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.

A new dimension of organizational justice : procedural voice

Dimensionality of the Colquitt justice measures was investigated across a wide range of service occupations. Structural equation modeling of data from 410 survey respondents found support for the 4-factor model of justice (procedural, distributive, interpersonal, and informational), although significant improvement of model fit was obtained by including a new latent variable, “procedural voice,” which taps employees’ desire to express their views and feelings and influence results. The model was confirmed in a second sample (N = 505) in the same organization six months later.

Organizational discourse and change : positions, perspectives, progress and prospects

It has been 10 years since The Journal of Applied Behavioral Science (JABS) published a special issue titled “Discourses of Organizing” (Vol. 36, No. 2, 2000) based on the then emerging field of organizational discourse. A decade on seems to be an appropriate juncture at which to reflect on the range of work produced and the general progress made and consider possible future directions. In addition to briefly taking stock of developments within the field, this opening piece provides an opportunity to introduce the subsequent articles contained in this special issue and locate them within the developing landscape of discursive contributions on organizational change. Given these broad aims, there are three main sections in this introductory article. First, the general trajectory and shifting patterns of “organizational discourse and change” contributions are considered and a way of thinking about different waves of engagement is presented. Then, in the second main section, the focus and general contribution of the articles presented in this collection are discussed. Finally, we conclude by speculating on emerging trends and the scope for further inquiry.

Construction of optimal prediction intervals for load forecasting problems

Short-term load forecasting is fundamental for the reliable and efficient operation of power systems. Despite its importance, accurate prediction of loads is problematic and far remote. Often uncertainties significantly degrade performance of load forecasting models. Besides, there is no index available indicating reliability of predicted values. The objective of this study is to construct prediction intervals for future loads instead of forecasting their exact values. The delta technique is applied for constructing prediction intervals for outcomes of neural network models. Some statistical measures are developed for quantitative and comprehensive evaluation of prediction intervals. According to these measures, a new cost function is designed for shortening length of prediction intervals without compromising their coverage probability. Simulated annealing is used for minimization of this cost function and adjustment of neural network parameters. Demonstrated results clearly show that the proposed methods for constructing prediction interval outperforms the traditional delta technique. Besides, it yields prediction intervals that are practically more reliable and useful than exact point predictions.

Measurement and structural properties of organizational codes of ethics in private and public Sweden

Purpose – The purpose of this paper is to test the measurement and structural properties in a model of organizational codes of ethics (OCE) in Sweden.

Design/methodology/approach – The measurement and structural properties of four OCE constructs (i.e. surveillance/training, internal communication, external communication, and guidance) were described and tested in a dual sample based upon private and public sectors of Sweden.

Findings – Results show that the measurement and structural models of OCE in part have a satisfactory fit, validity, and reliability.

Research limitations/implications – The paper makes a contribution to theory as it outlines a set of OCE constructs and it presents an empirical test of and OCE model in respect to measurement and structural properties. A number of research limitations are provided.

Practical implications – It provides a model to be considered in the implementation and monitoring of OCE. The present research provides opportunities for further research in refining, extending, and testing the proposed OCE model in other cultural and organizational settings.

Originality/value – The OCE model extends previous studies that have been predominately descriptive, by using confirmatory factor analysis and structural equation modeling.