Volatility forecasting for risk management

Recent research has suggested that forecast evaluation on the basis of standard statistical loss functions could prefer models which are sub-optimal when used in a practical setting. This paper explores a number of statistical models for predicting the daily volatility of several key UK financial time series. The out-of-sample forecasting performance of various linear and GARCH-type models of volatility are compared with forecasts derived from a multivariate approach. The forecasts are evaluated using traditional metrics, such as mean squared error, and also by how adequately they perform in a modern risk management setting. We find that the relative accuracies of the various methods are highly sensitive to the measure used to evaluate them. Such results have implications for any econometric time series forecasts which are subsequently employed in financial decisionmaking.

When's your birthday? The self-reference effect in retrieval of dates

Material encoded with reference to the self is better remembered. One interpretation of this effect is that the self operates to organise retrieval of memories. We were motivated to find out whether this organisational principle extended to everyday information and for material not explicitly related to the self. Participants generated friends' birthdays from memory and then gave their own birthday. We found that participants were particularly likely to recall birthdays from on or around the date of their own birthday. Thus, memory for birthdays clusters around self-relevant information, even when there is no specific attempt to recall self-related material. Birthdays clustered somewhat around the time of testing, important dates in the calendar, and for a close other, but not to the extent of the participants' birthdays. We suggest this is a demonstration of the organisational structure of the self in memory. Copyright (C) 2010 John Wiley & Sons, Ltd.

Crystallization and stereocomplexation behavior of poly(D- and L-lactide)-b-poly(N,N-dimethylamino-2-ethyl methacrylate) block copolymers

The thermal properties, crystallization, and morphology of amphiphilic poly(D-lactide)-b-poly(N,N-dimethylamino- 2-ethyl methacrylate) (PDLA-b-PDMAEMA) and poly (L-lactide)-b-poly(N,N-dimethylamino-2-ethyl methacrylate) (PLLA-b-PDMAEMA) copolymers were studied and compared to those of the corresponding poly(lactide) homopolymers. Additionally, stereocomplexation of these copolymers was studied. The crystallization kinetics of the PLA blocks was retarded by the presence of the PDMAEMA block. The studied copolymers were found to be miscible in the melt and the glassy state. The Avrami theory was able to predict the entire crystallization range of the PLA isothermal overall crystallization. The melting points of PLDA/PLLA and PLA/PLA-b-PDMAEMA stereocomplexes were higher than those formed by copolymer mixtures. This indicates that the PDMAEMA block is influencing the stability of the stereocomplex structures. For the low molecular weight samples, the stereocomplexes particles exhibited a conventional disk-shape structure and, for high molecular weight samples, the particles displayed unusual star-like shape morphology.