Are combination forecasts of S&P 500 volatility statistically superior?

Forecasting volatility has received a great deal of research attention, with the relative performances of econometric model based and option implied volatility forecasts often being considered. While many studies find that implied volatility is the pre-ferred approach, a number of issues remain unresolved, including the relative merit of combining forecasts and whether the relative performances of various forecasts are statistically different. By utilising recent econometric advances, this paper considers whether combination forecasts of S&P 500 volatility are statistically superior to a wide range of model based forecasts and implied volatility. It is found that a combination of model based forecasts is the dominant approach, indicating that the implied volatility cannot simply be viewed as a combination of various model based forecasts. Therefore, while often viewed as a superior volatility forecast, the implied volatility is in fact an inferior forecast of S&P 500 volatility relative to model-based forecasts.

The jump component of S&P 500 volatility and the VIX index

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that a model-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any incremental information pertaining to future jump activity relative to model-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and reflects incremental information pertaining to future jump activity. This issue has not been examined previously and expands our understanding of how option markets form their volatility forecasts.

meso-Porphyrinylphosphine Oxides: Mono- and Bidentate Ligands for Supramolecular Chemistry and the Crystal Structures of Monomeric [10,20-Diphenylporphyrinatonickel(II)-5,15-diyl]-bis-[P(O)Ph2] and Polymeric Self-Coordinated ([10,20-Diphenylporphyrinatozinc(II)-5,15-diyl]-bis-[P(O)Ph2])

A series of porphyrins substituted in one or two meso-positions by diphenylphosphine oxide groups has been prepared by the palladium catalysed reaction of diphenylphosphine or its oxide with the corresponding bromoporphyrins. Compounds {MDPP-[P(O)Ph2]n} (M = H2, Ni, Zn; H2DPP = 5,15-diphenylporphyrin; n = 1, 2) were isolated in yields of 60-95%. The reaction is believed to proceed via the conventional oxidative addition, phosphination and reductive elimination steps, as the stoichiometric reaction of η1-palladio(II) porphyrin [PdBr(H2DPP)(dppe)] (H2DPP = 5,15-diphenylporphyrin; dppe = 1,2-bis(diphenylphosphino)ethane) with diphenylphosphine oxide also results in the desired mono-porphyrinylphosphine oxide [H2DPP-P(O)Ph2]. Attempts to isolate the tertiary phosphines failed due to their extreme air-sensitivity. Variable temperature 1H NMR studies of [H2DPP-P(O)Ph2] revealed an intrinsic lack of symmetry, while fluorescence spectroscopy showed that the phosphine oxide group does not behave as a "heavy atom" quencher. The electron withdrawing effect of the phosphine oxide group was confirmed by voltammetry. The ligands were characterised by multinuclear NMR and UV-visible spectroscopy as well as mass spectrometry. Single crystal X-ray crystallography showed that the bis(phosphine oxide) nickel(II) complex {[NiDPP-[P(O)Ph2]2} is monomeric in the solid state, with a ruffled porphyrin core and the two P=O fragments on the same side of the average plane of the molecule. On the other hand, the corresponding zinc(II) complex formed infinite chains through coordination of one Ph2PO substituent to the neighbouring zinc porphyrin through an almost linear P=O---Zn unit, leaving the other Ph2PO group facing into a parallel channel filled with disordered water molecules. These new phosphine oxides are attractive ligands for supramolecular porphyrin chemistry.

Mechanism of p-nitrophenol adsorption from aqueous solution by HDTMA+-pillared montmorillonite : implications for water purification

HDTMA+ pillared montmorillonites were obtained by pillaring different amounts of the surfactant hexadecyltrimethylammonium bromide (HDTMAB) into sodium montmorillonite (Na-Mt) in an aqueous solution. The optimum conditions and batch kinetics of sorption of p-nitrophenol from aqueous solutions were reported. The solu-tion pH had a very important effect on the sorption of p-nitrophenol. The maximum p-nitrophenol absorption/adsorption occurs when solution pH (7.15~7.35) is approx-imately equal to the pKa (7.16) of the p-nitrophenol ion deprotonation reaction. X-ray diffraction analysis showed that surfactant cations had been pillared into the interlayer and the p-nitrophenol affected the arrangement of surfactant. With the increased con-centration of surfactant cations, the arrangement of HDTMA+ within the clay inter-layer changes and the sorption of p-nitrophenol increases. HDTMA+ pillared mont-morillonites are more effective than Na-Mt for the adsorption of p-nitrophenol from aqueous solutions. The Langmuir, Freundlich and dual-mode sorption were tested to fit the sorption isotherms.

Characterisation of organoclays and adsorption of p-nitrophenol : environmental application

Organoclays were synthesised through ion exchange of a single surfactant for sodium ions, and characterised by a range of method including X-ray diffraction (XRD), BET, X-ray photoelectron spectroscopy (XPS), thermogravimetric analysis (TGA), Fourier transform infrared spectroscopy (FT-IR), and transmission electron microscopy (TEM). The change in surface properties of montmorillonite and organoclays intercalated with the surfactant, tetradecyltrimethylammonium bromide (TDTMA) were determined using XRD through the change in basal spacing and the expansion occurred by the adsorbed p-nitrophenol. The changes of interlayer spacing were observed in TEM. In addition, the surface measurement such as specific surface area and pore volume was measured and calculated using BET method, this suggested the loaded surfactant is highly important to determine the sorption mechanism onto organoclays. The collected results of XPS provided the chemical composition of montmorillonite and organoclays, and the high-resolution XPS spectra offered the chemical states of prepared organoclays with binding energy. Using TGA and FT-IR, the confirmation of intercalated surfactant was investigated. The collected data from various techniques enable an understanding of the changes in structure and surface properties. This study is of importance to provide mechanisms for the adsorption of organic molecules, especially in contaminated environmental sites and polluted waters.

Transition from n- to p-type of spray pyrolysis deposited Cu doped ZnO thin films for NO2 sensing

The structural, optical, and gas-sensing properties of spray pyrolysis deposited Cu doped ZnO thin films were investigated. Gas response of the undoped and doped films to N02 (oxidizing) gas shows an increase and decrease in resistance, respectively, indicating p-type conduction in doped samples. The UV-Vis spectra of the films show decrease in the bandgap with increasing Cu concentration in ZnO. The observed p-type conductivity is attributed to the holes generated by incorporated Cu atoms on Zn sites in ZnO thin films. The X-ray diffraction spectra showed that samples are polycrystalline with the hexagonal wurtzite structure and increasing the concentration of Cu caused a decrease in the intensity of the dominant (002) peak. The surface morphology of films was studied by scanning electron microscopy and the presence of Cu was also confirmed by X-ray photoelectron spectroscopy. Seebeck effect measurements were utilized to confirm the p-type conduction of Cu doped ZnO thin films. Copyright © 2009 American Scientific Publishers All rights reserved.

[P,P-Di-tert-butyl-N-trimethylsilyl- P-(trimethylsilylamino)phosphineimidato-N,N]bis(pyridine-N)- lithium(I)

In the title compound, [Li(C14H36N2PSi2)(C5H5N)2], the bulky chelating monoanionic P,P-di-tert-butyl-N-trimethylsilyl-P-(trimethylsilylamino)phosphine imidate ligand and two pyridine ligands bind to Li in a pseudo-tetrahedral arrangement with twofold symmetry. The Li-N [phosphine]distance is 2.048 (5) Å, while the LiP distance is 2.520 (6) Å

Arc voltage behavior in GMAW-P under different drop transfer modes

Purpose: Experimental measurements have been made to investigate meaning of the change in voltage for the pulse gas metal arc welding (GMAW-P) process operating under different drop transfer modes. Design/methodology/approach: Welding experiments with different values of pulsing parameter and simultaneous recording of high speed camera pictures and welding signals (such as current and voltage) were used to identify different drop transfer modes in GMAW-P. The investigation is based on the synchronization of welding signals and high speed camera to study the behaviour of voltage signal under different drop transfer modes. Findings: The results reveal that the welding arc is significantly affected by the molten droplet detachment. In fact, results indicate that sudden increase and drop in voltage just before and after the drop detachment can be used to characterize the voltage behaviour of different drop transfer mode in GMAW-P. Research limitations/implications: The results show that voltage signal carry rich information about different drop transfer occurring in GMAW-P. Hence it’s possible to detect different drop transfer modes. Future work should concentrate on development of filters for detection of different drop transfer modes. Originality/value: Determination of drop transfer mode with GMAW-P is crucial for the appropriate selection of pulse welding parameters. As change in drop transfer mode results in poor weld quality in GMAW-P, so in order to estimate the working parameters and ensure stable GMAW-P understanding the voltage behaviour of different drop transfer modes in GMAW-P will be useful. However, in case of GMAW-P hardly any attempt is made to analyse the behaviour of voltage signal for different drop transfer modes. This paper analyses the voltage signal behaviour of different drop transfer modes for GMAW-P.

Review: "Information and Communication Technologies in Tourism 2003" edited by Frew, A.J., Hitz, M., & O’Connor, P.

"This volume represents the proceedings of the 10th ENTER conference, held in Helsinki, Finland during January 2003. The conference theme was ‘technology on the move’, and the 476pp. proceedings offer 50 papers by 108 authors. The editors advise all papers were subject to a double blind peer review. The research has been categorised into 18 broad headings, which reflects the diversity of topics addressed. This reviewer has adopted the approach of succinctly summarising each of the papers, in the order they appear, to assist readers of Tourism Management in judging the potential value of the content for their own work..." -- publisher website