Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

The impact of the Miami Cuban exile's political culture on the 1996 fiscal crisis of the city of Miami

The purpose of this study was to determine if the political culture of the Miami Cuban exile community was a significant factor in creating the environment that led to the 1996 fiscal crisis of the City of Miami. The study performed an ethnographic case study that utilized a triangulation strategy which included both qualitative and quantitative methods. Focus groups were conducted to ascertain qualitative and quantitative data as to differences among ethnic and generational groups regarding notions of governance, public administration practices, and overall political values and core beliefs. Quantitative data was obtained through a five year and seven month review of newspaper articles from two periodicals based in Miami-Dade County. A review was also conducted of secondary data in audit and management reports, blue ribbon commission studies, Certified Public Manager (CPM) enrollment, and legal case decisions to examine the administrative practices of the City of Miami leading up to and subsequent to its fiscal crisis. The study found that a political subculture of caudillismo was present in Cuban exile core areas of Miami that appears to have had an influence on the administrative practices and notions of governance that led to the fiscal crisis. The author concludes that an imported foreign political culture has imposed itself as a subculture in core areas of the exile community and that the operationalization of this subculture has manifested itself in non-mainstream notions of governance and public administration practices. ^

Essays on international lending and increasing returns to scale

Standard economic theory suggests that capital should flow from rich countries to poor countries. However, capital has predominantly flowed to rich countries. The three essays in this dissertation attempt to explain this phenomenon. The first two essays suggest theoretical explanations for why capital has not flowed to the poor countries. The third essay empirically tests the theoretical explanations.^ The first essay examines the effects of increasing returns to scale on international lending and borrowing with moral hazard. Introducing increasing returns in a two-country general equilibrium model yields possible multiple equilibria and helps explain the possibility of capital flows from a poor to a rich country. I find that a borrowing country may need to borrow sufficient amounts internationally to reach a minimum investment threshold in order to invest domestically.^ The second essay examines how a poor country may invest in sectors with low productivity because of sovereign risk, and how collateral differences across sectors may exacerbate the problem. I model sovereign borrowing with a two-sector economy: one sector with increasing returns to scale (IRS) and one sector with diminishing returns to scale (DRS). Countries with incomes below a threshold will only invest in the DRS sector, and countries with incomes above a threshold will invest mostly in the IRS sector. The results help explain the existence of a bimodal world income distribution.^ The third essay empirically tests the explanations for why capital has not flowed from the rich to the poor countries, with a focus on institutions and initial capital. I find that institutional variables are a very important factor, but in contrast to other studies, I show that institutions do not account for the Lucas Paradox. Evidence of increasing returns still exists, even when controlling for institutions and other variables. In addition, I find that the determinants of capital flows may depend on whether a country is rich or poor.^

The Continuing Significance of Exile in American Politics

Dr. Nicol Rae, Dean of the College of Letters and Science and Professor of Political Science at Montana State University, speaks of the U.S. receptiveness towards professors who have exiled from other nations.

Consumption Risk and the Cross-Section of Government Bond Returns

Peer reviewed

The existence and source of stock return predictability : Evidence from dividend, output and consumption ratios

Date of Acceptance: 13/03/2015

Consumption Risk and the Cross-Section of Government Bond Returns

Peer reviewed

The existence and source of stock return predictability : Evidence from dividend, output and consumption ratios

Date of Acceptance: 13/03/2015

Noble gas concentrations of oceanic crust and sediments from the Ninety East Ridge in the Indian Ocean

We have determined the concentrations and isotopic composition of noble gases in old oceanic crust and oceanic sediments and the isotopic composition of noble gases in emanations from subduction volcanoes. Comparison with the noble gas signature of the upper mantle and a simple model allow us to conclude that at least 98% of the noble gases and water in the subducted slab returns back into the atmosphere through subduction volcanism before they can be admixed into the earth's mantle. It seems that the upper mantle is inaccessible to atmospheric noble gases due to an efficient subduction barrier for volatiles.

Mutations of the Ideal Sociability in the Eighteenth Century: From Insel Felsenburg to Goethe

In Insel Felsenburg, the most popular of the German Robinsonades, the link between this novelistic subgenre and utopia becomes obvious, because, unlike what had been the case in Robinson Crusoe, the island functions as a contrast with respect to the starting point: Europe, conceived as unmoral and far away from God. The Felsenburg Island becomes a symbol of a patriarchal-bourgeois ideal society, whose centre is the family. It is conceivable that this idealized sociability form is reelaborated in the last third of the 18th Century, when the utopian story is temporalized and the Robinsonades lose their force. Novels such as Anton Reiser and Wilhem Meisters Lehjahre testify for these transformations.

Stories from the Inside:The Prisons Memory Archive

A close textual reading of the online-available recording of ex-prison officer, John Heatherington, who is filmed as he returns to the site of the Maze and Long Kesh Prison, which was the largest prison oeperating during the Troubles in Northern Ireland. Using the empty site as stimulant for his memory, John recalls the tension, violence and dark humour of the period, while also showing exceptional empathy for all those, including prisoners, who passed through the prison system.The interview is taken from the Prisons Memory Archive (www.prisonsmemoryarchive.com) and, as director of the PMA, I have a particular insight to the recording process and John's special contribution to it.

Is Trading Behavior Stable Across Contexts? Evidence from Style and Multi-Style Investors

In this paper we study priming of identity within the context of inherent vs. contextual financial decision making. We use a sample of individual trading accounts in equity-style funds taken from one fund family to test the hypothesis that trading styles are inherent vs. contextual. Our sample contains investors who invest either in a growth fund, a value fund, or both. We document behavioral differences between growth fund investors and value fund investors. We find that their trades depend on past returns in different ways: growth fund investors tend towards momentum trading and value fund investors tend towards contrarian trading. These differences may be due to inherent clientele characteristics, including beliefs about market prices, specific personality traits and cognitive strategies that cause them to self-select into one or the other style. We use a sample of investors that trade in both types of funds to test this proposition. Consistent with the contextual hypothesis, we find that investors who hold both types of funds trade growth fund shares differently than value fund shares.

Integrating a mobile accessible electronic system into dockside monitoring: How can small-scale fisheries data collection programs transition from paper-based to digital data collection?

Thesis (Master's)--University of Washington, 2016-06

Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

A holistic attempt to predicating excess aftermarket returns of IPOs over a 90-day period post IPO

Double Degree