Forecasting the term structure of volatility of crude oil price changes

Peer reviewed

Formal function and phrase structure in contemporary music : Pierre Boulez’s late solo works and Sean Clarke’s "Lucretia Overture" and "4 Impromptus"

Cette thèse présente une théorie de la fonction formelle et de la structure des phrases dans la musique contemporaine, théorie qui peut être utilisée aussi bien comme outil analytique que pour créer de nouvelles œuvres. Deux concepts théoriques actuels aident à clarifier la structure des phrases : les projections temporelles de Christopher Hasty et la théorie des fonctions formelles de William Caplin, qui inclut le concept de l’organisation formelle soudée versus lâche (tight-knit vs. loose). Les projections temporelles sont perceptibles grâce à l’accent mis sur les paramètres secondaires, comme le style du jeu, l’articulation et le timbre. Des sections avec une organisation formelle soudée ont des projections temporelles claires, qui sont créées par la juxtaposition des motifs distincts, généralement sous la forme d'une idée de base en deux parties. Ces projections organisent la musique en phrases de présentation, en phrases de continuité et finalement, à des moments formels charnières, en phrases cadentielles. Les sections pourvues d’une organisation plus lâche tendent à présenter des projections et mouvements harmoniques moins clairs et moins d’uniformité motivique. La structure des phrases de trois pièces tardives pour instrument soliste de Pierre Boulez est analysée : Anthèmes I pour violon (1991-1992) et deux pièces pour piano, Incises (2001) et une page d’éphéméride (2005). Les idées proposées dans le présent document font suite à une analyse de ces œuvres et ont eu une forte influence sur mes propres compositions, en particulier Lucretia Overture pour orchestre et 4 Impromptus pour flûte, saxophone soprano et piano, qui sont également analysés en détail. Plusieurs techniques de composition supplémentaires peuvent être discernés dans ces deux œuvres, y compris l'utilisation de séquence mélodiques pour contrôler le rythme harmonique; des passages composés de plusieurs couches musicales chacun avec un structure de phrase distinct; et le relâchement de l'organisation formelle de matériels récurrents. Enfin, la composition de plusieurs autres travaux antérieurs a donné lieu à des techniques utilisées dans ces deux œuvres et ils sont brièvement abordés dans la section finale.

A Developmental Approach to Sport Expertise

This chapter examines the personal and contextual factors of youth sport that affect sport expertise and developmental outcomes. The developmental model of sport participation (DMSP) is used as a comprehensive framework that outlines different pathways of involvement in sport. Activities and contexts that promote continued sport participation and expert performance are discussed as the building blocks of all effective youth sport programs. This chapter provides evidence that performance in sport, participation, and psychological development should be considered as a whole instead of as separate entities by youth sport programmers. Adults in youth sports (i.e. coaches, parents, sport psychologists, administrators) must consider the differing implications of concepts such as deliberate play, deliberate practice, sampling, specialization, and program structure at different stages of an athlete's talent development. Seven postulates are presented regarding important transitions in youth sport and the role that sampling and deliberate play, as opposed to specialization and deliberate practice, can have during the childhood in promoting continued participation and elite performance in sport

An integrative case study of positive youth development in a recreational community sport program

Participation in organized activities is associated with many markers of positive youth development (PYD) such as improved self-esteem, social competence, and academic achievement (Mahoney et al., 2009). Sport is an extra-curricular activity that is particularly popular among youth, as nearly three quarters of Canadian children and adolescents are engaged in organized sport or physical activity (CFLRI, 2012). Much of the research in this area has examined sport programs which are explicitly structured to promote life skills or PYD outcomes; however, the sustainability of such programs has recently been called into question (Turnnidge, Hancock, & Côté, 2014). The purpose of this program of research was to conduct an in-depth case study of a successful, sustainable community youth basketball league. Study 1 was a qualitative descriptive exploration of coaches’ perceptions of the basketball league. This study provided a general overview of the structure and perceived benefits of the league, from the perspective of current coaches. Coaches highlighted the unique emphasis that the league places on fun and positive immediate sport experiences. Study 2 expanded on selected themes from Study 1, namely, the salience of the league’s culture and tendency for former players to return to the league as volunteers. This study used an ethnographic approach wherein the first author volunteered as an assistant coach on a basketball team over the course of a six-month season. This approach enabled him to gain considerable first hand insight into the organizational culture of the basketball league. The third and final study adopted a quantitative approach using both systematic observation and questionnaires to investigate the relationship between PYD outcomes and observed athlete behaviour during basketball games. A cluster analysis revealed the presence of two distinct groups of athletes characterized by relatively high and low perceptions of PYD outcomes, which were also associated with varying behavioural characteristics during competition. The results of these three studies provide a detailed blueprint of a successful youth sport program that has been sustained over 60 years. While not without limitations, many characteristics of the league should prove useful in structuring youth sport programs in other contexts.

Default Invariance: Naïve Category of Law and Finance

Default invariance is the idea that default does not change at any scale of law and finance. Default is a conserved quantity in a universe where fundamental principles of law and finance operate. It exists at the micro-level as part of the fundamental structure of every financial transaction, and at the macro- level, as a fixed critical point within the relatively stable phases of the law and finance cycle. A key point is that default is equivalent to maximizing uncertainty at the micro-level and at the macro-level, is equivalent to the phase transition where unbearable fluctuations occur in all forms of risk transformation, including maturity, liquidity and credit. As such, default invariance is the glue that links the micro and macro structures of law and finance. In this essay, we apply naïve category theory (NCT), a type of mapping logic, to these types of phenomena. The purpose of using NCT is to introduce a rigorous (but simple) mathematical methodology to law and finance discourse and to show that these types of structural considerations are of prime practical importance and significance to law and finance practitioners. These mappings imply a number of novel areas of investigation. From the micro- structure, three macro-approximations are implied. These approximations form the core analytical framework which we will use to examine the phenomena and hypothesize rules governing law and finance. Our observations from these approximations are grouped into five findings. While the entirety of the five findings can be encapsulated by the three approximations, since the intended audience of this paper is the non-specialist in law, finance and category theory, for ease of access we will illustrate the use of the mappings with relatively common concepts drawn from law and finance, focusing especially on financial contracts, derivatives, Shadow Banking, credit rating agencies and credit crises.

Commodification of health care systems: The Catalan case

Commodification of the public healthcare system has been a growing process in recent decades, especially in universal healthcare systems and in high-income countries like Spain.  There are substantial differences in the healthcare systems of each autonomous region of Spain, among which Catalonia is characterized by having a mixed healthcare system with complex partnerships and interactions between the public and private healthcare sectors.  Using a narrative review approach, this article addresses various aspects of the Catalan healthcare system, characterizing the privatization and commodification of health processes in Catalonia from a historical perspective with particular attention to recent legislative changes and austerity measures.  The article approximates, the eventual effects that commodification and austerity measures will have on the health of the population and on the structure, accessibility, effectiveness, equity and quality of healthcare services.

Fútbol y redes sociales. Análisis de la gestión de Relaciones Públicas 2.0 por los clubes de fútbol

Las relaciones públicas se configuran como una actividad esencial en la gestión de la comunicación con los públicos de los clubes de fútbol ya que son muy activos y su grado de reactividad es alto. Con este texto se analiza el papel que desempeñan las redes sociales en los clubes de fútbol que poseen mayor número de ingresos. Para ello, se desarrolla una metodología que estudia qué presencia tienen en las redes sociales, el número de seguidores, qué grado de interacción se produce entre clubes y públicos y los contenidos y las temáticas de los textos de las redes sociales. Los resultados muestran un público activo pero con intervenciones relacionadas con los resultados futbolísticos y una gestión comunicativa unidireccional por parte de los clubes.

Women’s football. Notes for a social history of women’s sport in Spain, 1900-1936

In the context of demands by the European feminist movement at the beginning of the 20th century, in Spain women’s sport flagged up aspirations to what were considered to be male practices. The first experiences of women in football stand out because of their use of the media to appear as a symbol of social transformation to modernity in the 20th century. It was not in vain that women’s football highlighted the demands of the feminist movements, although it did come up against male disapproval from an opposing group. The research sets out from a bibliographical and media review of specialist press and sports news of the time. Other current studies have also been considered in order to place it in a social and historical focus on sport. This has enabled us to highlight that football in Spain was established as an unequivocal space for (re) producing male hegemony where women were relegated to the representation of a symbolic ritual in a scenario of accessory and condescension.

REIT Capital Structure Choices: Preparation Matters

Sun, Titman, and Twite (2015) find that capital structure risks, namely high leverage and a high share of short-term debt, reduced the cumulative total return of US REITs in the 2007-2009 financial crisis. We find that mitigating capital structure risks ahead of the crisis by reducing leverage and extending debt maturity in 2006, was associated with a significantly higher cumulative total return 2007-2009, after controlling for the levels of those variables at the start of the financial crisis. We further identify two systematic cross-sectional differences between those REITs that reduced capital structure risks prior to the financial crisis and those that did not: the exposure to capital structure risks and the strength of corporate governance. On balance, our findings are consistent with the interpretation of risk-reducing adjustments to capital structure ahead of the crisis as a component of managerial skill and discipline with significant implications for firm value during the crisis.

Étude de l'influence du variant d'histone H2A.Z sur l'organisation des nucléosomes aux enhancers liés par le récepteur alpha de l'oestrogène

L'identité et la réactivité cellulaires sont établies, maintenues et modulées grâce à l'orchestration de programmes transcriptionnels spécifiques. Les éléments régulateurs, des régions particulières de la chromatine responsables de l'activation ou de la répression des gènes, sont au coeur de cette opération. Ces dernières années, de nombreuses études ont révélé le rôle central des « enhancers » dans ce processus. En effet, des centaines de milliers « enhancers » seraient éparpillés dans le génome humain, majoritairement dans sa portion non-codante, et contrairement au promoteur, leur activation varierait selon le type ou l'état cellulaire ou en réponse à une stimulation physiologique, pathologique ou environnementale. Les « enhancers » sont, en quelque sorte, des carrefours où transitent une multitude de protéines régulées par les signaux intra- et extra-cellulaires et un dialogue s'établit entre ces diverses protéines et la chromatine. L'identification des « enhancers ainsi qu'une compréhension de leur mode de fonctionnement sont donc cruciales, tant au plan fondamental que clinique. La chromatine joue un rôle indéniable dans l'activité des éléments régulateurs, tant par sa composition que par sa structure, en régulant, entre autres, l'accessibilité de l'ADN. En effet, l'ADN des régions régulatrices est bien souvent masqué par un nucléosome occlusif, lequel doit être déplacé ou évincé afin de permettre la liaison des protéines régulatrices, notamment les facteurs de transcription (FTs). Toutefois, la contribution de la composition de la chromatine à ce processus reste incomprise. Le variant d'histone H2A.Z a été identifié comme une composante de la chromatine aux régions accessibles, dont des « enhancers » potentiels. Toutefois son rôle y est inconnu, bien que des études récentes suggèrent qu'il pourrait jouer un rôle important dans la structure de la chromatine à ces régions. Par ailleurs, un lien étroit existe entre H2A.Z et la voie de signalisation des oestrogènes (notamment la 17-[beta]-estradiol (E2)). Ainsi, H2A.Z est essentiel à l'expression de plusieurs gènes cibles de l'E2. Les effets de l'E2 sont en partie exercés par un FT, le récepteur alpha des oestrogènes (ER[alpha]), lequel se lie à l'ADN suite à son activation, et ce majoritairement à des « enhancers », et permet l'établissement d'un programme transcriptionnel spécifique. Cette thèse vise à définir le rôle d'H2A.Z aux « enhancers », et plus particulièrement son influence sur l'organisation des nucléosomes aux « enhancers » liés par ER[alpha]. D'abord, mes travaux effectués à l'échelle du génome ont démontré qu'H2A.Z n'est présent qu'à certains ER[alpha]-« enhancers » actifs. Cette particularité a fait en sorte que nous avons pu comparer directement les « enhancers » actifs occupés par H2A.Z à ceux non-occupés, afin de mettre en évidence sa relation à l'environnement chromatinien. Étonnamment, il est apparu qu'H2A.Z n'introduit pas une organisation unique ou particulière des nucléosomes aux « enhancers ». Par ailleurs, nos résultats montrent qu'H2A.Z joue un rôle crucial dans la régulation de l'activité des « enhancers ». En effet, nous avons observé que suite à leur activation par l'E2, les « enhancers » occupés par H2A.Z recrutent l'ARN polymérase II (ARNPII) et produisent un transcrit. Ils recrutent également RAD21, une composante du complexe cohésine impliqué, entre autres, dans des interactions chromosomiques entre « enhancers » et promoteurs. De façon intéressante, nous avons mis en évidence que ces trois évènements, connus pour leur importance dans l'activité des « enhancers », sont dépendants d'H2A.Z. Ainsi, la présence d'H2A.Z à l' « enhancer » pourrait permettre un environnement chromatinien favorable à trois aspects clés de l'activité des « enhancers » : la présence de l'ARNPII, la transcription et la formation d'une boucle d'interaction, et par la suite, de par la proximité « enhancer »-promoteur ainsi créée, augmenter la concentration d'ARNPII à proximité du promoteur favorisant l'expression du gène cible. Un tel rôle central d'H2A.Z dans l'activité d' « enhancers » spécifiques pourrait participer à un mécanisme épigénétique ciblé de la régulation de l'expression des gènes.

L'organisation sociale des femelles chamois (Rupicapra rupicapra) dans une aire protégée

L’organisation sociale est un élément important dans la biologie d’une espèce. Dans le monde animal, il existe différents types d’organisation sociale. Certaines espèces affichent un comportement solitaire, tandis que d’autres sont grégaires. Lorsque la socialité est favorisée, une organisation sociale de type communautaire peut prendre forme, où les liens d’associations sont majoritairement entre les individus des mêmes communautés. Ces liens peuvent être modulés par des associations préférentielles, par des stratégies comportementales ou par un apparentement génétique. Cependant, l’organisation sociale est soumise à des changements avec la mortalité, les naissances, l’immigration et l’émigration des individus. Ces variables démographiques peuvent altérer les relations sociales et par le fait même l’organisation sociale. L’analyse des réseaux sociaux est utilisée pour représenter et analyser la structure sociale d’une population. Cette technique permet de quantifier la structure de communauté d’un réseau. En utilisant une base de données d’observations obtenues sur plusieurs années, mon projet de maitrise explore l’organisation sociale chez les femelles chamois (Rupicapra rupicapra) au Parc des Alpes Maritimes, Italie. La base de tous les comportements sociaux est l’association. L’interaction dyadique entre deux individus est la principale voie pour le transfert de l'information. En utilisant ces associations, j’ai reconstruit, sur une base annuelle, la structure sociale des femelles chamois. Une fois la structure sociale établie, j’ai discerné les différentes communautés présentes dans la population. J’ai ensuite effectué une analyse de stabilité des communautés et déterminé si la composition des communautés répondait à un apparentement génétique. Les chamois femelles ont une organisation sociale impliquant des communautés avec de multiples liens d’associations à l’intérieur, mais quelque peu dirigés à l’extérieur de ces communautés. Les relations sociales d’une femelle chamois sont généralement conservées d’une année à l’autre. De plus, ces communautés attestent d’une grande stabilité inter annuelle. Peu d’individus changent de communauté d’une année à l’autre. Le changement de communauté est associé avec un faible nombre de liens d’associations et également avec des groupes de faible taille. Les communautés détectées ne semblent pas être basées sur un apparentement génétique. Grâce à l’analyse des réseaux sociaux, mes travaux de maîtrise sont les premiers à quantifier statistiquement l’organisation sociale des femelles chamois. Grâce à l’exploration de l’organisation sociale de ces femelles chamois, nos résultats apporteront de nouvelles informations sur les ongulés alpins et permettront une gestion adéquate des populations.

Do U.S. and Colombian macro factors improve the forecasting ability of unrestricted VAR models of the local term structure of interest rate?

Este estudio empírico compara la capacidad de los modelos Vectores auto-regresivos (VAR) sin restricciones para predecir la estructura temporal de las tasas de interés en Colombia -- Se comparan modelos VAR simples con modelos VAR aumentados con factores macroeconómicos y financieros colombianos y estadounidenses -- Encontramos que la inclusión de la información de los precios del petróleo, el riesgo de crédito de Colombia y un indicador internacional de la aversión al riesgo mejora la capacidad de predicción fuera de la muestra de los modelos VAR sin restricciones para vencimientos de corto plazo con frecuencia mensual -- Para vencimientos de mediano y largo plazo los modelos sin variables macroeconómicas presentan mejores pronósticos sugiriendo que las curvas de rendimiento de mediano y largo plazo ya incluyen toda la información significativa para pronosticarlos -- Este hallazgo tiene implicaciones importantes para los administradores de portafolios, participantes del mercado y responsables de las políticas

Capital structure of Finnish firms – Estimating the effects of firm characteristics on capital structure

One of the most disputable matters in the theory of finance has been the theory of capital structure. The seminal contributions of Modigliani and Miller (1958, 1963) gave rise to a multitude of studies and debates. Since the initial spark, the financial literature has offered two competing theories of financing decision: the trade-off theory and the pecking order theory. The trade-off theory suggests that firms have an optimal capital structure balancing the benefits and costs of debt. The pecking order theory approaches the firm capital structure from information asymmetry perspective and assumes a hierarchy of financing, with firms using first internal funds, followed by debt and as a last resort equity. This thesis analyses the trade-off and pecking order theories and their predictions on a panel data consisting 78 Finnish firms listed on the OMX Helsinki stock exchange. Estimations are performed for the period 2003–2012. The data is collected from Datastream system and consists of financial statement data. A number of capital structure characteristics are identified: firm size, profitability, firm growth opportunities, risk, asset tangibility and taxes, speed of adjustment and financial deficit. A regression analysis is used to examine the effects of the firm characteristics on capitals structure. The regression models were formed based on the relevant theories. The general capital structure model is estimated with fixed effects estimator. Additionally, dynamic models play an important role in several areas of corporate finance, but with the combination of fixed effects and lagged dependent variables the model estimation is more complicated. A dynamic partial adjustment model is estimated using Arellano and Bond (1991) first-differencing generalized method of moments, the ordinary least squares and fixed effects estimators. The results for Finnish listed firms show support for the predictions of profitability, firm size and non-debt tax shields. However, no conclusive support for the pecking-order theory is found. However, the effect of pecking order cannot be fully ignored and it is concluded that instead of being substitutes the trade-off and pecking order theory appear to complement each other. For the partial adjustment model the results show that Finnish listed firms adjust towards their target capital structure with a speed of 29% a year using book debt ratio.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Reframing Scottish Football: Strategy and the short-term nature of the football industry.

Despite football being deeply entrenched in Scottish culture it is under-researched from a business perspective. This research develops a conceptual framework that views professional football clubs from a number of different perspectives. It draws on strategic management literature since this views the firm as the intersection between internal competence, customer perception and competition within an industry. A review of previous sports business research highlighted five main themes that were used to create a structure for the analysis: on-field performance, attendance, finance, the playing squad and the manager. These themes were used as frames to view the firms within the industry from a number of different perspectives. Each frame allows a different aspect of the firm to be considered singly in turn and then collectively to develop a deeper understanding of the existing frames in use within the industry. The research is based on a pragmatic philosophy that allows mixed methods to be combined to provide both an objective and subjective view of the industry. The subjective view was drawn from five interviews with senior figures within Scottish professional football. These participants were from a number of different roles and organisations within the industry to provide a balance of experiences. The views were triangulated with a descriptive analysis of secondary data from a number of industry sources to establish patterns within and between these frames. A peer group of six clubs was selected as they competed in the Scottish Premier League in each of the seasons within an eleven-year period (2000-2011). The peer group clubs selected were: Aberdeen, Dundee United, Heart of Midlothian (Hearts), Hibernian, Kilmarnock and Motherwell. By focussing on a small group of clubs with a similar on-field record a broad study across the five frames could be carried out in detail without the findings being influenced by the impact of relegation to a lower division or sustained participation in European football. Within each of the original five frames a number of sub-components were identified and linked to the framework; this expanded the content to reflect the findings of this project. There appeared to be little link between on-field performance and attendance although progress to the later stages of cup competitions allowed clubs to connect with fans who do not regularly attend. The relationship between a club’s income and wage bill should be expanded to include interest repayments since this expenditure can be used to highlight future financial problems caused by increased debt levels. Although all of the interview participants spoke with pride of the players that had progressed from the club’s youth academy to success at the highest level the peer group clubs only produced one player each season that played more than ten matches for the club. Almost half of the players signed from the youth academy left the club without playing for the 1st Team. The importance of the relationship between the manager and club chairman was highlighted, although the speed with which managers were appointed suggests that little consideration was given to this before offering a contract. Once appointed there appeared to be little clarity over the job description and areas of responsibility. Several of the interviewees brought experience from other businesses to football but admitted that short-term decision making and entrenched behaviour made change difficult. The conclusion of the research is that by taking a firm-wide view of the club, longer-term decisions can be taken within football. Player development and supporter relationships were both identified as long-term processes that are impacted by the current short-termism. With greater role clarity for managers and a mixture of short and long-term objectives those involved in the industry are more likely to have opportunities to learn from experience and performance, across the different frames, will improve as a result.