Simultaneous volatility transmission and spillover effects

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.

Structural effects and spillovers in HSIF, HSI and S & P500 volatility

We adopt a BEKK-GARCH framework and employ a systematic approach to jointly examine structural breaks in the Hong Kong cash index and index futures volatility and volatility spillovers from the S&P 500 cash and futures. Multiple switching dummy variables are included in the variance equations to test for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market. Abolishment of the up-tick rule, increase of initial margins and electronic trading of the Hang Seng Index Futures (HSIF) are found to have significant impact when US market spillovers are excluded from a restricted model. Volatility spillovers from the US market are found to have a significant impact and account for some mis-specification in the restricted model.

Regulatory Change v's volume of trade effects in HSIF and HSI volatility

In an earlier paper we adopted a BEKK-GARCH framework and employed a systematic approach to examine structural breaks in the HSIF and HSI volatility. Switching dummy variables were included and tested in the variance equations to check for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market. A Bi-variate GARCH model with 3 switching points was found to be superior as it captured the potential structural changes in return volatilities. Abolishment of the uptick rule, increase of initial margins for the HSIF and electronic trading of HSIF were found to have significant impact on the volatility structure of HSIF and HSI. In this paper we include measures of daily trading volume from both markets in the estimation. Likelihood ratio tests indicate the switching dummy variables become insignificant and the GARCH effects diminish but remain significant.

Regulatory change, structural breaks, and transmission effects in HSIF and HSI volatility

A systematic BEKK-GARCH model with multiple switch points in the variance equations captures the structural changes that have taken place in the Hong Kong markets. Abolishment of the uptick rule in the Hong Kong stock market, increase of initial margins, and electronic trading of Hang Seng Index Futures are found to have significant impacts. These changes affect the volatility structure of the HSI and HSIF and hence their lead-lag relationship. The multivariate GARCH model with three specific switching points is found to be superior to any other combination of up to six separate switch points.

Contemporaneous intra-day volume, option, and futures volatility transmissions across parallel markets

The primary objective of this article is to investigate volatility transmission across three parallel markets operating on the Sydney Futures Exchange (SFE), both within and out of sample. Half-hourly observations are sampled from transaction data for the share price index (SPI) futures, SPI futures options, and 90-day bank accepted bill (BAB) futures markets, and the analysis is carried out using the simultaneous volatility (SVL) system of equations as well as competing volatility models. The results confirm the poor ability of GARCH models to fit intraday data. This study also applies an artificial nesting procedure to evaluate the out-of-sample volatility forecasts. Implied volatility has very limited (if any) predictive power when evaluated in isolation, whereas the SVL model with implied volatility embedded provides incremental information relative to competing model forecasts.

Modelling regulatory change V's volume of trading effects in HSIF and HSI volatility

In an earlier paper, we adopted a bi-variate BEKK–GARCH framework and employed a systematic approach to examine structural breaks in the Hang Seng Index and Index Futures market volatility. Switching dummy variables were included and tested in the variance equations to check for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market surrounding the Asian markets crisis. In this paper, we include measures of daily trading volume from both markets in the estimation. Likelihood ratio tests indicate the switching dummy variables become insignificant and the GARCH effects diminish but remain significant. There is some evidence that the Sequential Arrival of Information Model (SIM) provides a platform to explain these market induced effects when volume of trade is accounted for.

Variable definitions: implications for the prediction of pulmonary complications after adult cardiac surgery

Aim: The aim of this paper was to review the implications that variable definitions have for the prediction of post-operative pulmonary complications after cardiac surgery.

Method: A review of the literature from 1980 to 2002. Selected studies demonstrated an original attempt to examine multivariate associations between pre, intra or post-operative antecedents and pulmonary outcomes in patients undergoing coronary artery bypass grafting (CABG). Reports that described the validation of established clinical prediction rules, testing interventions or research conducted in non-human cohorts were excluded from this review.

Results: Consistently, variable factor and outcome definitions are combined for the development of multivariate prediction models that subsequently have limited clinical value. Despite being prevalent there are very few attempts to examine post-operative pulmonary complications (PPC) as endpoints in isolation. The trajectory of pulmonary dysfunction that precedes complications in the post-operative context is not clear. As such there is little knowledge of post-operative antecedents to PPC that are invariably excluded from model development.

Conclusion: Multivariate clinical prediction rules that incorporate antecedent patient and process factors from the continuum of cardiovascular care for specific pulmonary outcomes are recommended. Models such as these would be useful for practice, policy and quality improvement.

Market makers v's the general public : a first look at S & P500 futures trade data

This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for market trade and also two way trade between market makers (CT1) and the general public (CT4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples volume to futures volatility leading effects and also futures volatility to cash volatility leading effects dominate. The results raise important issues for risk management and dynamic hedging models employing intra-day trader data. A number of important issues for further analysis are also raised in this paper.

Dispersion of information or market behaviour : general public trading in S & P 500 index futures

This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for two way trade between market makers (CTI1) and the general public (CTI4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. There is evidence that existing theoretical models of the general public trading behaviour do not explain such behaviour in these very actively traded markets. These effects can depend more on market conditions than what is suggested in theoretical models.

Socio-demographic correlates of prolonged television viewing time in Australian men and women : the AusDiab study

Background: Sedentary behaviors, particularly television viewing (TV) time, are associated with adverse health outcomes in adults, independent of physical activity levels. These associations are stronger and more consistent for women than for men. Methods: Multivariate regression models examined the sociodemographic correlates of 2 categories of TV time (≥2 hours/day and ≥4 hours/day); in a large, population-based sample of Australian adults (4950 men, 6001 women; mean age 48.1 years, range 25-91) who participated in the 1999/2000 Australian Diabetes, Obesity, and Lifestyle (AusDiab) study. Results: Some 46% of men and 40% of women watched ≥ 2 hours TV/day; 9% and 6% respectively watched ≥ 4 hours/day. For both men and women, ≥2 hours TV/day was associated with less than tertiary education, living outside of state capital cities, and having no paid employment. For women, mid and older age (45-64 and 65+) were also significant correlates of ≥2 hours TV/day. Similar patterns of association were observed in those viewing ≥4 hours/day. Conclusions: Prolonged TV time is associated with indices of social disadvantage and older age. These findings can inform the understanding of potential contextual influences and guide preventive initiatives.

Occupational skill level and hazardous exposures among working Victorians

This paper examines the patterning of exposures to occupational hazards in relation to occupational skill level as a proxy for pay rate, testing the general hypothesis that exposures to occupational hazards increase in prevalence with decreasing skill level. A population-based telephone survey was conducted on a random sample of working Victorians (N = 1,101). A set of 10 indicators of exposure to occupational hazards were analysed individually and as a summary scale in multivariate regression models. A significant increasing trend in hazardous working conditions from the highest to lowest occupational skill level was observed, with those in lower skill level jobs twice as likely to be exposed as those at the highest skill level. This overall trend was driven primarily by higher exposure in the middle skill level group (technicians and skilled trades) as well as the lowest (labourers and elementary clerical), the two main bluecollar groups. Findings provided partial support for the hypothesised relationship.

Experiences of racism, racial/ethnic attitudes, motivated fairness and mental health outcomes among primary and secondary school students

While studies investigating the health effects of racial discrimination for children and youth have examined a range of effect modifiers, to date, relationships between experiences of racial discrimination, student attitudes, and health outcomes remain unexplored. This study uniquely demonstrates the moderating effects of vicarious racism and motivated fairness on the association between direct experiences of racism and mental health outcomes, specifically depressive symptoms and loneliness, among primary and secondary school students. Across seven schools, 263 students (54.4% female), ranging from 8 to 17 years old (M = 11.2, SD = 2.2) reported attitudes about other racial/ethnic groups and experiences of racism. Students from minority ethnic groups (determined by country of birth) reported higher levels of loneliness and more racist experiences relative to the majority group students. Students from the majority racial/ethnic group reported higher levels of loneliness and depressive symptoms if they had more friends from different racial/ethnic groups, whereas the number of friends from different groups had no effect on minority students' loneliness or depressive symptoms. Direct experiences of racism were robustly related to higher loneliness and depressive symptoms in multivariate regression models. However, the association with depressive symptoms was reduced to marginal significance when students reported low motivated fairness. Elaborating on the negative health effects of racism in primary and secondary school students provides an impetus for future research and the development of appropriate interventions.

Among- and within-individual correlations between basal and maximal metabolic rates in birds

The aerobic capacity model proposes that endothermy is a by-product of selection favouring high maximal metabolic rates (MMR) and its mechanistic coupling with basal metabolic rate (BMR). Attempts to validate this model in birds are equivocal and restricted to phenotypic correlations (rP), thus failing to distinguish among- and within-individual correlations (rind and re). We examined 300 paired measurements of BMR and MMR from 60 house sparrows before and after two levels of experimental manipulation - testosterone implants and immune challenge. Overall, repeatability was significant in both BMR (R=0.25±0.06) and MMR (R=0.52±0.06). Only the testosterone treatment altered the rP between BMR and MMR, which resulted from contrasting effects on rind and re. While rind was high and significant (0.62±0.22) in sham-implanted birds, re was negative and marginally non-significant (-0.15±0.09) in testosterone-treated birds. Thus, the expected mechanistic link between BMR and MMR was apparent, but only in birds with low testosterone levels.

Clustering of diet, physical activity and sedentary behaviour among Australian children: cross-sectional and longitudinal associations with overweight and obesity

BACKGROUND/OBJECTIVES: Evidence suggests diet, physical activity (PA) and sedentary behaviour cluster together in children, but research supporting an association with overweight/obesity is equivocal. Furthermore, the stability of clusters over time is unknown. The aim of this study was to examine the clustering of diet, PA and sedentary behaviour in Australian children and cross-sectional and longitudinal associations with overweight/obesity. Stability of obesity-related clusters over 3-years was also examined. SUBJECTS/METHODS: Data were drawn from the baseline (T1: 2002/03) and follow-up waves (T2: 2005/06) of the Health Eating and Play Study. Parents of Australian children aged 5-6 (n=87) and 10-12 years (n=123) completed questionnaires. Children wore accelerometers and height and weight were measured. Obesity-related clusters were determined using K-medians cluster analysis. Multivariate regression models assessed cross-sectional and longitudinal associations between cluster membership, and BMI z-score and weight status. Kappa statistics assessed cluster stability over time. RESULTS: Three clusters, labelled 'most Healthy', 'Energy-dense (ED) consumers who watch TV' and 'high sedentary behaviour/low moderate-to-vigorous physical activity' were identified at baseline and at follow-up. No cross-sectional associations were found between cluster membership, and BMI z-score or weight status at baseline. Longitudinally, children in the 'ED consumers who watch TV' cluster had a higher odds of being overweight/obese at follow-up (OR=2.8; 95% CI: 1.1, 6.9; P<0.05). Tracking of cluster membership was fair to moderate in younger (K=0.24; P=0.0001) and older children (K=0.46; P<0.0001). CONCLUSIONS: This study identified an unhealthy cluster of TV viewing with ED food/drink consumption which predicted overweight/obesity in a small longitudinal sample of Australian children. Cluster stability was fair to moderate over three years and is a novel finding. Prospective research in larger samples is needed to examine how obesity-related clusters track over time and influence the development of overweight and obesity.International Journal of Obesity accepted article preview online, 24 April 2015. doi:10.1038/ijo.2015.66.