as well as the first and the third sub-samples. However, for the second sub-sample, their relationship turns to be positive. Lastly, the author have evidence for the Malaysian case that size does not play significant role in the way beta risk responds to aggregate market volatility. These results have important implications for investment decisions as well as for event analyses employing the market model to generate abnormal returns.
Stock returns, macroeconomic variables and expectations
National Research Council Canada - National Science Library
Lúcio Linck; Roberto Frota Decourt
2016-01-01
... returns in Brazil from 2000 to 2010. The study investigates the causality relationships among real stock returns, basic interest rates, GDP, ination and the market expectation of future behavior of these macroeconomic variables...
Returning to sports after a back injury
... medlineplus.gov/ency/patientinstructions/000518.htm Returning to sports after a back injury To use the sharing ... Back pain - returning to sports Which Type of Sport is Best? In deciding when and if to ...
GARCH based artificial neural networks in forecasting conditional variance of stock returns
Directory of Open Access Journals (Sweden)
Josip Arnerić
2014-12-01
Full Text Available Portfolio managers, option traders and market makers are all interested in volatility forecasting in order to get higher profits or less risky positions. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most popular models in modelling volatility are GARCH type models because they can account excess kurtosis and asymmetric effects of financial time series. A standard GARCH(1,1 model usually indicates high persistence in the conditional variance, which may originate from structural changes. The first objective of this paper is to develop a parsimonious neural networks (NN model, which can capture the nonlinear relationship between past return innovations and conditional variance. Therefore, the goal is to develop a neural network with an appropriate recurrent connection in the context of nonlinear ARMA models, i.e., the Jordan neural network (JNN. The second objective of this paper is to determine if JNN outperforms the standard GARCH model. Out-of-sample forecasts of the JNN and the GARCH model will be compared to determine their predictive accuracy. The data set consists of returns of the CROBEX index daily closing prices obtained from the Zagreb Stock Exchange. The results indicate that the selected JNN(1,1,1 model has superior performances compared to the standard GARCH(1,1 model. The contribution of this paper can be seen in determining the appropriate NN that is comparable to the standard GARCH(1,1 model and its application in forecasting conditional variance of stock returns. Moreover, from the econometric perspective, NN models are used as a semi-parametric method that combines flexibility of nonparametric methods and the interpretability of parameters of parametric methods.
Common Factors in International Bond Returns
Driessen, J.J.A.G.; Melenberg, B.; Nijman, T.E.
2000-01-01
In this paper we estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan.We analyze both currency-hedged and unhedged bond returns.For currency-hedged bond returns, we find that five factors explain 96.5% of the variation of bond
An analysis of security price risk and return among publicly traded pharmacy corporations.
Gilligan, Adrienne M; Skrepnek, Grant H
2013-01-01
Community pharmacies have been subject to intense and increasing competition in the past several decades. To determine the security price risk and rate of return of publicly traded pharmacy corporations present on the major U.S. stock exchanges from 1930 to 2009. The Center of Research in Security Prices (CRSP) database was used to examine monthly security-level stock market prices in this observational retrospective study. The primary outcome of interest was the equity risk premium, with analyses focusing upon financial metrics associated with risk and return based upon modern portfolio theory (MPT) including: abnormal returns (i.e., alpha), volatility (i.e., beta), and percentage of returns explained (i.e., adjusted R(2)). Three equilibrium models were estimated using random-effects generalized least squares (GLS): 1) the Capital Asset Pricing Model (CAPM); 2) Fama-French Three-Factor Model; and 3) Carhart Four-Factor Model. Seventy-five companies were examined from 1930 to 2009, with overall adjusted R(2) values ranging from 0.13 with the CAPM to 0.16 with the Four-Factor model. Alpha was not significant within any of the equilibrium models across the entire 80-year time period, though was found from 1999 to 2009 in the Three- and Four-Factor models to be associated with a large, significant, and negative risk-adjusted abnormal returns of -33.84%. Volatility varied across specific time periods based upon the financial model employed. This investigation of risk and return within publicly listed pharmacy corporations from 1930 to 2009 found that substantial losses were incurred particularly from 1999 to 2009, with risk-adjusted security valuations decreasing by one-third. Copyright © 2013 Elsevier Inc. All rights reserved.
Directory of Open Access Journals (Sweden)
Miletić Siniša
2015-01-01
Full Text Available The aim of this study is to envisage the impact of global financial (GFC and European sovereign debt crisis (ESDC on foreign exchange markets of emerg- ing countries in Central and Eastern Europe CEEC countries (Czech Republic, Hungary, Romania, poland and Serbia. The daily returns of exchange rates on Czech Republic koruna (CZK, Hungarian forint (HuF, Romanian lea (RoL, polish zloty (pLZ and Serbian dinar (RSD, all against the Euro are analyzed during the period from 3rd January 2000 to15th April 2013, in respect. To examine the impact of global financial crisis and European sovereign debt crisis, dummy variables were adopted. overall results imply that global financial crisis has no impact on exchange rate returns in selected CEEC countries, while European sovereign debt crisis inf luencing in depreciation of polish zloty by 8% and Roma- nian lea by 6%. obtained results by our calculation, imply that global financial crisis increased enhanced volatility on exchange rate returns of Czech koruna, Romanian lea and polish zloty. Moreover, results of empirical analysis imply that this impact has the strongest inf luence in volatility on exchange rate returns of polish zloty.
Portfolio volatility of Islamic and conventional stock: The case of Indonesia stock market
Directory of Open Access Journals (Sweden)
Aldrin Herwany
2013-12-01
Full Text Available Conventional finance suggests that the higher the risk of an investment, the higher the return it should give. Nevertheless, whether Islamic stocks that offer alternative investment in the stock market suggest different risk-return relationship still needs to be investigated. This empirical study is aimed at assessing risk-return behavior of Islamic stocks. This study employs cross sectional data of portfolio developed using beta-rank and market capitalization, in which daily data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stocks using Value-at-Risk (VaR. To check whether Islamic stocks are immune from any impact of financial crisis, this study utilizes three periods of observation, i.e., before, during and after the 2008 crisis. This study assesses risk and return using Multi-index model, in which variables tested are the respective fundamental factors. Results of this study will provide more accurate approach in Islamic stocks analysis.
Some Characterizations of Convex Interval Games
Brânzei, R.; Tijs, S.H.; Alparslan-Gok, S.Z.
2008-01-01
This paper focuses on new characterizations of convex interval games using the notions of exactness and superadditivity. We also relate big boss interval games with concave interval games and obtain characterizations of big boss interval games in terms of exactness and subadditivity.
Return to sport following amputation.
Matthews, D; Sukeik, M; Haddad, F
2014-08-01
Amputation in athletes has a substantial impact on lifestyle and sporting activity, as well as self-perception and quality of life. The impact of limb loss on athletic ability will vary depending on the cause of amputation and the anatomical location of the amputation. The use of sporting activity for rehabilitation of amputees was first introduced in 1944 at Stoke Mandeville Hospital. The first international paralympic games were founded in 1960. Following these events the opportunity to participate in sport following limb loss has increased significantly. Sport participation has been aided by the development of sporting prostheses, however multiple factors will determine the exact prosthesis used. These include the nature of the sporting activity as well as the level of the amputation. The biomechanics involved in walking and running are altered following the loss of a limb or part thereof. This can cause subsequent degenerative changes within the remaining joints on the amputated limb as well as the contralateral limb. Factors affecting return to sporting activity are multivariate and inter-related, including patient factors, surgical factors, nature and level of the sporting activity and prosthetic factors. The authors review current literature, detail predictive factors of return to sport and the physical and psychosocial impact on patients following limb amputation.
Some recent developments in stochastic volatility modelling
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole Eiler; Nicolato, Elisa; Shephard, N.
2002-01-01
This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation ...
Reducing ammonia volatilization from compound fertilizers ...
African Journals Online (AJOL)
Ammonia volatilization is a direct loss of available nitrogen in agriculture. The objective of this study was to determine the effect of amending NPK fertilizer with different rates of clinoptilolite zeolite on ammonia volatilization, soil exchangeable ammonium, and available nitrate. Seven treatments evaluated were: 250 g soil ...
Brownian semistationary processes and volatility/intermittency
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen
of the semimartingale type. We focus on semimartingale - nonsemimartingale issues and on inference problems concerning the underlying volatility/intermittency process, in the nonsemimartingale case and based on normalised realised quadratic variation. The concept of BSS processes has arisen out of an ongoing study...... on the volatility/intermittency....
Flavonoids and volatiles in Chrysanthemum morifolium Ramat ...
African Journals Online (AJOL)
USER
2010-06-21
Jun 21, 2010 ... Flavonoids and volatiles in a traditional herbal medicine Chrysanthemum morifolium Ramat flower were determined by HPLC and GC/MS, respectively. Eight flavonoids and fifty eight volatiles were identified. Luteolin-7-glucoside and quercitrin were the most abundant flavonoids and they amounted for ...
Flavonoids and volatiles in Chrysanthemum morifolium Ramat ...
African Journals Online (AJOL)
Flavonoids and volatiles in a traditional herbal medicine Chrysanthemum morifolium Ramat flower were determined by HPLC and GC/MS, respectively. Eight flavonoids and fifty eight volatiles were identified. Luteolin-7-glucoside and quercitrin were the most abundant flavonoids and they amounted for 85.7% of the total ...
Volatilization of Benzene in a River
Directory of Open Access Journals (Sweden)
Eric Dunlop
2013-01-01
Full Text Available Benzene is a volatile organic compound: when it contaminates a river, some of the substance will evaporate as it flows through. We examine the volumetric flow rate to find how volatilization affects the concentration levels of benzene as the substance flows through several consecutive sections of a river, using a specific example to illustrate the general method.
Stock market volatility and macroeconomic uncertainty
Arnold, I.J.M.; Vrugt, E.B.
2006-01-01
This paper provides empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from SPF survey participants over the period from 1969 to 1996. This link is much
American option pricing with stochastic volatility processes
Directory of Open Access Journals (Sweden)
Ping LI
2017-12-01
Full Text Available In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are analyzed and discussed. In view of the fact that there is no analytical American option pricing formula, through the space discretization parameters, the stochastic partial differential equation satisfied by American options with Heston stochastic volatility is transformed into the corresponding differential equations, and then using high order compact finite difference method, numerical solutions are obtained for the option price. The numerical experiments are carried out to verify the theoretical results and simulation. The two kinds of optimal exercise boundaries under the conditions of the constant volatility and the stochastic volatility are compared, and the results show that the optimal exercise boundary also has stochastic volatility. Under the setting of parameters, the behavior and the nature of volatility are analyzed, the volatility curve is simulated, the calculation results of high order compact difference method are compared, and the numerical option solution is obtained, so that the method is verified. The research result provides reference for solving the problems of option pricing under stochastic volatility such as multiple underlying asset option pricing and barrier option pricing.
Mutual fund volatility timing and management fees
Giambona, E.; Golec, J.
2009-01-01
This paper shows that compensation incentives partly drive fund managers’ market volatility timing strategies. Larger incentive management fees lead to less counter-cyclical or more pro-cyclical volatility timing. But fund styles or aggregate fund flows could also account for this relation;
Male spider mites use chemical cues, but not the female mating interval, to choose between mates.
Rodrigues, Leonor R; Figueiredo, Alexandre R T; Varela, Susana A M; Olivieri, Isabelle; Magalhães, Sara
2017-01-01
The choice of the partner an individual will mate with is expected to strongly impact its fitness. Hence, natural selection has favoured the evolution of cues to distinguish among mates that will provide different fitness benefits to the individual that is choosing. In species with first-male sperm precedence, this is particularly important for males, as mating with mated females will result in no offspring. In the spider mite Tetranychus urticae only the first mating is effective, except if the interval between first and second copulations is shorter than 24 h. In line with this, males prefer to mate with virgin over mated females. They do not, however, choose between females that have mated at different time intervals. Here, we tested which type of cues males use to distinguish between females with different mating status (virgin versus mated). To do so, we firstly confirmed that males prefer virgins over mated females and that they do not select females on the basis of their age or mating interval. Next, we tested whether contact and volatile compounds or chemical trails affected male discrimination between mated and virgin females, by systematically varying the exposure of males to these cues. We found that volatile compounds and chemical trails were sufficient to induce discrimination between virgin and mated females in males. Direct contact with females, however, does not seem to play a role in this discrimination. The composition of such chemical cues (trails and volatiles) remains to be identified.
2010-06-22
... Listing (DL) form is not permitted for a simple port.'' Whether the definition of what constitutes a... Record (CSR) to the new service provider, if requested. Specifically, the NANC recommends that the CSR be... provider holidays. The record reflects that the time interval for return of a CSR is often longer than the...
2011-04-22
... Internal Revenue Service 26 CFR Part 301 RIN 1545-BJ52 Specified Tax Return Preparers Required To File Individual Income Tax Returns Using Magnetic Media; Correction AGENCY: Internal Revenue Service (IRS...) providing guidance to specified tax return preparers who prepare and file individual income tax returns...
27 CFR 479.151 - Failure to make returns: Substitute returns.
2010-04-01
... 27 Alcohol, Tobacco Products and Firearms 3 2010-04-01 2010-04-01 false Failure to make returns: Substitute returns. 479.151 Section 479.151 Alcohol, Tobacco Products, and Firearms BUREAU OF ALCOHOL...: Substitute returns. If any person required by this part to make returns shall fail or refuse to make any such...
The dynamics of health and return migration.
Directory of Open Access Journals (Sweden)
Anita A Davies
2011-06-01
Full Text Available The increasing importance and complexity of migration globally also implies a global increase in return migration, and thus an increased interest in the health of returning migrants. The health of returning migrants is impacted by the cumulative exposure to social determinants and risk factors of health during the migration process, during the return movement, and following return. Circular migration often occurs among the diaspora, which can result in the transfer of knowledge and skills that contribute to development, including health system strengthening. Migrants with dual nationality often return to countries with better health services than their country of origin when they are sick and can not get care at home. To maintain and improve the health of returning migrants, multi-sectoral policies at global and national levels should facilitate access to appropriate and equitable health services, social services, and continuity of care across and within borders.
The dynamics of health and return migration.
Davies, Anita A; Borland, Rosilyne M; Blake, Carolyn; West, Haley E
2011-06-01
The increasing importance and complexity of migration globally also implies a global increase in return migration, and thus an increased interest in the health of returning migrants. The health of returning migrants is impacted by the cumulative exposure to social determinants and risk factors of health during the migration process, during the return movement, and following return. Circular migration often occurs among the diaspora, which can result in the transfer of knowledge and skills that contribute to development, including health system strengthening. Migrants with dual nationality often return to countries with better health services than their country of origin when they are sick and can not get care at home. To maintain and improve the health of returning migrants, multi-sectoral policies at global and national levels should facilitate access to appropriate and equitable health services, social services, and continuity of care across and within borders.
Stock Return Synchronicity and Analysts’ Forecast Properties
Directory of Open Access Journals (Sweden)
Joong-Seok Cho
2016-12-01
Full Text Available Using stock return synchronicity as a measure of a firm’s information environment, our research investigates how the firms’ stock return synchronicity affects analysts’ forecast properties for the accuracy and optimism of the analysts’ annual earnings forecasts. Stock return synchronicity represents the degree to which market and industry information explains firm-level stock return variations. A higher stock return synchronicity indicates the higher quality of a firm’s information environment, because a firm’s stock price reflects more market-level and industry-level information relative to firm-specific information. Our study shows that stock return synchronicity positively affects the forecast properties. Our finding shows that when stock return synchronicity is high, analysts’ annual earnings forecasts are more accurate and less optimistically biased.
Planetary Protection for LIFE-Sample Return from Enceladus
Tsou, Peter; Yano, Hajime; Takano, Yoshinori; McKay, David; Takai, Ken; Anbar, Ariel; Baross, J.
]. Current Plan: At the 1st flyby of Enceladus at high plume altitude (~150 km), we would survey the status of the plume and jets by making in situ measurements of the gas and dust densities, compositions, and velocities. We would also collect solid ice/volatile samples based upon prior ground planning. The 2nd and final flyby (determined via optimal trajectory from the 1st flyby) will be conducted at low altitude (~20 km), and would perform in situ measurements and collect solid ice and volatile samples. During the 5 year return cruise, we would maintain the samples in their captured state (frozen) under desiccating conditions of low temperature and pressure. After a direct Earth reentry, we would transport the frozen samples from the sample return capsule into a sealed sample transport container, which would then be transported to a higher Biosafety Level (BSL) facility from JAMSTEC (Japan Agency for Marine-Earth Science and Technology) for sample return capsule de-integration and sample distribution. Planetary Protection: Several options for sample return have been conceived and some even demonstrated on previous flight missions (STARDUST, Genesis and Hayabusa). To date, a flight qualified sample containment system does not exist in the US, and it would be cost prohibitive to flight-qualify such a system for use by LIFE under a Discovery Program. Harsh sterilization of the samples would destroy valuable molecular information, defeating the very purpose of returning samples to assess the habitability of Enceladus. The LIFE team has found a viable approach by teaming with JAXA/ISAS. Their Hayabusa II sample containment is a third generation device that can be further improved to meet these NASA and COSPAR planetary protection requirements in an Integrated Sample Subsystem for LIFE. Another aspect of LIFE is the initial de-integration and certification of the returned samples in a higher BSL facility. JAMSTEC is the world’s leading oceanography organization. They are
Energy Technology Data Exchange (ETDEWEB)
Witte H.; Plate, S
2013-05-03
The international Muon Ionization Cooling Experiment (MICE) is a large scale experiment which is presently assembled at the Rutherford Appleton Laboratory in Didcot, UK. The purpose of MICE is to demonstrate the concept of ionization cooling experimentally. Ionization cooling is an important accelerator concept which will be essential for future HEP experiments such as a potential Muon Collider or a Neutrino Factory. The MICE experiment will house up to 18 superconducting solenoids, all of which produce a substantial amount of magnetic flux. Recently it was realized that this magnetic flux leads to a considerable stray magnetic field in the MICE hall. This is a concern as technical equipment in the MICE hall may may be compromised by this. In July 2012 a concept called partial return yoke was presented to the MICE community, which reduces the stray field in the MICE hall to a safe level. This report summarizes the general concept, engineering considerations and the expected shielding performance.
Returns to Tenure or Seniority?
DEFF Research Database (Denmark)
Buhai, Ioan Sebastian; Portela, Miguel; Teulings, Coen
at the moment of separation). The LIFO rule provides a stronger bargaining position for senior workers, leading to a return to seniority in wages. Efficiency in hiring requires the workers' .bargaining power to be in line with their share in the cost of specific investment. Then, the LIFO rule is a way...... to explain these regularities by developing a dynamic model of the firm with stochastic product demand and hiring cost (= irreversible specific investments). There is wage bargaining between a worker and its firm. Separations (quits or layoffs) obey the LIFO rule and bargaining is efficient (a zero surplus...... to protect their property right on the specific investment. We consider the effects of Employment Protection Legislation and risk aversion....
Estimating returns to scale in imprecise data envelopment analysis
DEFF Research Database (Denmark)
Hatami-Marbini, Adel; Beigi, Zahra Ghelej; Hougaard, Jens Leth
The economic concept of Returns-to-Scale (RTS) has been intensively studied in the context of Data Envelopment Analysis (DEA). The conventional DEA models that are used for RTS classification require well-defined and accurate data whereas in reality data are often imprecise, vague, uncertain...... or incomplete. The purpose of this paper is to estimate RTS of Decision Making Units (DMUs) in Imprecise DEA (IDEA) where the input and output data lie within bounded intervals. In the presence of interval data, we introduce six types of RTS involving increasing, decreasing, constant, non-increasing, non......-decreasing and variable RTS. The situation for non-increasing (non-decreasing) RTS is then divided into two partitions; constant or decreasing (constant or increasing) RTS using sensitivity analysis. Additionally, the situation for variable RTS is split into three partitions consisting of constant, decreasing...
Housing market volatility in the OECD area
DEFF Research Database (Denmark)
Engsted, Tom; Pedersen, Thomas Quistgaard
2014-01-01
Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash flow (rent) news and discount rate (return) news over the period 1970-2011. For the jajority of countries news about future returns is the main driver, and both real interest rates and risk-premia play...
The analysis of volatility of gold coin price fluctuations in Iran using ARCH & VAR models
Directory of Open Access Journals (Sweden)
Younos Vakilolroaya
2014-03-01
Full Text Available The aim of this study is to investigate the changes in gold price and modeling of its return volatility and conditional variance model. The study gathers daily prices of gold coins as the dependent variable and the price of gold in world market, the price of oil in OPEC, exchange rate USD to IRR and index of Tehran Stock Exchange from March 2007 to July 2013 and using ARCH family models and VAR methods, the study analysis the data. The study first examines whether the data are stationary or not and then it reviews the household stability, Arch and Garch models. The proposed study investigates the causality among variables, selects different factors, which could be blamed of uncertainty in the coin return. The results indicate that the effect of sudden changes of standard deviation and after a 14-day period disappears and gold price goes back to its initial position. In addition, in this study we observe the so-called leverage effect in Iran’s Gold coin market, which means the good news leads to more volatility in futures market than bad news in an equal size. Finally, the result of analysis of variance implies that in the short-term, a large percentage change in uncertainty of the coin return is due to changes in the same factors and volatility of stock returns in the medium term, global gold output, oil price and exchange rate fluctuation to some extent will show the impact. In the long run, the effects of parameters are more evident.
How Do Families Smooth Household Heads` Earnings Volatility?
National Research Council Canada - National Science Library
Ki Seong Park;
2010-01-01
We investigate the extent to which household heads` earnings volatility is translated into household consumption volatility, and, in the process, identify measures of smoothing idiosyncratic earnings variation...
Robust misinterpretation of confidence intervals.
Hoekstra, Rink; Morey, Richard D; Rouder, Jeffrey N; Wagenmakers, Eric-Jan
2014-10-01
Null hypothesis significance testing (NHST) is undoubtedly the most common inferential technique used to justify claims in the social sciences. However, even staunch defenders of NHST agree that its outcomes are often misinterpreted. Confidence intervals (CIs) have frequently been proposed as a more useful alternative to NHST, and their use is strongly encouraged in the APA Manual. Nevertheless, little is known about how researchers interpret CIs. In this study, 120 researchers and 442 students-all in the field of psychology-were asked to assess the truth value of six particular statements involving different interpretations of a CI. Although all six statements were false, both researchers and students endorsed, on average, more than three statements, indicating a gross misunderstanding of CIs. Self-declared experience with statistics was not related to researchers' performance, and, even more surprisingly, researchers hardly outperformed the students, even though the students had not received any education on statistical inference whatsoever. Our findings suggest that many researchers do not know the correct interpretation of a CI. The misunderstandings surrounding p-values and CIs are particularly unfortunate because they constitute the main tools by which psychologists draw conclusions from data.
Directory of Open Access Journals (Sweden)
Arif Kurniadi
2013-01-01
Full Text Available Stock return is the main indicator of performance for investors in assessing the effectiveness of the invested capital. The volatility of stock price index of the agricultural sector during 2005 - 2011 has resulted in an annualized return was the second-lowest sector after mining sector. The use of value creation-based performance analysis (EVA, MVA, and Q-Tobin can help companies create corporate value highly associated with stock returns. In addition, external factors may also affect stock returns. The purposes of this study are: (1 to analyze the financial performance of companies in the agricultural sector by using EVA, MVA, and Q-Tobin, (2 to analyze the influence of EVA, MVA, Q-Tobin and macroeconomic factors (inflation and exchange rates on stock returns agricultural sector, and (3 to develop managerial implications of the results of analyzes performed. Data was collected from eight companies agricultural sector, which listed in Indonesia Stock Exchange before 2005. Descriptive analysis is used to analyze EVA, MVA, and Q-Tobin for each company and data panel is used to find out influence of EVA, MVA, Q-Tobin, and macroeconomic factors on stock returns. The study showed that most companies gained a negative EVA. Tthe MVA analysis showed that most companies gained more positive MVA. The Q-Tobin result shows that most companies gained value q<1. Based on REM analysis, only found MVARET and Q-TobinRET have significant effect on stock returns. EVARET, inflation, an exchange rate, and dummy crisis have insignificant effect on stock returns.
Flower volatiles, crop varieties and bee responses.
Directory of Open Access Journals (Sweden)
Björn K Klatt
Full Text Available Pollination contributes to an estimated one third of global food production, through both the improvement of the yield and the quality of crops. Volatile compounds emitted by crop flowers mediate plant-pollinator interactions, but differences between crop varieties are still little explored. We investigated whether the visitation of crop flowers is determined by variety-specific flower volatiles using strawberry varieties (Fragaria x ananassa Duchesne and how this affects the pollination services of the wild bee Osmia bicornis L. Flower volatile compounds of three strawberry varieties were measured via headspace collection. Gas chromatography showed that the three strawberry varieties produced the same volatile compounds but with quantitative differences of the total amount of volatiles and between distinct compounds. Electroantennographic recordings showed that inexperienced females of Osmia bicornis had higher antennal responses to all volatile compounds than to controls of air and paraffin oil, however responses differed between compounds. The variety Sonata was found to emit a total higher level of volatiles and also higher levels of most of the compounds that evoked antennal responses compared with the other varieties Honeoye and Darselect. Sonata also received more flower visits from Osmia bicornis females under field conditions, compared with Honeoye. Our results suggest that differences in the emission of flower volatile compounds among strawberry varieties mediate their attractiveness to females of Osmia bicornis. Since quality and quantity of marketable fruits depend on optimal pollination, a better understanding of the role of flower volatiles in crop production is required and should be considered more closely in crop-variety breeding.
Weighted regression analysis and interval estimators
Donald W. Seegrist
1974-01-01
A method for deriving the weighted least squares estimators for the parameters of a multiple regression model. Confidence intervals for expected values, and prediction intervals for the means of future samples are given.
New characterizations of proper interval bigraphs
Directory of Open Access Journals (Sweden)
Ashok Kumar Das
2015-07-01
Full Text Available A proper interval bigraph is a bigraph where to each vertex we can assign a closed interval such that the intervals can be chosen to be inclusion free and vertices in the opposite partite sets are adjacent when the corresponding intervals intersect. In this paper, we introduce the notion of astral triple of edges and along the lines of characterization of interval graphs via the absence of asteroidal triple of vertices we characterize proper interval bigraphs via the absence of astral triple of edges. We also characterize proper interval bigraphs in terms of dominating pair of vertices as defined by Corneil et al. Tucker characterized proper circular arc graphs in terms of circularly compatible 1’s of adjacency matrices. Sen and Sanyal characterized adjacency matrices of proper interval bigraphs in terms of monotone consecutive arrangement. We have shown an interrelation between these two concepts.
Interval Valued Fuzzy Neutrosophic Soft Structure Spaces
Directory of Open Access Journals (Sweden)
I. Arockiarani
2014-09-01
Full Text Available In this paper we introduce the topological structure of interval valued fuzzy neutrosophic soft sets and obtain some of its properties. We also investigate some operators of interval valued fuzzy neutrosophic soft topological space.
Interval Values for Multicriteria Cooperative Games
Pieri, Graziano; Pusillo, Lucia
2010-01-01
In this paper we consider multicriteria interval games. The importance of multiobjectives follows from applications to real world. We consider interval valued games and extend some classical solutions for cooperative games to this new class in multicriteria situations.
Should athletes return to activity after cryotherapy?
Pritchard, Kimberly A; Saliba, Susan A
2014-01-01
Bleakley CM, Costello JT, Glasgow PD. Should athletes return to sport after applying ice? A systematic review of the effect of local cooling on functional performance. Sports Med. 2012; 42(1):69-87. Does local tissue cooling affect immediate functional performance outcomes in a sport situation? Studies were identified by searching MEDLINE, the Cochrane Central Register of Controlled Trials, and EMBASE, each from the earliest available record through April 2011. Combinations of 18 medical subheadings or key words were used to complete the search. Study Selection : This systematic review included only randomized controlled trials and crossover studies published in English that examined human participants who were treated with a local cooling intervention. At least 1 functional performance outcome that was measured before and after a cooling intervention had to be reported. Excluded were studies using whole-body cryotherapy or cold-water immersion above the waist and studies that measured strength or force production during evoked muscle contraction. Data were extracted by 2 authors using a customized form to evaluate relevant data on study design, eligibility criteria, detailed characteristics of cooling protocols, comparisons, and outcome measures. Disagreement was resolved by consensus or third-party adjudication. To perform an intent-to-treat analysis when possible, data were extracted according to the original allocation groups, and losses to follow-up were noted. The review authors were not blinded to the study author, institution, or journal. For each study, mean differences or standardized mean differences and 95% confidence intervals were calculated for continuous outcomes using RevMan (version 5.1; The Nordic Cochrane Centre, Copenhagen, Denmark). Treatment effects were based on between-groups comparisons (cryotherapy versus control) using postintervention outcomes or within-group comparisons (precryotherapy versus postcryotherapy). If continuous data were
Effect of the Danish return-to-work program on long-term sickness absence
DEFF Research Database (Denmark)
Poulsen, Otto M; Aust, Birgit; Bjørner, Jakob
2014-01-01
proportional hazards model was used to estimate hazard ratios (HR) for return to work (RTW) with 95% confidence intervals (95% CI). RESULTS: The intervention effect differed significantly between the municipalities (P=0.00005). In one municipality (M2) the intervention resulted in a statistically significant...
THE CORRELATION BETWEEN THE AUTONOMY RATIO AND THE RETURN ON EQUITY
Directory of Open Access Journals (Sweden)
Daniel BRÎNDESCU – OLARIU
2014-11-01
Considering the relationship between the autonomy ratio and the bankruptcy risk as well as the relationship between the autonomy ratio and the return on equity, it is concluded that the optimum value of the autonomy ratio is placed within the interval [50%; 100%].
Modelling of volatility in monetary transmission mechanism
Energy Technology Data Exchange (ETDEWEB)
Dobešová, Anna; Klepáč, Václav; Kolman, Pavel [Department of Statistics and Operation Analysis, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 61300, Brno (Czech Republic); Bednářová, Petra [Institute of Technology and Business, Okružní 517/10, 370 01, České Budějovice (Czech Republic)
2015-03-10
The aim of this paper is to compare different approaches to modeling of volatility in monetary transmission mechanism. For this purpose we built time-varying parameter VAR (TVP-VAR) model with stochastic volatility and VAR-DCC-GARCH model with conditional variance. The data from three European countries are included in the analysis: the Czech Republic, Germany and Slovakia. Results show that VAR-DCC-GARCH system captures higher volatility of observed variables but main trends and detected breaks are generally identical in both approaches.
Volatility jumps and their economic determinants
DEFF Research Database (Denmark)
Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
predictive power on expected jump moves, thus confirming the common interpretation that sudden and large increases in equity volatility can be anticipated by credit deterioration of the US bank sector as well as changes in the market expectations of future risks. Finally, the model is extended to incorporate...... that there is a positive probability of jumps in volatility. A common factor in the volatility jumps is shown to be related to a set of financial covariates (such as variance risk premium, S&P500 volume, credit-default swap, and federal fund rates). The credit-default swap on US banks and variance risk premium have...
Understanding the multifractality in portfolio excess returns
Chen, Cheng; Wang, Yudong
2017-01-01
The multifractality in stock returns have been investigated extensively. However, whether the autocorrelations in portfolio returns are multifractal have not been considered in the literature. In this paper, we detect multifractal behavior of returns of portfolios constructed based on two popular trading rules, size and book-to-market (BM) ratio. Using the multifractal detrended fluctuation analysis, we find that the portfolio returns are significantly multifractal and the multifractality is mainly attributed to long-range dependence. We also investigate the multifractal cross-correlation between portfolio return and market average return using the detrended cross-correlation analysis. Our results show that the cross-correlations of small fluctuations are persistent, while those of large fluctuations are anti-persistent.
Bulgarian Turkish emigration and return.
Vasileva, D
1992-01-01
The main factors which determined the 1989 migration of Turks in Bulgaria back to Turkey are discussed. Background history is provided. After World War I, Turks in bulgaria comprised 10% of the total population. Bulgarian policy had been, up to the 1980s to send Rumelian Turks back, but the policy after 1980 was one of a national revival process to integrate Turks into the developed socialist society. Muslim traditions, customs, and Turkish language were interfered with. International disfavor resulted. In May 1989, the Communist Party declared, in an effort to show democratic ideals, open borders. Thus began the new emigration wave. 369,839 people fled to the Turkish border. 43% of the 9.47 ethnic Turks in bulgaria went to Turkey within 4 months. The numbers decreased in November, and soon after the communist regime ended. New laws were adopted allowing Turks to assume their original Turkish names. The huge migration was clearly political, and as such, the emigrant Turks should be determined as refugees and asylum seekers. The provocation of ethnic Turks was used by the communist regime to solve potential social conflicts. Not only did Turks flee to escape from violence or for religious, cultural, and moral reasons but also due to free market initiatives begun in Turkey in the early 1980s which improved Turkish quality of life. Food and consumer goods were cheaper and economic advantages were perceived. Emigrants were primarily peasants with lower levels of education, professional qualifications, and labor skills. 154,937 (42%) returned to bulgaria and 58% stayed in Turkey to comprise 25% of the former Turkish population. During this period, tensions between countries was high.l Bulgarians actively encouraged emigration and Turkey welcomed it. The emigrants to Turkey were seen as foreigners (muhacir or gocmen) but were received with good will and were readily accepted into menial positions. Emigrants were confronted with political, linguistic, and cultural
Consistency and Refinement for Interval Markov Chains
DEFF Research Database (Denmark)
Delahaye, Benoit; Larsen, Kim Guldstrand; Legay, Axel
2012-01-01
Interval Markov Chains (IMC), or Markov Chains with probability intervals in the transition matrix, are the base of a classic specification theory for probabilistic systems [18]. The standard semantics of IMCs assigns to a specification the set of all Markov Chains that satisfy its interval...
Interval-Valued Neutrosophic Soft Rough Sets
Directory of Open Access Journals (Sweden)
Said Broumi
2015-01-01
Full Text Available We first defined interval-valued neutrosophic soft rough sets (IVN-soft rough sets for short which combine interval-valued neutrosophic soft set and rough sets and studied some of its basic properties. This concept is an extension of interval-valued intuitionistic fuzzy soft rough sets (IVIF-soft rough sets.
The Measurement of the QT Interval
Postema, Pieter G; Wilde, Arthur A.M
2014-01-01
The evaluation of every electrocardiogram should also include an effort to interpret the QT interval to assess the risk of malignant arrhythmias and sudden death associated with an aberrant QT interval. The QT interval is measured from the beginning of the QRS complex to the end of the T-wave, and should be corrected for heart rate to enable comparison with reference values. However, the correct determination of the QT interval, and its value, appears to be a daunting task. Although computerized analysis and interpretation of the QT interval are widely available, these might well over- or underestimate the QT interval and may thus either result in unnecessary treatment or preclude appropriate measures to be taken. This is particularly evident with difficult T-wave morphologies and technically suboptimal ECGs. Similarly, also accurate manual assessment of the QT interval appears to be difficult for many physicians worldwide. In this review we delineate the history of the measurement of the QT interval, its underlying pathophysiological mechanisms and the current standards of the measurement of the QT interval, we provide a glimpse into the future and we discuss several issues troubling accurate measurement of the QT interval. These issues include the lead choice, U-waves, determination of the end of the T-wave, different heart rate correction formulas, arrhythmias and the definition of normal and aberrant QT intervals. Furthermore, we provide recommendations that may serve as guidance to address these complexities and which support accurate assessment of the QT interval and its interpretation. PMID:24827793
Weather dan Pengaruhnya terhadap Stock Return
Bukit, Inka Natasya Hagaina; Riorini, Sri Vandayuli
2012-01-01
Research on psychology shows that sunny weather has effect toward mood. Some researchers found that mood has significant effect toward Stock return. This paper examines relationship between Weather in Indonesia, especially in Jakarta with Stock return of LQ 45 Index. This research examine relationship between Weather and Stock return directly and indirect (using Mood as intervening variable). This research analyze that relationship during 2009 to 2010. However, because Weather in Jakarta is r...
Return to experience and initial wage level
DEFF Research Database (Denmark)
Sørensen, K.L.; Vejlin, R.
2014-01-01
This paper estimates the relationship between initial wage and return to experience. We use a Mincer-like wage model to non-parametrically estimate this relationship allowing for an unobservable individual permanent effect in wages and unobservable individual return to experience. The relationship...... between return to experience and unobservable individual ability is negative when conditioning on educational attainment, while the relationship between return to experience and educational attainment is positive. We link our findings to three main theories of wage growth, namely search, unobserved...
Return to Experience and Initial Wage Level
DEFF Research Database (Denmark)
Sørensen, Kenneth Lykke; Vejlin, Rune Majlund
This paper estimates the relationship between initial wage and return to experience. We use a Mincer-like wage model to nonparametrically estimate this relationship allowing for an unobservable individual permanent effect in wages and unobservable individual return to experience. The relationship...... between return to experience and unobservable individual ability is negative when conditioning on educational attainment while the relationship between return to experience and educational attainment is positive. We link our finding to two main theories of wage growth, namely search and human capital. We...
Generalised Interval-Valued Fuzzy Soft Set
Directory of Open Access Journals (Sweden)
Shawkat Alkhazaleh
2012-01-01
Full Text Available We introduce the concept of generalised interval-valued fuzzy soft set and its operations and study some of their properties. We give applications of this theory in solving a decision making problem. We also introduce a similarity measure of two generalised interval-valued fuzzy soft sets and discuss its application in a medical diagnosis problem: fuzzy set; soft set; fuzzy soft set; generalised fuzzy soft set; generalised interval-valued fuzzy soft set; interval-valued fuzzy set; interval-valued fuzzy soft set.
Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
Energy Technology Data Exchange (ETDEWEB)
Chang, Chia-Lin [Department of Applied Economics National Chung Hsing University Taichung, 250 Kuo Kuang Road, National Chung Hsing University Taichung 402 (China); McAleer, Michael [Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam (Netherlands); Tinbergen Institute (Netherlands); Tansuchat, Roengchai [Faculty of Economics, Maejo University (Thailand)
2010-11-15
Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate (USA), Brent (North Sea), Dubai/Oman (Middle East), and Tapis (Asia-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover and asymmetric effects across and within the four markets, using three multivariate GARCH models, namely the constant conditional correlation (CCC), vector ARMA-GARCH (VARMA-GARCH) and vector ARMA-asymmetric GARCH (VARMA-AGARCH) models. A rolling window approach is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series. In addition, the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends. Moreover, the optimal hedge ratios and optimal portfolio weights of crude oil across different assets and market portfolios are evaluated in order to provide important policy implications for risk management in crude oil markets. (author)
Dynamics Model Applied to Pricing Options with Uncertain Volatility
Directory of Open Access Journals (Sweden)
Lorella Fatone
2012-01-01
model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known equispaced discrete time values. Statistical tests were used to estimate the statistical significance of the two parameters of the Black-Scholes model: the volatility and the drift. The effects of these estimates on the option pricing problem were investigated. In particular, the pricing of an option with uncertain volatility in the Black-Scholes framework was revisited, and a statistical significance was associated with the price intervals determined using the Black-Scholes-Barenblatt equations. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S&P500 index and the associated European call and put option prices in the year 2005. The method proposed here for calibrating the Black-Scholes dynamics model could be extended to other science and engineering models that may be expressed in terms of stochastic dynamical systems.
Modeling Asymmetric Volatility In Oil Prices
National Research Council Canada - National Science Library
Syed Aun Hassan
2011-01-01
.... The paper uses daily crude oil price data for the past 10 years to test and model the oil price volatility by fitting different variations of GARCH including a univariate asymmetric GARCH model to the series...
Price volatility in wind dominant electricity markets
DEFF Research Database (Denmark)
Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe
2013-01-01
electricity markets. High price volatility is unappreciated because it imposes high financial risk levels to both electricity consumers and producers. Additionally high price variations impede tracking price signals by consumers in future smart grid and jeopardize implementation of demand response concepts......High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance....... The main contribution of this paper is to quantify volatility patterns of electricity price, as penetration level of wind power increases. Results explain a direct relationship between wind penetration and electricity price volatility in a quantitative manner....
Parametric Portfolio Policies with Common Volatility Dynamics
DEFF Research Database (Denmark)
Ergemen, Yunus Emre; Taamouti, Abderrahim
A parametric portfolio policy function is considered that incorporates common stock volatility dynamics to optimally determine portfolio weights. Reducing dimension of the traditional portfolio selection problem significantly, only a number of policy parameters corresponding to first- and second...
Lunar In-Situ Volatile Extraction Project
National Aeronautics and Space Administration — A method of extracting volatile resources from the Lunar regolith is proposed to reduce the launch mass and cost of bringing such resources from the Earth to enable...
Assessing relative volatility/intermittency/energy dissipation
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; Schmiegel, Jürgen
2014-01-01
process in particular. This estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, but it is also applicable in other areas. We develop a probabilistic asymptotic theory for realised relative power variations of Brownian semistationary processes......, and introduce inference methods based on the theory. We also discuss how to extend the asymptotic theory to other classes of processes exhibiting stochastic volatility/intermittency. As an empirical application, we study relative energy dissipation in data of atmospheric turbulence.......We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated by a non-semimartingale, or a Brownian semistationary...
Asymmetry and Leverage in Conditional Volatility Models
M.J. McAleer (Michael)
2014-01-01
markdownabstract__Abstract__ The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the
Volatile profile of wine Teran PTP
Directory of Open Access Journals (Sweden)
Helena BAŠA ČESNIK
2015-11-01
Full Text Available Teran PTP is a protected wine with a recognized traditional denomination produced from a grapevine variety ‘Refošk’ in winegrowing district Kras in Slovenia (European Union, 2009; Pravilnik, 2008. The aromatic profile of 82 Teran PTP wines produced in years 2011, 2012 and 2013 was monitored. Intotal the content of 16 volatile compounds was determined. The volatile compounds from wine were extracted following the liquid-liquid extraction and determined with a GC-MS method. The odour activity values and relative odour contributions were calculated for each volatile compound identified. Among sensorial important volatiles the highest odour activity values were determined for ethyl octanoate, ethyl hexanoate, isoamyl acetate and ethyl butyrate. Other research papers also showed, that all red wines investigated except one contained ethyl octanoate, ethyl hexanoate, isoamyl acetate and ethyl butyrate above sensory thresholds.
Volatile compounds in meat and meat products
Directory of Open Access Journals (Sweden)
Monika KOSOWSKA
Full Text Available Abstract Meaty flavor is composed of a few hundreds of volatile compounds, only minor part of which are responsible for the characteristic odor. It is developed as a result of multi-directional reactions proceeding between non-volatile precursors contained in raw meat under the influence of temperature. The volatile compounds are generated upon: Maillard reactions, lipid oxidation, interactions between Maillard reaction products and lipid oxidation products as well as upon thiamine degradation. The developed flavor is determined by many factors associated with: raw material (breed, sex, diet and age of animal, conditions and process of slaughter, duration and conditions of meat storage, type of muscle, additives applied and the course of the technological process. The objective of this review article is to draw attention to the issue of volatile compounds characteristic for meat products and factors that affect their synthesis.
Advanced Curation: Solving Current and Future Sample Return Problems
Fries, M.; Calaway, M.; Evans, C.; McCubbin, F.
2015-01-01
Advanced Curation is a wide-ranging and comprehensive research and development effort at NASA Johnson Space Center that identifies and remediates sample related issues. For current collections, Advanced Curation investigates new cleaning, verification, and analytical techniques to assess their suitability for improving curation processes. Specific needs are also assessed for future sample return missions. For each need, a written plan is drawn up to achieve the requirement. The plan draws while upon current Curation practices, input from Curators, the analytical expertise of the Astromaterials Research and Exploration Science (ARES) team, and suitable standards maintained by ISO, IEST, NIST and other institutions. Additionally, new technologies are adopted on the bases of need and availability. Implementation plans are tested using customized trial programs with statistically robust courses of measurement, and are iterated if necessary until an implementable protocol is established. Upcoming and potential NASA missions such as OSIRIS-REx, the Asteroid Retrieval Mission (ARM), sample return missions in the New Frontiers program, and Mars sample return (MSR) all feature new difficulties and specialized sample handling requirements. The Mars 2020 mission in particular poses a suite of challenges since the mission will cache martian samples for possible return to Earth. In anticipation of future MSR, the following problems are among those under investigation: What is the most efficient means to achieve the less than 1.0 ng/sq cm total organic carbon (TOC) cleanliness required for all sample handling hardware? How do we maintain and verify cleanliness at this level? The Mars 2020 Organic Contamination Panel (OCP) predicts that organic carbon, if present, will be present at the "one to tens" of ppb level in martian near-surface samples. The same samples will likely contain wt% perchlorate salts, or approximately 1,000,000x as much perchlorate oxidizer as organic carbon
Causes of Earnings Volatility and Risk Sharing
Donggyun Shin
2011-01-01
This paper investigates the causes of volatility of household headsâ€™ earnings, evaluates the extent to which variability of the headsâ€™ earnings is translated into changes in household consumption, and, in the process, identifies effective measures of smoothing idiosyncratic earnings variation. Analysis, based on the Panel Study of Income Dynamics (PSID) data, reveals that, although causes of the earnings volatility are multi-dimensional, job separations are closely related with substantia...
Financial Development, Financial Structure, and Macroeconomic Volatility: Evidence from China
Directory of Open Access Journals (Sweden)
Feng Wei
2016-11-01
Full Text Available Using annual data from 1997–2014 of 30 provinces, municipalities, and autonomous regions, subdividing trended and cyclical volatility of macroeconomics and inflation, considering different indicators of financial development and financial structure, this paper investigated the impact of financial development and financial structure on macroeconomic volatility. The empirical results found that (1 the trended and cyclical volatility of the previous macroeconomic period had a significantly positive impact on that of the current period, and the impact of trended volatility was greater than that of cyclical volatility; (2 financial development had a significantly negative impact on macroeconomic cyclical volatility through inflation cyclical volatility, but inflation trended volatility would amplify macroeconomic volatility; financial markets have no significant effect on macroeconomic volatility; financial structure measured with the ratio of stock market turnover and the efficiency of the financial development had a significant positive impact on macroeconomic cyclical volatility; and (3 inflation trended volatility had a significantly negative impact on macroeconomic cyclical volatility and trended volatility, while inflation cyclical volatility had a significantly positive impact on macroeconomic cyclical volatility.
Isolation of volatile compounds of Aloe excelsa (Berger ...
African Journals Online (AJOL)
Industrial and pharmacological applications of volatile and non-volatile compounds isolated from plants have been dominating the commercial sector over the recent two decades. Attempts in isolation of volatile compounds of aloes have impact on the medicinal as well as the cosmetic industries. Volatile compound isolation ...
Maximizing your return on people.
Bassi, Laurie; McMurrer, Daniel
2007-03-01
Though most traditional HR performance metrics don't predict organizational performance, alternatives simply have not existed--until now. During the past ten years, researchers Laurie Bassi and Daniel McMurrer have worked to develop a system that allows executives to assess human capital management (HCM) and to use those metrics both to predict organizational performance and to guide organizations' investments in people. The new framework is based on a core set of HCM drivers that fall into five major categories: leadership practices, employee engagement, knowledge accessibility, workforce optimization, and organizational learning capacity. By employing rigorously designed surveys to score a company on the range of HCM practices across the five categories, it's possible to benchmark organizational HCM capabilities, identify HCM strengths and weaknesses, and link improvements or back-sliding in specific HCM practices with improvements or shortcomings in organizational performance. The process requires determining a "maturity" score for each practice, based on a scale of 1 (low) to 5 (high). Over time, evolving maturity scores from multiple surveys can reveal progress in each of the HCM practices and help a company decide where to focus improvement efforts that will have a direct impact on performance. The authors draw from their work with American Standard, South Carolina's Beaufort County School District, and a bevy of financial firms to show how improving HCM scores led to increased sales, safety, academic test scores, and stock returns. Bassi and McMurrer urge HR departments to move beyond the usual metrics and begin using HCM measurement tools to gauge how well people are managed and developed throughout the organization. In this new role, according to the authors, HR can take on strategic responsibility and ensure that superior human capital management becomes central to the organization's culture.
Risk assessment and stock market volatility in the Eurozone: 1986-2014
Menezes, Rui; Oliveira, Álvaro
2015-04-01
This paper studies the stock market return's volatility in the Eurozone as an input for evaluating the market risk. Stock market returns are endogenously determined by long-term interest rate changes and so is the return's conditional variance. The conditional variance is the time-dependent variance of the underlying variable. In other words, it is the variance of the returns measured at each moment t, so it changes through time depending on the specific market structure at each time observation. Thus, a multivariate EGARCH model is proposed to capture the complex nature of this network. By network, in this context, we mean the chain of stock exchanges that co-move and interact in such a way that a shock in one of them propagates up to the other ones (contagion). Previous studies provide evidence that the Eurozone stock exchanges are deeply integrated. The results indicate that asymmetry and leverage effects exist along with fat tails and endogeneity. In-sample and out-of-sample forecasting tests provide clear evidence that the multivariate EGARCH model performs better than the univariate counterpart to predict the behavior of returns both before and after the 2008 crisis.
Plant volatile compounds: sensory cues for health and nutritional value?
Goff, Stephen A; Klee, Harry J
2006-02-10
Plants produce many volatile metabolites. A small subset of these compounds is sensed by animals and humans, and the volatile profiles are defining elements of the distinct flavors of individual foods. Flavor volatiles are derived from an array of nutrients, including amino acids, fatty acids, and carotenoids. In tomato, almost all of the important flavor-related volatiles are derived from essential nutrients. The predominance of volatiles derived from essential nutrients and health-promoting compounds suggests that these volatiles provide important information about the nutritional makeup of foods. Evidence supporting a relation between volatile perception and nutrient or health value will be reviewed.
Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index
Directory of Open Access Journals (Sweden)
Amir Saadaoui
2016-04-01
Full Text Available In this paper, we use a bivariate GARCH model to estimate simultaneously of the mean and the conditional variance between the Dow Jones stock index and some emerging bond indices. We used the DCC-GARCH model to graphically demonstrate the peaks of the volatility transmission. We examined this transmission using daily returns between July, 30, 2009 and January, 18, 2011 extracted from Datastream. Our results demonstrate that there is a significant transmission of shocks and volatility between the Dow Jones stock index and bond indices of the emerging countries. The results also confirm the idea that the crisis was transmitted from the United States to the emerging countries due to foreign investment made in these countries.
Directory of Open Access Journals (Sweden)
Nikica Budimir
2007-03-01
Full Text Available The research reported in this paper introduces new techniques to aid in the identification of recovered notebook computers so they may be returned to the rightful owner. We identify non-volatile data storage areas as a means of facilitating the safe storing of computer identification information. A forensic proof of concept tool has been designed to test the feasibility of several storage locations identified within this work to hold the data needed to uniquely identify a computer. The tool was used to perform the creation and extraction of created information in order to allow the analysis of the non-volatile storage locations as valid storage areas capable of holding and preserving the data created within them. While the format of the information used to identify the machine itself is important, this research only discusses the insertion, storage and ability to retain such information.
Volatility Degree Forecasting of Stock Market by Stochastic Time Strength Neural Network
Directory of Open Access Journals (Sweden)
Haiyan Mo
2013-01-01
Full Text Available In view of the applications of artificial neural networks in economic and financial forecasting, a stochastic time strength function is introduced in the backpropagation neural network model to predict the fluctuations of stock price changes. In this model, stochastic time strength function gives a weight for each historical datum and makes the model have the effect of random movement, and then we investigate and forecast the behavior of volatility degrees of returns for the Chinese stock market indexes and some global market indexes. The empirical research is performed in testing the prediction effect of SSE, SZSE, HSI, DJIA, IXIC, and S&P 500 with different selected volatility degrees in the established model.
Impact of time-inhomogeneous jumps and leverage type effects on returns and realised variances
DEFF Research Database (Denmark)
Veraart, Almut
This paper studies the effect of time-inhomogeneous jumps and leverage type effects on realised variance calculations when the logarithmic asset price is given by a Lévy-driven stochastic volatility model. In such a model, the realised variance is an inconsistent estimator of the integrated varia...... of inhomogeneous ordinary differential equations....... variance. Nevertheless it can be used within a quasi-maximumlikelihood setup to draw inference on the model parameters. In order to do that, this paper introduces a new methodology for deriving all cumulants of the returns and realised variance in explicit form by solving a recursive system...
The College Scorecard and Return on Investment
Dunlop, Michael
2016-01-01
Higher education institutions are increasingly being assessed on their ability to generate a positive return on investment (ROI) for their graduates. Students, parents, policymakers, education institutions, and rating agencies all use this information as a way to objectively rate colleges and their respective economic returns. Numerous studies…
Aggregate Unemployment Decreases Individual Returns to Education
Ammermueller, Andreas; Kuckulenz, Anja; Zwick, Thomas
2009-01-01
Aggregate unemployment may affect individual returns to education through qualification-specific responses in participation and wage bargaining. This paper shows that an increase in regional unemployment by 1% decreases returns to education by 0.005 percentage points. This implies that higher skilled employees are better sheltered from labour…
Really Great Returns to Medical Education?
Mennemeyer, Stephen T.
1978-01-01
Compares the returns of a medical education as opposed to education for alternative professional careers, using 1970 Census data. The results show that the returns of a medical education exceed those in alternative professions, though when adjustments are made for hours worked, physicians' earnings become roughly equal to those of dentists and…
The Returns to Quality in Graduate Education
Stevenson, Adam
2016-01-01
This paper estimates the monetary return to quality in US graduate education, controlling for cognitive ability and self-selection across award level, program quality, and field-of-study. In most program types, I cannot reject the hypothesis of no returns to either degree completion or program quality. Important exceptions include master's…
Returnable containers: an example of reverse logistics
L.G. Kroon (Leo); G.M.C. Vrijens
1996-01-01
textabstractConsiders the application of returnable containers as an example of reverse logistics. A returnable container is a type of secondary packaging that can be used several times in the same form, in contrast with traditional cardboard boxes. For this equipment to be used, a system for the
Legal institutions, strategic default, and stock returns
Favara, G.; Schroth, E.; Valta, P.
2008-01-01
This paper studies the impact of legal institutions on stock returns. More specifically, we examine how differences in debt enforcement and creditor protection around the world affect stock returns of individual firms. We hypothesize that if legal institutions prevent shareholders from engaging in
Social return bij inkoop door gemeenten
Brouwer, P.; Smit, A.
2011-01-01
Social return is sterk in opkomst. De rijksoverheid heeft besloten om met ingang van 1 juli 2011 bij inkopen en aanbestedingen ‘social return’ als contractvoorwaarde op te nemen. Het Brabants Expertisecentrum Socialer Ondernemen (BESO) bracht in dezelfde periode de handleiding ‘Social return bij
Return to the workforce following infective endocarditis
DEFF Research Database (Denmark)
Butt, Jawad H.; Kragholm, Kristian; Dalager-Pedersen, Michael
2018-01-01
BACKGROUND: The ability to return to work after infective endocarditis (IE) holds important socioeconomic consequences for both patients and society, yet data on this issue are sparse. We examined return to the workforce and associated factors in IE patients of working age. METHODS: Using Danish ...
Economic and accounting rates of return
Feenstra, D.W.; Wang, H.
2000-01-01
The rate of return on invested capital is a central concept in financial analysis. The purpose of calculating the rate of return on investment in general is to measure the financial performance, to assess the desirability of a project and to make decisions on the valuation of firms. Financial
Directory of Open Access Journals (Sweden)
Chia-Lin Chang
2017-10-01
Full Text Available Recent research shows that the efforts to limit climate change should focus on reducing the emissions of carbon dioxide over other greenhouse gases or air pollutants. Many countries are paying substantial attention to carbon emissions to improve air quality and public health. The largest source of carbon emissions from human activities in some countries in Europe and elsewhere is from burning fossil fuels for electricity, heat, and transportation. The prices of fuel and carbon emissions can influence each other. Owing to the importance of carbon emissions and their connection to fossil fuels, and the possibility of [1] Granger (1980 causality in spot and futures prices, returns, and volatility of carbon emissions, crude oil and coal have recently become very important research topics. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily futures prices for carbon emissions. For the European Union (EU, there are no daily spot prices for coal or carbon emissions, but there are daily futures prices for crude oil, coal and carbon emissions. For this reason, daily prices will be used to analyse Granger causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. As the estimators are based on quasi-maximum likelihood estimators (QMLE under the incorrect assumption of a normal distribution, we modify the likelihood ratio (LR test to a quasi-likelihood ratio test (QLR to test the multivariate conditional volatility Diagonal BEKK model, which estimates and tests volatility spillovers, and has valid regularity conditions and asymptotic properties, against the alternative Full BEKK model, which also estimates volatility spillovers, but has valid regularity conditions and asymptotic properties only under the null hypothesis of zero off-diagonal elements. Dynamic hedging strategies by using optimal hedge ratios are suggested to analyse market fluctuations in the
Poetic Return in Afghanistan Persian Poem
Directory of Open Access Journals (Sweden)
Esmaeil Shafagh
2012-11-01
Full Text Available Abstract Poetic return movement was started by a group of poets like Moshtagh and Shole Esfehani in the second half of 12 century. Their goal was restoring Persian poem and deliverance of Hindi style decline. Esfahan’s poets initiative was considered only in Iran but in other Persian language and literature areas like India, Afghanistan and Transoxiana it was ignored. After the failure of constitutional Movement in Afghanistan, motion similar poetic return was happened that caused poetic themes, which had gone towards modernism, return to Hindi style again.The present paper attempts to analyze the poetic atmosphere in Afghanistan synchronous the poetic return movement in Iran and investigate socio- political backgrounds of return to Hindi style in Afghanistan after constitution failure.
The Impact of Changing Earnings Volatility on Retirement Wealth
Austin Nichols; Melissa M. Favreault
2008-01-01
Over the last several decades, the volatility of family income has increased markedly, and own earnings volatility has remained relatively flat. Volatility may affect retirement wealth, depending on whether volatility affects accrued pension contributions or withdrawals or earnings credited toward future Social Security benefits. This project assesses the effect of the volatility of individual and family earnings on asset accumulation and projected retirement wealth using survey data matched ...
2010-12-10
... Internal Revenue Service 26 CFR Parts 1 and 301 RIN 1545-BJ52 Specified Tax Return Preparers Required To File Individual Income Tax Returns Using Magnetic Media; Correction AGENCY: Internal Revenue Service... provide further guidance relating to the requirement for ``specified tax return prepares,''. FOR FURTHER...
Lunar volatiles: balancing science and resource development
Crider, Dana
In the context of human exploration of the moon, the volatiles postulated to exist at the lunar poles have value as resources as well as scientific significance. Once sustained human operations commence on the moon, society will move from a paradigm in which examination of planetary materials has been unconstrained to one where use of those materials will support habitability and further exploration. A framework for the scientific investigation of lunar volatiles that allows for eventual economic exploitation can guide both activities and resolve the conflicts that will inevitably develop if the postulated lunar volatiles prove to be both extant and accessible. Scientific constraints on the framework include characterization at both poles of the isotopes, elements, and molecules in the volatiles, their relative and absolute abundances, and their horizontal and vertical distribution. A subset of this data is necessary in order to assess, develop, and initiate resource exploitation. In addition, the scientific record of volatiles in the cold traps can be contaminated by the cold-trapping of migrating volatiles released from operations elsewhere on the moon even if the indigenous, cold-trapped volatiles are not utilized. Possible decision points defining the transition from science-dominated to exploitation-dominated use include technology limits in the 70K environment, evolving science priorities (funding), and the resolution of major science issues. Inputs to policy development include any North vs. South Pole differences in volatile characteristics and the suitability of the volatiles to enable further scientific exploration of the moon. In the absence of national sovereignty on the moon, enforcement of any framework is an open question, particularly if science and commercial interests are in competition. The framework, processes, and precedent set by how we as a society choose to handle the scientific bounty and resource promise of lunar volatiles may eventually
Leão, William L.; Chen, Ming-Hui
2017-01-01
A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov chain Monte Carlo (MCMC) sampling algorithm is developed for parameter estimation. The deviance information, the Bayesian predictive information and the log-predictive score criterion are used to assess the fit of the proposed model. The proposed method is applied to an analysis of the daily stock return data from the Standard & Poor’s 500 index (S&P 500). The empirical results reveal that the stochastic volatility-in-mean model with correlated errors and GH-ST distribution leads to a significant improvement in the goodness-of-fit for the S&P 500 index returns dataset over the usual normal model. PMID:29333210
Leão, William L; Abanto-Valle, Carlos A; Chen, Ming-Hui
2017-01-01
A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov chain Monte Carlo (MCMC) sampling algorithm is developed for parameter estimation. The deviance information, the Bayesian predictive information and the log-predictive score criterion are used to assess the fit of the proposed model. The proposed method is applied to an analysis of the daily stock return data from the Standard & Poor's 500 index (S&P 500). The empirical results reveal that the stochastic volatility-in-mean model with correlated errors and GH-ST distribution leads to a significant improvement in the goodness-of-fit for the S&P 500 index returns dataset over the usual normal model.
Normal range of Atlanta-dental interval
Energy Technology Data Exchange (ETDEWEB)
Kim, Y. L.; Lee, S. C.; Lee, K. H.; Sung, J. H.; Joo, K. B.; Lee, S. R.; Hahm, C. K. [Hanyang University School of Medicine, Seoul (Korea, Republic of)
1986-08-15
The roentgenologic diagnosis of lateral subluxation of the atlanto-axial joint is very difficult because the only presentation is increase of the atlanto-dental interval. This study was carried out with 70 volunteers for normal value of atlanto-dental interval. We measured these intervals from lateral roentgenograms of cervical spine in neutral, flexion, and extension position of the neck. The results were as follows: 1. The mean value of atlanto-dental interval in all subjects was 1.54+-0.52mm in neutral, 1.59+-0.62mm in flexion, and 1.46+-0.48mm in extension position. 2. After thirty years of age the atlanto-dental interval was getting narrower according to aging. 3. In neutral and flexion positions there is no difference in atlanto-dental intervals, but in extension position it was significantly narrowed.
Soft Interval-Valued Neutrosophic Rough Sets
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Said Broumi
2015-01-01
Full Text Available In this paper, we first defined soft interval-valued neutrosophic rough sets(SIVN- rough sets for short which combines interval valued neutrosophic soft set and rough sets and studied some of its basic properties. This concept is an extension of soft interval valued intuitionistic fuzzy rough sets( SIVIF- rough sets. Finally an illustrative example is given to verify the developped algorithm and to demonstrate its practicality and effectiveness.
Sodium channels as targets for volatile anesthetics
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Karl F. Herold
2012-03-01
Full Text Available The molecular mechanisms of modern inhaled anesthetics although widely used in clinical settings are still poorly understood. Considerable evidence supports effects on membrane proteins such as ligand- and voltage-gated ion channels of excitable cells. Na+ channels are crucial to action potential initiation and propagation, and represent potential targets for volatile anesthetics. Inhibition of presynaptic Na+ channels leads to reduced neurotransmitter release at the synapse and could therefore contribute to the mechanisms by which volatile anesthetics produce their characteristic effects: amnesia, unconsciousness, and immobility. Early studies on crayfish and squid giant axon showed inhibition of Na+ currents by volatile anesthetics. Subsequent studies using native neuronal preparations and heterologous expression systems with various mammalian Na+ channel isoforms implicated inhibition of presynaptic Na+ channels in anesthetic actions. Volatile anesthetics reduce peak Na+ current and shift the voltage of half-maximal steady-state inactivation towards more negative potentials, thus stabilizing the fast-inactivated state. Furthermore recovery from fast-inactivation is slowed together with an enhanced use-dependent block during pulse train protocols. These effects can reduce neurotransmitter release by depressing presynaptic excitability, depolarization and Ca entry, and ultimately transmitter release. This reduction in transmitter release is more portent for glutamatergic vs. GABAergic terminals. Involvement of Na+ channel inhibition in mediating the immobility caused by volatile anesthetics has been demonstrated in animal studies, in which intrathecal infusion of the Na+ channel blocker tetrodotoxin increases volatile anesthetic potency, whereas infusion of the Na+ channels agonist veratridine reduces anesthetic potency. These studies indicate that inhibition of presynaptic Na+ channels by volatile anesthetics is involved in mediating some of
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
D.E. Allen (David); M.J. McAleer (Michael); R.J. Powell (Robert); A.K. Singh (Abhay)
2016-01-01
textabstractThis paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates
Characterization of volatile and non-volatile compounds of fresh pepper (Capsicum annuum)
Eggink, P.M.; Haanstra, J.P.W.; Tikunov, Y.M.; Bovy, A.G.; Visser, R.G.F.
2010-01-01
In this study volatile and non-volatile compounds and several agronomical important parameters were measured in mature fruits of elite sweet pepper breeding lines and hybrids and several genebank accessions from different Capsicum species. The sweet pepper breeding lines and hybrids were chosen to
Confidence Intervals from One One Observation
Rodriguez, Carlos C
2008-01-01
Robert Machol's surprising result, that from a single observation it is possible to have finite length confidence intervals for the parameters of location-scale models, is re-produced and extended. Two previously unpublished modifications are included. First, Herbert Robbins nonparametric confidence interval is obtained. Second, I introduce a technique for obtaining confidence intervals for the scale parameter of finite length in the logarithmic metric. Keywords: Theory/Foundations , Estimation, Prior Distributions, Non-parametrics & Semi-parametrics Geometry of Inference, Confidence Intervals, Location-Scale models
Conditional prediction intervals of wind power generation
DEFF Research Database (Denmark)
Pinson, Pierre; Kariniotakis, Georges
2010-01-01
A generic method for the providing of prediction intervals of wind power generation is described. Prediction intervals complement the more common wind power point forecasts, by giving a range of potential outcomes for a given probability, their so-called nominal coverage rate. Ideally they inform...... on the characteristics of prediction errors for providing conditional interval forecasts. By simultaneously generating prediction intervals with various nominal coverage rates, one obtains full predictive distributions of wind generation. Adapted resampling is applied here to the case of an onshore Danish wind farm...... to the case of a large number of wind farms in Europe and Australia among others is finally discussed....
DEFF Research Database (Denmark)
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark
is then based on asset returns, which are deflated by a model-free jump- and noise-robust estimate of the seasonal component and therefore homoscedastic under the null. The t-statistic (after pre-averaging and jump-truncation) diverges in the presence of stochastic volatility and has a standard normal...... distribution otherwise. We prove that replacing the true diurnal factor with our estimator does not affect the asymptotic theory. A Monte Carlo simulation also shows this substitution has no discernable impact in finite samples. The test is, however, distorted by small infinite-activity price jumps. To improve...
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
DEFF Research Database (Denmark)
Podolskij, Mark; Ziggel, Daniel
statistic. Under rather weak assumptions on the drift and volatility we prove weak convergence of the test statistic to a centered mixed Gaussian distribution. As a consequence we obtain a test, which is consistent for any fixed alternative. Moreover, we present a parametric bootstrap procedure which...... provides a better approximation of the distribution of the test statistic. Finally, it is demonstrated by means of Monte Carlo study that the range-based test is more powerful than the return-based test when comparing at the same sampling frequency....
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
DEFF Research Database (Denmark)
Podolskij, Mark; Ziggel, Daniel
statistic. Under rather weak assumptions on the drift and volatility we prove weak convergence of the test statistic to a centered mixed Gaussian distribution. As a consequence we obtain a test, which is consistent for any fixed alternative. We also provide a test for neighborhood hypotheses. Moreover, we...... present a parametric bootstrap procedure which provides a better approximation of the distribution of the test statistic. Finally, it is demonstrated by means of Monte Carlo study that the range-based test is more powerful than the return-based test when comparing at the same sampling frequency....
Return on current assets, working capital and required rate of return on equity
Monika Bolek
2014-01-01
The problem of return on current assets and return on working capital related to the cost of equity invested in a company is analyzed in this paper. Risk – return and liquidity – profitability trade-offs influence the company’s equilibrium and management decisions. Liquidity is measured by the cash conversion cycle and it is related to the working capital strategy, measured by current ratio. Rate of return on current assets should be related to the rate of return on working capital that is li...
A risk-adjusted approach to comparing the return on investment in health care programs.
Sendi, Pedram; Al, Maiwenn J; Zimmermann, Heinz
2004-09-01
The league table approach to rank ordering health care programs according to the incremental cost-effectiveness ratio is a common method to guide policy makers in setting priorities for resource allocation. In the presence of uncertainty, however, ranking programs is complicated by the degree of variability associated with each program. Confidence intervals for cost-effectiveness ratios may be overlapping. Moreover, confidence intervals may include negative ratios and the interpretation of negative cost-effectiveness ratios is ambiguous. We suggest to rank mutually exclusive health care programs according to their rate of return which is defined as the net monetary benefit over the costs of the program. However, how does a program with a higher expected return but higher uncertainty compare to a program with a lower expected return but lower risk? In the present paper we propose a risk-adjusted measure to compare the return on investment in health care programs. Financing a health care program is treated as an investment in a risky asset. The risky asset is combined with a risk-free asset in order to construct a combined portfolio. The weights attributed to the risk-free and risky assets are chosen in such a manner that all programs under consideration exhibit the same degree of uncertainty. We can then compare the performance of the individual programs by constructing a risk-adjusted league table of expected returns.
Effectiveness of Securities with Fuzzy Probabilistic Return
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Krzysztof Piasecki
2011-01-01
Full Text Available The generalized fuzzy present value of a security is defined here as fuzzy valued utility of cash flow. The generalized fuzzy present value cannot depend on the value of future cash flow. There exists such a generalized fuzzy present value which is not a fuzzy present value in the sense given by some authors. If the present value is a fuzzy number and the future value is a random one, then the return rate is given as a probabilistic fuzzy subset on a real line. This kind of return rate is called a fuzzy probabilistic return. The main goal of this paper is to derive the family of effective securities with fuzzy probabilistic return. Achieving this goal requires the study of the basic parameters characterizing fuzzy probabilistic return. Therefore, fuzzy expected value and variance are determined for this case of return. These results are a starting point for constructing a three-dimensional image. The set of effective securities is introduced as the Pareto optimal set determined by the maximization of the expected return rate and minimization of the variance. Finally, the set of effective securities is distinguished as a fuzzy set. These results are obtained without the assumption that the distribution of future values is Gaussian. (original abstract
Return to sports after shoulder arthroplasty
Johnson, Christine C; Johnson, Daniel J; Liu, Joseph N; Dines, Joshua S; Dines, David M; Gulotta, Lawrence V; Garcia, Grant H
2016-01-01
Many patients prioritize the ability to return to sports following shoulder replacement surgeries, including total shoulder arthroplasty (TSA), reverse total shoulder arthroplasty (RTSA), and hemiarthroplasty (HA). While activity levels after hip and knee replacements have been well-established in the literature, studies on this topic in the field of shoulder arthroplasty are relatively limited. A review of the literature regarding athletic activity after shoulder arthroplasty was performed using the PubMed database. All studies relevant to shoulder arthroplasty and return to sport were included. The majority of patients returned to their prior level of activity within six months following TSA, RTSA, and shoulder HA. Noncontact, low demand activities are permitted by most surgeons postoperatively and generally have higher return rates than contact sports or high-demand activities. In some series, patients reported an improvement in their ability to participate in sports following the arthroplasty procedure. The rates of return to sports following TSA (75%-100%) are slightly higher than those reported for HA (67%-76%) and RTSA (75%-85%). Patients undergoing TSA, RTSA, and shoulder HA should be counseled that there is a high probability that they will be able to return to their preoperative activity level within six months postoperatively. TSA has been associated with higher rates of return to sports than RTSA and HA, although this may reflect differences in patient population or surgical indication. PMID:27672564
Combination of volatile and non-volatile functions in a single memory cell and its scalability
Kim, Hyungjin; Hwang, Sungmin; Lee, Jong-Ho; Park, Byung-Gook
2017-04-01
A single memory cell which combines volatile memory and non-volatile memory functions has been demonstrated with an independent asymmetric dual-gate structure. Owing to the second gate whose dielectric is composed of oxide/nitride/oxide layers, floating body effect was observed even on a fully depleted silicon-on-insulator device and the non-volatile memory function was measured. In addition, read retention characteristics of the volatile memory function depending on the non-volatile memory state were evaluated and analyzed. Further scalability in body thickness was also verified through simulation studies. These results indicate that the proposed device is a promising candidate for high-density embedded memory applications.
Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock
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Marcelo Savino Portugal
2004-06-01
Full Text Available The main goal this article was to find the best way of making forecast about future volatility using implicit or statistic forecast. The work is based on Telemar S.A. shares data from 21/09/1998 to 21/10/2002 and Telemar S.A. shares data from 2/10/2000 to 21/10/2002. The implicit volatility was obtained using back-out procedure from the Black-Scholes model. The statistics forecasts were obtained using weighted moving average models, GARCH, EGARCH and FIGARCH models. The Wald statistic shows that EGARCH and FIGARCH models are efficient and are not biased forecasts for Telemar S.A. absolute variation between t and t + 1. The volatility evaluation during the maturity time of an option, rejects the hypothesis that implicit volatility is the best forecast to future volatility and the Wald statistic show that FIGARCH model is an efficient and not biased forecast.
An Optimization-Based Approach to Calculate Confidence Interval on Mean Value with Interval Data
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Kais Zaman
2014-01-01
Full Text Available In this paper, we propose a methodology for construction of confidence interval on mean values with interval data for input variable in uncertainty analysis and design optimization problems. The construction of confidence interval with interval data is known as a combinatorial optimization problem. Finding confidence bounds on the mean with interval data has been generally considered an NP hard problem, because it includes a search among the combinations of multiple values of the variables, including interval endpoints. In this paper, we present efficient algorithms based on continuous optimization to find the confidence interval on mean values with interval data. With numerical experimentation, we show that the proposed confidence bound algorithms are scalable in polynomial time with respect to increasing number of intervals. Several sets of interval data with different numbers of intervals and type of overlap are presented to demonstrate the proposed methods. As against the current practice for the design optimization with interval data that typically implements the constraints on interval variables through the computation of bounds on mean values from the sampled data, the proposed approach of construction of confidence interval enables more complete implementation of design optimization under interval uncertainty.
Clinical reasons for returning hearing aids.
Hong, Ju Young; Oh, In-Hwan; Jung, Tae Suk; Kim, Tae Hyun; Kang, Ho Min; Yeo, Seung Geun
2014-04-01
Increases in older aged populations and exposure to complicated noise environments have increased the number of hearing-impaired patients, creating greater demands for hearing aids. We have assessed the reasons that individuals rejected wearing and returned properly prescribed hearing aids, as well as differences in individual factors between younger and elderly adults. Of 1138 patients for whom hearing aids were prescribed at Kyung Hee University Medical Center Hearing Aid Clinic, 81 (6.14%) returned their hearing aids, including 36 patients aged hearing-related, and hearing aid-related factors were assessed by retrospective chart analysis and phone survey and compared in the two groups. The primary symptoms reported by the 81 patients who returned their hearing aids were hearing disturbance, ringing, and fullness in the ear, in that order and in both groups. The rate of hearing aid return was similar in elderly females and males (p=0.288). The spondee recognition threshold was significantly higher in younger than in elderly adults (63.3±14.0 dB vs. 55.6±14.74 dB, p=0.019), but the hearing aid return rate was highest in patients with moderate hearing loss in both groups. In evaluating the reasons for return of hearing aids, we found that ineffectiveness of the device was the most frequent reason, accounting for 32.0% of returns, the highest percentage in both groups, with the most frequent patient problem caused by management difficulty in elderly and financial difficulty in younger adults. The reasons for hearing aid return were different in two groups. Financial considerations were cited more by younger adults, while difficulties in managing hearing aids were cited more frequently by elderly adults. Patients in both groups, however, reported that the most frequent reasons for return were inadequate hearing improvement and inconvenience wearing the hearing aid due to noise amplification.
Energy Technology Data Exchange (ETDEWEB)
Lee, B.H.; Chang, K.C. [Inha University, Incheon (Korea); Lee, D.M.; Jeong, D.C.; Lee, S.C. [Hanjin Heavy Industries and Construction Co., Ltd., Seoul (Korea); Jeong, K.H. [Samsung Electronics Co., Ltd., Seoul (Korea)
2003-01-01
In this paper statistics on the radiation field waveforms produced by stepped leaders just prior to lightning return strokes were described. As a parameter of stepped leader pulse characteristics, the time interval between the final leader pulse and return stroke peak, the pause time between stepped leaders, the ratio of the final leader peak to the return stroke peak and the stepped leader pulse width at half maximum were examined. The average time intervals between the final leader pulse and return stroke peak were about 16.2 and 14.8{mu}s for the positive and negative polarities, respectively. When the stepped leader approaches closely to ground, the time interval between leader steps was decreased and the mean value was about 17{mu}s, and the present results were in reasonable agreement with the data observed in Florida and Japan. The large fraction of the ratios of the final stepped leader pulse to the lightning return stroke peak were distributed over the range from 5 to 35% and in average the ratio of the final leader pulse to the return stroke peak was 17.4{+-}11.9% for the positive and 18.5{+-}9.4% for the negative electric field waveforms. In addition, the mean pulse widths at half maximum of the stepped leaders are 1.4{mu}s with a standard deviation of 0.9 for the positive polarity and 2.2{mu}s with a standard deviation of 1.2 for the negative polarity, respectively. (author). 15 refs., 7 figs., 2 tabs.
Directory of Open Access Journals (Sweden)
Jerneja Farkaš
2005-09-01
Full Text Available Background: In Slovenia there is a lack of data regarding the return to work for patients after acute coronary syndrome (ACS for last two decades. We evaluated how return to work is affected by several physical, sociodemographic and psychological factors.Methods: In retrospective cohort study we screened 174 patients, younger than 60 years and fully employed before the disease, who participated in out-patient rehabilitation programme between years 1999 and 2002. The data on clinical characteristics, the mode of treatment of ACS and exercise capacity were obtained from medical charts. The psychosocial factors and the data about working ability were compiled by structured questionnaire.Results: Eighty-two patients returned complete questionnaire and 58 (71% of them returned to work. The patients returned to work had less diabetes (9% vs. 29%, p = 0.02, were more frequently treated with acetylsalicylic acid (79% vs. 50%, p = 0.01, had higher exercise capacity after the rehabilitation (8.6 ± 2.4 MET vs. 7.4 ± 1.9 MET, p = 0.03, and in everyday life (heavy activities 60% vs. 25%, p = 0.004, were more frequently supported by their friends (88% vs. 67%, p = 0.02 and co-workers (67% vs. 38%, p = 0.01, had greater desire to return to work (50% vs. 25%, p = 0.04 and were more often advised to return to work by the doctor (72% vs. 8%, p < 0.001. In multiple logistic regression model return to work was associated with doctor’s advice (risk ratio 63.9, 95% confidence interval 5.4 – 754, p = 0.001 and great desire to return to work (risk ratio 7,3, 95% confidence interval 1.1 – 49.5, p = 0.04.Conclusions: Doctor’s advice and great desire to return to work were the most important predictors of return to work.
Rates of Return to Schooling in China
Gregory C Chow
2003-01-01
This study uses data from a 1988 survey of Chinese individuals to estimate rates of return to schooling in China. The Mincer-type rate of return to schooling was estimated at 4.02 percent in rural areas and 3.29 percent in urban areas; these are fairly low estimates compared with similar estimates in other countries. The rate of return for schooling females was significantly higher than that for males in urban areas. In addition, members of the Communist Party in urban areas had significantly...
Return Predictability, Model Uncertainty, and Robust Investment
DEFF Research Database (Denmark)
Lukas, Manuel
Stock return predictability is subject to great uncertainty. In this paper we use the model confidence set approach to quantify uncertainty about expected utility from investment, accounting for potential return predictability. For monthly US data and six representative return prediction models, we...... find that confidence sets are very wide, change significantly with the predictor variables, and frequently include expected utilities for which the investor prefers not to invest. The latter motivates a robust investment strategy maximizing the minimal element of the confidence set. The robust investor...
q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations
Katz, Yuri A.; Tian, Li
2013-10-01
We study the probability distributions of daily leverage returns of 520 North American industrial companies that survive de-listing during the financial crisis, 2006-2012. We provide evidence that distributions of unbiased leverage returns of all individual firms belong to the class of q-Gaussian distributions with the Tsallis entropic parameter within the interval 1equity markets and are essential for single-name default forecasting as well as valuations of portfolio credit risk and economic capital, which might be underestimated by a classic theory of diversified portfolio optimization.
Nonparametric confidence intervals for monotone functions
Groeneboom, P.; Jongbloed, G.
2015-01-01
We study nonparametric isotonic confidence intervals for monotone functions. In [Ann. Statist. 29 (2001) 1699–1731], pointwise confidence intervals, based on likelihood ratio tests using the restricted and unrestricted MLE in the current status model, are introduced. We extend the method to the
New interval forecast for stationary autoregressive models ...
African Journals Online (AJOL)
In this paper, we proposed a new forecasting interval for stationary Autoregressive, AR(p) models using the Akaike information criterion (AIC) function. Ordinarily, the AIC function is used to determine the order of an AR(p) process. In this study however, AIC forecast interval compared favorably with the theoretical forecast ...
Interval Forecast for Smooth Transition Autoregressive Model ...
African Journals Online (AJOL)
In this paper, we propose a simple method for constructing interval forecast for smooth transition autoregressive (STAR) model. This interval forecast is based on bootstrapping the residual error of the estimated STAR model for each forecast horizon and computing various Akaike information criterion (AIC) function. This new ...
Multivariate interval-censored survival data
DEFF Research Database (Denmark)
Hougaard, Philip
2014-01-01
, non-parametric models are intrinsically more complicated. It is difficult to derive the intervals with positive mass, and estimated interval probabilities may not be unique. A semi-parametric model makes a compromise, with a parametric model, like a frailty model, for the dependence and a non...
Prolonged QT interval: A tricky diagnosis?
M.C. de Bruyne (Martine); A.W. Hoes (Arno); J.A. Kors (Jan); J.M. Dekker (Jacqueline); A. Hofman (Albert); J.H. van Bemmel (Jan); D.E. Grobbee (Diederick)
1997-01-01
textabstractProlonged heart-rate adjusted QT intervals on the electrocardiogram (ECG) are associated with an increased risk far coronary heart disease and sudden death. However, the diagnosis of the prolonged QT interval is hampered by lack of standards. We studied variations in the prevalence of
Volatile Organic Compound Investigation Results, 300 Area, Hanford Site, Washington
Energy Technology Data Exchange (ETDEWEB)
Peterson, Robert E.; Williams, Bruce A.; Smith, Ronald M.
2008-07-07
Unexpectedly high concentrations of volatile organic compounds (VOC) were discovered while drilling in the unconfined aquifer beneath the Hanford Site’s 300 Area during 2006. The discovery involved an interval of relatively finer-grained sediment within the unconfined aquifer, an interval that is not sampled by routine groundwater monitoring. Although VOC contamination in the unconfined aquifer has been identified and monitored, the concentrations of newly discovered contamination are much higher than encountered previously, with some new results significantly higher than the drinking water standards. The primary contaminant is trichloroethene, with lesser amounts of tetrachloroethene. Both chemicals were used extensively as degreasing agents during the fuels fabrication process. A biological degradation product of these chemicals, 1,2-dichloroethene, was also detected. To further define the nature and extent of this contamination, additional characterization drilling was undertaken during 2007. Four locations were drilled to supplement the information obtained at four locations drilled during the earlier investigation in 2006. The results of the combined drilling indicate that the newly discovered contamination is limited to a relatively finer-grained interval of Ringold Formation sediment within the unconfined aquifer. The extent of this contamination appears to be the area immediately east and south of the former South Process Pond. Samples collected from the finer-grained sediment at locations along the shoreline confirm the presence of the contamination near the groundwater/river interface. Contamination was not detected in river water that flows over the area where the river channel potentially incises the finer-grained interval of aquifer sediment. The source for this contamination is not readily apparent. A search of historical documents and the Hanford Waste Information Data System did not provide definitive clues as to waste disposal operations and
The Applicability of Confidence Intervals of Quantiles for the Generalized Logistic Distribution
Shin, H.; Heo, J.; Kim, T.; Jung, Y.
2007-12-01
The generalized logistic (GL) distribution has been widely used for frequency analysis. However, there is a little study related to the confidence intervals that indicate the prediction accuracy of distribution for the GL distribution. In this paper, the estimation of the confidence intervals of quantiles for the GL distribution is presented based on the method of moments (MOM), maximum likelihood (ML), and probability weighted moments (PWM) and the asymptotic variances of each quantile estimator are derived as functions of the sample sizes, return periods, and parameters. Monte Carlo simulation experiments are also performed to verify the applicability of the derived confidence intervals of quantile. As the results, the relative bias (RBIAS) and relative root mean square error (RRMSE) of the confidence intervals generally increase as return period increases and reverse as sample size increases. And PWM for estimating the confidence intervals performs better than the other methods in terms of RRMSE when the data is almost symmetric while ML shows the smallest RBIAS and RRMSE when the data is more skewed and sample size is moderately large. The GL model was applied to fit the distribution of annual maximum rainfall data. The results show that there are little differences in the estimated quantiles between ML and PWM while distinct differences in MOM.
The volatility of stock market prices.
Shiller, R J
1987-01-02
If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.
Modelling Stock Market Volatility: Evidence from India
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Karunanithy Banumathy
2015-03-01
Full Text Available This study empirically investigates the volatility pattern of Indian stock market based on time series data which consists of daily closing prices of S&P CNX Nifty Index for ten years period from 1st January 2003 to 31st December 2012. The analysis has been done using both symmetric and asymmetric models of Generalized Autoregressive Conditional Heteroscedastic (GARCH. As per Akaike Information Criterion (AIC and Schwarz Information Criterion (SIC, the study proves that GARCH (1,1 and TGARCH (1,1 estimations are found to be most appropriate model to capture the symmetric and asymmetric volatility respectively. The study also provides evidence for the existence of a positive and insignificant risk premium as per GARCH-M (1,1 model. The asymmetric effect (leverage captured by the parameter of EGARCH (1,1 and TGARCH (1,1 models show that negative shocks have significant effect on conditional variance (volatility.
Simulation of investment returns of toll projects.
2013-08-01
This research develops a methodological framework to illustrate key stages in applying the simulation of investment returns of toll projects, acting as an example process of helping agencies conduct numerical risk analysis by taking certain uncertain...
Return to sport following hip injury.
Draovitch, Pete; Maschi, Robert A; Hettler, Jessica
2012-03-01
Returning to both recreational and competitive sport requires the patient demonstrate the ability to perform their activity without pain, without compensation and without apprehension. The primary focus of this article will be to provide progressive weight bearing phased treatment solutions and both objective and empirical return to play testing suggestions. In addition to satisfactorily completing the test battery with maximum effort, the patient must demonstrate the ability to meet the demands for competing within their respective sport specific environment. Returning to competition will most likely include early phase movement screening and clinical clearance followed by late phase athletic and field testing. Hip structure will and must influence training program design. It is therefore important to recognize that indications for return to play must not focus on a single rehabilitation or exercise variable, but rather a combination of clinical, functional and sport specific demands.
Assisting the return of displaced Dinka Bor
Directory of Open Access Journals (Sweden)
Paul Murphy
2005-11-01
Full Text Available The issues involved in supporting the return of internally displaced Dinka Bor communities highlight the complex, and often ignored, challenges of addressing the consequencesof South-South conflict.
Sample Return Systems for Extreme Environments Project
National Aeronautics and Space Administration — In Phase I we were able to demonstrate that sample return missions utilizing high velocity penetrators (0.1- 1 km/s) could provide substantial new capabilities for...
DESIGNING THE RETURN MIGRATION OF ROMANIAN STUDENTS
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Magdalena VELCIU
2017-05-01
Full Text Available Romanian youth migration is an increasing phenomenon, due to subjective and objective factors as economical reasons, professional carrer and increasingly more international competition for talent. In these circumstances, the present article aims to evaluate determinant factors that contribute to the decision of Romanian graduates to return national labour market. We sustain that young Romanians consider carefully and hardly decide their professional future. A particular attention is given to their personal reasons and motivations as well as family and friends network. For designing returning factors we present the results of a questionnaire survey, asking young pupils and students about their future educational way and personal reasons underlying the decision to study in a foreign country and taking into consideration the returning decision. As far international student migration is seen as a first step to migration for work, our work desires to fight for returning home of Romanian well-educated graduates.
Sample Return Systems for Extreme Environments Project
National Aeronautics and Space Administration — Since the Apollo era, sample return missions have been primarily limited to asteroid sampling. More comprehensive sampling could yield critical information on the...
On the non-causal link between volatility and growth
DEFF Research Database (Denmark)
Posch, Olaf; Wälde, Klaus
di er both in their volatility and growth. Using a continuous-time DSGE model with plausible parametric restrictions, we obtain closedform measures of macro volatility based on cyclical components and output growth rates. Given our results, empirical volatility-growth analysis should include controls......A model highlighting the endogeneity of both volatility and growth is presented. Volatility and growth are therefore correlated but there is no causal link from volatility to growth. This joint endogeneity is illustrated by working out the effects through which economies with different tax levels...
Directory of Open Access Journals (Sweden)
Muhammad Tauseef Sultan
2014-09-01
Full Text Available Objective: To evaluate the toxicological aspects of Nigella sativa (N. sativa lipid and volatile fractions in streptozotocin induced diabetes mellitus. Methods: National Institute of Health (NIH, Islamabad provided us thirty Sprague Dawley rats that were further divided into three groups, i.e. control, N. sativa lipid fraction (4% and N. sativa volatile fraction (0.3%, respectively. The serological and haematological indices were evaluated at 4-week intervals during 56 d study. Results: The results indicated that the diabetes mellitus imparted negative effects on various serological and haematological attributes. However, supplementation of the N. sativa lipid fraction and N. sativa volatile fraction ameliorated the adverse consequences of diabetes mellitus. The diabetes induced renal toxicity and imbalanced serum chemistry were slightly modulated by experimental diets. However, the impact of essential oil was more significant as compared to the fixed oil. Conclusions: In a nutshell, experimental diets containing N. sativa lipid fraction and N. sativa volatile fraction are effective without having any toxicological effects, and experimental diets reduced toxicological and adverse consequences of diabetes mellitus.
49 CFR 1152.34 - Return on investment.
2010-10-01
... 49 Transportation 8 2010-10-01 2010-10-01 false Return on investment. 1152.34 Section 1152.34... Return on investment. Return on investment for road property shall be computed according to the procedures set forth in this section. (a)-(b) (c) Return on investment—road properties. Return on investment...
Contingent Claim-Based Expected Stock Returns
Nicholas Zhiyao Chen; Strebulaev, Ilya A.
2013-01-01
We develop and test a parsimonious contingent claims model for cross-sectional returns of stock portfolios formed on market leverage, book-to-market equity, asset growth rate, and equity size. Since stocks are residual claims on firms' assets that generate operating cash flows, stock returns are cash flow rates scaled by the sensitivities of stocks to cash flows. Our model performs well because the stock-cash flow sensitivities contain economic information. Value stocks, high-leverage stocks ...
Returns to beauty over the life course
DEFF Research Database (Denmark)
Jæger, Mads Meier
’ facial attractiveness as well as data on SES, marital, and health outcomes from their mid-20s to their mid-60s. I find that beauty has lasting positive returns for women since more beautiful women have higher SES throughout their working life, have a higher probability of being married at age 25......, and marry high-SES husbands. I find no effects of beauty on health and, in general, no returns to beauty for men....
Are fund of hedge fund returns asymmetric?
Lynch, Margaret; Hutson, Elaine; Stevenson, Max
2004-01-01
We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. However, we argue that the skewness statistic can lead to erroneous inferences regarding the nature of the return distribution, because the test statistic is based on the normal distribution. Using a series of tests that make minimal assumptions about the shape of the ...
[QTc interval in the neonatal period in a Mexican population. A pilot study].
Peña-Juárez, Rocio Alejandra; Garcia-Canales, Adrián; Garrido-García, Luis Martin; Valerio-Carballo, Cesar Augusto
2017-11-10
QT interval prolongation is associated with ventricular arrhythmias and sudden death syndrome. To determine the value of QTc interval in healthy newborns in a general hospital in Jalisco, Mexico, and their outcome during their first months of life. The study included healthy newborns from March to November 2016, in the Hospital General of Occidente in Jalisco, Mexico. A 12-lead electrocardiogram was performed at a speed of 25mm/s during the first 48h of life. The QT interval was measured in lead DII, and the QTc interval was calculated using the Bazett formula. Patients detected with QTc prolongation were assessed monthly with an ECG and echocardiogram. If they persisted with prolonged QTc interval, they were re-evaluated at 6 months with an ECG, 24h Holter, and electrocardiography study on parents and siblings. Those who persisted with prolonged QTc interval were evaluated with an ECG at 9 months. The study included 548 patients. The mean QTc interval at birth was 459 ms; during this period 33 patients has a QTc greated that 470 ms; which were evaluated monthly with a new electrocardiographic study, obtaining a mean QTc interal of 446 ms. At 6 months 16 patients were evaluated, with a mean QTc interval of 434ms. At 9 months, 6 patients were found to have a mean QTc interval of 438ms, and only 4 patients persisted with a prolonged QTc interval. The QTc interval in our population is prolonged compared to other populations and with a gradual return to normal. Copyright © 2017 Instituto Nacional de Cardiología Ignacio Chávez. Publicado por Masson Doyma México S.A. All rights reserved.