Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

Nonparametric estimation of structural models for high-frequency currency market data

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method for estimation of structural economic models. The method forces the model to match (under a GMM criterion) the score function of a nonparametric estimate of the conditional density of observed data. The estimation uses weekly U.S.-German currency market data, 1975-90. © 1995.

Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis

Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.

Cost Heterogeneity and the Potential Savings from Market-Based Policies

Policy makers and analysts are often faced with situations where it is unclear whether market-based instruments hold real promise of reducing costs, relative to conventional uniform standards. We develop analytic expressions that can be employed with modest amounts of information to estimate the potential cost savings associated with market-based policies, with an application to the environmental policy realm. These simple formulae can identify instruments that merit more detailed investigation. We illustrate the use of these results with an application to nitrogen oxides control by electric utilities in the United States.

Effect of primary care physicians' use of estimated glomerular filtration rate on the timing of their subspecialty referral decisions.

BACKGROUND: Primary care providers' suboptimal recognition of the severity of chronic kidney disease (CKD) may contribute to untimely referrals of patients with CKD to subspecialty care. It is unknown whether U.S. primary care physicians' use of estimated glomerular filtration rate (eGFR) rather than serum creatinine to estimate CKD severity could improve the timeliness of their subspecialty referral decisions. METHODS: We conducted a cross-sectional study of 154 United States primary care physicians to assess the effect of use of eGFR (versus creatinine) on the timing of their subspecialty referrals. Primary care physicians completed a questionnaire featuring questions regarding a hypothetical White or African American patient with progressing CKD. We asked primary care physicians to identify the serum creatinine and eGFR levels at which they would recommend patients like the hypothetical patient be referred for subspecialty evaluation. We assessed significant improvement in the timing [from eGFR < 30 to ≥ 30 mL/min/1.73m(2)) of their recommended referrals based on their use of creatinine versus eGFR. RESULTS: Primary care physicians recommended subspecialty referrals later (CKD more advanced) when using creatinine versus eGFR to assess kidney function [median eGFR 32 versus 55 mL/min/1.73m(2), p < 0.001]. Forty percent of primary care physicians significantly improved the timing of their referrals when basing their recommendations on eGFR. Improved timing occurred more frequently among primary care physicians practicing in academic (versus non-academic) practices or presented with White (versus African American) hypothetical patients [adjusted percentage(95% CI): 70% (45-87) versus 37% (reference) and 57% (39-73) versus 25% (reference), respectively, both p ≤ 0.01). CONCLUSIONS: Primary care physicians recommended subspecialty referrals earlier when using eGFR (versus creatinine) to assess kidney function. Enhanced use of eGFR by primary care physicians' could lead to more timely subspecialty care and improved clinical outcomes for patients with CKD.

A COMPARISON OF MARKET CLEARING TOOLS IN ELECTRICITY SYSTEMS

To maintain a strict balance between demand and supply in the US power systems, the Independent System Operators (ISOs) schedule power plants and determine electricity prices using a market clearing model. This model determines for each time period and power plant, the times of startup, shutdown, the amount of power production, and the provisioning of spinning and non-spinning power generation reserves, etc. Such a deterministic optimization model takes as input the characteristics of all the generating units such as their power generation installed capacity, ramp rates, minimum up and down time requirements, and marginal costs for production, as well as the forecast of intermittent energy such as wind and solar, along with the minimum reserve requirement of the whole system. This reserve requirement is determined based on the likelihood of outages on the supply side and on the levels of error forecasts in demand and intermittent generation. With increased installed capacity of intermittent renewable energy, determining the appropriate level of reserve requirements has become harder. Stochastic market clearing models have been proposed as an alternative to deterministic market clearing models. Rather than using a fixed reserve targets as an input, stochastic market clearing models take different scenarios of wind power into consideration and determine reserves schedule as output. Using a scaled version of the power generation system of PJM, a regional transmission organization (RTO) that coordinates the movement of wholesale electricity in all or parts of 13 states and the District of Columbia, and wind scenarios generated from BPA (Bonneville Power Administration) data, this paper explores a comparison of the performance between a stochastic and deterministic model in market clearing. The two models are compared in their ability to contribute to the affordability, reliability and sustainability of the electricity system, measured in terms of total operational costs, load shedding and air emissions. The process of building the models and running for tests indicate that a fair comparison is difficult to obtain due to the multi-dimensional performance metrics considered here, and the difficulty in setting up the parameters of the models in a way that does not advantage or disadvantage one modeling framework. Along these lines, this study explores the effect that model assumptions such as reserve requirements, value of lost load (VOLL) and wind spillage costs have on the comparison of the performance of stochastic vs deterministic market clearing models.

The impact of the developmental timing of trauma exposure on PTSD symptoms and psychosocial functioning among older adults.

The present study examined the impact of the developmental timing of trauma exposure on posttraumatic stress disorder (PTSD) symptoms and psychosocial functioning in a large sample of community-dwelling older adults (N = 1,995). Specifically, we investigated whether the negative consequences of exposure to traumatic events were greater for traumas experienced during childhood, adolescence, young adulthood, midlife, or older adulthood. Each of these developmental periods is characterized by age-related changes in cognitive and social processes that may influence psychological adjustment following trauma exposure. Results revealed that older adults who experienced their currently most distressing traumatic event during childhood exhibited more severe symptoms of PTSD and lower subjective happiness compared with older adults who experienced their most distressing trauma after the transition to adulthood. Similar findings emerged for measures of social support and coping ability. The differential effects of childhood compared with later life traumas were not fully explained by differences in cumulative trauma exposure or by differences in the objective and subjective characteristics of the events. Our findings demonstrate the enduring nature of traumatic events encountered early in the life course and underscore the importance of examining the developmental context of trauma exposure in investigations of the long-term consequences of traumatic experiences.

Cross-cultural variability of component processes in autobiographical remembering: Japan, Turkey, and the USA.

Although the underlying mechanics of autobiographical memory may be identical across cultures, the processing of information differs. Undergraduates from Japan, Turkey, and the USA rated 30 autobiographical memories on 15 phenomenological and cognitive properties. Mean values were similar across cultures, with means from the Japanese sample being lower on most measures but higher on belief in the accuracy of their memories. Correlations within individuals were also similar across cultures, with correlations from the Turkish sample being higher between measures of language and measures of recollection and belief. For all three cultures, in multiple regression analyses, measures of recollection were predicted by visual imagery, auditory imagery, and emotions, whereas measures of belief were predicted by knowledge of the setting. These results show subtle cultural differences in the experience of remembering.

A tale of two market failures: Technology and environmental policy

Market failures associated with environmental pollution interact with market failures associated with the innovation and diffusion of new technologies. These combined market failures provide a strong rationale for a portfolio of public policies that foster emissions reduction as well as the development and adoption of environmentally beneficial technology. Both theory and empirical evidence suggest that the rate and direction of technological advance is influenced by market and regulatory incentives, and can be cost-effectively harnessed through the use of economic-incentive based policy. In the presence of weak or nonexistent environmental policies, investments in the development and diffusion of new environmentally beneficial technologies are very likely to be less than would be socially desirable. Positive knowledge and adoption spillovers and information problems can further weaken innovation incentives. While environmental technology policy is fraught with difficulties, a long-term view suggests a strategy of experimenting with policy approaches and systematically evaluating their success. © 2005 Elsevier B.V. All rights reserved.