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.

Southern theory : the global dynamics of knowledge in the social sciences

Up front I am impelled to acknowledge an intellectual debt to Raewyn Connell as one of my PhD supervisors about 20 years ago and as having a lasting influence on my own sociological approach to research. One of key themes of this book is that southern theorists are rarely read in the northern hemisphere. This is not the case for Connell, however, one of Australia’s most internationally renowned scholars. The tome reads as the creative outpouring of her lifelong thirst for social science. Its main claim is that southern theory ‘has as much intellectual power as metropolitan social thought, and more political relevance’ (p. xii). A big but compelling claim, as I will explain.

The mobile phone as a multi OTP device using trusted computing

The rapid growth in the number of online services leads to an increasing number of different digital identities each user needs to manage. As a result, many people feel overloaded with credentials, which in turn negatively impact their ability to manage them securely. Passwords are perhaps the most common type of credential used today. To avoid the tedious task of remembering difficult passwords, users often behave less securely by using low entropy and weak passwords. Weak passwords and bad password habits represent security threats to online services. Some solutions have been developed to eliminate the need for users to create and manage passwords. A typical solution is based on giving the user a hardware token that generates one-time-passwords, i.e. passwords for single session or transaction usage. Unfortunately, most of these solutions do not satisfy scalability and/or usability requirements, or they are simply insecure. In this paper, we propose a scalable OTP solution using mobile phones and based on trusted computing technology that combines enhanced usability with strong security.

Left vs right in black and white : a review

LIKE much of the work that David Williamson is known for, Let the Sunshine concentrates on tensions between characters who operate mainly as mouthpieces for opposing ideologies. Left-wing documentary-maker Toby and his wife Ros have moved to Noosa to escape the rat race in Sydney and some bad press surrounding one of Toby's projects. Trying to make social connections in town, Ros has reconnected with high school classmate Natasha, now the cosmetically-enhanced wife of wealthy right-wing property developer Ron. The posturing and conflict between Toby and Ron come to a head when the women invite their grown children -- struggling songwriter Rick and stressed corporate lawyer Emma -- to dinner to celebrate Toby's birthday, and the results of this encounter drive the rest of the plot. The scenario of Let the Sunshine is contrived, the characters are stereotyped, and their conflicts are little more than an old clash of ideologies cast loosely across the mainstream news media's characterisation of the sides in debates about development, climate change and the economic crisis.

Byron's back from the dead? : revenants of Romanticism in contemporary young adult fiction

Often identified as the origin of today’s children’s literature, Romanticism offers a particular context for interrogating boundaries between child and adult. Since the turn of the nineteenth century, however, Western society has “invented” the teenager to figure and to police the boundary between childhood and adulthood. In due course, twenty-first-century young adult (YA) novels such as Susan Davis’s Mad, Bad and Totally Dangerous (2004) and Cara Lockwood’s Wuthering High: A Bard Academy Novel (2006) have combined the Romantic and the adolescent in narratives which turn on supernatural invocation of Romantic authors as “really” present in contemporary adolescent lives. These novels tell stories of adolescence in which the self comes to be known via embodied encounters with dead authors, in particular, with Byron. Where “Byron scholarship has worked hard to disassociate the poet from this kind of pop-Gothic depiction, seeing it as the inevitable but regrettable offspring of nineteenth-century Byromania” (McDayter 30), contemporary YA fiction suggests that it is precisely via pop-Gothic depictions that today’s adolescents may first come to know the Romantic in general and the Byronic in particular. This paper reads these novels in the context of current anxieties about cultural illiteracy and educational “failure” in order to consider what work is being undertaken in the name of Byron, and to shed light on the ways in which cultural education may be taking place far beyond the realms of schools or cemeteries for today’s young readers.

On location : the imagined private interior in public life

This paper reveals the interior landscapes of selected contemporary Australian films, such as The Caterpillar Wish and Bad Boy Bubby, to develop a number of thematic influences on the manner in which domestic and private lives are constructed through filmic imagination. The research uncovers the conditions that contribute to particular scenographic representations of the humble interiors that act as both backdrop and performer to subtle and often troubled narratives. Such readings are informed by the theoretical works of writer Gertrude Stein, among others, who explore the relationships between the scenographic third dimension and the fourth dimensional performance in the representation of narrative space. A further theoretical thread lies in Giuliana Bruno’s work on the tension between private and public filmic space, which is explored through the public outing of intensely private spaces generated through narratives framed by the specificities of found interiors. Beyond the interrogation of qualities of imagined filmic space is the condition whereby locations, once transformed by the event of movie making are consequently forever revised. These altered conditions subsequently reinvest the lives of those who return to the location with layered narratives of occupation. Situationally, the now reconverted interior performs as contributor to subsequent private inhabitation, even if only as imagined space. The possibility here is that the qualities of the original may be superimposed and recontextualised to invest post-produced interiors with the qualities of the other space as imagined. This reading of film space explores new theoretical design scenarios for imagined and everyday interior landscapes.

The high road or the low road? Alternatives for Australia's future

The OECD suggests that countries now have a choice. They can focus on development based on either:  competition via investment in technology and innovation - which is important in high knowledge industries and high innovation economies, or  competition via exchange rates and wages - which is important in industries producing standardised, lower-tech goods and services. The first route will maximise higher-skilled, higher-paid employment growth and living standards. Given the lack of control over the exchange rate, the second route requires competition based on wages. It is essential to understand that markets themselves won’t shift a country from one path to the other. These conclusions arise from the OECD’s recognition that technical progress - the creation of new products or the adoption of more efficient methods of production - is the main source of economic growth and enhanced quality of life. Technological change is, the OECD suggests, ...also the engine for job creation as higher wages and profits resulting from technology-induced productivity gains and lower prices lead to increased demand for new products from existing as well as new industries (1997: 4).Further, Competitiveness in high-technology industries is mainly driven by technology factors and much less by wage and exchange rate movements, while the reverse is true in low-technology industries (OECD 1996e: 12). The OECD has shown that sound macroeconomic conditions, such as the low inflation and reduced public sector debt visible in almost all member countries in the 1990s, are not enough to deal with high levels of unemployment and the need to increase levels of income: If economic performance is to improve, additional structural reform, which can increase innovation and the diffusion of technologies within and among national economies, seems necessary (OECD 1997: 4 Emphasis added).

Double standards in cultural judgements

The author, a teacher of television and film from a cultural studies perspective, endeavours to persuade his students to give up snobbery when they judge culture. The author has found that most students enter university with a series of middle class value judgements very strongly in place. Essentially, the judgements are that commercial culture is 'bad' and non-commercial culture is 'good'.

Absence of malice: Constructing the female sex offender

It could be argued that all crimes have a general moral basis, condemned as ‘wrong’ or ‘bad’ in the society in which they are proscribed, however, there are a specific group of offences in modern democratic nations which bear the brunt of the label, crimes against morality. Included within this group are offences related to prostitution and pornography, homosexuality and incest, as well as child sexual abuse. While the places where sex and morality meet have shifted over time, these two concepts continue to form the basis of much criminal legislation and associated criminal justice responses. Offenders of sexual mores are positioned as the reviled corruptors of innocent children, the purveyors of disease, an indictment on the breakdown of the family and/or the secularisation of society, and a corruptive force (Davidson 2008, Kincaid 1998). Other types of offending may divide public and political opinion, but the consensus on sex crimes appears constant.

Carbon financing and the Australian emissions trading scheme : less emissions, more opportunities?

The introduction by the Australian federal government of its Carbon Pollution Reduction Scheme was a decisive step in the transformation of Australia into a low carbon economy. Since the release of the Scheme, however, political discourse relating to environmental sustainability and climate change in Australia has focused primarily on political, scientific and economic issues. Insufficient attention has been paid to the financial opportunities which commoditisation of the carbon market may offer, and little emphasis has been placed on the legal implications for the creation of a "new" asset and market. This article seeks to shed some light on the discernable opportunities which the Scheme should provide to participants in the Australian and international debt markets.

Sound in the Aboriginal Australian Films of Rolf de Heer

Anna Hickey-Mody and Melissa Iocca invented a new name for the cinema-goer at "Bad Boy Bubby" (1993) when they wrote: "In de Heer's film, the viewer is primarily a listener, or aurator, and secondly a spectator" and I have argued the label 'aurator' can also be used for the person experiencing "Ten Canoes" (2006). This Aboriginal Australian Dreamtime fable features dialogue recorded entirely in the Ganalbingu language of the Indigenous people it stars, and is a prime example of what I would suggest can be labeled 'The Aboriginal Australian Films of Rolf de Heer'. "The Tracker" (2002) and "Dr. Plonk" (2007) have also included depictions of Aboriginal Australians and each of the trio utilizes Cat Hope's "innovative sound ideas" to present what I argue is an aural auteur's signature revealing a post-colonial Australian world-view that privileges the justice system and eco-spirituality of Aboriginal Australians.

Marking the liminal for true blue Aussies : the generic placement of Aboriginality in Australian soap operas.

This paper addresses a previously unconsidered history — that of Aboriginal characters in Australian soap operas. Rejecting critical approaches which have obtained even into the 1990s, it refuses to judge these characters as 'good' or 'bad' manifestations of indigeneity. Rather, using the idea that genre is a way of closing down interpretive possibilities, the paper looks at the manner in which generic expectations around soap operas produce particular valences for these representations of Aboriginality. It points to the many ways in which these indigenous characters are insistently constructed as liminal in soap operas' structural communities - simultaneously inside and outside of the group. This is seen to accord with the suggestions of Jakubowicz et al about the ways in which Aboriginal people are positioned by wider social discourses.

Acquire a practical overview of 'good faith' in commercial contracting

The twists and turns in the ongoing development of the implied common law good faith obligation in the commercial contractual arena continue to prove fertile academic ground. Despite a lack of guidance from the High Court, the lower courts have been besieged by claims based, in part, on the implied obligation. Although lower court authority is lacking consistency and the ‘decisions in which lower courts have recognised the legitimacy of implication of a term of good faith vary in their suggested rationales’, the implied obligation may provide some comfort to a party to ‘at least some commercial contracts’ faced with a contractual counterpart exhibiting symptoms of bad faith.

Why do family firms congregate in certain industries?

We propose that family firm involvement and performance across industries is not random and is related to specific industry conditions. Using the population of listed companies on the Taiwan Stock Exchange over the period 1997-2007 we find that family firms are more involved in industries with more fixed assets, consistent with the long-term view of family owners, and in industry conditions that make it potentially easier for family owners to consume private benefits of control. Overall, we document a positive relationship between family firm involvement and performance, which indicates a net advantage for family firm shareholders in industries where family firms congregate. However, we also find that family firm performance is negatively affected when family firms use more debt and maintain a higher control wedge than their industry counterparts.