Forecasting time-varying value-at-risk

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.

Community engagement for sustainable urban futures : editorial preface

This special issue of Futures is concerned with community engagement strategies that help to inform medium and long-term futures studies in order to foster sustainable urban environments. Recent special issues of Futures, such as Human Extinction (41:10) and Utopian Thought (41:4), reflect the increasing significance of sustainability issues, which is why we present another crucial component of sustainability, community engagement. Responding to futurists’ long term concerns about climate change outlined in Futures 41(9) [1], Stevenson concluded that we can no longer support infinite growth, and that our goal should be to reshape the economy to let us live within our means. In the face of the continued and accelerated crisis in environmental, economic and social sustainability, a number of trends informed our call for papers on the possible role of community engagement in contributing to enhanced urban sustainability: • Changes in the public sphere in terms of participation, online deliberation systems, polity of urban futures; • The possible use of user-generated content for urban planning (paralleling the rise of user generated content elsewhere); • The related role of social networking, collective and civic intelligence, and crowd- sourcing in urban futures; • The rise of technologies such as wireless Internet and mobile applications, and the impact of neogeography, simulations and 3D virtual environments that reproduce and analyse complex social phenomena and city systems in urban futures, design and planning.

COLLABORATORY : characteristics of collaborative creativity

Teaching and learning in working groups is a challenge to both teacher and student. Collaboration is an elusive concept, difficult to teach, impossible to enforce, yet the ability to work in this way is an essential characteristic of any Creative Industries professional. In 2006, a group of creative industries students were charged with the task of collaboratively creating a performance as part of their coursework. This research project closely followed their development as agents of collaborative creativity using an innovative methodology which combined performance and documentary making. The result is COLLABORATORY - a DVD documentary isolating key behaviours and features of collaborative learning: Convergence and divergence of ideas, Characters and behaviours in collaboration, Leadership and facilitation, Motivation and Intersubjectivity. An engaging presentation of theory and practice capturing what Meill and Littleton (2004) call “the emotional dance of collaboration”.

Critical review of Queensland's Crime and Misconduct Commission Inquiry into abuse of children in foster care : social work's contribution to reform

This paper profiles Queensland's recent Crime and Misconduct Commission Inquiry into the abuse of children in foster care. The authors welcome the outcome as an opportunity to highlight the problems encountered by child protection jurisdictions in Australia and internationally, and they applaud some of the Inquiry's findings. However, the paper argues that the path to reform is hampered by insufficient accountability by government and management, and an inadequate challenge to the ideologies underpinning contemporary child protection policy and practice. The authors conclude with a call to value and assert social work's contribution to child protection systems so as to vastly improve outcomes for children and families.

The relationship between implied and realized volatility : evidence from the Australian stock index option market

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied call volatility is nearly an unbiased forecast of future volatility.

Positioning public relations as an academic discipline in Australia

Academic public relations in Australia appears to be entering a new phase in its relatively short history. The early model, in which tertiary courses were confined to teaching – focused institutions and conducted largely by teacher-practitioners, is being supplanted by one in which the discipline is now offered in most Australian universities, is increasingly embracing research, and is being taught by staff following more traditional academic career paths. Despite the formal association with the communication discipline through Australian and New Zealand Communication Association, public relations academics have increasingly asserted the independence of their discipline and in reality have very little dialogue with the other strands of the communication discipline. These developments call into question the most appropriate knowledge base for public relations as an academic discipline in Australia and its proper relation to the profession (and the Public Relations Institute of Australia as the professional body). One danger associated with the assertion of disciplinary independence lies in the risk of excessive reliance on a relatively narrow body of work emanating from the more established United States public relations academy, in the process ignoring much richer work in surrounding disciplines such as social theory, rhetoric, organisation communication, and business and society. The emphasis on disciplinary demarcation also seems curious during a time of growing ‘interdisciplinarity’ in the humanities and the social sciences. This paper critically reviews the construction of public relations as an academic discipline in Australia, drawing on some of the literature on academic disciplinarity to propose a repositioning of the discipline, one that is less focused on asserting difference than on finding connections with other bodies of knowledge while maintaining close links with professional practice.

A cross cultural examination of consumer behaviour and GM food products : results from Australian and South Korean female consumers

The call for the cross cultural examination and validation of commonly accepted relationships within consumer behaviour is strengthening. Consequently, this paper seeks to address this call by examining consumer risk perceptions, reliance on country of origin information and willingness to buy Genetically Modified (GM) food products on Australian and South Korean consumers. Findings indicate a number of cross cultural similarities and differences that have both theoretical and practical implications.

An examination of the knowledge barriers in participatory design and the prospects for embedded research

Participatory design has the moral and pragmatic tenet of including those who will be most affected by a design into the design process. However, good participation is hard to achieve and results linking project success and degree of participation are inconsistent. Through three case studies examining some of the challenges that different properties of knowledge - novelty, difference, dependence - can impose on the participatory endeavour we examine some of the consequences to the participatory process of failing to bridge across knowledge boundaries - syntactic, semantic, and pragmatic. One pragmatic consequence, disrupting the user's feeling of involvement to the project, has been suggested as a possible explanation for the inconsistent results linking participation and project success. To aid in addressing these issues a new form of participatory research, called embedded research, is proposed and examined within the framework of the case studies and knowledge framework with a call for future research into its possibilities.

Global knowledge cultures

Knowledge is about cultural power. Considering that it is both resource and product within the brave new world of fast capitalism, this collection argues for knowledge cultures that are mutually engaged and hence more culturally inclusive and socially productive. Globalized intellectual property regimes, the privatization of information, and their counterpoint, the information and creative commons movements, constitute productive sites for the exploration of epistemologies that talk with each other rather than at and past each other. Global Knowledge Cultures provides a collection of accessible essays by some of the world’s leading legal scholars, new media analysts, techno activists, library professionals, educators and philosophers. Issues canvassed by the authors include the ownership of knowledge, open content licensing, knowledge policy, the common-wealth of learning, transnational cultural governance, and information futures. Together, they call for sustained intercultural dialogue for more ethical knowledge cultures within contexts of fast knowledge capitalism.

Network jamming : distributed performance using generative music

Generative music systems can be performed by manipulating the values of their algorithmic parameters, and their semi-autonomous nature provides an opportunity for coordinated interaction amongst a network of systems, a practice we call Network Jamming. This paper outlines the characteristics of this networked performance practice and discusses the types of mediated musical relationships and ensemble configurations that can arise. We have developed and tested the jam2jam network jamming software over recent years. We describe this system, draw from our experiences with it, and use it to illustrate some characteristics of Network Jamming.

Technical report : acoustic analysis of the natural environment

This technical report is concerned with one aspect of environmental monitoring—the detection and analysis of acoustic events in sound recordings of the environment. Sound recordings offer ecologists the potential advantages of cheaper and increased sampling. An acoustic event detection algorithm is introduced that outputs a compact rectangular marquee description of each event. It can disentangle superimposed events, which are a common occurrence during morning and evening choruses. Next, three uses to which acoustic event detection can be put are illustrated. These tasks have been selected because they illustrate quite different modes of analysis: (1) the detection of diffuse events caused by wind and rain, which are a frequent contaminant of recordings of the terrestrial environment; (2) the detection of bird calls using the spatial distribution of their component events; and (3) the preparation of acoustic maps for whole ecosystem analysis. This last task utilises the temporal distribution of events over a daily, monthly or yearly cycle.

A connective model for the practice-led research exegesis : an analysis of content and structure

Since the formal recognition of practice-led research in the 1990s, many higher research degree candidates in art, design and media have submitted creative works along with an accompanying written document or ‘exegesis’ for examination. Various models for the exegesis have been proposed in university guidelines and academic texts during the past decade, and students and supervisors have experimented with its contents and structure. With a substantial number of exegeses submitted and archived, it has now become possible to move beyond proposition to empirical analysis. In this article we present the findings of a content analysis of a large, local sample of submitted exegeses. We identify the emergence of a persistent pattern in the types of content included as well as overall structure. Besides an introduction and conclusion, this pattern includes three main parts, which can be summarized as situating concepts (conceptual definitions and theories); precedents of practice (traditions and exemplars in the field); and researcher’s creative practice (the creative process, the artifacts produced and their value as research). We argue that this model combines earlier approaches to the exegesis, which oscillated between academic objectivity, by providing a contextual framework for the practice, and personal reflexivity, by providing commentary on the creative practice. But this model is more than simply a hybrid: it provides a dual orientation, which allows the researcher to both situate their creative practice within a trajectory of research and do justice to its personally invested poetics. By performing the important function of connecting the practice and creative work to a wider emergent field, the model helps to support claims for a research contribution to the field. We call it a connective model of exegesis.

Technical report : acoustic analysis of the natural environment

This technical report is concerned with one aspect of environmental monitoring—the detection and analysis of acoustic events in sound recordings of the environment. Sound recordings offer ecologists the potential advantages of cheaper and increased sampling. An acoustic event detection algorithm is introduced that outputs a compact rectangular marquee description of each event. It can disentangle superimposed events, which are a common occurrence during morning and evening choruses. Next, three uses to which acoustic event detection can be put are illustrated. These tasks have been selected because they illustrate quite different modes of analysis: (1) the detection of diffuse events caused by wind and rain, which are a frequent contaminant of recordings of the terrestrial environment; (2) the detection of bird calls using the spatial distribution of their component events; and (3) the preparation of acoustic maps for whole ecosystem analysis. This last task utilises the temporal distribution of events over a daily, monthly or yearly cycle.

Modelling the process of dialogic communication in public relations: a role-based approach

This paper takes Kent and Taylor’s (2002) call to develop a dialogic theory of public relations and suggests that a necessary first step is the modelling of the process of dialogic communication in public relations. In order to achieve this, extant literature from a range of fields is reviewed, seeking to develop a definition of dialogic communication that is meaningful to the practice of contemporary public relations. A simple transmission model of communication is used as a starting point. This is synthesised with concepts relating specifically to dialogue, taken here in its broadest sense rather than defined as any one particular outcome. The definition that emerges from this review leads to the conclusion that dialogic communication in public relations involves the interaction of three roles – those of sender, receiver, and responder. These three roles are shown to be adopted at different times by both participants involved in dialogic communication. It is further suggested that variations occur in how these roles are conducted: the sender and receiver roles can be approached in a passive or an active way, while the responder role can be classified as being either resistant or responsive to the information received in dialogic communication. The final modelling of the definition derived provides a framework which can be tested in the field to determine whether variations in the conduct of the roles in dialogic communication actually exist, and if so, whether they can be linked to the different types of outcome from dialogic communication identified previously in the literature.

Interrogating statistical models of music perception

We have developed a new experimental method for interrogating statistical theories of music perception by implementing these theories as generative music algorithms. We call this method Generation in Context. This method differs from most experimental techniques in music perception in that it incorporates aesthetic judgments. Generation In Context is designed to measure percepts for which the musical context is suspected to play an important role. In particular the method is suitable for the study of perceptual parameters which are temporally dynamic. We outline a use of this approach to investigate David Temperley’s (2007) probabilistic melody model, and provide some provisional insights as to what is revealed about the model. We suggest that Temperley’s model could be improved by dynamically modulating the probability distributions according to the changing musical context.