157 resultados para volatility spillover
Resumo:
Successfully determining competitive optimal schedules for electricity generation intimately hinges on the forecasts of loads. The nonstationarity and high volatility of loads make their accurate prediction somewhat problematic. Presence of uncertainty in data also significantly degrades accuracy of point predictions produced by deterministic load forecasting models. Therefore, operation planning utilizing these predictions will be unreliable. This paper aims at developing prediction intervals rather than producing exact point prediction. Prediction intervals are theatrically more reliable and practical than predicted values. The delta and Bayesian techniques for constructing prediction intervals for forecasted loads are implemented here. To objectively and comprehensively assess quality of constructed prediction intervals, a new index based on length and coverage probability of prediction intervals is developed. In experiments with real data, and through calculation of global statistics, it is shown that neural network point prediction performance is unreliable. In contrast, prediction intervals developed using the delta and Bayesian techniques are satisfactorily narrow, with a high coverage probability.
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Information systems are changing the way artists and consumers create, use and interact with music. Music experience has become richer and more sophisticated than simply buying and listening to music. New links between IS and music are forging unprecedented levels of creative e-collaboration, innovative music technology development, new music commerce and marketing methods, alongside with the emergence of e-music communities nurturing up-and-coming artists careers. Distinct from non-creative industries, the music industry is at the forefront of technological innovation where the ubiquitous adoption of music downloading, widespread use of personal music systems, and value chain disintermediation has shifted the focus of value delivery towards consumer control. This paper provides new insights into the effect of recent technological change on stakeholders within the music industry value chain, and of music information systems upon creative music products. The paper further explores the stakeholder perceptions of the value added or depleted from music by the technology, and examines the future expectations of information systems amidst the volatility and uncertainty of the music industry.
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This discussion paper considers corporate governance issues associated with executive compensation arrangements. An historical perspective is used to demonstrate the absence of a sound empirically-based understanding of good corporate governance practices in relation to share-based payment arrangements. The paper provides an overview of issues including the potential earnings dilution and volatility effects of the introduction of regulations affecting executive remuneration. Potential future research questions have been framed addressing each of the major issues identified in this paper. We conclude that corporate regulators should ensure they are familiar with and consider best practice models for corporate governance when developing new, or revising existing business regulation. It is proposed that further research to remedy this deficiency would enable a more accurate assessment of the impact of management on accounting regulation and the better design and implementation of regulation.
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This thesis examines how companies in Thailand coped with exchange rate volatility post Asian Financial Crisis. Findings indicate businesses quickly adjusted to the transition from a fixed to floating regime. However, Thai businesses appear to be less rigorous in their internal control of currency hedging activities. The thesis recommends strategies to overcome this risk.
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In this paper, a dynamic general equilibrium (DGE) model of growth–inequality relationships, with missing credit markets, knowledge spillover and self-employed agents, is calibrated to New Zealand data. The model explains how two distinct policy shocks involving redistribution and immigration imply, subsequently, two completely opposite outcomes. Agents’ inability to borrow aggravates a negative macroeconomic effect of heterogeneity on growth. Redistribution mitigates that effect but creates microeconomic disincentives on saving and work-effort. Consequently, immigration shocks that perturb variance of efficiency induce a negative growth–inequality relationship, while redistribution shocks, in New Zealand’s case, produce larger fluctuations in incentives than in macro benefits, implying a positive growth–inequality relationship.
Resumo:
This discussion paper focuses on corporate governance issues associated with executive compensation arrangements. An historical perspective is used to demonstrate the absence of a sound empirically-based understanding of good corporate governance practices in relation to share-based payment arrangements. The paper provides an overview of issues including the potential earnings dilution and volatility effects of the introduction of regulations affecting executive remuneration. Potential research questions have been framed addressing each of the major issues identified in this paper. It is concluded that corporate regulators should ensure they are familiar with and that they consider best practice models for corporate governance when developing new or revising existing business regulation. It is proposed that further research to remedy this deficiency would enable a more accurate assessment of the impact of management on accounting regulation and the better design and implementation of regulation.
Resumo:
This thesis examines stock price behaviour on the New York Stock Exchange. The thesis develops modelsto show that firms on the stock exchange are different with respect to volatility and changes in calender dates. Moreover, the thesis shows that firm returns are affected differently by oil prices.
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Many modulation systems in comprehensive 2D GC (GC×GC) are based on cryogenic methods. High trapping temperatures in these systems can result in ineffective trapping of the more volatile compounds, whilst temperatures that are too low can prevent efficient remobilisation of some compounds. To better understand the trapping and release of compounds over a wide range of volatilities, we have investigated a number of different constant temperature modulator settings, and have also examined a constant temperature differential between the cryo-trap and the chromatographic oven. These investigations have led us to modify the temperature regulation capabilities of the longitudinally modulated cryogenic system (LMCS). In contrast to the current system, where the user sets a constant temperature for the cooling chamber, the user now sets the temperature difference between the cryo-trap and the chromatographic oven. In this configuration, the cooling chamber temperature increases during the chromatographic run, tracking the oven temperature ramp. This produces more efficient, volatility-dependent modulation, and increases the range of volatile compounds that can be analysed under optimal trap-and-release conditions within a single analytical run. This system also reduces cryogenic fluid consumption.
Resumo:
Purpose – The purpose of this study is to examine the exposures of Australian gold mining firms in the highly volatile period from 1995 to 2000. This period has been characterized by significant changes in gold price due to bulk sale of gold by collective central banks. Specifically, the paper aims to investigate several firm-specific factors that are hypothesized to carry substantial influence on gold beta.
Design/methodology/approach – To estimate gold beta, we use the following multifactor model: Rg,t = a+ßgGPRt + ßxFXRt + ßmRm,t + Et , where Rg,t is the return on the gold stock Index at time t, GPRt is the gold price return denominated in US dollar at time t, FXRt is the foreign exchange return of Australian dollar in terms of US dollar at time t, Rm,t is the market return at time t, and Et is the random error term at time t.
Findings – The paper finds that the values of gold beta are consistently greater than one, implying the sensitive nature of firms’ stock returns to gold price changes. This also suggests that investors holding gold mining stock would receive higher percentage increases in stock returns from a percentage increase in gold price returns, as opposed to investors holding gold bullion. Furthermore, these values have changed substantially over time with significant changes in gold price volatility. The most important and consistent relationship that we find is the impact of firms’ hedging behavior on their respective gold betas. This is consistent with Tufano’s study. It implies that firms, which hedge a greater proportion of their gold reserves, are less sensitive to movements in gold prices. The finding therefore supports the risk management theory that hedging increases shareholder’s wealth. However, cash operating costs, cash reserves and the level of gold production seem to influence very little on the firms’ exposure to gold price changes.
Originality/value – This study is of interest and important to the stock mining companies and investors because the extent of the effect of gold price movements on the stock returns of gold mining companies has significant impacts on returns for both firms and investors especially in their risk management and investment decisions, respectively.
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This paper compares the credit risk profile for two types of model, the Monte Carlo model used in the existing literature, and the Cox, Ingersoll and Ross (CIR) model. Each of the profiles has a concave or hump-backed shape, reflecting the amortisation and diffusion effects. However, the CIR model generates significantly different results. In addition, we consider the sensitivity of these models of credit risk to initial interest rates, volatility, maturity, kappa and delta. The results show that the sensitivities vary across the models, and we explore the meaning of that variation.
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We investigate and compare the determinants of US and Australian interest rate swap spreads and the linkages between these markets. The slope of the risk-free term structure is the most significant determinant and its importance is greater for longer terms to maturity. Interest rate levels and, in Australia, the default premium also have some impact. The influences of interest rate volatility, the liquidity premium and (in the USA) the default premium are small or negligible. We hypothesise, and our evidence confirms, that the US swap market significantly affects the Australian swap market but not vice-versa.
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While the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) Do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending on the sectoral location of firms? and (b) Do calendar anomalies affect firm returns and firm volatility differently depending on firm size? Unlike the assumption in this literature that firms are homogeneous, we show that they are in fact heterogeneous. Using 560 firms listed on the New York Stock Exchange (NYSE) over the period 5 January 2000 to 31 December 2008, we find fresh results, previously undocumented in this literature. We find evidence of calendar anomalies affecting returns and return volatility of firms differently depending on their sectoral locations and size.
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This article uses panel data from 1976 to 2003 to investigate the ways in which banking and stock markets influence economic growth in situations of high and low country risk. The mean and Standard Deviation (SD) of country risk are adopted to classify 28 countries into Low Risk Low Volatility (LRLV) and High Risk High Volatility (HRHV) subgroups. Through the technique of error correction-based panel co-integration developed by Westerlund (2007), several results are obtained. First, LRLV countries can expand the capitalization of stock market to enhance long-term economic growth. Second, HRHV countries, on the other hand, use two distinct strategies to promote long-term economic growth. Initially they develop their equity markets, which promote economic growth directly. Strengthened equity markets, in turn, aid in the development of credit markets, which subsequently brings an economic boom. Finally, regardless of selected subgroups, the contribution of stock market capitalization to economic growth appears to be substantially larger than that of bank credit, highlighting the importance of stock markets.
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Purpose – The purpose of this paper is to present an analytical summary of UK housing policies. It aims to evaluate UK government's housing policies, before and after the publication of the Barker Review, to tackle affordability issues in the owner-occupied sector. It examines the extent to which housing policy contributes to or alleviates the problem of the affordability of owner-occupied housing.
Design/methodology/approach – This paper evaluates the impact of UK government housing policies since 2000 on housing affordability by analysing their impact on the dynamics of housing demand and supply.
Findings – The Barker Review, which applied simple economic ideas and techniques in analysing the owner-occupied UK housing market, argued that increases in new housing supply would help to improve housing affordability. The second Barker Review suggested that changes to the planning system were needed in order not only to increase new housing supply, but to make housing supply more sensitive to changing demands. The Barker Reviews brought about a major re-think in government policy towards housing, particularly relating to new build and the planning system. However, the heavy reliance on the private sector to provide additional housing has reduced the effectiveness of policy changes. In addition, the adoption by the government of “demand-side” housing policies has done little to negate the volatility of UK house prices or to raise the overall affordability of owner-occupied housing.
Originality/value – This paper reflects on government failures in UK housing policy in addressing the affordability of owner-occupied housing. The findings will be of interest to policy makers and housing researchers.