Are combination forecasts of S&P 500 volatility statistically superior?

Forecasting volatility has received a great deal of research attention, with the relative performances of econometric model based and option implied volatility forecasts often being considered. While many studies find that implied volatility is the pre-ferred approach, a number of issues remain unresolved, including the relative merit of combining forecasts and whether the relative performances of various forecasts are statistically different. By utilising recent econometric advances, this paper considers whether combination forecasts of S&P 500 volatility are statistically superior to a wide range of model based forecasts and implied volatility. It is found that a combination of model based forecasts is the dominant approach, indicating that the implied volatility cannot simply be viewed as a combination of various model based forecasts. Therefore, while often viewed as a superior volatility forecast, the implied volatility is in fact an inferior forecast of S&P 500 volatility relative to model-based forecasts.

Public sector legislation in Queensland : old or new directions

It has been 150 years since the Queensland public service was established. This paper looks back over the successive civil and public service acts in Queensland from 1859 to 2009, to examine the why the acts were passed, the changing structure of the public sector and the political justifications for the changes. It will establish how much has changed and how much has stayed the same over 150 years. Discussions regarding the success of the public service acts will be approached from an accountability perspective and will work to determine how effective the legislation has been in creating an independent and efficient public sector. The paper will demonstrate that change has occurred but some of it has turned back on itself;proposals that were rejected in the past have reappeared as fresh ideas and innovations. Finally, the paper will make conclusions as to the progress or repetition of public sector legislation in Queensland.

Introduction to the development of the ISPCAN child abuse screening tools

The World Report on Children and Violence, (Pinheiro, 2006) was produced at the request of the UN Secretary General and the UN General Assembly. This report recommended improvement in research on child abuse. ISPCAN representatives took this charge and developed 3 new instruments. We describe this background and introduce three new measures designed to assess the incidence and prevalence of child abuse and neglect.

Metaheuristic approaches to the hybrid flow shop scheduling problem with a cost-related criterion

In the paper, the flow-shop scheduling problem with parallel machines at each stage (machine center) is studied. For each job its release and due date as well as a processing time for its each operation are given. The scheduling criterion consists of three parts: the total weighted earliness, the total weighted tardiness and the total weighted waiting time. The criterion takes into account the costs of storing semi-manufactured products in the course of production and ready-made products as well as penalties for not meeting the deadlines stated in the conditions of the contract with customer. To solve the problem, three constructive algorithms and three metaheuristics (based one Tabu Search and Simulated Annealing techniques) are developed and experimentally analyzed. All the proposed algorithms operate on the notion of so-called operation processing order, i.e. the order of operations on each machine. We show that the problem of schedule construction on the base of a given operation processing order can be reduced to the linear programming task. We also propose some approximation algorithm for schedule construction and show the conditions of its optimality.

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 mechanical response of the ovine lumbar anulus fibrosus to uniaxial, biaxial and shear loads

Analytical and computational models of the intervertebral disc (IVD) are commonly employed to enhance understanding of the biomechanics of the human spine and spinal motion segments. The accuracy of these models in predicting physiological behaviour of the spine is intrinsically reliant on the accuracy of the material constitutive representations employed to represent the spinal tissues. There is a paucity of detailed mechanical data describing the material response of the reinforced­ground matrix in the anulus fibrosus of the IVD. In the present study, the ‘reinforced­ground matrix’ was defined as the matrix with the collagen fibres embedded but not actively bearing axial load, thus incorporating the contribution of the fibre-fibre and fibre-matrix interactions. To determine mechanical parameters for the anulus ground matrix, mechanical tests were carried out on specimens of ovine anulus, under unconfined uniaxial compression, simple shear and biaxial compression. Test specimens of ovine anulus fibrosus were obtained with an adjacent layer of vertebral bone/cartilage on the superior and inferior specimen surface. Specimen geometry was such that there were no continuous collagen fibres coupling the two endplates. Samples were subdivided according to disc region - anterior, lateral and posterior - to determine the regional inhomogeneity in the anulus mechanical response. Specimens were loaded at a strain rate sufficient to avoid fluid outflow from the tissue and typical stress-strain responses under the initial load application and under repeated loading were determined for each of the three loading types. The response of the anulus tissue to the initial and repeated load cycles was significantly different for all load types, except biaxial compression in the anterior anulus. Since the maximum applied strain exceeded the damage strain for the tissue, experimental results for repeated loading reflected the mechanical ability of the tissue to carry load, subsequent to the initiation of damage. To our knowledge, this is the first study to provide experimental data describing the response of the ‘reinforced­ground matrix’ to biaxial compression. Additionally, it is novel in defining a study objective to determine the regionally inhomogeneous response of the ‘reinforced­ground matrix’ under an extensive range of loading conditions suitable for mechanical characterisation of the tissue. The results presented facilitate the development of more detailed and comprehensive constitutive descriptions for the large strain nonlinear elastic or hyperelastic response of the anulus ground matrix.

Can book-to-market and size be risk factors that predict economic growth in Asia's emerging economies?

We investigate whether the two 2 zero cost portfolios, SMB and HML, have the ability to predict economic growth for markets investigated in this paper. Our findings show that there are only a limited number of cases when the coefficients are positive and significance is achieved in an even more limited number of cases. Our results are in stark contrast to Liew and Vassalou (2000) who find coefficients to be generally positive and of a similar magnitude. We go a step further and also employ the methodology of Lakonishok, Shleifer and Vishny (1994) and once again fail to support the risk-based hypothesis of Liew and Vassalou (2000). In sum, we argue that search for a robust economic explanation for firm size and book-to-market equity effects needs sustained effort as these two zero cost portfolios do not represent economically relevant risk.

Magnetic resonance spectroscopy in seizure disorders

Key points • The clinical aims of MR spectroscopy (MRS) in seizure disorders are to help identify, localize and characterize epileptogenic foci. • Lateralizing MRS abnormalities in temporal lobe epilepsy (TLE) may be used clinically in combination with structural and T2 MRI measurements together with other techniques such as EEG, PET and SPECT. • Characteristic metabolite abnormalities are decreased N-acetylaspartate (NAA) with increased choline (Cho) and myoinositol (mI) (short-echo time). • Contralateral metabolite abnormalities are frequently seen in TLE, but are of uncertain significance. • In extra-temporal epilepsy, metabolite abnormalities may be seen where MR imaging (MRI) is normal; but may not be sufficiently localized to be useful clinically. • MRS may help to characterize epileptogenic lesions visible on MRI (aggressive vs. indolent neoplastic, dysplasia). • Spectral editing techniques are required to evaluate specific epilepsy-relevant metabolites (e.g. -aminobutyric acid (GABA)), which may be useful in drug development and evaluation. • MRS with phosphorus (31P) and other nuclei probe metabolism of epilepsy, but are less useful clinically. • There is potential for assessing the of drug mode of action and efficacy through 13C carbon metabolite measurements, while changes in sodium homeostasis resulting from seizure activity may be detected with 23Na MRS.

A biomechanical study of top screw pullout in anterior scoliosis correction constructs

Study Design: Biomechanical testing of vertebral body screw pullout resistance with relevance to top screw pullout in endoscopic anterior scoliosis constructs. Objectives: To analyse the effect of screw positioning and angulation on pullout resistance of vertebral body screws, where the pullout takes place along a curved path as occurs in anterior scoliosis constructs. Summary of Background Data: Top screw pullout is a significant clinical problem in endoscopic anterior scoliosis surgery, with rates of up to 18% reported in the literature. Methods: A custom designed biomechanical test rig was used to perform pullout tests of Medtronic anterior vertebral screws where the pullout occurred along an arc of known radius. Using synthetic bone blocks, a range of pullout radii and screw angulations were tested, in order to determine an ‘optimal’ configuration. The optimal configuration was then compared with standard screw positioning using a series of tests on ovine vertebrae (n=29). Results: Screw angulation has a small but significant effect on pullout resistance, with maximum strength being achieved at 10 degree cephalad angulation. Combining 10 degree cephalad angulation with maximal spacing between the top two screws (maximum pullout radius) increased the pullout resistance by 88% compared to ‘standard’ screw positioning (screws inserted perpendicular to rod at mid-body height). Conclusions: The positioning of the top screw in anterior scoliosis constructs can significantly alter its pullout resistance.

The relationship between deformity correction and clinical outcomes after thoracoscopic scoliosis surgery : a prospective series of 100 patients

The relationship between deformity correction and self-reported patient satisfaction after thoracoscopic anterior scoliosis surgery is unknown. Scoliosis Research Society questionnaire scores, radiographic outcomes, and rib hump correction were prospectively assessed for a group of 100 patients pre-operatively and at two years after surgery. Patients with lower post-op major Cobb angles report significantly higher SRS scores than patients with higher post-op Cobb angles.

Secondary curve behaviour in Lenke IC class adolescent idiopathic scoliosis following video assisted thoracoscopic spinal fusion

Introduction. Ideally after selective thoracic fusion for Lenke Class IC (i.e. major thoracic / secondary lumbar) curves, the lumbar spine will spontaneously accommodate to the corrected position of the thoracic curve, thereby achieving a balanced spine, avoiding the need for fusion of lumbar spinal segments1. The purpose of this study was to evaluate the behaviour of the lumbar curve in Lenke IC class adolescent idiopathic scoliosis (AIS) following video-assisted thoracoscopic spinal fusion and instrumentation (VATS) of the major thoracic curve. Methods. A retrospective review of 22 consecutive patients with AIS who underwent VATS by a single surgeon was conducted. The results were compared to published literature examining the behaviour of the secondary lumbar curve where other surgical approaches were employed. Results. Twenty-two patients (all female) with AIS underwent VATS. All major thoracic curves were right convex. The average age at surgery was 14 years (range 10 to 22 years). On average 6.7 levels (6 to 8) were instrumented. The mean follow-up was 25.1 months (6 to 36). The pre-operative major thoracic Cobb angle mean was 53.8° (40° to 75°). The pre-operative secondary lumbar Cobb angle mean was 43.9° (34° to 55°). On bending radiographs, the secondary curve corrected to 11.3° (0° to 35°). The rib hump mean measurement was 15.0° (7° to 21°). At latest follow-up the major thoracic Cobb angle measured on average 27.2° (20° to 41°) (p<0.001 – univariate ANOVA) and the mean secondary lumbar curve was 27.3° (15° to 42°) (p<0.001). This represented an uninstrumented secondary curve correction factor of 37.8%. The mean rib hump measured was 6.5° (2° to 15°) (p<0.001). The results above were comparable to published series when open surgery was performed. Discussion. VATS is an effective method of correcting major thoracic curves with secondary lumbar curves. The behaviour of the secondary lumbar curve is consistent with published series when open surgery, both anterior and posterior, is performed.

Computed tomography analysis of sagittal plane parameters in adolescent idiopathic scoliosis treated by video assisted thoracoscopic spinal fusion and instrumentation

One of the primary treatment goals of adolescent idiopathic scoliosis (AIS) surgery is to achieve maximum coronal plane correction while maintaining coronal balance. However maintaining or restoring sagittal plane spinal curvature has become increasingly important in maintaining the long-term health of the spine. Patients with AIS are characterised by pre-operative thoracic hypokyphosis, and it is generally agreed that operative treatment of thoracic idiopathic scoliosis should aim to restore thoracic kyphosis to normal values while maintaining lumbar lordosis and good overall sagittal balance. The aim of this study was to evaluate CT sagittal plane parameters, with particular emphasis on thoracolumbar junctional alignment, in patients with AIS who underwent Video Assisted Thoracoscopic Spinal Fusion and Instrumentation (VATS). This study concluded that video-assisted thoracoscopic spinal fusion and instrumentation reliably increases thoracic kyphosis while preserving junctional alignment and lumbar lordosis in thoracic AIS.