Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

An economic evaluation of the Safe Motherhood programme in Guangxi, China

Maternal and infant mortality is a global health issue with a significant social and economic impact. Each year, over half a million women worldwide die due to complications related to pregnancy or childbirth, four million infants die in the first 28 days of life, and eight million infants die in the first year. Ninety-nine percent of maternal and infant deaths are in developing countries. Reducing maternal and infant mortality is among the key international development goals. In China, the national maternal mortality ratio and infant mortality rate were reduced greatly in the past two decades, yet a large discrepancy remains between urban and rural areas. To address this problem, a large-scale Safe Motherhood Programme was initiated in 2000. The programme was implemented in Guangxi in 2003. Interventions in the programme included both demand-side and supply side-interventions focusing on increasing health service use and improving birth outcomes. Little is known about the effects and economic outcomes of the Safe Motherhood Programme in Guangxi, although it has been implemented for seven years. The aim of this research is to estimate the effectiveness and cost-effectiveness of the interventions in the Safe Motherhood Programme in Guangxi, China. The objectives of this research include: 1. To evaluate whether the changes of health service use and birth outcomes are associated with the interventions in the Safe Motherhood Programme. 2. To estimate the cost-effectiveness of the interventions in the Safe Motherhood Programme and quantify the uncertainty surrounding the decision. 3. To assess the expected value of perfect information associated with both the whole decision and individual parameters, and interpret the findings to inform priority setting in further research and policy making in this area. A quasi-experimental study design was used in this research to assess the effectiveness of the programme in increasing health service use and improving birth outcomes. The study subjects were 51 intervention counties and 30 control counties. Data on the health service use, birth outcomes and socio-economic factors from 2001 to 2007 were collected from the programme database and statistical yearbooks. Based on the profile plots of the data, general linear mixed models were used to evaluate the effectiveness of the programme while controlling for the effects of baseline levels of the response variables, change of socio-economic factors over time and correlations among repeated measurements from the same county. Redundant multicollinear variables were deleted from the mixed model using the results of the multicollinearity diagnoses. For each response variable, the best covariance structure was selected from 15 alternatives according to the fit statistics including Akaike information criterion, Finite-population corrected Akaike information criterion, and Schwarz.s Bayesian information criterion. Residual diagnostics were used to validate the model assumptions. Statistical inferences were made to show the effect of the programme on health service use and birth outcomes. A decision analytic model was developed to evaluate the cost-effectiveness of the programme, quantify the decision uncertainty, and estimate the expected value of perfect information associated with the decision. The model was used to describe the transitions between health states for women and infants and reflect the change of both costs and health benefits associated with implementing the programme. Result gained from the mixed models and other relevant evidence identified were synthesised appropriately to inform the input parameters of the model. Incremental cost-effectiveness ratios of the programme were calculated for the two groups of intervention counties over time. Uncertainty surrounding the parameters was dealt with using probabilistic sensitivity analysis, and uncertainty relating to model assumptions was handled using scenario analysis. Finally the expected value of perfect information for both the whole model and individual parameters in the model were estimated to inform priority setting in further research in this area.The annual change rates of the antenatal care rate and the institutionalised delivery rate were improved significantly in the intervention counties after the programme was implemented. Significant improvements were also found in the annual change rates of the maternal mortality ratio, the infant mortality rate, the incidence rate of neonatal tetanus and the mortality rate of neonatal tetanus in the intervention counties after the implementation of the programme. The annual change rate of the neonatal mortality rate was also improved, although the improvement was only close to statistical significance. The influences of the socio-economic factors on the health service use indicators and birth outcomes were identified. The rural income per capita had a significant positive impact on the health service use indicators, and a significant negative impact on the birth outcomes. The number of beds in healthcare institutions per 1,000 population and the number of rural telephone subscribers per 1,000 were found to be positively significantly related to the institutionalised delivery rate. The length of highway per square kilometre negatively influenced the maternal mortality ratio. The percentage of employed persons in the primary industry had a significant negative impact on the institutionalised delivery rate, and a significant positive impact on the infant mortality rate and neonatal mortality rate. The incremental costs of implementing the programme over the existing practice were US $11.1 million from the societal perspective, and US $13.8 million from the perspective of the Ministry of Health. Overall, 28,711 life years were generated by the programme, producing an overall incremental cost-effectiveness ratio of US $386 from the societal perspective, and US $480 from the perspective of the Ministry of Health, both of which were below the threshold willingness-to-pay ratio of US $675. The expected net monetary benefit generated by the programme was US $8.3 million from the societal perspective, and US $5.5 million from the perspective of the Ministry of Health. The overall probability that the programme was cost-effective was 0.93 and 0.89 from the two perspectives, respectively. The incremental cost-effectiveness ratio of the programme was insensitive to the different estimates of the three parameters relating to the model assumptions. Further research could be conducted to reduce the uncertainty surrounding the decision, in which the upper limit of investment was US $0.6 million from the societal perspective, and US $1.3 million from the perspective of the Ministry of Health. It is also worthwhile to get a more precise estimate of the improvement of infant mortality rate. The population expected value of perfect information for individual parameters associated with this parameter was US $0.99 million from the societal perspective, and US $1.14 million from the perspective of the Ministry of Health. The findings from this study have shown that the interventions in the Safe Motherhood Programme were both effective and cost-effective in increasing health service use and improving birth outcomes in rural areas of Guangxi, China. Therefore, the programme represents a good public health investment and should be adopted and further expanded to an even broader area if possible. This research provides economic evidence to inform efficient decision making in improving maternal and infant health in developing countries.

Right to the city, desire for the suburb?

The 2000s have been a lively decade for cities. The Worldwatch Institute estimated that 2007 was the first year in human history that more people worldwide lived in cities than the countryside. Globalisation and new digital media technologies have generated the seemingly paradoxical outcome that spatial location came to be more rather than less important, as combinations of firms, industries, cultural activities and creative talents have increasingly clustered around a select node of what have been termed “creative cities,” that are in turn highly networked into global circuits of economic capital, political power and entertainment media. Intellectually, the period has seen what the UCLA geographer Ed Soja refers to as the spatial turn in social theory, where “whatever your interests may be, they can be significantly advanced by adopting a critical spatial perspective”. This is related to the dynamic properties of socially constructed space itself, or what Soja terms “the powerful forces that arise from socially produced spaces such as urban agglomerations and cohesive regional economies,” with the result that “what can be called the stimulus of socio-spatial agglomeration is today being assertively described as the primary cause of economic development, technological innovation, and cultural creativity”

Why evolutionary realism underpins evolutionary economic analysis and theory

This paper offers a reply to Jochen Runde's critical appraisal of the ontological framework underpinning Dopfer and Potts's (2008) General Theory of Economic Evolution. We argue that Runde's comprehensive critique contains several of what we perceive to be misunderstandings in relation to the key concepts of ‘generic’ and ‘meso’ that we seek here to unpack and redress.

School education as social and economic governance : responsibilising communities through industry-school engagement

This article examines shifts in educational and social governance taking place in Queensland, Australia, through Industry School Engagement Strategy of Education Queensland and its Gateway Schools program. This significant educational initiative is set within the context of the social investment agenda first articulated in the education policy framework, Queensland State Education-2010. The article traces the historic extension of this governmental strategy through establishment of the Gateway Schools concept that brokers industry-school partnerships with global players in the Queensland economy. Industry sectors forming the partnerships include Minerals and Energy, Aerospace, Wine Tourism, Agribusiness, Manufacturing and Engineering, Building and Construction and ICT. We argue that this ‘post-bureaucratic’ model of schooling represents a new social settlement of neoliberal governance, in which educational outcomes align with economic objectives, and frame the conditions for community self-governance.

Social Procurement: Promoting the sustainability of NPOs through the transformation of economic, social and cultural capital

Social procurement provides a key source of income for the Third Sector, and is vital for the sustainability of many nonprofit organisations. Social procurement involves the exchange of economic capital from one organisation, typically government (although for-profit and non-profit organisations can also purchase), with a nonprofit organisations in order to deliver other forms of. It is this transformation of economic capital into other forms of capital (cultural, human, social) in the social procurement process, which is the focus of this paper. Four case studies, which are representative of the four main types of social procurement, will be examined in order to trace how economic capital is transformed into other types of capital in each of these cases. In so doing, the paper will advance our understanding of social procurement theoretically, and lead to a wider discussion about the role of social procurement in ensuring the sustainability of nonprofit organisations, and the civil societies in which they operate.

Seeing the outer suburbs : addressing the urban bias in creative place thinking

Seeing the outer suburbs: addressing the urban bias in creative place thinking, Regional Studies. This paper draws upon quantitative and qualitative research into Australian cities to question the assumption that creative industries workers inherently seek to cluster in inner-urban areas. It challenges this foundational assumption by combining a critical application of the location quotient analysis of major Australian cities with qualitative research drawn from interviews with creative workers based in suburban Melbourne and Brisbane. The findings provide analyses as to why many creative industries workers prefer to locate themselves in outer suburban places. There is also discussion of the implications of these findings for future work on the cultural geography and policies of creative industries.

Creative suburbia : rethinking urban cultural policy – the Australian case

This article considers the question of whether creative workers demonstrate a preference for inner cities or suburbs, drawing upon research findings from the ‘Creative Suburbia’ project undertaken by a team of Australian researchers over 2008–2010 in selected suburban areas of Brisbane and Melbourne. Locating this question in wider debates about the relationship of the suburbs to the city, as well as the development of new suburban forms such as master-planned communities, the article finds that the number of creative industries workers located in the suburbs is significant, and those creative workforce members living and working in suburban areas are generally happy with this experience, locating in the suburbs out of personal choice rather than economic necessity. This runs counter to the received wisdom on creative cities, which emphasize cultural amenity in inner city areas as a primary driver of location decisions for the ‘creative class’. The article draws out some implications of the findings for urban cultural policy, arguing that the focus on developing inner urban cultural amenity has been overplayed, and that more attention should be given to how to better enable distributed knowledge systems through high-speed broadband infrastructure.

Socio-economic differences in takeaway food consumption among adults

To examine socioeconomic differences in the frequency and types of takeaway foods consumed. Cross-sectional postal survey. Participants were asked about their usual consumption of overall takeaway food (< four times a month, or ≥ four times a month) and 22 specific takeaway food items (< once a month, or ≥ once a month): these latter foods were grouped into “healthy” and “less healthy” choices. Socioeconomic position was measured using education and equivalised household income and differences in takeaway food consumption were assessed by calculating prevalence ratios using log binomial regression. Adults aged 25–64 years from Brisbane, Australia were randomly selected from the electoral roll (N = 903, 63.7% response rate). Compared with their more educated counterparts, the least educated were more regular consumers of overall takeaway food, fruit/vegetable juice, and less regular consumers of sushi. For the “less healthy” items, the least educated more regularly consumed potato chips, savoury pies, fried chicken, and non-diet soft drinks; however, the least educated were less likely to consume curry. Household income was not associated with overall takeaway consumption. The lowest income group were more regular consumers of fruit/vegetable juice compared with the highest income group. Among the “less healthy” items, the lowest income group were more regular consumers of fried fish, ice-cream, and milk shakes, while curry was consumed less regularly. The frequency and types of takeaway foods consumed by socioeconomically disadvantaged groups may contribute to inequalities in overweight/obesity and chronic disease.

Competitive advantages as a foundation for social advantage: The role of social enterprise in regional development

The belief that regions play a role in determining national economic development and that advantages are found at the local and regional level has been the focus of economic geography and development studies over the last 10 years. However, this issue has historically been dominated by economic perspectives, industrial firms, and public bodies. In recent years the social economy is starting to receive greater attention in creating regional advantage as well as ameliorating regional disadvantage. The social economy includes the impact of the third sector such as social enterprises. This paper proposes that understanding the role and function of social enterprise will enable a more nuanced understanding of the socio-economic aspects of regional development. Drawing upon Oliver’s (1997) framework for sustainable competitive advantage it is argued that this established management framework provides a valuable foundation for examining the organisational resources that social enterprise need to operate effectively, as well as the socio-economic resources they produce for regional communities.

Creative industry clusters in Shanghai : a success story?

In 2005 the Shanghai municipal government adopted the notion of ‘creative industries’ as part of their economic development strategy. At the same time, they officially recognized a number of ‘Creative Industry Clusters’ (CIC) in the city; over the next five years these official clusters grew to over ninety in number. The active promotion of CIC by the local state can thus been seen as central to its adoption of the creative industries agenda, in turn part of its aspiration to become a modern, global metropolis. In the first part of this paper we look at the emergence of the creative industry agenda in China, making some general observations about the need to place such policy transfer in its specific context. We suggest how this agenda might be understood in the national context of China’s economic and cultural policy development. In the second we give a critical account of the development of the creative industries agenda in Shanghai and its relationship to that for CIC. We argue that this agenda had more to do with real estate development than the promotion of a ‘creative milieu’ or ‘ecosystem’, and we also give some reasons as to why this was the case. In the third section we provide some new evidence to suggest the increasing disjunction between CIC and such a wider ‘creative milieu’. In the final section we suggest some new ways in which these CIC might be approached by local government in Shanghai .

designing creative clusters : some indicators

This paper explores how the design of creative clusters as a key strategy in promoting the urban creative economy has played out in Shanghai. Creative Clusters in Europe and North America context have emerged ‘organically’. They developed spontaneously in those cities which went through a period of post-industrial decline. Creative Industries grew up in these cities as part of a new urban economy in the wake of old manufacturing industries. Artists and creative entrepreneurs moved into vacant warehouses and factories and began the trend of ‘creative clusters’. Such clusters facilitate the transfer of tacit knowledge through informal learning, the efficient sourcing of skills and information, competition, collaboration and learning, inter-cluster trading and networking. This new urban phenomenon was soon targeted by local economic development policy in charge of re-generating and re-structuralizing industrial activities in cities. Rising interest from real estate and local economic development has led to more and more planned creative clusters. In the aim of catching up with the world’s creative cities, Shanghai has planned over 100 creative clusters since 2005. Along with these officially designed creative clusters, there are organically emerged creative clusters that are much smaller in scale and much more informal in terms of the management. And they emerged originally in old residential areas just outside the CBD and expand to include French concession the most sort after residential area at the edge of CBD. More recently, office buildings within CBD are made available for creative usages. From fringe to CBD, these organic creative clusters provide crucial evidences for the design of creative clusters. This paper will be organized in 2 parts. In the first part, I will present a case study of 8 ‘official’ clusters (title granted by local govenrment) in Shanghai through which I am hoping to develop some key indicators of the success/failure of creative clusters as well as link them with their physical, social and operational efficacies. In the second part, a variety of ‘alternative’ clusters (organicly formed clusters most of which are not recongnized by the government) supplies with us the possibilities of rethinking the so-called ‘cluster development strategy’ in terms of what kind of spaces are appropriate for use by clusters? Who should manage them and in what format? And ultimately what are their relationship with the rest of the city should be defined?