Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

unpublished

A Monthly Volatility Index for the US Economy

We estimate the monthly volatility of the US economy from 1968 to 2006 by extending the coincidentindex model of Stock and Watson (1991). Our volatility index, which we call VOLINX, hasfour applications. First, it sheds light on the Great Moderation. VOLINX captures the decrease in thevolatility in the mid-80s as well as the different episodes of stress over the sample period. In the 70sand early 80s the stagflation and the two oil crises marked the pace of the volatility whereas 09/11 is themost relevant shock after the moderation. Second, it helps to understand the economic indicators thatcause volatility. While the main determinant of the coincident index is industrial production, VOLINXis mainly affected by employment and income. Third, it adapts the confidence bands of the forecasts.In and out-of-sample evaluations show that the confidence bands may differ up to 50% with respect to amodel with constant variance. Last, the methodology we use permits us to estimate monthly GDP, whichhas conditional volatility that is partly explained by VOLINX. These applications can be used by policymakers for monitoring and surveillance of the stress of the economy.

Little reason to smile as Iannucci lays bare the tension between BBC and Tories.

Studying the impact of Armando Iannucci's McTaggart Lecture on the debate over the future of public service broadcasting in the UK.

Low-Volatility Anomaly in Helsinki Stock Exchange

International research shows that low-volatility stocks have beaten high-volatility stocks in terms of returns for decades on multiple markets. This abbreviation from traditional risk-return framework is known as low-volatility anomaly. This study focuses on explaining the anomaly and finding how strongly it appears in NASDAQ OMX Helsinki stock exchange. Data consists of all listed companies starting from 2001 and ending close to 2015. Methodology follows closely Baker and Haugen (2012) by sorting companies into deciles according to 3-month volatility and then calculating monthly returns for these different volatility groups. Annualized return for the lowest volatility decile is 8.85 %, while highest volatility decile destroys wealth at rate of -19.96 % per annum. Results are parallel also in quintiles that represent larger amount of companies and thus dilute outliers. Observation period captures financial crisis of 2007-2008 and European debt crisis, which embodies as low main index annual return of 1 %, but at the same time proves the success of low-volatility strategy. Low-volatility anomaly is driven by multiple reasons such as leverage constrained trading and managerial incentives which both prompt to invest in risky assets, but behavioral matters also have major weight in maintaining the anomaly.

Pricing derivatives with stochastic volatility

This Ph.D. thesis contains 4 essays in mathematical finance with a focus on pricing Asian option (Chapter 4), pricing futures and futures option (Chapter 5 and Chapter 6) and time dependent volatility in futures option (Chapter 7). In Chapter 4, the applicability of the Albrecher et al.(2005)'s comonotonicity approach was investigated in the context of various benchmark models for equities and com- modities. Instead of classical Levy models as in Albrecher et al.(2005), the focus is the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and the Schwartz (1997) two-factor model. It is shown that the method delivers rather tight upper bounds for the prices of Asian Options in these models and as a by-product delivers super-hedging strategies which can be easily implemented. In Chapter 5, two types of three-factor models were studied to give the value of com- modities futures contracts, which allow volatility to be stochastic. Both these two models have closed-form solutions for futures contracts price. However, it is shown that Model 2 is better than Model 1 theoretically and also performs very well empiri- cally. Moreover, Model 2 can easily be implemented in practice. In comparison to the Schwartz (1997) two-factor model, it is shown that Model 2 has its unique advantages; hence, it is also a good choice to price the value of commodity futures contracts. Fur- thermore, if these two models are used at the same time, a more accurate price for commodity futures contracts can be obtained in most situations. In Chapter 6, the applicability of the asymptotic approach developed in Fouque et al.(2000b) was investigated for pricing commodity futures options in a Schwartz (1997) multi-factor model, featuring both stochastic convenience yield and stochastic volatility. It is shown that the zero-order term in the expansion coincides with the Schwartz (1997) two-factor term, with averaged volatility, and an explicit expression for the first-order correction term is provided. With empirical data from the natural gas futures market, it is also demonstrated that a significantly better calibration can be achieved by using the correction term as compared to the standard Schwartz (1997) two-factor expression, at virtually no extra effort. In Chapter 7, a new pricing formula is derived for futures options in the Schwartz (1997) two-factor model with time dependent spot volatility. The pricing formula can also be used to find the result of the time dependent spot volatility with futures options prices in the market. Furthermore, the limitations of the method that is used to find the time dependent spot volatility will be explained, and it is also shown how to make sure of its accuracy.

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

Bia’s smile: an health education instrument on cleft lip and palate

This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution and reproduction in any medium, provided the original work is properly cited.

Volatility transmission between stock and exchange-rate markets: A connectedness analysis

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yilmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.

Personalização e previsibilidade do sorriso digital smile design

A estética é algo que interfere no bem-estar das pessoas e o sorriso não é excepção, sendo até considerado um factor estético essencial nos dias de hoje, perante uma sociedade cada vez mais exigente relativamente aos padrões de beleza. A área da estética dentária, encontra-se em constantes mudanças devido à evolução da qualidade dos materiais e das técnicas utilizadas, levando a melhorias na reprodução das características naturais dos dentes. O médico dentista tem a responsabilidade de adquirir conhecimento e habilidades profissionais para a elaboração de tratamentos estéticos dentários que satisfaçam as expectativas dos pacientes quanto ao seu sorriso. Actualmente, o médico dentista possui várias opções para planear os tratamentos, entre as quais, o planeamento digital através do Digital Smile Design. O Digital Smile Design (DSD), criado pelo Doutor Christian Coachman, veio responder à procura elevada por tratamentos cada vez mais personalizados por parte dos pacientes. O DSD amplia a visão relativamente aos diagnósticos, melhora a comunicação entre as diferentes especialidades na área da medicina dentária e cria planos previsíveis durante o tratamento dentário. Trata-se de um programma onde são trabalhadas imagens fotográficas do paciente para a elaboração de um tratamento estético que responda as necessidades biológicas, funcionais e emocionais do paciente. Este poderá acompanhar e visualizar todos os passos do tratamento e deste modo, torna-se parte integrante do processo. O paciente expressa a sua opinião e as suas expectativas quanto ao resultado final. Neste trabalho realizou-se uma revisão narrativa da literatura sobre a técnica Digital Smile Design utilizando as palavras-chaves: Digital Smile Design; Visagism; dental planning; meaning of smile; mock-up. Os objetivos deste trabalho foi o de conhecer a técnica Digital Smile Design, os princípios do visagismo e a importância do planeamento nestes contextos. O sucesso de um tratamento está dependente de um correcto planeamento e de uma execução clínica e laboratorial cuidadosa.

Credit spreads and monetary policy in a small open economy: an analysis of the colombian economy

This paper estimates Bejarano and Charry (2014)’s small open economy with financial frictions model for the Colombian economy using Bayesian estimation techniques. Additionally, I compute the welfare gains of implementing an optimal response to credit spreads into an augmented Taylor rule. The main result is that a reaction to credit spreads does not imply significant welfare gains unless the economic disturbances increases its volatility, like the disruption implied by a financial crisis. Otherwise its impact over the macroeconomic variables is null.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.

The EU ban on uncovered sovereign credit default swaps: assessing impacts on liquidity, volatility and price discovery

This article addresses the effects of the prohibition against naked CDS buying implemented by the European Union in November 2012. Three aspects of market quality are analyzed: liquidity, volatility, and price informativeness. Overall, our results suggest that the ban produced negative effects on liquidity and price informativeness. First, we find that in territories within the scope of the EU regulation, the bid–ask spreads on sovereign CDS contracts rose after the ban, but fell for countries outside its bounds. Open interest declined for both groups of CDS reference entities in our sample, but significantly more in the constraint group. Price delay increased more prominently for countries affected by the ban, whereas price precision decreased for these countries while increasing for CDSs written on other sovereign reference entities. Most notably, our findings indicate that hese negative effects were more pronounced amid reference entities exhibiting lower credit risk. With respect to volatility, the evidence suggests that the ban was successful in stabilizing the CDS market in that volatility decreased, particularly for contracts written on riskier CDS entities.

Aplicações de cromatografia líquida de alta eficiência para o estudo de poluentes orgânicos emergentes

Emerging organic pollutants (EOP) include many environmental contaminants based on commercial products such as pharmaceuticals, personal care products, detergents, gasoline, polymers, etc. EOP may be candidates for future regulation as they offer potential risk to environmental and human health due to their continual entrance into the environment and to the fact that even the most modern wastewater treatment plants are not able to totally transform / remove these compounds. High performance liquid chromatography is recommended to separate emerging organic pollutants with characteristics of high polarity and low volatility, especially pharmaceuticals, from environmental matrices.

Atividade fisica no padrão epidemiologico de transição : investigação de lesões sensitivo-motoras na hanseniase a partir de estudo transversal hibrido no Instituto Lauro de Souza Lima, Bauru

Universidade Estadual de Campinas . Faculdade de Educação Física