Modeling Energy Futures Returns With Markov Regime Switching Model

Financial time series have a tendency of abruptly changing their behavior and maintain this behavior for several consecutive periods, and commodity futures returns are not an exception. This quality proposes that nonlinear models, as opposed to linear models, can more accurately describe returns and volatility. Markov regime switching models are able to match this behavior and have become a popular way to model financial time series. This study uses Markov regime switching model to describe the behavior of energy futures returns on a commodity level, because studies show that commodity futures are a heterogeneous asset class. The purpose of this thesis is twofold. First, determine how many regimes characterize individual energy commodities’ returns in different return frequencies. Second, study the characteristics of these regimes. We extent the previous studies on the subject in two ways: We allow for the possibility that the number of regimes may exceed two, as well as conduct the research on individual commodities rather than on commodity indices or subgroups of these indices. We use daily, weekly and monthly time series of Brent crude oil, WTI crude oil, natural gas, heating oil and gasoil futures returns over 1994–2014, where available, to carry out the study. We apply the likelihood ratio test to determine the sufficient number of regimes for each commodity and data frequency. Then the time series are modeled with Markov regime switching model to obtain the return distribution characteristics of each regime, as well as the transition probabilities of moving between regimes. The results for the number of regimes suggest that daily energy futures return series consist of three to six regimes, whereas weekly and monthly returns for all energy commodities display only two regimes. When the number of regimes exceeds two, there is a tendency for the time series of energy commodities to form groups of regimes. These groups are usually quite persistent as a whole because probability of a regime switch inside the group is high. However, individual regimes in these groups are not persistent and the process oscillates between these regimes frequently. Regimes that are not part of any group are generally persistent, but show low ergodic probability, i.e. rarely prevail in the market. This study also suggests that energy futures return series characterized with two regimes do not necessarily display persistent bull and bear regimes. In fact, for the majority of time series, bearish regime is considerably less persistent. Rahoituksen aikasarjoilla on taipumus arvaamattomasti muuttaa käyttäytymistään ja jatkaa tätä uutta käyttäytymistä useiden periodien ajan, eivätkä hyödykefutuurien tuotot tee tähän poikkeusta. Tämän ominaisuuden johdosta lineaaristen mallien sijasta epälineaariset mallit pystyvät tarkemmin kuvailemaan esimerkiksi tuottojen jakauman parametreja. Markov regiiminvaihtomallit pystyvät vangitsemaan tämän ominaisuuden ja siksi niistä on tullut suosittuja rahoituksen aikasarjojen mallintamisessa. Tämä tutkimus käyttää Markov regiiminvaihtomallia kuvaamaan yksittäisten energiafutuurien tuottojen käyttäytymistä, sillä tutkimukset osoittavat hyödykefutuurien olevan hyvin heterogeeninen omaisuusluokka. Tutkimuksen tarkoitus on selvittää, kuinka monta regiimiä tarvitaan kuvaamaan energiafutuurien tuottoja eri tuottofrekvensseillä ja mitkä ovat näiden regiimien ominaisuudet. Aiempaa tutkimusta aiheesta laajennetaan määrittämällä regiimien lukumäärä tilastotieteellisen testauksen menetelmin sekä tutkimalla energiafutuureja yksittäin; ei indeksi- tai alaindeksitasolla. Tutkimuksessa käytetään päivä-, viikko- ja kuukausiaikasarjoja Brent-raakaöljyn, WTI-raakaöljyn, maakaasun, lämmitysöljyn ja polttoöljyn tuotoista aikaväliltä 1994–2014, siltä osin kuin aineistoa on saatavilla. Likelihood ratio -testin avulla estimoidaan kaikille aikasarjoille regiimien määrä,jonka jälkeen Markov regiiminvaihtomallia hyödyntäen määritetään yksittäisten regiimientuottojakaumien ominaisuudet sekä regiimien välinen transitiomatriisi. Tulokset regiimien lukumäärän osalta osoittavat, että energiafutuurien päiväkohtaisten tuottojen aikasarjoissa regiimien lukumäärä vaihtelee kolmen ja kuuden välillä. Viikko- ja kuukausituottojen kohdalla kaikkien energiafutuurien prosesseissa regiimien lukumäärä on kaksi. Kun regiimejä on enemmän kuin kaksi, on prosessilla taipumus muodostaa regiimeistä koostuvia ryhmiä. Prosessi pysyy ryhmän sisällä yleensä pitkään, koska todennäköisyys siirtyä ryhmään kuuluvien regiimien välillä on suuri. Yksittäiset regiimit ryhmän sisällä eivät kuitenkaan ole kovin pysyviä. Näin ollen prosessi vaihtelee ryhmän sisäisten regiimien välillä tiuhaan. Regiimit, jotka eivät kuulu ryhmään, ovat yleensä pysyviä, mutta prosessi ajautuu niihin vain harvoin, sillä todennäköisyys siirtyä muista regiimeistä niihin on pieni. Tutkimuksen tulokset osoittavat myös, että prosesseissa, joita ohjaa kaksi regiimiä, nämä regiimit eivät välttämättä ole pysyvät bull- ja bear-markkinatilanteet. Tulokset osoittavat sen sijaan, että bear-markkinatilanne on energiafutuureissa selvästi vähemmän pysyvä.

The structuralist tradition in economics: methodological and macroeconomics aspects

This paper examines the structuralist tradition in economics, emphasizing the role that structures play in the economic growth of developing countries. Since the subject at hand is evidently too large to cover in a single article, an emphasis has been brought to bear upon the macroeconomic elements of such a tradition, while also exploring its methodological aspects. It begins by analysing some general aspects of structuralism in economics (its evolution and origins) associated with ECLAC thought, in this instance focusing on the dynamics of the center-periphery relationship. Thereafter, the macroeconomic structuralism derived from the works of Taylor (1983, 1991) is presented, followed by a presentation of neo-structuralism. Centred on the concept of systemic competitiveness, this approach defines a strategy to achieve the high road of globalization, understood here as an inevitable process in spite of its engagement being dependent on the policies adopted. The conclusions show the genuine contributions of this tradition to economic theory.

Derivative hedging strategies for bitumen price risk

The objective of the study is to extend the existing hedging literature of the commodity price risks by investigating what kind of hedging strategies can be used in companies using bitumen as raw material in their production. Five different alternative swap hedging strategies in bitumen markets are empirically tested. Strategies tested are full hedge strategy, simple, conservative, and aggressive term structure strategies, and implied volatility strategy. The effectiveness of the alternative strategies is measured by excess returns compared to no hedge strategy. In addition, the downside risk of each strategy is measured with target absolute semi-deviation. Results indicate that any of the tested strategies does not outperform the no hedge strategy in terms of excess returns in all maturities. The best-performing aggressive term structure strategy succeeds to create positive excess returns only in short maturities. However, risk seems to increase hand-in-hand with the excess returns so that the best-performing strategies get the highest risk metrics as well. This implicates that the company willing to gain from favorable price movements must be ready to bear a greater risk. Thus, no superior hedging strategy over the others is found.

Production under glass : working conditions and class-consciousness of the Niagara greenhouse workers

This study applies a Marxist theoretical paradigm to examine the working conditions of greenhouse workers in the Niagara Region, and the range of factors that bear upon the formation of their class-consciousness. The Niagara greenhouse industry represents one of the most developed horticultural regions in Canada and plays a prominent role in the local economy. The industry generates substantial revenues and employs a significant number of people, yet the greenhouse workers are paid one of the lowest rates in the region. Being classified as agricultural workers, the greenhouse employees are exempted from many provisions of federal and provincial labour regulations. Under the current provincial statutes, agricultural workers in Ontario are denied the right to organize and bargain collectively. Except for a few technical and managerial positions, the greenhouse industry employs mostly low-skilled workers who are subjected to poor working conditions that stem from the employer's attempts to adapt to larger structural imperatives of the capitalist economy. While subjected to these poor working conditions, the greenhouse workers are also affected by objectively alienated social relations and by ruling class ideological domination and hegemony. These two sets of factors arise from the inherent conflict of interests between wage-labour and capital but also militate against the development of class-consciousness. Semi-structured interviews were conducted with 12 greenhouse workers to examine the role played by their material circumstances in the formulation of their social and political views as well as the extent to which they are aware of their class location and class interests. The hegemonic notions of 'common sense' acted as impediments to formation of classconsciousness. The greenhouse workers have virtually no opportunities to access alternative perspectives that would address the issues associated with exploitation in production and offer solutions leading to 'social justice'. Fonnidable challenges confront any organized political body seeking to improve the conditions of the working people.

Childlessness in a child-centered environment : the experiences of voluntarily childless female teachers /

In the literature on voluntary childlessness there is a lack of research on the types of occupations held by women who choose not to mother and how their fertility choice influences their occupational experiences. At the same time, the experience ofwomen with regard to the childfree choice has not been adequately addressed in contemporary feminist literature. In the field of education, much has been written about the association between mothering and teaching. Thus, childfree teachers become particularly interesting since they made seemingly paradoxical choices in that they chose not to bear and rear children yet they chose an occupation in which they are surrounded by and responsible for the daily care of many children. To gain an understanding of the work-related experiences of childfree women, in-depth interviews were conducted with 7 voluntarily childless female elementary school teachers from Southern Ontario. In addition, a focus group interview in which 3 of the 7 childfree teachers participated was conducted. Findings revealed that these women's "choice" to be childless was the result of complex circumstances and multiple motivations. Also, despite their decision to forgo the traditional female role of mother, these women held surprisingly conventional beliefs with regard to family and gender roles. In addition, these childfree women at times identified themselves as mother-like when teaching, yet at other times distanced themselves as teachers from mothers. Finally, results showed that these women experienced both direct and indirect pronatalist pressures outside as well as inside the workplace as a result of their childfree status.

Educational issues perceived by expectant lesbian couples /

Despite the increasing public profile of lesbian childbearing, public health resources for expectant women often bear heterosexist assumptions and create barriers to accessing information relevant to lesbian mothering experiences. This descriptive, exploratory study examined one lesbian couple's perceived educational needs for effective support, barriers to access, strategies for locating care, and the impact of childbearing on their lives, as well as their reflections on inviting ways to offer supportive practices in a public health context. A case study approach used feminist ethnographic methodology and purposeful convenience sampling. A prenatal and a postnatal open-ended interview were completed with 1 white, middle-class, able, lesbian childbearing couple, each ofwhom has birthed as coparent and biological mother in this couple relationship. Despite this couple's immense situated privilege, they struggled to locate the support they sought for childbearing in a way that offered optimal emotional and physical care from the preconceptual to postpartum stages and which maintained confidentiality or anonymity as desired. They created meaningful care through personal networks. The findings were framed using invitational and feminist theories: how people, places, programs, processes, policies, and politics contributed to educational support. A three part conceptual framework emerged which identified components of access to support: perceived safety of resources, disclosure status, situated privilege, and public or private availability of information. The consequences of lack of public access to comprehensive childbearing care for lesbian women and their communities are described. Educational possibilities addressed systemic heterosexism through the development of sensitive educators, meaningful curriculum, program planning, explicit policies, community partnerships, and political leadership with respect to both institutional and research venues.

The effect of feeding regime on larval black fly (Diptera: simuliidae) primary head fan ray number

Identification of larval simuliids has always been difficult due to the morphological similarity many species bear to one another. For this reason all characters available have been drawn upon to aid in species identification, including head fan ray number. Even in light of an increasing body of anecdotal reports that head fan ray number is not fixed, it has continued to be used to aid species identification. In the current experiment simuliid larvae were reared under controlled laboratory conditions to last instar in one of three feeding regimes. Out of nine trials, the results of six showed a significant inverse relationship between feeding regime and head fan ray number. In addition to the laboratory experiments, larvae were also collected from the field over the course of the spring and summer, 1994. From these samples significant interspecific and intraspecific variations in head fan ray number were found both spatially and temporally within Algonquin Park. From these data it is concluded that head fan ray number for the species analysed is a developmentally plastic character, which varies in response to food availability. Furthermore, given the extreme variations in head fan ray number found in some species, I recommend that head fan ray number not be used as an aid to identification unless it can be shown to be a fixed character for the species in question.

Oath of Allegiance to King George III

Transcript (original spelling and grammar retained): We the Commissioned Officers belonging to the Second Regiment of Lincoln Militia - Do sincerely promise and swear that we will be faithful and bear true allegiance to his Majesty King George, and heirs will defend to the utmost of our power against all traitorous conspiracies and attempts whatsoever which shall be made against his Person, Crown or Dignity; and we will do our utmost endeavours to disclose and make them known to his Majesty, His Heirs and successors, all treasons and traitorous conspiracies and attempts, which we shall know to be against Him or them. So help us God. Thomas Clark - Lt. Col. David Secord - Major John Crysler - Capt James Macklin - Capt John [Ross] - [Captain] [Abraham] Bowman - Lieut Gilbert McMicking - Quartmaster John [Misiner] - Ensign Robert Campbell - Capt John [Couke] - Ensign Nicholas Smith - Lieut I certify that the officers who have here [subscribed] the oath took it before me at Chippawa 4 Sept 1812 Thomas Dickson JP

Exploring Chinese-Canadians' perspectives on health : a quantitative study

Chinese have unique perspectives on health and illness, which is mostly umecognized by western medicine. Immigration may contribute to problems with health consultations, inconvenience, and dissatisfaction. As the largest visible minority in Canada, Chinese- Canadians' perspectives on health should be studied in order to help Chinese immigrants adapt to a new health-care and health-promotion system, and keep them healthy. A quantitative questionnaire was designed based on the findings from a pilot study and previous literature. A hundred participants were recruited from Toronto, Vancouver, Halifax, and St. Catharines. Descriptive analysis and correlation analysis were used to investigate the structure of the variables. Findings indicated that most oftheir attitudes and corresponding practices to the different health aspects were positive. The relation between dietary practices and attitude was only found in small cities. Their attitudes were impacted by their length of stay in Canada. Their attitudes to regularly timed meals and psychological consultation were related to their acculturation level, as was the regularity of their practice of dental flossing. Their self-evaluated general health levels were also found to be affected by their medical history, education level, feeling to talk about • sexual health, and smoking, particularly in the male subjects of the study. In conclusion, they realized that each health aspect w~s important to their health. However, their practices did not bear a strong relation to their beliefs. Traditional thoughts about health reseeded with time. Acculturation level did not affect most of their attitudes or practices. Under pressure, the priority of the daily health practices decreased. Older persons, those with low incomes, lower education levels or families under stress need to pay more attention to their health level. In-depth future research was recommended.

“You Know What I Mean?”- Language and Cultural Retention in Luso-Canadian Mothers in the Greater Toronto Area

The Portuguese community is one of the largest diasporic groups in the Greater Toronto Area and the choice of retention and transmission of language and culture to Luso-Canadians is crucial to the development and sustainability of the community. The overall objective of this study is to learn about the factors that influence Luso-Canadian mothers’ inclination to teach Portuguese language and cultural retention to their children. To explore this topic I employed a qualitative research design that included in-depth interviews conducted in 2012 with six Luso-Canadian mothers. Three central arguments emerged from the findings. First, Luso-Canadian mothers interviewed posses a pronounced desire for their children to succeed academically, and to provide opportunities that their children that they did not have. Second, five of the mothers attempt to achieve this mothering objective partly by disconnecting from their Portuguese roots, and by disassociating their children from the Portuguese language and culture. Third, the disconnection they experience and enact is influenced by the divisions evident in the Portuguese community in the GTA that divides regions and hierarchically ranks dialects, and groups. I conclude that the children in these households inevitably bear the prospects of maintaining a vibrant Portuguese community in the GTA and I propose that actions by the community in ranking dialects influence mothers’ decisions about transmitting language and culture to their children.

A Letter from California - 4 November 1849

"A Letter from California" written by Cyrus Sumner in Sacramento City to his brother William in Grimsby, dated November 4, 1849. The letter was published in The Hamilton Spectator.

Christmas Card

A small Christmas card with illustrated red birds sitting on a branch, reads: "Christmas Cheer, This little card I send today, To bear my greetings true, And tell the lots of love I hold, Close in my heart for you." signed Mother R. It appears to be written in the handwriting of Eleanore Celeste.

Indignation Meeting

A handout that reads: "Indignation Meeting. A Meeting will be held in the Orange Hall tomorrow evening Tuesday, July 17th at 8 o'clock, p.m. To protest against the late mean and despicable action taken by the Police in subpoenaing respectable and worthy Citizens to give evidence as whiskey-sneaks, thus interfering with the liberty of free-born subjects, and as likely to intimidate good citizens from entering an hotel. Everyone should attend and protest against such a resurrected tombstone ironheeled law, to bear which is to suffer worse than the slaves in Siberia. Arouse ye all!" Moosomin, Saskatchewan, 16 July 1888.

Letter to Joseph A. Woodruff from Mr. Anderson

Letter to Joseph A. Woodruff from Mr. Anderson. He asks if Mr. Woodruff was able to bear some pressure on the judge to settle the old claim between Milroy and Price. This is accompanied by an envelope, Aug. 24, 1865.

Drivers of Local Firms’ Focus on Internal R&D in Emerging Economies and Their International Performance

Grounded on the resource-based view of the firm, the study of this thesis investigates the effect of four internal and external factors – engineer intensity, location, affiliation with the government, government funding – on Chinese firms’ decision to either invest in internal R&D activities or external R&D and the effect of this decision on the firms’ international market success. In addition, the moderating role of the presence of foreign firms in China is examined. To understand these relationships, the thesis’ theorization focuses on the issue of how firms can combine optimally the two options – “internal R&D” and “external R&D”. In this regard I juxtapose internal R&D and external R&D and compare their advantages and disadvantages. To test my model, I apply panel data from the Annual Industrial Survey Database provided by the Chinese National Bureau of Statistics. My results show that three of the four investigated factors affect Chinese firms’ resource allocation decisions; and effective resource allocation decisions lead effectively to international market success, strengthened by the presence of foreign firms in China. Moreover the findings bear several theoretical and managerial contributions. First I propose the last dimension of the “VRIO framework” – “organization” – as an endogenous component of the VRIO framework, as my study investigated how firms can effectively combine resources to generate a competitive advantage in terms of international market success. Previous academic literature so far focused on examining whether internal and external R&D are complements or substitutes. My study fills a gap in the literature by investigating the determinants of the efficient combination of the two strategies and the outcome of the combination. One of the managerial implications is that Chinese firms can learn from foreign companies that are present in China.