Forecasting VaR using analytic higher moments for GARCH processes

It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have typically required time-consuming simulations of the aggregated returns distributions. This paper shows that fast, quasi-analytic GARCH VaR calculations can be based on new formulae for the first four moments of aggregated GARCH returns. Our extensive empirical study compares the Cornish–Fisher expansion with the Johnson SU distribution for fitting distributions to analytic moments of normal and Student t, symmetric and asymmetric (GJR) GARCH processes to returns data on different financial assets, for the purpose of deriving accurate GARCH VaR forecasts over multiple horizons and significance levels.

(PDF, 406 KB) On L3 acquisition and phonological permeability: a new test case for debates on the mental representation of non-native phonological systems

The goal of this article is to make an epistemological and theoretical contribution to the nascent field of third language (L3) acquisition and show how examining L3 development can offer a unique view into longstanding debates within L2 acquisition theory. We offer the Phonological Permeability Hypothesis (PPH), which maintains that examining the development of an L3/Ln phonological system and its effects on a previously acquired L2 phonological system can inform contemporary debates regarding the mental constitution of postcritical period adult phonological acquisition. We discuss the predictions and functional significance of the PPH for adult SLA and multilingualism studies, detailing a methodology that examines the effects of acquiring Brazilian Portuguese on the Spanish phonological systems learned before and after the so-called critical period (i.e., comparing simultaneous versus successive adult English-Spanish bilinguals learning Brazilian Portuguese as an L3).

Cognitive representation of colour in bilinguals: the case of Greek blues

A number of recent studies demonstrate that bilinguals with languages that differ in grammatical and lexical categories may shift their cognitive representation of those categories towards that of monolingual speakers of their second language. The current paper extended that investigation to the domain of colour in Greek–English bilinguals with different levels of bilingualism, and English monolinguals. Greek differentiates the blue region of colour space into a darker shade called ble and a lighter shade called ghalazio. Results showed a semantic shift of category prototypes with level of bilingualism and acculturation, while the way bilinguals judged the perceptual similarity between within- and cross-category stimulus pairs depended strongly on the availability of the relevant colour terms in semantic memory, and the amount of time spent in the L2-speaking country. These results suggest that cognition is tightly linked to semantic memory for specific linguistic categories, and to cultural immersion in the L2-speaking country.

The competition–performance relation: a meta-analytic review and test of the opposing processes model of competition and performance

What is the relation between competition and performance? The present research addresses this important multidisciplinary question by conducting a meta-analysis of existing empirical work and by proposing a new conceptual model—the opposing processes model of competition and performance. This model was tested by conducting an additional meta-analysis and 3 new empirical studies. The first meta-analysis revealed that there is no noteworthy relation between competition and performance. The second meta-analysis showed, in accord with the opposing processes model, that the absence of a direct effect is the result of inconsistent mediation via achievement goals: Competition prompts performance-approach goals which, in turn, facilitate performance; and competition also prompts performance-avoidance goals which, in turn, undermine performance. These same direct and mediational findings were also observed in the 3 new empirical studies (using 3 different conceptualizations of competition and attending to numerous control variables). Our findings provide both interpretational clarity regarding past research and conceptual guidance regarding future research on the competition–performance relation.

On the F-word: a corpus-based analysis of the media representation of Feminism in British and German press discourse,1990-2009

Research in social psychology has shown that public attitudes towards feminism are mostly based on stereotypical views linking feminism with leftist politics and lesbian orientation. It is claimed that such attitudes are due to the negative and sexualised media construction of feminism. Studies concerned with the media representation of feminism seem to confirm this tendency. While most of this research provides significant insights into the representation of feminism, the findings are often based on a small sample of texts. Also, most of the research was conducted in an Anglo-American setting. This study attempts to address some of the shortcomings of previous work by examining the discourse of feminism in a large corpus of German and British newspaper data. It does so by employing the tools of Corpus Linguistics. By investigating the collocation profiles of the search term feminism, we provide evidence of salient discourse patterns surrounding feminism in two different cultural contexts.

Estimating the direct aerosol radiative perturbation: impact of ocean surface representation and aerosol non-sphericity

Atmospheric aerosols are now actively studied, in particular because of their radiative and climate impacts. Estimations of the direct aerosol radiative perturbation, caused by extinction of incident solar radiation, usually rely on radiative transfer codes and involve simplifying hypotheses. This paper addresses two approximations which are widely used for the sake of simplicity and limiting the computational cost of the calculations. Firstly, it is shown that using a Lambertian albedo instead of the more rigorous bidirectional reflectance distribution function (BRDF) to model the ocean surface radiative properties leads to large relative errors in the instantaneous aerosol radiative perturbation. When averaging over the day, these errors cancel out to acceptable levels of less than 3% (except in the northern hemisphere winter). The other scope of this study is to address aerosol non-sphericity effects. Comparing an experimental phase function with an equivalent Mie-calculated phase function, we found acceptable relative errors if the aerosol radiative perturbation calculated for a given optical thickness is daily averaged. However, retrieval of the optical thickness of non-spherical aerosols assuming spherical particles can lead to significant errors. This is due to significant differences between the spherical and non-spherical phase functions. Discrepancies in aerosol radiative perturbation between the spherical and non-spherical cases are sometimes reduced and sometimes enhanced if the aerosol optical thickness for the spherical case is adjusted to fit the simulated radiance of the non-spherical case.

The joint influence of personal achievement goals and classroom goal structures on achievement-relevant outcomes

The authors provide an analytic framework for studying the joint influence of personal achievement goals and classroom goal structures on achievement-relevant outcomes. This framework encompasses 3 models (the direct effect model, indirect effect model, and interaction effect model), each of which addresses a different aspect of the joint influence of the 2 goal levels. These 3 models were examined together with a sample of 1,578 Japanese junior high and high school students from 47 classrooms. Results provided support for each of the 3 models: Classroom goal structures were not only direct, but also indirect predictors of intrinsic motivation and academic self-concept, and some cross-level interactions between personal achievement goals and classroom goal structures were observed (indicating both goal match and goal mismatch effects). A call is made for more research that takes into consideration achievement goals at both personal and structural levels of representation. (PsycINFO Database Record (c) 2012 APA, all rights reserved)(journal abstract)

Employees' external representation of their workplace: key antecedents

Drawing on attitude theory, this study investigates the drivers of employees' expression of favorable opinions about their workplace. Despite its theoretical and managerial importance, the marketing literature largely ignores the topic. This study advances prior research by developing, and empirically testing, a conceptual framework of the relationship between workgroup support and favorable external representation of the workplace, mediated by emotional responses to this support. The present research investigates four new relationships: between workgroup support and emotional exhaustion, workgroup support and organizational commitment, workgroup support and job satisfaction, and emotional exhaustion and external representation of the workplace. Based on a sample of over 700 frontline service employees, this study finds that workgroup support affects favorable external representation of the workplace through various emotional responses (i.e., emotional exhaustion, organizational commitment and job satisfaction). In addition, the results identify employees' organizational commitment as the most important determinant of favorable external representation of the workplace, followed by job satisfaction and reduced emotional exhaustion. These results suggest that companies should develop practices that encourage workgroup support and organizational commitment to achieve favorable external representation of the workplace.

The origins and impact of proportional representation

This article in the peer-reviewed Oxford Bibliographies series, gives an introduction to the literatures on the varieties, origins, and effects of proportional electoral systems.

Representation of model error in a convective-scale ensemble prediction system

In this paper ensembles of forecasts (of up to six hours) are studied from a convection-permitting model with a representation of model error due to unresolved processes. The ensemble prediction system (EPS) used is an experimental convection-permitting version of the UK Met Office’s 24- member Global and Regional Ensemble Prediction System (MOGREPS). The method of representing model error variability, which perturbs parameters within the model’s parameterisation schemes, has been modified and we investigate the impact of applying this scheme in different ways. These are: a control ensemble where all ensemble members have the same parameter values; an ensemble where the parameters are different between members, but fixed in time; and ensembles where the parameters are updated randomly every 30 or 60 min. The choice of parameters and their ranges of variability have been determined from expert opinion and parameter sensitivity tests. A case of frontal rain over the southern UK has been chosen, which has a multi-banded rainfall structure. The consequences of including model error variability in the case studied are mixed and are summarised as follows. The multiple banding, evident in the radar, is not captured for any single member. However, the single band is positioned in some members where a secondary band is present in the radar. This is found for all ensembles studied. Adding model error variability with fixed parameters in time does increase the ensemble spread for near-surface variables like wind and temperature, but can actually decrease the spread of the rainfall. Perturbing the parameters periodically throughout the forecast does not further increase the spread and exhibits “jumpiness” in the spread at times when the parameters are perturbed. Adding model error variability gives an improvement in forecast skill after the first 2–3 h of the forecast for near-surface temperature and relative humidity. For precipitation skill scores, adding model error variability has the effect of improving the skill in the first 1–2 h of the forecast, but then of reducing the skill after that. Complementary experiments were performed where the only difference between members was the set of parameter values (i.e. no initial condition variability). The resulting spread was found to be significantly less than the spread from initial condition variability alone.