Public sector change in Australia: Are managers' ideals being realized?

Public sector organizations traditionally have been associated with the internal process (bureaucratic) model of organizational culture. Public choice and management theory have suggested that public sector managers can learn from the experience of private sector management, and need to change from the Internal process model of organizational culture. Due to these Influences an managers, the current research proposes that managers' perceptions of Ideal organizational culture would no longer reflect the Internal process model. Public sector managers' perceptions of the current culture, as well as their perceptions of the Ideal culture, were measured. A mail-out survey was conducted In the Queensland (a state of Australia) public sector. Responses to a competing values culture Inventory were received from 222 managers. Results Indicated that a reliance on the Internal process model persists, while managers had a desire for cultural models other than the Internal process model, as hypothesized.

Visual politics of the estado novo realized on the Alameda Dom Afonso Henriques in Lisbon – the construction of ideal citizenship?

The stylistic categorization of the Estado Novo has been intensely discussed by Portuguese art historians. The square Alameda Dom Afonso Henriques in Lisbon (Alameda) can be seen as paradigmatic for the architecture of power of the Estado Novo. The Alameda forms a gardened valley between two hills. There you find two prominent and highly propagandist buildings: The Instituto Superior Técnico (IST) and the Fonte Luminosa are dedicated to modern sciences and respectively to the harmonious contribution of nature to the city. The iconography of the Alameda as well as its incorporation into the propagandist use of urban planning in the 1930s and 1940s exemplify the visual politics during Salazarism. Urban planning programs intended to create cities that would preserve the character of a traditional catholic society and at the same time answer to the need to modernize the country and evoke the image of a progressive state. Thus, public buildings and urban squares such as the Alameda contributed to design a corporate image and to the ‘spirit’ of the regime.

Quantiles of the Realized Stock-Bond Correlation

Abstract: We scrutinize the realized stock-bond correlation based upon high frequency returns. We use quantile regressions to pin down the systematic variation of the extreme tails over their economic determinants. The correlation dependence behaves differently when the correlation is large negative and large positive. The important explanatory variables at the extreme low quantile are the short rate, the yield spread, and the volatility index. At the extreme high quantile the bond market liquidity is also important. The empirical fi…ndings are only partially robust to using less precise measures of the stock-bond correlation. The results are not caused by the recent …financial crisis. Keywords: Extreme returns; Financial crisis; Realized stock-bond correlation; Quantile regressions; VIX. JEL Classifi…cations: C22; G01; G11; G12

Smooth Transition Patterns in the Realized Stock- Bond Correlation

Abstract: We analyze the realized stock-bond correlation. Gradual transitions between negative and positive stock-bond correlation is accommodated by the smooth transition regression (STR) model. The changes in regime are de…ned by economic and …financial transition variables. Both in sample and out-of- sample results document that STR models with multiple transition variables outperform STR models with a single transition variable. The most important transition variables are the short rate, the yield spread, and the VIX volatility index. Keywords: realized correlation; smooth transition regressions; stock-bond correlation; VIX index JEL Classifi…cations: C22; G11; G12; G17

The Relationship Between Implied and Realized Volatility

The paper studies the relationship between implied volatility and realized volatility by utilizing regression analysis and correlations.

A Theoretical Comparison Between Integrated and Realized Volatilies

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated volatilities for a given frequency of observations. Then, we compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the Eigenfunction Stochastic Volatility model of Meddahi (2001a). This model has, as special examples, log-normal, affine, and GARCH diffusion models. Using some previous empirical works, we show that the standard deviation of the noise is not negligible with respect to the mean and the standard deviation of the integrated volatility, even if one considers returns at five minutes. We also propose a simple approach to capture the information about the integrated volatility contained in the returns through the leverage effect.

ARMA Representation of Integrated and Realized Variances

This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as well as the eigenfunction stochastic volatility and the positive Ornstein-Uhlenbeck models. We also study the leverage effect case, the relationship between weak GARCH representation of returns and the ARMA representation of realized variances. Finally, various empirical implications of these ARMA representations are considered. We find that it is possible that some parameters of the ARMA representation are negative. Hence, the positiveness of the expected values of integrated or realized variances is not guaranteed. We also find that for some frequencies of observations, the continuous time model parameters may be weakly or not identified through the ARMA representation of realized variances.

Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities

This note develops general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit the recent asymptotic distributional results in Barndorff-Nielsen and Shephard (2002a), are both easy to implement and highly accurate in empirically realistic situations. On properly accounting for the measurement errors in the volatility forecast evaluations reported in Andersen, Bollerslev, Diebold and Labys (2003), the adjustments result in markedly higher estimates for the true degree of return-volatility predictability.

Relations and Transductions Realized by Restarting Automata

Gegenstand der vorliegenden Arbeit ist die Analyse verschiedener Formalismen zur Berechnung binärer Wortrelationen. Dabei ist die Grundlage aller hier ausgeführten Betrachtungen das Modell der Restart-Automaten, welches 1995 von Jancar et. al. eingeführt wurde. Zum einen wird das bereits für Restart-Automaten bekannte Konzept der input/output- und proper-Relationen weiterführend untersucht, sowie auf Systeme von zwei parallel arbeitenden und miteinander kommunizierenden Restart-Automaten (PC-Systeme) erweitert. Zum anderen wird eine Variante der Restart-Automaten eingeführt, die sich an klassischen Automatenmodellen zur Berechnung von Relationen orientiert. Mit Hilfe dieser Mechanismen kann gezeigt werden, dass einige Klassen, die durch input/output- und proper-Relationen von Restart Automaten definiert werden, mit den traditionellen Relationsklassen der Rationalen Relationen und der Pushdown-Relationen übereinstimmen. Weiterhin stellt sich heraus, dass das Konzept der parallel kommunizierenden Automaten äußerst mächtig ist, da bereits die Klasse der proper-Relationen von monotonen PC-Systemen alle berechenbaren Relationen umfasst. Der Haupteil der Arbeit beschäftigt sich mit den so genannten Restart-Transducern, welche um eine Ausgabefunktion erweiterte Restart-Automaten sind. Es zeigt sich, dass sich insbesondere dieses Modell mit seinen verschiedenen Erweiterungen und Einschränkungen dazu eignet, eine umfassende Hierarchie von Relationsklassen zu etablieren. In erster Linie seien hier die verschiedenen Typen von monotonen Restart-Transducern erwähnt, mit deren Hilfe viele interessante neue und bekannte Relationsklassen innerhalb der längenbeschränkten Pushdown-Relationen charakterisiert werden. Abschließend wird, im Kontrast zu den vorhergehenden Modellen, das nicht auf Restart-Automaten basierende Konzept des Übersetzens durch Beobachtung ("Transducing by Observing") zur Relationsberechnung eingeführt. Dieser, den Restart-Transducern nicht unähnliche Mechanismus, wird im weitesten Sinne dazu genutzt, einen anderen Blickwinkel auf die von Restart-Transducern definierten Relationen einzunehmen, sowie eine obere Schranke für die Berechnungskraft der Restart-Transducer zu gewinnen.

Capturing UK real estate volitility

Volatility, or the variability of the underlying asset, is one of the key fundamental components of property derivative pricing and in the application of real option models in development analysis. There has been relatively little work on volatility in real terms of its application to property derivatives and the real options analysis. Most research on volatility stems from investment performance (Nathakumaran & Newell (1995), Brown & Matysiak 2000, Booth & Matysiak 2001). Historic standard deviation is often used as a proxy for volatility and there has been a reliance on indices, which are subject to valuation smoothing effects. Transaction prices are considered to be more volatile than the traditional standard deviations of appraisal based indices. This could lead, arguably, to inefficiencies and mis-pricing, particularly if it is also accepted that changes evolve randomly over time and where future volatility and not an ex-post measure is the key (Sing 1998). If history does not repeat, or provides an unreliable measure, then estimating model based (implied) volatility is an alternative approach (Patel & Sing 2000). This paper is the first of two that employ alternative approaches to calculating and capturing volatility in UK real estate for the purposes of applying the measure to derivative pricing and real option models. It draws on a uniquely constructed IPD/Gerald Eve transactions database, containing over 21,000 properties over the period 1983-2005. In this first paper the magnitude of historic amplification associated with asset returns by sector and geographic spread is looked at. In the subsequent paper the focus will be upon model based (implied) volatility.

Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

Performance of balanced two-stage empirical predictors of realized cluster latent values from finite populations: A simulation study

Predictors of random effects are usually based on the popular mixed effects (ME) model developed under the assumption that the sample is obtained from a conceptual infinite population; such predictors are employed even when the actual population is finite. Two alternatives that incorporate the finite nature of the population are obtained from the superpopulation model proposed by Scott and Smith (1969. Estimation in multi-stage surveys. J. Amer. Statist. Assoc. 64, 830-840) or from the finite population mixed model recently proposed by Stanek and Singer (2004. Predicting random effects from finite population clustered samples with response error. J. Amer. Statist. Assoc. 99, 1119-1130). Predictors derived under the latter model with the additional assumptions that all variance components are known and that within-cluster variances are equal have smaller mean squared error (MSE) than the competitors based on either the ME or Scott and Smith`s models. As population variances are rarely known, we propose method of moment estimators to obtain empirical predictors and conduct a simulation study to evaluate their performance. The results suggest that the finite population mixed model empirical predictor is more stable than its competitors since, in terms of MSE, it is either the best or the second best and when second best, its performance lies within acceptable limits. When both cluster and unit intra-class correlation coefficients are very high (e.g., 0.95 or more), the performance of the empirical predictors derived under the three models is similar. (c) 2007 Elsevier B.V. All rights reserved.