Volatility transmission between stock and bond markets

A two-factor no-arbitrage model is used to provide a theoretical link between stock and bond market volatility. While this model suggests that short-term interest rate volatility may, at least in part, drive both stock and bond market volatility, the empirical evidence suggests that past bond market volatility affects both markets and feeds back into short-term yield volatility. The empirical modelling goes on to examine the (time-varying) correlation structure between volatility in the stock and bond markets and finds that the sign of this correlation has reversed over the last 20 years. This has important implications far portfolio selection in financial markets. © 2005 Elsevier B.V. All rights reserved.

Hand in hand:privatising five star hotels in Egypt through the stock market will enhance the latter's role as well as set an example of the benefits that could be gained from privatisation

This thesis examines the possibility of privatising public owned five star hotels in Egypt through its stock market in order to give a boost to the Egyptian privatisation programme and to help activate its stock market. To explore these aspects, two main technical exercises were executed. First the writer constructed, for the first time in Egypt, a daily price index for Cairo Stock Exchange and an index for the tourism sector, in order to analyze the efficiency of the capital market. This technical analysis showed that Cairo stock exchange is inefficient, stagnant and undergoes minimal fluctuations, especially when compared to other developed and emerging markets. Second, given the importance and complexity of the valuation of SOEs prior to their privatisation, a sample of three five star hotels that could be prime candidates for privatisation via the stock market in Egypt were selected and a detailed financial analysis for the three hotels was concluded. The result was a valuation range for the three hotels using various valuation methods. Nevertheless it was found out that the final value of hotels will be determined by the market itself. Depite the inefficiency of Cairo Stock Exchange, the thesis did not rule out privatisation through the stock market. On the contrary it cited several examples of developing countries that were able to successfully privatise some of their SOEs via their rudimentary capital markets. Finally, the thesis recommended that five star hotels could be pefect candidates for privatisation via the stock market in Egypt. This is because five star hotels are profitable, privately managed, non strategic and not highly capital intensive businesses. In addition, they do not suffer from overstaffing and the industry in which they operate i.e. tourism sector, has high growth prospects and is of an international nature. Therefore it is anticipated that privatisation of five star hotels can attract a lot of investors because of the relatively high returns. This in turn will help activate and popularize the capital market in Egypt. At the same time the benefits of privatisation would be more visible which will give more momentum to the privatisation programme and make it more politically acceptable.

Live 3D shape reconstruction, recognition and registration

We present a video-based system which interactively captures the geometry of a 3D object in the form of a point cloud, then recognizes and registers known objects in this point cloud in a matter of seconds (fig. 1). In order to achieve interactive speed, we exploit both efficient inference algorithms and parallel computation, often on a GPU. The system can be broken down into two distinct phases: geometry capture, and object inference. We now discuss these in further detail. © 2011 IEEE.

Price synchronicity:the closing call auction and the London Stock Market

In this paper, we consider the impact of the introduction of a closing call auction on market quality of the London Stock Exchange. We employ the market model, RDD and MEC metrics of market quality. These signify substantial improvements to market quality at both the close and open for migrating stocks.We note that these improvements are larger at the open than the close. An important contribution of our paper is that we show that changes to market quality are stronger in those securities that have the lowest liquidity in the pre-call period. In contrast, market quality changes following the introduction of a closing call auction are approximately neutral for high-liquidity securities. We conclude that the implementation of a closing call auction, for high-liquidity securities may not enhance market quality.

Unifractality and multifractality in the Italian stock market

Tests for random walk behaviour in the Italian stock market are presented, based on an investigation of the fractal properties of the log return series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Critical values for the test statistics are generated using Monte Carlo simulations of random Gaussian innovations. Evidence is reported of multifractality, and the departure from random walk behaviour is statistically significant on standard criteria. The observed pattern is attributed primarily to fat tails in the return probability distribution, associated with volatility clustering in returns measured over various time scales. © 2009 Elsevier Inc. All rights reserved.

International session at the BCLA conference

Full text: It seems a long time ago now since we were at the BCLA conference. The excellent FIFA World Cup in Brazil kept us occupied over the summer as well as Formula 1, Wimbledon, Tour de France, Commonwealth Games and of course exam paper marking! The BCLA conference this year was held in Birmingham at the International Convention Centre which again proved to be a great venue. The number of attendees overall was up on previous years, and at a record high of 1500 people. Amongst the highlights at this year's annual conference was the live surgery link where Professor Sunil Shah demonstrated the differences in technique between traditional phacoemulsification cataract surgery and femtosecond assisted phacoemulsification cataract surgery. Dr. Raquel Gil Cazorla, a research optometrist at Aston University, assisted in the procedure including calibrating the femtosecond laser. Another highlight for me was the session that I chaired, which was the international session organised by IACLE (International Association of CL Educators). There was a talk by Mirjam van Tilborg about dry eye prevalence in the Netherlands and how it was managed by medical general practitioners (GPs) or optometrists. It was interesting to know that there are only 2 schools of optometry there and currently under 1000 registered optometrists there. It also seems that GPs were more likely to blame CL as the cause for dry eye whereas optometrists who had a fuller range of tests were better at solving the issue. The next part of the session included the presentation of 5 selected posters from around the world. The posters were also displayed in the main poster area but were selected to be presented here as they had international relevance. The posters were: 1. Motivators and Barriers for Contact Lens Recommendation and Wear by Nilesh Thite (India) 2. Contact lens hygiene among Saudi wearers by Dr. Ali Masmaly (Saudi) 3. Trends of contact lens prescribing and patterns of contact lens practice in Jordan by Dr. Mera Haddad (Jordan) 4. Contact Lens Behaviour in Greece by Dr. Dimitra Makrynioti (Greece) 5. How practitioners inform ametropes about the benefits of contact lenses and overcome the potential barriers: an Italian survey, by Dr. Fabrizio Zeri (Italy) It was interesting to learn about CL practice in different parts, for example the CL wearing population ration in Saudi Arabia is around 1:2 Male:Female (similar to other parts of the world) and although the sale of CL is restricted to registered practitioners there are many unregistered outlets, like clothing stores, that flout the rules. In Jordan some older practitioners will still advise patients to use tap water or even saliva! But thankfully the newer generation of practitioners have been educated not to advise this. In Greece one of the concerns was that some practitioners may advise patients to use disposable lenses for longer than they should and again it seems to be the practitioners with inadequate education that would do this. In India it was found that cost was one barrier to using contact lenses but also some practitioners felt that they shouldn’t offer CLs due to cost too. In Italy sensitive eyes and CL care and maintenance were the barriers to CL wear but the motivators were vision and comfort and aesthetics. Finally the international session ended with the IACLE travel award and educator awards presented by IACLE president Shehzad Naroo and BCLA President Andrew Yorke. The travel award went to Wang Ling, Jinling Institute of Technology, Nanjing, China. There were 3 regional Contact Lens Educator of the Year Awards sponsored by Coopervision and presented by Dr. J.C. Aragorn of Coopervision. 1. Asia Pacific Region – Dr. Rajeswari Mahadevan of Sankara Nethralaya Medical Research Foundation, Chennai, India 2. Americas Region – Dr. Sergio Garcia of University of La Salle, Bogotá and the University Santo Tomás, Bucaramanga, Colombia 3. Europe/Africa – Middle East Region: Dr. Eef van der Worp, affiliated with the University of Maastricht, the Netherlands The posters above were just a small selection of those displayed at this year's BCLA conference. If you missed the BCLA conference then you can see the abstracts for all posters and talks in a virtual issue of CLAE very soon. The poster competition was kindly sponsored by Elsevier. The poster winner this year was: Joan Gispets – Corneal and Anterior Chamber Parameters in Keratoconus The 3 runners up were: Debby Yeung – Scleral Lens Central Corneal Clearance Assessment with Biomicroscopy Sarah L. Smith – Subjective Grading of Lid Margin Staining Heiko Pult – Impact of Soft Contact Lenses on Lid Parallel Conjunctival Folds My final two highlights are a little more personal. Firstly, I was awarded Honorary Life Fellowship of the BCLA for my work with the Journal, and I would like to thank the BCLA, Elsevier, the editorial board of CLAE, the reviewers and the authors for their support of my role. My final highlight from the BCLA conference this year was the final presentation of the conference – the BCLA Gold Medal award. The recipient this year was Professor Philip Morgan with his talk ‘Changing the world with contact lenses’. Phil was the person who advised me to go to my first BCLA conference in 1994 (funnily he didn’t attend himself as he was busy getting married!) and now 20 years later he was being honoured with the accolade of being the BCLA Gold Medallist. The date of his BCLA medal addressed was shared with his father's birthday so a double celebration for Phil. Well done to outgoing BCLA President Andy Yorke and his team at the BCLA (including Nick Rumney, Cheryl Donnelly, Sarah Greenwood and Amir Khan) on an excellent conference. And finally welcome to new President Susan Bowers. Copyright © 2014 British Contact Lens Association. Published by Elsevier Ltd. All rights reserved.

International cooperation against climate change: institutions, policies and their efficiency

In the 20th century nature of the world economy has started to change significantly, and the former state-centric constellation disappeared. Several development factors that induced the change are still active and nowadays we live in a much different world. The world economy consists of transnational networks; these complicated systems have a great impact on the world of states. The transnational actors’ (multinational corporations, non-governmental organizations etc) influence became very essential as they are able to mobilize the society, have high expertise (think tanks), but it is also important to note their financial strength and moral effects (norm entrepreneurs).

A study of stock market linkages between the US and frontier countries

My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

An Analysis of Stock Market Performance:The Dow Jones Industrial Average and the Three Top Performing Lodging Firma: 1982-1988

In their dialogue - An Analysis of Stock Market Performance: The Dow Jones Industrial Average and the Three Top Performing Lodging Firms 1982 – 1988 - by N. H. Ringstrom, Professor and Elisa S. Moncarz, Associate Professor, School of Hospitality Management at Florida International University, Professors Ringstrom and Moncarz state at the outset: “An interesting comparison can be made between the Dow Jones lndustrial Average and the three top performing, publicly held lodging firms which had $100 million or more in annual lodging revenues. The authors provide that analytical comparison with Prime Motor Inns Inc., the Marriott Corporation, and Hilton Hotels Corporation.” “Based on a criterion of size, only those with $100 million in annual lodging revenues or more resulted in the inclusion of the following six major hotel firms: Prime Motor Inns, Inc., Marriott Corporation, Hilton Hotels Corporation, Ramada Inc., Holiday Corporation and La Quinta Motor Inns, Inc.,” say Professors Ringstrom and Moncarz in framing this discussion with its underpinnings in the years 1982 to 1988. The article looks at each company’s fiscal and Dow Jones performance for the years in question, and presents a detailed analysis of said performance. Graphic analysis is included. It helps to have a fairly vigorous knowledge of stock market and fiscal examination criteria to digest this material. The Ringstrom and Moncarz analysis of Prime Motor Inns Incorporated occupies the first 7 pages of this article in and of itself. Marriot Corporation also occupies a prominent position in this discussion. “Marriott, a giant in the hospitality industry, is huge and continuing to grow. Its 1987 sales were more than $6.5 billion, and its employees numbered over 200,000 individuals, which place Marriott among the 10 largest private employers in the country,” Ringstrom and Moncarz parse Marriott’s influence as a significant financial player. “The firm has a fantastic history of growth over the past 60 years, starting in May 1927 with a nine-seat A & W Root Beer stand in Washington, D.C.,” offer the authors in initialing Marriot’s portion of the discussion with a brief history lesson. The Marriot firm was officially incorporated as Hot Shoppes Inc. in 1929. As the thesis statement for the discussion suggests the performance of these huge, hospitality giants is compared and contrasted directly to the Dow Jones Industrial Average performance. Reasons and empirical data are offered by the authors to explain the distinctions. It would be difficult to explain those distinctions without delving deeply into corporate financial history and the authors willingly do so in an effort to help you understand the growth, as well as some of the setbacks of these hospitality based juggernauts. Ringstrom and Moncarz conclude the article with an extensive overview and analysis of the Hilton Hotels Corporation performance for the period outlined. It may well be the most fiscally dynamic of the firms presented for your perusal. “It is interesting to note that Hilton Hotels Corporation maintained a very strong financial position with relatively little debt during the years 1982-1988…the highest among all companies in the study,” the authors paint.

The survival and stock performance of emerging country firms in the United States

Many firms from emerging markets flocked to developed countries at high cost with hopes of acquiring strategic assets that are difficult to obtain in home countries. Adequate research has focused on the motivations and strategies of emerging country firms' (ECFs') internationalization, while limited studies have explored their survival in advanced economies years after their venturing abroad. Due to the imprinting effect of home country institutions that inhibit their development outside their home market, ECFs are inclined to hire executives with international background and affiliate to world-wide organizations for the purpose of linking up with the global market, embracing multiple perspectives for strategic decisions, and absorbing the knowledge of foreign markets. However, the effects of such orientation on survival are under limited exploration. Motivated by the discussion above, I explore ECFs' survival and stock performance in a developed country (U.S.). Applying population ecology, signaling theory and institutional theory, the dissertation investigates the characteristics of ECFs that survived in the developed country (U.S.), tests the impacts of global orientation on their survival, and examines how global-oriented activities (i.e. joining United Nations Global Compact) affect their stock performance. The dissertation is structured in the form of three empirical essays. The first essay explores and compares different characteristics of ECFs and developed country firms (DCFs) that managed to survive in the U.S. The second essay proposes the concept of global orientation, and tests its influences on ECFs' survival. Employing signaling theory and institutional theory, the third essay investigates stock market reactions to announcements of United Nation Global Compact (UNGC) participation. The dissertation serves to explore the survival of ECFs in the developed country (U.S.) by comparison with DCFs, enriching traditional theories by testing non-traditional arguments in the context of ECFs' foreign operation, and better informing practitioners operating ECFs about ways of surviving in developed countries and improving stockholders' confidence in their future growth.

Bridge live loading assessment and load carrying capacity estimation using health monitoring system and dynamic testing

Peer reviewed

Perioperative fluid therapy: a statement from the international Fluid Optimization Group.

BACKGROUND: Perioperative fluid therapy remains a highly debated topic. Its purpose is to maintain or restore effective circulating blood volume during the immediate perioperative period. Maintaining effective circulating blood volume and pressure are key components of assuring adequate organ perfusion while avoiding the risks associated with either organ hypo- or hyperperfusion. Relative to perioperative fluid therapy, three inescapable conclusions exist: overhydration is bad, underhydration is bad, and what we assume about the fluid status of our patients may be incorrect. There is wide variability of practice, both between individuals and institutions. The aims of this paper are to clearly define the risks and benefits of fluid choices within the perioperative space, to describe current evidence-based methodologies for their administration, and ultimately to reduce the variability with which perioperative fluids are administered. METHODS: Based on the abovementioned acknowledgements, a group of 72 researchers, well known within the field of fluid resuscitation, were invited, via email, to attend a meeting that was held in Chicago in 2011 to discuss perioperative fluid therapy. From the 72 invitees, 14 researchers representing 7 countries attended, and thus, the international Fluid Optimization Group (FOG) came into existence. These researches, working collaboratively, have reviewed the data from 162 different fluid resuscitation papers including both operative and intensive care unit populations. This manuscript is the result of 3 years of evidence-based, discussions, analysis, and synthesis of the currently known risks and benefits of individual fluids and the best methods for administering them. RESULTS: The results of this review paper provide an overview of the components of an effective perioperative fluid administration plan and address both the physiologic principles and outcomes of fluid administration. CONCLUSIONS: We recommend that both perioperative fluid choice and therapy be individualized. Patients should receive fluid therapy guided by predefined physiologic targets. Specifically, fluids should be administered when patients require augmentation of their perfusion and are also volume responsive. This paper provides a general approach to fluid therapy and practical recommendations.

The geographies of encounter: investigating the spatiality and construction of 'meaningful' encounters with difference through the experiences of international students at University College Cork, Ireland

The purpose of this research is to investigate how international students negotiate encounters with Irish students and construct ‘meaning’ from those encounters in the spaces of the university and city. As cities are increasingly characterised by a multiplexity of diversity, the issue of living with difference is becoming more and more pertinent. In the wake of escalating socio-spatial polarisation, inter-cultural tension, racism, and xenophobia, the geographies of encounter seek to untangle the interactions that occur in the quotidian activities and spaces of everyday life to determine whether such encounters might reduce prejudice, antipathy and indifference and establish common social bonds (Amin 2002; Valentine 2008). Thus far, the literature has investigated a number of sites of encounter; public space, the home, neighbourhoods, schools, sports clubs, public transport, cafes and libraries (Wilson 2011; Schuermans 2013; Hemming 2011; Neal and Vincent 2011; Mayblin, Valentine and Anderrson 2015; Laurier and Philo 2006; Valentine and Sadgrove 2013; Harris, Valentine and Piekut 2014; Fincher and Iveson 2008). While these spaces produce a range of outcomes, the literature remains frustrated by a lack of clarity of what constitutes a ‘meaningful’ encounter and how such encounters might be planned for. Drawing on survey and interview data with full-time international students at University College Cork, Ireland, this study contributes to understanding how encounters are shaped by the construction and reproduction of particular identities in particular spaces, imbuing spaces with uneven power frameworks that produce diverse outcomes. Rather than identifying a singular ‘meaningful’ outcome of encounter as a potential panacea to the issues of exclusion and oppression, the contention here is to recognise a range of outcomes that are created by individuals in a range of ways. To define one outcome of encounter as ‘meaningful’ is to overlook the scale of intensity of diverse interactions and the multiplicity of ways in which people learn to live with difference.

Standing stocks and carbon isotopes of live benthic foraminifera from the South Atlantic

Live (Rose Bengal stained) and dead benthic foraminifera of surface and subsurface sediments from 25 stations in the eastern South Atlantic Ocean and the Atlantic sector of the Southern Ocean were analyzed to decipher a potential influence of seasonally and spatially varying high primary productivity on the stable carbon isotopic composition of foraminiferal tests. Therefore, stations were chosen so that productivity strongly varied, whereas conservative water mass properties changed only little. To define the stable carbon isotopic composition of dissolved inorganic carbon (d13CDIC) in ambient water masses, we compiled new and previously published d13CDIC data in a section running from Antarctica through Agulhas, Cape and Angola Basins, via the Guinea Abyssal Plain to the Equator. We found that intraspecific d13C variability of all species at a single site is constantly low throughout their distribution within the sediments, i.e. species specific and site dependent mean values calculated from all subbottom depths on average only varied by +/-0.09 per mil. This is important because it makes the stable carbon isotopic signal of species independent of the particular microhabitat of each single specimen measured and thus more constant and reliable than has been previously assumed. So-called vital and/or microhabitat effects were further quantified: (1) d13C values of endobenthic Globobulimina affinis, Fursenkoina mexicana, and Bulimina mexicana consistently are by between -1.5 and -1.0 per mil VPDB more depleted than d13C values of preferentially epibenthic Fontbotia wuellerstorfi, Cibicidoides pachyderma, and Lobatula lobatula. (2) In contrast to the Antarctic Polar Front region, at all stations except one on the African continental slope Fontbotia wuellerstorfi records bottom water d13CDIC values without significant offset, whereas L. lobatula and C. pachyderma values deviate from bottom water values by about -0.4 per mil and -0.6 per mil, respectively. This adds to the growing amount of data on contrasting cibicid d13C values which on the one hand support the original 1:1-calibration of F. wuellerstorfi and bottom water d13CDIC, and on the other hand document severe depletions of taxonomically close relatives such as L. lobatula and C. pachyderma. At one station close to Bouvet Island at the western rim of Agulhas Basin, we interpret the offset of -1.5 per mil between bottom water d13CDIC and d13C values of infaunal living Bulimina aculeata in contrast to about -0.6 +/- 0.1 per mil measured at eight stations close-by, as a direct reflection of locally increased organic matter fluxes and sedimentation rates. Alternatively, we speculate that methane locally released from gas vents and related to hydrothermal venting at the mid-ocean ridge might have caused this strong depletion of 13C in the benthic foraminiferal carbon isotopic composition. Along the African continental margin, offsets between deep infaunal Globobulimina affinis and epibenthic Fontbotia wuellerstorfi as well as between shallow infaunal Uvigerina peregrina and F. wuellerstorfi, d13C values tend to increase with generally increasing organic matter decomposition rates. Although clearly more data are needed, these offsets between species might be used for quantification of biogeochemical paleogradients within the sediment and thus paleocarbon flux estimates. Furthermore, our data suggest that in high-productivity areas where sedimentary carbonate contents are lower than 15 weight %, epibenthic and endobenthic foraminiferal d13C values are strongly influenced by 13C enrichment probably due to carbonate-ion undersaturation, whereas above this sedimentary carbonate threshold endobenthic d13C values reflect depleted pore water d13CDIC values.

The R2P is Dead, Long Live the R2P: The Successful Separation of Military Intervention from the Responsibility to Protect’

Roland Paris is one of those authors whose work is always enjoyable, as he exploits so well the gap between the policy world and academia. His best work reveals a high level of policy insight often before many of his colleagues in academia have caught up. His secret is an ability to analyse the shifting understandings at policy level and to then articulate them in academic terms as if critiquing current policies. This enables his work to be both popular with policy-makers and with their erstwhile critics in academia. His 2004 monograph, At War’s End, captured the shift from peacekeeping intervention and ‘early exit’ to the extended remits of international statebuilding (‘Institutionalization before Liberalization’). It provided a wonderful rationalisation of policy shifts that had already occurred in the late 1990s, starting with the extension of international mandates in Bosnia, from 1996 onwards, and further developed with the Kosovo protectorate in 1999. However, this shift was skilfully reposed as a critique of existing policy-understandings.