The forecast quality of CBOE implied volatility indexes

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts of future volatility. We further find that attenuation biases induced by the econometric problem of errors in variables appear to have largely disappeared from CBOE volatility index data since 1995.

Forecasting stock index volatility : comparing implied volatility and the intraday high-low price range

The intraday high–low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high–low range volatility consistently outperforms the other.

Estimating expected excess returns using historical and option-implied volatility

We test the relation between expected and realized excess returns for the S&P 500 index from January 1994 through December 2003 using the proportional reward-to-risk measure to estimate expected returns. When risk is measured by historical volatility, we find no relation between expected and realized excess returns. In contrast, when risk is measured by option-implied volatility, we find a positive and significant relation between expected and realized excess returns in the 1994–1998 subperiod. In the 1999–2003 subperiod, the option-implied volatility risk measure yields a positive, but statistically insignificant, risk-return relation. We attribute this performance difference to the fact that, in the 1994–1998 subperiod, return volatility was lower and the average return was much higher than in the 1999–2003 subperiod, thereby increasing the signal-to-noise ratio in the latter subperiod.

Realized volatility and correlation in grain futures markets: testing for spillover effects

Fluctuations in commodity prices are a major concern to many market participants. This paper uses realized volatility methods to calculate daily volatility and correlation estimates for three grain futures prices (corn, soybean, and wheat). The realized volatility estimates exhibit properties consistent with the stylized facts observed in earlier studies. According to daily realized correlations and regression coefficients, the spot returns from the three grain futures are positively related. The realized estimates are then used to evaluate the degree of volatility transmission across grain futures prices. The impulse response analysis is conducted by fitting the vector autoregressive model to realized volatility and correlation estimates, using the bootstrap method for statistical inference. The results indicate that rich dynamic interactions exist among the volatilities and correlations across the grain futures markets.

Modelling Fiji-US exchange rate volatility

In this article, we examine the Fiji-US exchange rate volatility using daily data for the period 2000 to 2006. Our modelling framework is based on the EGARCH model. We find robust evidence of conditional shocks having a positive effect on exchange rate volatility, shocks having asymmetric effects on exchange rate volatility and shocks having a transitory effect on exchange rate volatility.

The impact of ownership structure on corporate debt policy : two stage least square simultaneous model approach for post crisis period : evidence from Kuala Lumpur Stock Exchange

Ownership concentration as a governance mechanism has received considerable attention among academician, practitioners as well as policy makers because large-block shareholders are increasingly active in their demands that corporations adopt effective governance mechanisms to control managerial decisions, which include corporate debt policy. Earlier study on the agency model of the firm widely recognizes that the managerial ownership and external debt play an important role in mitigating agency conflicts and enhancing firm value. They also found that increase in the external monitors, for example the institutional investors, can actually play a useful role in limiting agency problems in the firm. This paper, using 100 Composite Index companies from Brusa Malaysia between 1998 to 2002 explores the impact of institutional holdings on managerial ownership and debt policy in an integrated framework by using a simultaneous equations estimation procedure (2SLS). The findings show that there is a significant impact of institutional ownership which serves effective control mechanism on managerial ownership and corporate debt policy as hypothesized. Findings of such evidence suggest that institutional holding thus have played an important role in managers' strategic management decision and reduce agency conflict. In addition, corporate debt policy too is governed by managerial ownership and exhibited a negative relation.

Simultaneous presentation of measured and calculated environmental results

Continuous measurement of internal and external environmental parameters is critical to our understanding of how buildings perform. Yet, the quantity and variety of time-series data can be quite overwhelming as well as onerous to decipher and present. In addition to this, is the fact that several of the collected data are useless in their raw format unless processed through algorithms to obtain identifiable and meaningful results.
These circumstances challenge the conventional way we present accumulated data and their processed outputs in order to get a better understanding of how and why the environmental performance occurred. It would be ideal if all of the collected and processed data could be presented in a simultaneous, yet, useful format. It is exactly the intention of this paper to suggest and present such a process as well as its format.
An example case study is provided where several parameters (air velocity, mean radiant temperature, humidity and air temperature) are measured periodically to calculate a time-series of internal comfort performance. However, external conditions of solar radiation and solar position as well as air temperature drive the interior building surface temperatures and help to explain the end result of internal comfort.
A program has been written to present the various sets of data graphically, in an integrated manner, animated as a function of time. The animation shows solar position, a cursor scanning weather data, the changing infra-red image and a representation of the resulting internal comfort performance throughout the
monitored period.

Simultaneous neuroprotection and blockade of inflammation reverses autoimmune encephalomyelitis

In multiple sclerosis, the immune system attacks the white matter of the brain and spinal cord, leading to disability and/or paralysis. Myelin, oligodendrocytes and neurons are lost due to the release by immune cells of cytotoxic cytokines, autoantibodies and toxic amounts of the excitatory neurotransmitter glutamate. Experimental autoimmune encephalomyelitis (EAE) is an animal model that exhibits the clinical and pathological features of multiple sclerosis. Current therapies that suppress either the inflammation or glutamate excitotoxicity are partially effective when administered at an early stage of EAE, but cannot block advanced disease. In a multi-faceted approach to combat EAE, we blocked inflammation with an anti-MAdCAM-1 (mucosal addressin cell adhesion molecule-1) monoclonal antibody and simultaneously protected oligodendrocytes and neurons against glutamate-mediated damage with the -amino-3-hydroxy-5-methyl-4-isoxazolepropionate (AMPA)/kainate antagonist 2,3-dihydroxy-6-nitro-7- sulfamoylbenzo(f)quinoxaline (NBQX) and the neuroprotector glycine–proline–glutamic acid (GPE; N-terminal tripeptide of insulin-like growth factor). Remarkably, administration at an advanced stage of unremitting EAE of either a combination of NBQX and GPE, or preferably all three latter reagents, resulted in amelioration of disease and repair of the CNS, as assessed by increased oligodendrocyte survival and remyelination, and corresponding decreased paralysis, inflammation, CNS apoptosis and axonal damage. Each treatment reduced the expression of nitric oxide and a large panel of proinflammatory and immunoregulatory cytokines, in particular IL-6 which plays a critical role in mediating EAE. Mice displayed discernible improvements in all physical features examined. Disease was suppressed for 5 weeks, but relapsed when treatment was suspended, suggesting treatment must be maintained to be effective. The above approaches, which allow CNS repair by inhibiting inflammation and/or simultaneously protect neurons and oligodendrocytes from damage, could thus be effective therapies for multiple sclerosis.

On the simultaneous estimation of optical flow and object state

This thesis focuses on the enhancement of differential optical flow techniques. The framwork of differential optical flow has been built upon to improve object motion estimation within a video stream or image sequence. This augmentation comes in the form of a combined optical flow and object state estimation method (SEOS)

Simultaneous removal of ammonia and phosphate from wastewater by precipitation of struvite using magnesia

A thorough investigation of conditions required for the precipitation of magnesium ammonium phosphate hexahydrate using magnesia as the source of magnesium was carried out and two computer models were used to make predictions as to optimum conditions for production of suitable crystal size and structure for a successful process. A process was developed and a bench scale model operated for a number of high ammonia wastes. Removal of ammonia was affected to levels of up to 97% with 94% ammonia removal being achievable consistently.

Simultaneous incorporation of 5-fluorouracil and leucovorin into chitosan nanoparticle as drug carrier and its characterization

A combined drug loaded system containing two most common anti-cancer drugs 5-fluorouracil (5-FU) and leucovorin (LV) was designed and prepared by ion crosslinking technology. The resulted nanoparticles are spherical in shape, and the particle size becomes larger when drug combination are loaded. Efficient drug encapsulation efficiency (EE) and drug loading (LC) are obtained due to the strong interaction between drugs and polymer. The combined drugs are distributed in the particles in amorpholous state which are demonstrated by the XRD results.

High performance liquid chromatography with two simultaneous on-line antioxidant assays : evaluation and comparison of espresso coffees

The antioxidant profiles of various espresso coffees were established using HPLC with UV-absorbance detection and two rapid, simultaneous, on-line chemical assays that enabled the relative reactivity of sample components to be screened. The assays were based on (i) the colour change associated with reduction of the 2,2´-diphenyl-1-picrylhydrazyl radical (DPPH•); and (ii) the emission of light (chemiluminescence) upon reaction with acidic potassium permanganate. Results from the two approaches were similar and reflected the complex array of antioxidant species present in the samples. However, some differences in selectivity were observed. Chromatograms generated with the chemiluminescence assay contained more peaks, which was ascribed to the greater sensitivity of the reagent towards minor, readily oxidisable sample components. The three coffee samples produced closely related profiles, signifying their fundamentally similar chemical compositions and origin. Nevertheless, the overall intensity and complexity of the samples in both UV absorption and antioxidant assay chromatograms were aligned with the manufacturers description of flavour intensity and character.

Institutions and growth volatility

Recently some studies provided evidence that democratic political institutions generate less volatile growth. These studies, however, do not provide any link between democracy and investment volatility. Here, we focus on the specific channel that links individualistic societies and low growth volatility. We test whether investment volatility and consequently growth volatility are lower in individualistic societies. We construct a two-equation system of investment and income growth volatility, allowing various measures of individualism to influence growth volatility both directly and indirectly. We find that individualism significantly directly and indirectly influences growth volatility negatively.