Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.

Uso del pronombre personal sujeto de la primera persona del singular en español y portugués hablados: factores semánticos y pragmáticos

Tutkimuksen aihe on subjektipronominin ei-pakollinen käyttö finiittisten verbimuotojen yhteydessä espanjan ja portugalin kielessä. Tutkimuskohteena ovat yksikön ensimmäisen persoonan verbimuodot Espanjassa ja Portugalissa kerätyissä puhekielen korpuksissa. Tutkimuksen tarkoitus on selvittää, mitkä semanttiset ja pragmaattiset tekijät vaikuttavat subjektipronominin ei-pakollisen käytön yleisyyteen ja mitä systemaattisia eroja subjektipronominin käytössä on espanjan ja portugalin välillä. Tutkimus kuuluu korpuslingvistiikan alaan ja ensisijaisena tutkimusmetodina on kvantitatiivinen vertailu. Tutkimus osoittaa, että yksikön ensimmäisen persoonan subjektipronominin ei-pakollinen käyttö on käytännössä kaikissa konteksteissa yleisempää portugalissa kuin espanjassa. Tätä eroa voidaan selittää kielten konstituenttirakenteen typologisella erilaisuudella. Subjektin semanttinen rooli on tutkimuksen perusteella sidoksissa subjektipronominin käyttöön enemmän espanjassa kuin portugalissa, mutta kummassakaan kielessä subjektipronominin käyttöä ei voida selittää pelkästään subjektin semanttisella roolilla. Molemmissa kielissä samanviitteisyys edellisen subjektin kanssa vähentää subjektipronominin käyttöä, kun taas subjektipronominin ei-referentiaalinen käyttö ja toisaalta verbin ilmaiseman toiminnan irreaalisuus lisäävät sitä. Tutkimustulokset antavat aihetta lisätutkimukseen pronominien ja verbien ei-referentiaalisesta ja irreaalisesta käytöstä espanjassa ja portugalissa sekä typologi-seen tutkimukseen subjektipronominien käyttöön vaikuttavista tekijöistä eri kielissä.

"Kirjailijoiden tapaus" Venäjällä vuonna 1997

In the autumn of 1997, Russian government was faced with media pressure when owners of the TV channels ORT and NTV joined forces against it. This study is based on media sources from October 1997 to December 1997. It shows clearly how the enormous power of the media was able to dictate what happened in Russia. In the mid-1990s Russians started to talk about political technology, which became a commonly used term by professionals, journalists, politicians and intelligence services. As a result of this action, two leading reformers in the government, Anatoliy Chubais and Boris Nemtsov, were dismissed from their highly influential posts as finance and energy ministers respectively, but retained their power as first deputy prime ministers. According to the correspondents, the real reason was to resolve a conflict within the parliament, which had demanded the dismissal of Mr. Chubais. This demand was presented after Chubais had accepted $90,000 as a reward for co-writing a book on privatization. Chubais was considered to be Russia’s “business card” towards the west – the"Authors’ case" (Delo avtorov) was only solved after President Boris Yeltsin took part in the public debate. According to the research, the media owned by powerful businessmen Boris Berezovsky and Vladimir Gusinski, was able to use its own security services to expose sensitive material (Russian term ‘kompromat’), if necessary, concerning any given person. The so-called Authors’ case can be considered as a part of the battle and the tip of the iceberg in arrangements designed to organize the funding of the Russian presidential election campaign in 2000. The reason why this particular incident was so widely covered on television was because several programs aimed to reveal to the public "hidden bribes" that, as they claimed, government officials had received. The political aspect, however, was quite mild, when the concrete issues of possible dismissals of Ministers were debated in the Parliament. Everything was dealt with as a “family matter” inside Kremlin. Yeltsin's "family" consisted of practically anybody from oligarch Berezovsky to Chubais, the father of Russia's privatization policy. Methods of critical history implementation analysis has been used in this research in determining the use of the source material. Literature and interviews have also provided a good base for the study. The study proves that any literature dealing with the subject has not paid enough attention to how the dismissal of Alexander Kazakov, deputy of President’s administration, was linked directly with Gazprom, the state gas monopoly. Kazakov had to leave Gazprom and lose his position as Chubais' ally when the influential ORT television company was deteriorated.

A head-mounted display as a personal viewing device: Dimensions of subjective experiences

The use of head-mounted displays (HMDs) can produce both positive and negative experiences. In an effort increase positive experiences and avoid negative ones, researchers have identified a number of variables that may cause sickness and eyestrain, although the exact nature of the relationship to HMDs may vary, depending on the tasks and the environments. Other non-sickness-related aspects of HMDs, such as users opinions and future decisions associated with task enjoyment and interest, have attracted little attention in the research community. In this thesis, user experiences associated with the use of monocular and bi-ocular HMDs were studied. These include eyestrain and sickness caused by current HMDs, the advantages and disadvantages of adjustable HMDs, HMDs as accessories for small multimedia devices, and the impact of individual characteristics and evaluated experiences on reported outcomes and opinions. The results indicate that today s commercial HMDs do not induce serious sickness or eyestrain. Reported adverse symptoms have some influence on HMD-related opinions, but the nature of the impact depends on the tasks and the devices used. As an accessory to handheld devices and as a personal viewing device, HMDs may increase use duration and enable users to perform tasks not suitable for small screens. Well-designed and functional, adjustable HMDs, especially monocular HMDs, increase viewing comfort and usability, which in turn may have a positive effect on product-related satisfaction. The role of individual characteristics in understanding HMD-related experiences has not changed significantly. Explaining other HMD-related experiences, especially forward-looking interests, also requires understanding more stable individual traits and motivations.

Mathematical Aspects of Financial Markets with Frictions

Frictions are factors that hinder trading of securities in financial markets. Typical frictions include limited market depth, transaction costs, lack of infinite divisibility of securities, and taxes. Conventional models used in mathematical finance often gloss over these issues, which affect almost all financial markets, by arguing that the impact of frictions is negligible and, consequently, the frictionless models are valid approximations. This dissertation consists of three research papers, which are related to the study of the validity of such approximations in two distinct modeling problems. Models of price dynamics that are based on diffusion processes, i.e., continuous strong Markov processes, are widely used in the frictionless scenario. The first paper establishes that diffusion models can indeed be understood as approximations of price dynamics in markets with frictions. This is achieved by introducing an agent-based model of a financial market where finitely many agents trade a financial security, the price of which evolves according to price impacts generated by trades. It is shown that, if the number of agents is large, then under certain assumptions the price process of security, which is a pure-jump process, can be approximated by a one-dimensional diffusion process. In a slightly extended model, in which agents may exhibit herd behavior, the approximating diffusion model turns out to be a stochastic volatility model. Finally, it is shown that when agents' tendency to herd is strong, logarithmic returns in the approximating stochastic volatility model are heavy-tailed. The remaining papers are related to no-arbitrage criteria and superhedging in continuous-time option pricing models under small-transaction-cost asymptotics. Guasoni, Rásonyi, and Schachermayer have recently shown that, in such a setting, any financial security admits no arbitrage opportunities and there exist no feasible superhedging strategies for European call and put options written on it, as long as its price process is continuous and has the so-called conditional full support (CFS) property. Motivated by this result, CFS is established for certain stochastic integrals and a subclass of Brownian semistationary processes in the two papers. As a consequence, a wide range of possibly non-Markovian local and stochastic volatility models have the CFS property.

Elements of Volatility at High Frequency

Volatility is central in options pricing and risk management. It reflects the uncertainty of investors and the inherent instability of the economy. Time series methods are among the most widely applied scientific methods to analyze and predict volatility. Very frequently sampled data contain much valuable information about the different elements of volatility and may ultimately reveal the reasons for time varying volatility. The use of such ultra-high-frequency data is common to all three essays of the dissertation. The dissertation belongs to the field of financial econometrics. The first essay uses wavelet methods to study the time-varying behavior of scaling laws and long-memory in the five-minute volatility series of Nokia on the Helsinki Stock Exchange around the burst of the IT-bubble. The essay is motivated by earlier findings which suggest that different scaling laws may apply to intraday time-scales and to larger time-scales, implying that the so-called annualized volatility depends on the data sampling frequency. The empirical results confirm the appearance of time varying long-memory and different scaling laws that, for a significant part, can be attributed to investor irrationality and to an intraday volatility periodicity called the New York effect. The findings have potentially important consequences for options pricing and risk management that commonly assume constant memory and scaling. The second essay investigates modelling the duration between trades in stock markets. Durations convoy information about investor intentions and provide an alternative view at volatility. Generalizations of standard autoregressive conditional duration (ACD) models are developed to meet needs observed in previous applications of the standard models. According to the empirical results based on data of actively traded stocks on the New York Stock Exchange and the Helsinki Stock Exchange the proposed generalization clearly outperforms the standard models and also performs well in comparison to another recently proposed alternative to the standard models. The distribution used to derive the generalization may also prove valuable in other areas of risk management. The third essay studies empirically the effect of decimalization on volatility and market microstructure noise. Decimalization refers to the change from fractional pricing to decimal pricing and it was carried out on the New York Stock Exchange in January, 2001. The methods used here are more accurate than in the earlier studies and put more weight on market microstructure. The main result is that decimalization decreased observed volatility by reducing noise variance especially for the highly active stocks. The results help risk management and market mechanism designing.

Itsenäisen Suomen puolesta : Sotilaskomitea 1915-1918

For Independent Finland. The Military Committee 1915–1918 In the course of the First World War, several organizations were founded with the purpose of making Finland independent or, at least, restoring her autonomous status. The Military Committee was the most significant active independence organization in Finland in the First World War, in addition to the activist student movement, i.e., the Jaeger Movement. The Military Committee was an organization founded in 1915 by officers who had attended the Hamina Cadet School, with the goal of creating a national army for a liberation war against the Russian troops. It was believed that the liberation war should succeed only with the help of the German Army. With the situation in society continually tensing up in the autumn 1917, the Military Committee also had to figure on the possibility of a Civil War. The activities of the Military Committee started in the early part of 1915 when they were still small-scale, but they gained significant momentum after the Russian Revolution in March 1917. In January 1918, the Military Committee formed the general staff for the White Army, the Senate’s troops. The independence-related activities of the Hamina cadets in the years of the First World War were more extensive and multifaceted than has been believed heretofore. The work of the Military Committee was divided into preparations for a liberation war in Finland, on one hand, and in Stockholm and Berlin, on the other hand. In Finland, the Military Committee took part in intelligence gathering for Germany and in supporting the recruiting Jaegers, and later in founding the civil guard organization, in solving the law and order authorities issue, and finally in selecting the Commander-in-Chief for the Senate’s troops. The member of the Military Committee, especially Captain Hannes Ignatius of the Cavalry contributed greatly to the drafting of the independence activists’ national action plan in Stockholm in May 1917. This plan preceded the formation of the civil guard organization. The Military Committee’s role in founding the civil guards was initially minor, but in the fall of 1917, the Military Committee started to finance the activities of the civil guards, named several former officers as commanders of the civil guards and finally overtook the entire civil guard movement. In Stockholm and Berlin, the representatives of the Military Committee were in active contact with both the high command of the German Army and with the representatives of the Swedish Army. Colonel Nikolai Mexmontan, who was a representative of the Military Committee, collaborated with Swedish officers and Jaeger officers in Stockholm in coming up with comprehensive and detailed plans for starting the Liberation War. Under Mexmontan’s leadership, there were serious negotiations to enter into a confederation with Germany. Lieutenant Colonel Wilhelm Thesleff, on the other hand, became the commander of the Jaeger Battalion 27. The influence and importance of the Military Committee came to the forefront in independent and conflict-torn Finland. The Military Committee became a Senate committee on the 7th of January 1918, with its chairman, for all practical purposes, as the Commander-in-Chief in an eventual war. Lieutenant General Claes Charpentier was the chairman of the Military Committee from mid-December 1917 onwards, but on the 15th of January 1918 he had to resign in favour of Lieutenant General Gustaf Mannerheim. Soon after that, Mannerheim got an order from the chairman of the Senate P. E. Svinhufvud to organize and assume the leadership of the law and order authorities. The chairman of the Military Committee became the Commander-in-Chief of the Senate troops in January 1918, and the Military Committee became the Commander-in-Chief’s general staff. The Military Committee had turned from a clandestine organization into the first general staff of the independent Finnish Army.

The Relational Self, the Social Bond and the Dynamics of Personal Relationships : A Sociological Analysis

This study analyses personal relationships linking research to sociological theory on the questions of the social bond and on the self as social. From the viewpoint of disruptive life events and experiences, such as loss, divorce and illness, it aims at understanding how selves are bound to their significant others as those specific people ‘close or otherwise important’ to them. Who form the configurations of significant others? How do different bonds respond in disruptions and how do relational processes unfold? How is the embeddedness of selves manifested in the processes of bonding, on the one hand, and in the relational formation of the self, on the other? The bonds are analyzed from an anti-categorical viewpoint based on personal citations of significance as opposed to given relationship categories, such as ‘family’ or ‘friendship’ – the two kinds of relationships that in fact are most frequently significant. The study draws from analysis of the personal narratives of 37 Finnish women and men (in all 80 interviews) and their entire configurations of those specific people who they cite as ‘close or otherwise important’. The analysis stresses the subjective experiences, while also investigating the actualized relational processes and configurations of all personal relationships with certain relationship histories embedded in micro-level structures. The research is based on four empirical sub-studies of personal relationships and a summary discussing the questions of the self and social bond. Discussion draws from G. H. Mead, C. Cooley, N. Elias, T. Scheff, G. Simmel and the contributors of ‘relational sociology’. Sub-studies analyse bonds to others from the viewpoint of biographical disruption and re-configuration of significant others, estranged family bonds, peer support and the formation of the most intimate relationships into exclusive and inclusive configurations. All analyses examine the dialectics of the social and the personal, asking how different structuring mechanisms and personal experiences and negotiations together contribute to the unfolding of the bonds. The summary elaborates personal relationships as social bonds embedded in wider webs of interdependent people and social settings that are laden with cultural expectations. Regarding the question of the relational self, the study proposes both bonding and individuality as significant. They are seen as interdependent phases of the relationality of the self. Bonding anchors the self to its significant relationships, in which individuality is manifested, for example, in contrasting and differentiating dynamics, but also in active attempts to connect with others. Individuality is not a fixed quality of the self, but a fluid and interdependent phase of the relational self. More specifically, it appears in three formats in the flux of relational processes: as a sense of unique self (via cultivation of subjective experiences), as agency and as (a search for) relative autonomy. The study includes an epilogue addressing the ambivalence between the social expectation of individuality in society and the bonded reality of selves.

Just say no? The influence of personal goals, beliefs, psychosocial adjustment, and parental relationships in drug use by adolescents

The study in its entirety focused on factors related to adolescents decisions concerning drug use. The term drug use is taken here to include the use of tobacco products, alcohol, narcotics, and other addictive substances. First, the reasons given for drug use (attributions) were investigated. Secondly, the influence of personal goals, the beliefs involved in decision making, psychosocial adjustment including body image and involvement with peers, and parental relationships on drug use were studied. Two cohorts participated in the study. In 1984, a questionnaire on reasons for drug use was administered to a sample of adolescents aged 14-16 (N=396). A further questionnaire was administered to another sample of adolescents aged 14-16 (N=488) in 1999. The results for both cohorts were analyzed in Articles I and II. In Articles III and IV further analysis was carried out on the second cohort (N=488). The research report presented here provides a synthesis of all four articles, together with material from a further analysis. In a comparison of the two cohorts it was found that the attributions for drug use had changed considerably over the intervening fifteen-year period. In relation to alcohol and narcotics use an increase was found in reasons involving inner subjective experiences, with mention of the good feeling and fun resulting from alcohol and narcotics use. In addition, the goals of alcohol consumption were increasingly perceived as drinking to get drunk, and for its own sake. The attributions for the adolescents own smoking behavior were quite different from the attributions for smoking by others. The attributions were only weakly influenced by the participants gender or by their smoking habits, either in 1984 or 1999. In relation to participants own smoking, the later questionnaire elicited more mention of inner subjective experiences involving "good feeling. In relation to the perceived reasons for other people s smoking, it elicited more responses connected with the notion of "belonging. In the second sample, the results indicated that the levels of body satisfaction among adolescent girls are lower than those among adolescent boys. Overall, dissatisfaction with one's physical appearance seemed to relate to drug use. Girls were also found to engage in more discussions than boys; this applied to (i) discussion with peers (concerning both intimate and general matters), and (ii) discussion with parents (concerning general matters). However, more than a quarter of the boys (out of the entire population) reported only low intimacy with both parents and peers. If both drinking and smoking were considered, it seemed that girls in particular who reported drinking and smoking also reported high intimacy with parents and peers. Boys who reported drinking and smoking reported only medium intimacy with parents and peers. In addition, having an intimate relationship with one's peers was associated with a greater tendency to drink purely in order to get drunk. Overall, the results seemed to suggest that drug use is connected with a close relationship with peers and (surprisingly) with a close relationship with parents. Nevertheless, there were also indications that to some extent peer relationships can also protect adolescents from smoking and alcohol use. The results, which underline the complexity of adolescent drug use, are taken up in the Discussion section. It may be that body image and/or other identity factors play a more prominent role in all drug use than has previously been acknowledged. It does appear that in the course of planning support campaigns for adolescents at risk of drug use, we should focus more closely on individuals and their inner world. More research on this field is clearly needed, and therefore some ideas for future research are also presented.