Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities

Published also as: Documento de Trabajo Banco de España 0504/2005.

Smiling under stochastic volatility

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which the implied volatility function changes whenever there is a change in the parameters associated with Hestons stochastic volatility model for a given degree of moneyness are given.

Autorregresive conditional volatility, skewness and kurtosis

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.

A review of travel time estimation and forecasting for advanced traveler information systems

Providing on line travel time information to commuters has become an important issue for Advanced Traveler Information Systems and Route Guidance Systems in the past years, due to the increasing traffic volume and congestion in the road networks. Travel time is one of the most useful traffic variables because it is more intuitive than other traffic variables such as flow, occupancy or density, and is useful for travelers in decision making. The aim of this paper is to present a global view of the literature on the modeling of travel time, introducing crucial concepts and giving a thorough classification of the existing tech- niques. Most of the attention will focus on travel time estimation and travel time prediction, which are generally not presented together. The main goals of these models, the study areas and methodologies used to carry out these tasks will be further explored and categorized.

Forecasting Climate Impacts on Future Production of Commercially Exploited Fish and Shellfish

Foreword [pdf, < 0.1 MB] Acknowledgements PHASE 1 [pdf, 0.2 MB] Summary of the PICES/NPRB Workshop on Forecasting Climate Impacts on Future Production of Commercially Exploited Fish and Shellfish (July 19–20, 2007, Seattle, U.S.A.) Background Links to Other Programs Workshop Format Session I. Status of climate change scenarios in the PICES region Session II. What are the expected impacts of climate change on regional oceanography and what are some scenarios for these drivers for the next 10 years? Session III. Recruitment forecasting Session IV. What models are out there? How is climate linked to the model? Session V. Assumptions regarding future fishing scenarios and enhancement activities Session VI Where do we go from here? References Appendix 1.1 List of Participants PHASE 2 [pdf, 0.7 MB] Summary of the PICES/NPRB Workshop on Forecasting Climate Impacts on Future Production of Commercially Exploited Fish and Shellfish (October 30, 2007, Victoria, Canada) Background Workshop Agenda Forecast Feasibility Format of Information Modeling Approaches Coupled bio-physical models Stock assessment projection models Comparative approaches Similarities in Data Requests Opportunities for Coordination with Other PICES Groups and International Efforts BACKGROUND REPORTS PREPARED FOR THE PHASE 2 WORKSHOP Northern California Current (U.S.) groundfish production by Melissa Haltuch Changes in sablefish (Anoplopoma fimbria) recruitment in relation to oceanographic conditions by Michael J. Schirripa Northern California Current (British Columbia) Pacific cod (Gadus macrocephalus) production by Caihong Fu and Richard Beamish Northern California Current (British Columbia) sablefish (Anoplopoma fimbria) production by Richard Beamish Northern California Current (British Columbia) pink (Oncorhynchus gorbuscha) and chum (O. keta) salmon production by Richard Beamish Northern California Current (British Columbia) ocean shrimp (Pandalus jordani) production by Caihong Fu Alaska salmon production by Anne Hollowed U.S. walleye pollock (Theragra chalcogramma) production in the eastern Bering Sea and Gulf of Alaska by Kevin Bailey and Anne Hollowed U.S. groundfish production in the eastern Bering Sea by Tom Wilderbuer U.S. crab production in the eastern Bering Sea by Gordon H. Kruse Forecasting Japanese commercially exploited species by Shin-ichi Ito, Kazuaki Tadokoro and Yasuhiro Yamanka Russian fish production in the Japan/East Sea by Yury Zuenko, Vladimir Nuzhdin and Natalia Dolganova Chum salmon (Oncorhynchus keta) production in Korea by Sukyung Kang, Suam Kim and Hyunju Seo Jack mackerel (Trachurus japonicus) production in Korea by Jae Bong Lee and Chang-Ik Zhang Chub mackerel (Scomber japonicus) production in Korea by Jae Bong Lee, Sukyung Kang, Suam Kim, Chang-Ik Zhang and Jin Yeong Kim References Appendix 2.1 List of Participants PHASE 3 [pdf, < 0.1 MB] Summary of the PICES Workshop on Linking Global Climate Model Output to (a) Trends in Commercial Species Productivity and (b) Changes in Broader Biological Communities in the World’s Oceans (May 18, 2008, Gijón, Spain) Appendix 3.1 List of Participants Appendix 3.2 Workshop Agenda (Document contains 101 pages)

Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets

This paper models the mean and volatility spillovers of prices within the integrated Iberian and the interconnected Spanish and French electricity markets. Using the constant (CCC) and dynamic conditional correlation (DCC) bivariate models with three different specifications of the univariate variance processes, we study the extent to which increasing interconnection and harmonization in regulation have favoured price convergence. The data consist of daily prices calculated as the arithmetic mean of the hourly prices over a span from July 1st 2007 until February 29th 2012. The DCC model in which the variances of the univariate processes are specified with a VARMA(1,1) fits the data best for the integrated MIBEL whereas a CCC model with a GARCH(1,1) specification for the univariate variance processes is selected to model the price series in Spain and France. Results show that there are significant mean and volatility spillovers in the MIBEL, indicating strong interdependence between the two markets, while there is a weaker evidence of integration between the Spanish and French markets. We provide new evidence that the EU target of achieving a single electricity market largely depends on increasing trade between countries and homogeneous rules of market functioning.

Extreme events and ecological forecasting

Almost all extreme events lasting less than several weeks that significantly impact ecosystems are weather related. This review examines the response of estuarine systems to intense short-term perturbations caused by major weather events such as hurricanes. Current knowledge concerning these effects is limited to relatively few studies where hurricanes and storms impacted estuaries with established environmental monitoring programs. Freshwater inputs associated with these storms were found to initially result in increased primary productivity. When hydrographic conditions are favorable, bacterial consumption of organic matter produced by the phytoplankton blooms and deposited during the initial runoff event can contribute to significant oxygen deficits during subsequent warmer periods. Salinity stress and habitat destruction associated with freshwater inputs, as well as anoxia, adversely affect benthic populations and fish. In contrast, mobile invertebrate species such as shrimp, which have a short life cycle and the ability to migrate during the runoff event, initially benefit from the increased primary productivity and decreased abundance of fish predators. Events studied so far indicate that estuaries rebound in one to three years following major short-term perturbations. However, repeated storm events without sufficient recovery time may cause a fundamental shift in ecosystem structure (Scavia et al. 2002). This is a scenario consistent with the predicted increase in hurricanes for the east coast of the United States. More work on the response of individual species to these stresses is needed so management of commercial resources can be adjusted to allow sufficient recovery time for affected populations.

Ecological forecasting: new tools for coastal and marine ecosystem management

Policy makers, natural resource managers, regulators, and the public often call on scientists to estimate the potential ecological changes caused by both natural and human-induced stresses, and to determine how those changes will impact people and the environment. To develop accurate forecasts of ecological changes we need to: 1) increase understanding of ecosystem composition, structure, and functioning, 2) expand ecosystem monitoring and apply advanced scientific information to make these complex data widely available, and 3) develop and improve forecast and interpretative tools that use a scientific basis to assess the results of management and science policy actions. (PDF contains 120 pages)

Wind-driven desertification: process modeling, remote monitoring, and forecasting

Arid and semiarid landscapes comprise nearly a third of the Earth's total land surface. These areas are coming under increasing land use pressures. Despite their low productivity these lands are not barren. Rather, they consist of fragile ecosystems vulnerable to anthropogenic disturbance.

The purpose of this thesis is threefold: (I) to develop and test a process model of wind-driven desertification, (II) to evaluate next-generation process-relevant remote monitoring strategies for use in arid and semiarid regions, and (III) to identify elements for effective management of the world's drylands.

In developing the process model of wind-driven desertification in arid and semiarid lands, field, remote sensing, and modeling observations from a degraded Mojave Desert shrubland are used. This model focuses on aeolian removal and transport of dust, sand, and litter as the primary mechanisms of degradation: killing plants by burial and abrasion, interrupting natural processes of nutrient accumulation, and allowing the loss of soil resources by abiotic transport. This model is tested in field sampling experiments at two sites and is extended by Fourier Transform and geostatistical analysis of high-resolution imagery from one site.

Next, the use of hyperspectral remote sensing data is evaluated as a substantive input to dryland remote monitoring strategies. In particular, the efficacy of spectral mixture analysis (SMA) in discriminating vegetation and soil types and detennining vegetation cover is investigated. The results indicate that hyperspectral data may be less useful than often thought in determining vegetation parameters. Its usefulness in determining soil parameters, however, may be leveraged by developing simple multispectral classification tools that can be used to monitor desertification.

Finally, the elements required for effective monitoring and management of arid and semiarid lands are discussed. Several large-scale multi-site field experiments are proposed to clarify the role of wind as a landscape and degradation process in dry lands. The role of remote sensing in monitoring the world's drylands is discussed in terms of optimal remote sensing platform characteristics and surface phenomena which may be monitored in order to identify areas at risk of desertification. A desertification indicator is proposed that unifies consideration of environmental and human variables.

The Atlantic and Gulf Menhaden Purse Seine Fisheries: Origins, Harvesting Technologies, Biostatistical Monitoring, Recent Trends in Fisheries Statistics, and Forecasting

With its genesis in New England during the 1800's, the purse seine fishery for Atlantic menhaden, Brevoortia tyrannus, expanded south and by the early 1900's ranged the length of the eastern seaboard. The purse seine fishery for Gulf menhaden. B. patronus, is of relatively recent development, exploitation of the stock beginning in the late 1940's. Landings from both fisheries annually comprise 35-40% of the total U. S. fisheries landings, ranking menhaden first in terms of volume landed. Technological advances in harvesting methods, fish-spotting capabilities, and vessel designs accelerated after World War II, resulting in larger, faster, and wider-ranging carrier vessels, improved speed and efficiency of the harvest, and reduction in labor requirements. Chief products of the menhaden industry are fish meal, fish oil, and solubles, but research into new product lines is underway. Since 1955 on the Atlantic coast and 1964 on the Gulf coast, the NMFS has monitored the fisheries for biostatistical data. Annual data summaries of numbers-of-fish-at-age harvested, catch tonnage, and fishing effort of the fleet form the basis of routine stock assessments and annual catch forecasts to industry for the upcoming fishing season. After landings declined in the 1960's, the Atlantic menhaden stock has recovered through the 1970's and 1980's. Exceptional year classes of Gulf menhaden in recent years account for record landings during the 1980's.