Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Essays on Financial Analyst Forecasts and Recommendations

The trade of the financial analyst is currently a much-debated issue in today’s media. As a large part of the investment analysis is conducted under the broker firms’ regime, the incentives of the financial analyst and the investor do not always align. The broker firm’s commercial incentives may be to maximise its commission from securities trading and underwriting fees. The purpose of this thesis is to extend our understanding of the work of a financial analyst, the incentives he faces and how these affect his actions. The first essay investigates how the economic significance of the coverage of a particular firm impacts the analysts’ accuracy of estimation. The hypothesis is that analysts put more effort in analysing firms with a relatively higher trading volume, as these firms usually yield higher commissions. The second essay investigates how analysts interpret new financial statement information. The essay shows that analysts underreact or overreact to prior reported earnings, depending on the short-term pattern in reported earnings. The third essay investigates the possible investment value in Finnish stock recommendations, issued by sell side analysts. It is established that consensus recommendations issued on Finnish stocks contain investment value. Further, the investment value in consensus recommendations improves significantly through the exclusion of recommendations issued by banks. The fourth essay investigates investors’ behaviour prior to financial analysts’ earnings forecast revisions. Lately, the financial press have reported cases were financial analysts warn their preferred clients of possible earnings forecast revisions. However, in the light of the empirical results, it appears that the problem of analysts leaking information to some selected customers does not appear systematically on the Finnish stock market.

Incarnate Subjectivity : The Constitutive Significance of Embodiment in Husserlian Phenomenology

This work offers a systematic phenomenological investigation of the constitutive significance of embodiment. It provides detailed analyses of subjectivity in relation to itself, to others, and to objective reality, and it argues that these basic structures cannot be made intelligible unless one takes into account how they are correlated with an embodied subject. The methodological and conceptual starting point of the treatise is the philosophy of Edmund Husserl. The investigation employs the phenomenological method and uses the descriptions and analyses provided by Husserl and his successors. The treatise is motivated and outlined systematically, and textual exegesis serves as a means for the systematic phenomenological investigation. The structure of the work conforms to the basic relations of subjectivity. The first part of the thesis explores the intimate relation between lived-body and selfhood, analyzes the phenomena of localization, and argues that self-awareness is necessarily and fundamentally embodied self-awareness. The second part examines the intersubjective dimensions of embodiment, investigates the corporal foundations of empathy, and unravels the bodily aspects of transcendental intersubjectivity. The third part scrutinizes the role of embodiment in the constitution of the surrounding objective reality: it focuses on the complex relationship between transcendental subjectivity and transcendental intersubjectivity, carefully examines the normative aspects of genetic and generative self-constitution, and argues eventually that what Husserl calls the paradox of subjectivity originates in a tension between primordial and intersubjective normativity. The work thus reinterprets the paradox of subjectivity in terms of a normative tension, and claims that the paradox is ultimately rooted in the structures of embodiment. In this manner, as a whole, the work discloses the constitutive significance of embodiment, and argues that transcendental subjectivity must be fundamentally embodied.

New Perspectives on the Roman Coinage on the Eastern Limes in the Late Republican and Roman Imperial Period

The Ph.D. thesis discusses the monetary development in Roman Syria and Judaea in the Late Republican and the Early Imperial Period, from a numismatic, archaeological and historical point of view. In effect, the work focuses on the 1st century B.C. to the 1st century A.D., that is, the assumed time of introduction of Roman denarii to the region. The work benefits from the silver coin hoards of Khirbet Qumran recently published by the author. Though discovered as early as 1955 at Qumran, where the famous Dead Sea Scrolls had been found prior to that in 1947, most hoards remained unpublished until 2007. A second important source utilized is the so-called Tax Law from Palmyra in Syria. Its significance lies in the fact that Palmyra used to be one of the most important cities on the Silk Road, along which luxury goods were transported into the Roman Empire and Rome itself. During the research conducted, studies of the provincial coinage of Judaea (A.D. 6-66) shed new light on the authority of the Roman governors in economic and monetary matters in eastern Mediterranean regions. Furthermore, a new suggestion as to the length of the mandate period of Pontius Pilate is made. The extent of Emperor Augustus monetary reforms as well as the military history of Judaea are discussed in the light of new analytical studies, which show that the production of Roman base metal coins appears to have been a highly controlled process, contrary to popular opinion. Statistical calculations related to the coin alloy revealed striking similarities with Roman and other local metalwork found in Israel; a fact previously unknown. Results indicate that both Roman and local metalwork consisted of outstandingly systematized practises and may have exploited the same metal sources. Information: Kenneth Lönnqvist (*25.7.1962) has studied at the University of Helsinki since 1981. Furthermore, Lönnqvist has lived in the Mediterranean countries and the Near East, and made research there at various scientific institutions and universities for ca. 7 years. Contact and sales of thesis: kenneth.lonnqvist@helsinki.fi

Melun sieto kaupunkielämän välttämättömyytenä : Melu ympäristöongelmana ja sen synnyttämien reaktioiden kulttuurinen käsittely Helsingissä

Tolerance of Noise as a Necessity of Urban Life. Noise pollution as an environmental problem and its cultural perceptions in the city of Helsinki This study looks at the noise pollution problem and the change in the urban soundscape in the city of Helsinki during the period from the 1950s to the present day. The study investigates the formation of noise problems, the politicization of the noise pollution problem, noise-related civic activism, the development of environmental policies on noise, and the expectations that urban dwellers have had concerning their everyday soundscape. Both so-called street noise and the noise caused by, e.g., neighbors are taken into account. The study investigates whether our society contains or has for some time contained cultural and other elements that place noise pollution as an essential or normal state of affairs as part of urban life. It is also discussed whether we are moving towards an artificial soundscape, meaning that the auditory reality, the soundscape, is more and more under human control. The concept of an artificial soundscape was used to crystallize the significance of human actions and the role of modern technology in shaping soundscapes and also to link the changes in the modern soundscape to the economic, political, and social changes connected to the modernization process. It was argued that the critical period defining noise pollution as an environmental problem were the years from the end of the 1960s to the early 1970s. It seems that the massive increase of noise pollution caused by road traffic and the introduction of the utopian traffic plans was the key point that launched the moral protest against the increase of noise pollution, and in general, against the basic structures and mindsets of society, including attitudes towards nature. The study argues that after noise pollution was politicized and institutionalized, the urban soundscape gradually became the target of systematic interventions. However, for various reasons, such as the inconsistency in decision making, our increased capacity to shape the soundscape has not resulted in a healthy or pleasant urban soundscape. In fact the number of people exposed to noise pollution is increasing. It is argued that our society contains cultural and other elements that urge us to see noise as a normal part of urban life. It is also argued that the possibility of experiencing natural, silent soundscapes seems to be the yardstick against which citizens of Helsinki have measured how successful we are in designing the (artificial) soundscape and if the actions of noise control have been effective. This work discusses whose interests it serves when we are asked to accept noise pollution as a normal state of affairs. It is also suggested that the quality of the artificial soundscape ought to be radically politicized, which might give all citizens a better and more equal chance to express their needs and wishes concerning the urban soudscape, and also to decide how it ought to be designed.

Aineellista ja aineetonta turvaa : Ruokakunnat, ekologis-taloudelliset resurssit ja kontaktinmuodostus Valkealassa 1630 1750

Material and immaterial security. Households, ecological and economic resources and formation of contacts in Valkeala parish from the 1630s to the 1750s. The geographical area of the thesis, Valkeala parish in the region of Kymenlaakso, is a very interesting area owing to its diversity, both in terms of natural setting and economic and cultural structure. The study begins by outlining the ecological and economic features of Valkeala and by analysing household structures. The main focus of the research lies in the contacts of the households with the outside world. The following types of contacts are chosen as indicators of the interaction: trade and credit relations, guarantees, co-operation, marriages and godparentage. The main theme of the contact analysis is to observe the significance of three factors, namely geographical extent, affluence level and kinship, to the formation of contacts. It is also essential to chart the interdependencies between ecological and economic resources, changes in the structure of households and the formation of contacts during the period studied. The time between the 1630s and the 1750s was characterized by wars, crop losses and population changes, which had an effect on the economic framework and on the structural variation of households and contact fields. In the 17th and 18th centuries Valkeala could be divided, economically, into two sections according to the predominant cultivation technique. The western area formed the field area and the eastern and northern villages the swidden area. Multiple family households were dominant in the latter part of the 17th century, and for most of the study period, the majority of people lived in the more complex households rather than in simple families. Economic resources had only a moderate impact on the structure of contacts. There was a clear connection between bigger household size and the extent and intensity of contacts. The jurisdictional boundary that ran across Valkeala from the northwest to the southeast and divided the parish into two areas influenced the formation of contacts more than the parish boundaries. Support and security were offered largely by the primary contacts with one s immediate family, neighbours and friends. Economic support was channelled from the wealthier to the less well off by credits. Cross-marriages, cross-godparentage and marital networks could be seen as manifestations of an aim towards stability and the joining of resources. It was essential for households both to secure the workforce needed for a minimum level of subsistence and to ensure the continuation of the family line. These goals could best be reached by complex households that could adapt to the prevailing circumstances and also had wider and more multi-layered contacts offering material and immaterial security.

Environmental change and human history in the Jabal Harun area, Jordan

The research is related to the Finnish Jabal Harun Project (FJHP), which is part of the research unit directed by Professor Jaakko Frösén. The project consists of two interrelated parts: the excavation of a Byzantine monastery/pilgrimage centre on Jabal Harun, and a multiperiod archaeological survey of the surrounding landscape. It is generally held that the Near Eastern landscape has been modified by millennia of human habitation and activity. Past climatic changes and human activities could be expected to have significantly changed also the landscape of the Jabal Harun area. Therefore it was considered that a study of erosion in the Jabal Harun area could shed light on the environmental and human history of the area. It was hoped that it would be possible to connect the results of the sedimentological studies either to wider climatic changes in the Near East, or to archaeologically observable periods of human activity and land use. As evidence of some archaeological periods is completely missing from the Jabal Harun area, it was also of interest whether catastrophic erosion or unfavourable environmental change, caused either by natural forces or by human agency, could explain the gaps in the archaeological record. Changes in climate and/or land-use were expected to be reflected in the sedimentary record. The field research, carried out as part of the FJHP survey fieldwork, included the mapping of wadi terraces and cleaning of sediment profiles which were recorded and sampled for laboratory analyses of facies and lithology. To obtain a chronology for the sedimentation and erosion phases also OSL (optically stimulated luminescence) dating samples were collected. The results were compared to the record of the Near Eastern palaeoclimate, and to data from geoarchaeological studies in central and southern Jordan. The picture of the environmental development was then compared to the human history in the area, based on archaeological evidence from the FJHP survey and the published archaeological research in the Petra region, and the question of the relationship between human activity and environmental change was critically discussed. Using the palaeoclimatic data and the results from geoarchaeological studies it was possible to outline the environmental development in the Jabal Harun area from the Pleistocene to the present.It is appears that there was a phase of accumulation of sediment before the Middle Palaeolithic period, possibly related to tectonic movement. This phase was later followed by erosion, tentatively suggested to have taken place during the Upper Palaeolithic. A period of wadi aggradation probably occurred during the Late Glacial and continued until the end of the Pleistocene, followed by significant channel degradation, attributed to increased rainfall during the Early Holocene. It seems that during the later Holocene channel incision has been dominant in the Jabal Harûn area although there have been also small-scale channel aggradation phases, two of which were OSL-dated to around 4000-3000 BP and 2400-2000 BP. As there is no evidence of tectonic movements in the Jabal Harun area after the early Pleistocene, it is suggested that climate change and human activity have been the major causes of environmental change in the area. At a brief glance it seems that many of the changes in the settlement and land use in the Jabal Harun area can be explained by climatic and environmental conditions. However, the responses of human societies to environmental change are dependent on many factors. Therefore an evaluation of the significance of environmental, cultural, socio-economic and political factors is needed to decide whether certain phenomena are environmentally induced. Comparison with the wider Petra region is also needed to judge whether the phenomena are characteristic of the Jabal Harun area only, or can they be connected to social, political and economic development over a wider area.

Stem Cell Markers in Cancer: Do They Have Clinical Significance?

In cancer, a subpopulation of malignant cells expresses markers of normal stem cells. These cells have the potential of initiating tumor growth and therefore also tumor recurrence. Thus, these cells are called cancer stem cells. A myriad of markers have been applied to identify these cells, but no single marker can be found exclusively in cancer stem cells. In many types of cancer, clinical recurrence and tumor progression are the main causes of mortality, despite intense oncological treatment. It has been proposed that the presence of cancer stem cells causes this resistance to therapy. The scope of this thesis is to investigate the role of stem cell markers and genes in the clinical setting. Especially, the aim was to elucidate the clinical significance of stem cell markers as novel prognostic and diagnostic tools in cancer. Tumor biopsy material from central nervous system tumors (oligodendroglioma, astrocytoma and glioblatoma), neural crest derived tumors (pheochromocytomas) and oral carcinoma was screened for stem cell markers. Initially, 15 stem cell markers were screened in a test series of gliomas. The markers applied for expanded tumor analyses (in 305 cases of glioma, 42 cases of pheochromocytoma, and 73 cases of oral carcinoma) were BMI-1, Snail, p16, mdm2, and c-Myc. Data on marker expression was compared with clinical and pathological parameters. In gliomas, BMI-1 expression was found in nearly all tumors analyzed, but the frequency of BMI-1 expressing cells was highly variable, ranging from 1 to 100%. In oligodendroglioma, BMI-1 expression was identified as a prognostic marker independent of tumor grade and clinical parameters. In pheochromocytoma, Snail expression was shown to distinguish between the metastatic and non-metastatic forms of the tumor. Snail expression was seen only in metastatic tumors, whereas non-metastatic tumors did not commonly express Snail. Finally, in oral carcinoma, BMI-1 expression was seen in roughly 80% of tumors, and Snail expression was high or very high in all cases. The lack of BMI-1 expression was associated with early relapse in oral carcinoma.

Trust, participation and health among ageing people : A cross-sectional cohort study of men and women born in 1926-30, 1936-40, and 1946-50 in the Lahti region, southern Finland

The purpose of the present study was to explore the associations between good self-rated health and economic and social factors in different regions among ageing people in the Päijät-Häme region in southern Finland. The data of this study were collected in 2002 as part of the research and development project Ikihyvä 2002 2012 (Good Ageing in Lahti region GOAL project). The baseline data set consisted of 2,815 participants born in 1926 30, 1936 40, and 1946 50. The response rate was 66 %. According to the previous studies, trust in other people and social participation as the main aspects of social capital are associated with self-rated health. In addition, socioeconomic position (SEP) and self-rated health are associated, but all SEP indicators do not have identical associations with health. However, there is a lack of knowledge of the health associations and regional differences with these factors, especially among ageing people. Regarding these questions, the present study gives new information. According to the results of this study, self-perceived adequacy of income was significantly associated with good self-rated health, especially in the urban areas. Similar associations were found in the rural areas, though education was also considered an important factor. Adequacy of income was an even stronger predictor of good health than the actual income. Women had better self-rated health than men only in the urban areas. The youngest respondents had quite equally better self-rated health than the others. Social participation and access to help when needed were associated with good self-rated health, especially in the urban area and the sparsely populated rural areas. The result was comparable in the rural population centres. The correlation of trust with self-rated health was significant in the urban area. High social capital was associated with good self-rated health in the urban area. The association was quite similar in the other areas, though it was statistically insignificant. High social capital consisted of co-existent high social participation and high trust. The association of traditionalism (low participation and high trust) with self-rated health was also substantial in the urban area. The associations of self-rated health with low social capital (low participation and low trust) and the miniaturisation of community (high participation and low trust) were less significant. From the forms of single participation, going to art exhibitions, theatre, movies, and concerts among women, and studying and self-development among men were positively related to self-rated health. Unexpectedly, among women, active participation in religious events and voluntary work was negatively associated with self-rated health. This may indicate a coping method with ill-health. As a whole, only minor variations in self-rated health were found between the areas. However, the significance of the factors associated with self-rated health varied according to the areas. Economic factors, especially self-perceived adequacy of income was strongly associated with good self-rated health. Also when adjusting for economic and several other background factors social factors (particularly high social capital, social participation, and access to help when needed) were associated with self-rated health. Thus, economic and social factors have a significant relation with the health of the ageing, and improving these factors may have favourable effects on health among ageing people.