The jump component of S&P 500 volatility and the VIX index

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that a model-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any incremental information pertaining to future jump activity relative to model-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and reflects incremental information pertaining to future jump activity. This issue has not been examined previously and expands our understanding of how option markets form their volatility forecasts.

The relationship between implied and realized volatility : evidence from the Australian stock index option market

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied call volatility is nearly an unbiased forecast of future volatility.

The land use and public transport accessibility index : phase two final report

The Urban Research Program (URP) was established in 2003 as strategic research and community engagement initiative of Griffith University. The strategic foci of the Urban Research Program are research and advocacy in an urban regional context. The Urban Research Program seeks to improve understanding of, and develop innovative responses to Australia's urban challenges and opportunities by providing training assistance. The authors aim to make the results of their research and advocacy work available as freely and widely as possible.

Telephone reliability of the Frenchay Activity Index and EQ-5D amongst older adults

Background Older adults may find it problematic to attend hospital appointments due to the difficulty associated with travelling to, within and from a hospital facility for the purpose of a face-to-face assessment. This study aims to investigate equivalence between telephone and face-to-face administration for the Frenchay Activities Index (FAI) and the Euroqol-5D (EQ-5D) generic health-related quality of life instrument amongst an older adult population. Methods Patients aged >65 (n = 53) who had been discharged to the community following an acute hospital admission underwent telephone administration of the FAI and EQ-5D instruments seven days prior to attending a hospital outpatient appointment where they completed a face-to-face administration of these instruments. Results Overall, 40 subjects' datasets were complete for both assessments and included in analysis. The FAI items had high levels of agreement between the two modes of administration (item kappa's ranged 0.73 to 1.00) as did the EQ-5D (item kappa's ranged 0.67–0.83). For the FAI, EQ-5D VAS and EQ-5D utility score, intraclass correlation coefficients were 0.94, 0.58 and 0.82 respectively with paired t-tests indicating no significant systematic difference (p = 0.100, p = 0.690 and p = 0.290 respectively). Conclusion Telephone administration of the FAI and EQ-5D instruments provides comparable results to face-to-face administration amongst older adults deemed to have cognitive functioning intact at a basic level, indicating that this is a suitable alternate approach for collection of this information.

Validating the functional capacity index : a comparison of predicted versus observed total body scores

Background: The Functional Capacity Index (FCI) was designed to predict physical function 12 months after injury. We report a validation study of the FCI. Methods: This was a consecutive case series registered in the Queensland Trauma Registry who consented to the prospective 12-month telephone-administered follow-up study. FCI scores measured at 12 months were compared with those originally predicted. Results: Complete Abbreviated Injury Scale score information was available for 617 individuals, of whom 587 (95%) could be assigned at least one FCI score (range, 1-17). Agreement between the largest predicted FCI and observed FCI score was poor ([kappa] = 0.05; 95% confidence interval, 0.00-0.10) and explained only 1% of the variability in observed FCI. Using an encompassing model that included all FCI assignments, agreement remained poor ([kappa] = 0.05; 95% confidence interval, -0.02-0.12), and the model explained only 9% of the variability in observed FCI. Conclusion: The predicted functional capacity poorly agrees with actual functional outcomes. Further research should consider including other (noninjury) explanatory factors in predicting FCI at 12 months.

Evaluation of piezoelectric PVDF polymers for use in space environments. III. Comparison of the effects of vacuum UV and gamma radiation

Films of piezoelectric PVDF and P(VDF-TrFE) were exposed to vacuum UV (115-300 nm VUV) and -radiation to investigate how these two forms of radiation affect the chemical, morphological, and piezoelectric properties of the polymers. The extent of crosslinking was almost identical in both polymers after -irradiation, but surprisingly, was significantly higher for the TrFE copolymer after VUV-irradiation. Changes in the melting behavior were also more significant in the TrFE copolymer after VUV-irradiation due to both surface and bulk crosslinking, compared with only surface crosslinking for the PVDF films. The piezoelectric properties (measured using d33 piezoelectric coefficients and D-E hysteresis loops) were unchanged in the PVDF homopolymer, while the TrFE copolymer exhibited more narrow D-E loops after exposure to either - or VUV-radiation. The more severe damage to the TrFE copolymer in comparison with the PVDF homopolymer after VUV-irradiation is explained by different energy deposition characteristics. The short wavelength, highly energetic photons are undoubtedly absorbed in the surface layers of both polymers, and we propose that while the longer wavelength components of the VUV-radiation are absorbed by the bulk of the TrFE copolymer causing crosslinking, they are transmitted harmlessly in the PVDF homopolymer.

Evaluation of piezoelectric PVDF polymers for use in space environments. II. Effects of atomic oxygen and vacuum UV exposure

The effects of atomic oxygen (AO) and vacuum UV radiation simulating low Earth orbit conditions on two commercially available piezoelectric polymer films, poly(vinylidene fluoride) (PVDF) and poly(vinylidene fluoride-trifluoroethylene) P(VDF-TrFE), have been studied. Surface erosion and pattern development are significant for both polymers. Erosion yields were determined as 2.8 � 10�24 cm3/atom for PVDF and 2.5 � 10�24 cm3/atom for P(VDF-TrFE). The piezoelectric properties of the residual material of both polymers were largely unchanged after exposure, although a slight shift in the Curie transition of the P(VDF-TrFE) was observed. A lightly cross-linked network was formed in the copolymer presumably because of penetrating vacuum ultraviolet (VUV) radiation, while the homopolymer remained uncross-linked. These differences were attributed to varying degrees of crystallinity and potentially greater absorption, and hence damage, of VUV radiation in P(VDFTrFE) compared with PVDF.

Osteoarthritis Index delivered by mobile phone (m-WOMAC) is valid, reliable, and responsive

Objectives: To evaluate the validity, reliability and responsiveness of EDC using the WOMAC® NRS 3.1 Index on Motorola V3 mobile phones. ---------- Methods: Patients with osteoarthritis (OA) undergoing primary unilateral hip or knee joint replacement surgery were assessed pre-operatively and 3-4 months post-operatively. Patients completed the WOMAC® Index in paper (p-WOMAC®) and electronic (m-WOMAC®) format in random order. ---------- Results: 24 men and 38 women with hip and knee OA participated and successfully completed the m-WOMAC® questionnaire. Pearson correlations between the summated total index scores for the p-WOMAC® and m-WOMAC® pre- and post-surgery were 0.98 and 0.99 (p<0.0001). There was no clinically important or statistically significant between-method difference in the adjusted total summated scores, pre- and post-surgery (adjusted mean difference = 4.44, p = 0.474 and 1.73, p = 0.781). Internal consistency estimates of m-WOMAC® reliability were 0.87 – 0.98. The m-WOMAC® detected clinically important, statistically significant (p<0.0001) improvements in pain, stiffness, function and total index score. ---------- Conclusions: Sixty-two patients with hip and knee OA successfully completed EDC by Motorola V3 mobile phone using the m-WOMAC® NRS3.1 Index; completion times averaging only 1-1.5 minutes longer than the p-WOMAC® Index. Data were successfully and securely transmitted from patients in Australia to a server in the USA. There was close agreement and no significant differences between m-WOMAC® and p-WOMAC® scores. This study confirms the validity, reliability and responsiveness of the Exco InTouch engineered, Java-based m-WOMAC® Index application. EDC with the m-WOMAC® Index provides unique opportunities for using quantitative measurement in clinical research and practice.

A secure architecture for Australia’s index based e-health environment

This paper proposes a security architecture for the basic cross indexing systems emerging as foundational structures in current health information systems. In these systems unique identifiers are issued to healthcare providers and consumers. In most cases, such numbering schemes are national in scope and must therefore necessarily be used via an indexing system to identify records contained in pre-existing local, regional or national health information systems. Most large scale electronic health record systems envisage that such correlation between national healthcare identifiers and pre-existing identifiers will be performed by some centrally administered cross referencing, or index system. This paper is concerned with the security architecture for such indexing servers and the manner in which they interface with pre-existing health systems (including both workstations and servers). The paper proposes two required structures to achieve the goal of a national scale, and secure exchange of electronic health information, including: (a) the employment of high trust computer systems to perform an indexing function, and (b) the development and deployment of an appropriate high trust interface module, a Healthcare Interface Processor (HIP), to be integrated into the connected workstations or servers of healthcare service providers. This proposed architecture is specifically oriented toward requirements identified in the Connectivity Architecture for Australia’s e-health scheme as outlined by NEHTA and the national e-health strategy released by the Australian Health Ministers.

A discussion of the research performance evaluation in building and construction management discipline : the journal impact factors and SCI-index journals

The trend of diminished funding, demands for greater efficiency and higher public accountability have led to a rapid expansion of interest in the bibliometric assessment of research performance of universities. A pilot research is conducted to provide a preliminary overview of the research performance of the building and construction schools or departments through the analysis of bibliometric indicators including the journal impact factor (JIF) published by Institute for Scientific Information (ISI). The suitability of bibliometric evaluation approaches as a measure of research quality in building and construction management research field is discussed.

Workers’ UV exposure and the subsequent impact on skin

Introduction: Excessive exposure to ultraviolet (UV) radiation from sunlight is a causative factor in the development of skin damage and skin cancer. Little research has been undertaken into assessing the sun exposure linking to skin damage inside buildings or behind window glass. This project directly addressed this issue by aiming to assess the role that UV exposure has on skin damage for indoor workers and drivers. Methods: Measurements of personal UV exposure using UV sensitive polymer dosimeters were undertaken of 41 indoor workers and 3 professional drivers. Physical measurements of skin characteristics including skin pigmentation and UV induced skin photoaging were also determined. In addition, demographic information along with phenotypic characteristics, sun exposure and sun protection practice history, and history of skin damage were assessed through a questionnaire. Results: Indoor workers typically received low doses of UV radiation. However, one driver received a high dose (13J/cm2 UVA and 4.99 MED UVB on the arm). Age and years residing in Australia had a positive correlation with UV induced skin pigmentation. The number of major sunburns before 18 years was a risk factor for skin damage in adults. Those participants with fair skin, non-black hair and blue/green /blue-grey eye were more likely to have skin damage related to sun exposure. Conclusions: A person’s age, years residing in Australia, numbers of major sunburn, skin colour, hair colour and eye colour are important factors associated with the development of sun-related skin damage in workers. ‘Real World’ implications: 1. The number of major sunburns before 18 years was a risk factor for skin damage in adults. This clearly confirms the importance of early prevention. To protect the skin from extensive sun exposure for your generation should have significance for further prevention of skin damage. 2. It is unsurprising that age and years residing in Australia were associated with skin damage related UV radiation. Therefore, the general public should reinforce their sun protective measures and check skin regularly. 3. Drivers should take sun protective measures during their working hours between sunrise and sunset.

Measuring export readiness using a multiple-item index

Since the 1970s the internationalisation process of firms has attracted wide research interest. One of the dominant explanations of firm internationalisation resulting from this research activity is the Uppsala stages model. In this paper, a pre-internationalisation phase is incorporated into the traditional Uppsala model to address the question: What are the antecedents of this model? Four concepts are proposed as the key components that define the experiential learning process underlying a firm’s pre-export phase: export stimuli, attitudinal/psychological commitment, resources and lateral rigidity. Through a survey of 290 Australian exporting and non-exporting small-medium sized firms, data relating to the four pre-internationalisation concepts is collected and an Export Readiness Index (ERI) is constructed through factor analysis. Using logistic regression, the ERI is tested as a tool for analysing export readiness among Australian SMEs.