Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Tannakian Formalism Applied to the Category of Mixed Hodge Structures

Many problems in analysis have been solved using the theory of Hodge structures. P. Deligne started to treat these structures in a categorical way. Following him, we introduce the categories of mixed real and complex Hodge structures. Category of mixed Hodge structures over the field of real or complex numbers is a rigid abelian tensor category, and in fact, a neutral Tannakian category. Therefore it is equivalent to the category of representations of an affine group scheme. The direct sums of pure Hodge structures of different weights over real or complex numbers can be realized as a representation of the torus group, whose complex points is the Cartesian product of two punctured complex planes. Mixed Hodge structures turn out to consist of information of a direct sum of pure Hodge structures of different weights and a nilpotent automorphism. Therefore mixed Hodge structures correspond to the representations of certain semidirect product of a nilpotent group and the torus group acting on it.

Ideological notions in public health care rationing : Case studies from Oregon, New Zealand and Finland

The purpose of this dissertation is to analyze and explicate the ideological content, which is often implicit, in the health care rationing discussion. The phrase "ideological content" refers to viewpoints and assumptions expressed in the rationing discussion that may be widespread and accepted, but without clear evidential support. The study method is philosophical text analysis. The study begins by exploring the literature from the 1970s that affects the present-day rationing discussion. Since ideological contents may have different emphases in realm of health care, three representative cases were studied. The first was a case study of the first and best-known rationing experiment in the American state of Oregon, namely, an experimental rationing plan within the public health program Medicaid, which is designed to provide care for the poor and underprivileged. The second was a study of the only national-level public priority setting that has been conducted in New Zealand. The third examined the Finnish Care Guarantee plan introduced in March 2005. The findings show that several problematic and scientifically mostly unproven concepts have remained largely uncontested in the debate about public health care rationing. Some of these notions already originated decades ago in studies that relied on outdated data or research paradigms. The problematic ideological contents have also been taken up from one publication into another, thereby affecting the rationing debate. The study suggests that before any new public health care rationing experiments are undertaken, these ideological factors should be properly examined, especially in order to avoid repetitious research and perhaps erroneous rationing decisions.

Living Poetically in the Modern Age : The Situational Aspects of Kierkegaard's Thought

How did Søren Kierkegaard (1813 1855) situate the human subject into historical and social actuality? How did he take into consideration his own situatedness? As key for understanding these questions the research takes the ideal of living poetically that Kierkegaard outlined in his dissertation. In The Concept of Irony (1841) Kierkegaard took up this ideal of the Romantic ironists and made it into an ethical-religious ideal. For him the ideal of living poetically came to mean 1) becoming brought up by God, while 2) assuming ethical-religiously one s role and place in the historical actuality. Through an exegesis of Kierkegaard s texts from 1843 to 1851 it is shown how this ideal governed Kierkegaard s thought and action throughout his work. The analysis of Kierkegaard s ideal of living poetically not only a) shows how the Kierkegaardian subject is situated in its historical context. It also b) sheds light on Kierkegaard s social and political thought, c) helps to understand Kierkegaard s character as a religious thinker, and d) pits his ethical-religious orientation in life against its scientific and commonsense alternatives. The research evaluates the rationality of the way of life championed by Kierkegaard by comparing it with ways of life dominated by reflection and reasoning. It uses Kierkegaard s ideal of living poetically in trying to understand the tensions between religious and unreligious ways of life.

'A responsible nuclear weapons power' : Nuclear Weapons and Indian Foreign Policy

This thesis examines the interrelationship and dynamics between the Indian United Progressive Alliance government’s foreign policy and its nuclear weapons policy. The purpose of the study is to situate nuclear policy within a foreign policy framework, and the fundamental research problem is thus how does the Indian nuclear policy reflect and respond to the Indian foreign policy? The study examines the intentions in the Indian foreign and nuclear policies, and asks whether these intentions are commensurable or incommensurable. Moreover, the thesis asks whether the UPA government differs from its predecessors, most notably the Bharatiya Janata Party-led National Democratic Alliance government in its foreign and nuclear policies. Answers to these questions are based on the interpretation of political texts and speeches as suggested by Quentin Skinner’s notion of meaning3, what does a writer or speaker mean by what he or she says in a given text, and by J.L. Austin’s speech act theory. This linguistic perspective and the approach of intertextualizing, place the political acts within their contingent intellectual and political contexts. The notion of strategic culture is therefore introduced to provide context for these juxtapositions. The thesis firstly analyses the societal, historical and intellectual context of India’s foreign and nuclear policy. Following from this analysis the thesis then examines the foreign and nuclear policies of Prime Minister Manmo-han Singh’s UPA government. This analysis focuses on the texts, speeches and statements of Indian authorities between 2004 and 2008. This study forwards the following claims: firstly, the UPA Government conducts a foreign policy that is mainly and explicitly inclusive, open and enhancing, and it conducts a nuclear policy that is mainly and implicitly excluding, closed and protective. Secondly, despite the fact that the notion of military security is widely appreciated and does not, as such, necessarily collide with foreign policy, the UPA Government conducts a nuclear policy that is incommensurable with its foreign policy. Thirdly, the UPA Gov-ernment foreign and nuclear policies are, nevertheless, commensurable re-garding their internal intentions. Finally, the UPA Government is conduct-ing a nuclear policy that is gradually leading India towards having a triad of nuclear weapons with various platforms and device designs and a function-ing and robust command and control system encompassing political and military planning, decision-making and execution. Regarding the question of the possible differences between the UPA and NDA governments this thesis claims that, despite their different ideological roots and orientations in domestic affairs, the Indian National Congress Party conducts, perhaps surprisingly, quite a similar foreign and nuclear policy to the Bharatiya Janata Party.

Foreign Capital and Finland : Central government's first period of reliance on international financial markets, 1862-1938

The main objective of the study is to evaluate the Finnish central government s foreign borrowing between the years 1862 and 1938. Most of this period was characterised by deep capital market integration that bears resemblance to the liberal world financial order at the turn of the millennium. The main aim is to analyse the credit risk associated with the state and its determination by evaluating the world financial market centres perception of Finland. By doing this, the study is also expected to provide an additional dimension to Finland s political and economic history by incorporating into the research the assessments of international capital markets regarding Finland during a period that witnessed profound political and economic changes in Finnish society. The evaluation of the credit risk mainly relies on exchange-rate risk free time series of the state s foreign bonds. They have been collected from quotations in the stock exchanges in Helsinki, Hamburg, Paris and London. In addition, it investigates Finland s exposure to short-term debt and Moody s credit ratings assigned to Finland. The study emphasises the importance of the political risk. It suggests that the hey-day of the state s reliance on foreign capital markets took place during last few decades of the 19th century when Finland enjoyed a wide autonomy in the Russian Empire and prudently managed its economy, highlighted in Finland s adherence to the international gold standard. Political confrontations in Finland and, in particular, in Russia and the turbulence of the world financial system prevented the return of this beneficial position again. Through its issuance of foreign bonds the state was able to import substantial amounts of foreign capital, which was sorely needed to foster economic development in Finland. Moreover, the study argues that the state s presence in the western capital markets not only had economic benefits, but it also increased the international awareness of Finland s distinct and separate status in the Russian Empire and later underlined its position as an independent republic.

Halvennettu työ : Pätkätyö ja sukupuoli sopimusyhteiskuntaa edeltävissä työmarkkinakäytännöissä

Unvalued Work. Gender and fragmented labour before national collective bargaining Systematically irregular work creates economic and social insecurity. A novelty? To think that globalisation results in unprecedented labour conditions turns out to be questionable when the idea is put in perspective. In the light of history there is nothing new in the frequency of today s short-term employment, for instance, ranking genders in labour relations in an old custom. Unvalued Work (Halvennettu työ) examines the regulation and management of labour before the time of collective bargaining. In the study present trends engage in a dialogue with empirical findings from the past. Preventing trade unions to take the initiative has been and remains an employer interest. The analysis focuses on female employment in the 1920s and 1930s. The inferences challenge to ask on what conditions the history of Finnish labour relations warrants on the whole speaking of contractual security, stable earnings and regular waged work that provides livelihood. Success in selling one s labour is not synonymous with good employment that yields decent income. Juxtaposing labour relations between the world wars and the 21st century helps us to understand the currently transforming labour market. Present policies are informed by past choices and patterns of thought. Unvalued Work (Halvennettu työ) offers instruments for making sense of today s labour relations.

Venäjän politiikka ja perustuslaki : Tutkimus Venäjän perustuslakikäsitteistön kehityksestä 1900-luvulla

Constitutional politics in Russia, a conceptual history study of the constitutional rhetoric in the 20th century In April 2006 the Russian Constitution had its 100th anniversary. Following its late start, five constitutions have been adopted. The great number of constitutions is partly explained in my work by the fact that Russia s political system has changed many times, from one state system to another. From a monarchical state power, it changed first, with the October revolution, into the Russian Socialist Federal Soviet Republic, and after that, in 1924, into the Union of Soviet Socialist Republics. In 1991, the Russian Federation was established. The great number of constitutions can also be explained by the fact that in a one-party system, constitutional concepts became one of the most important instruments for introducing political programmes. When the political unity of the state was not only restricted by the Constitution, but also by the party ideology, the political debates concerning constitutional concepts were the key discussions for all the reformative pursuits of Soviet politics. It can be said that, in the Soviet Union, almost all political discourses dealt with constitutional concepts. In the context of restricted unity, the constitutional concepts were the most important tools to argue and create a basis for a new presentation and new political programmes. Thus, the basic feature of the Soviet political discourses has been a continuous competition regarding the constitutional concepts. By defining the constitutional concepts, a new, the political elites wanted especially to redefine, their own way, the traditional meanings of the October 1917 Revolution, and to differentiate them from those of the preceding period of power. From a methodological point of view, I argue that the Russian constitutional concepts make a conceptual historical approach very suitable, and change the focus on history. This approach studies history in contemporary contexts which follow after each other, and whose texts are the main research target. The picture of history is created through the interpretation of the original sources of contemporary contexts. Focusing on the dynamic and traditional characteristic of Russian constitutional concepts, I refer to a certain kind of value and the task of these concepts to justify and define the political and societal unity in every situation. This is done by combining the pursued future orientation of constitutional unity with the new acts of preservation of the traditional principles of the revolution. The different time layers of the constitutional concepts, the past, the present and the future, are the key aspects of storytelling in justifying the continuity and redefining the constitutional unity for the sake of reform. These aspects of constitutional concepts, in addition to all the other functions, have been the main elements of the argumentative structure of acting against opponents.

Towards a Critique of the Concept of the Right to Self-Determination in Africa : A Conceptual Examination and the Cases of Western Sahara, Southern Sudan and Eritrea

This thesis examines the right to self-determination which is a norm used for numerous purposes by multiple actors in the field of international relations, with relatively little clarity or agreement on the actual and potential meaning of the right. In international practice, however, the main focus in applying the right has been in the context of decolonization as set by the United Nations in its early decades. Thus, in Africa the right to self-determination has traditionally implied that the colonial territories, and particularly the populations within these territories, were to constitute the people who were entitled to the right. That is, self-determination by decolonization provided a framework for the construction of independent nation-states in Africa whilst other dimensions of the right remained largely or totally neglected. With the objective of assessing the scope, content, developments and interpretations of the right to self-determination in Africa, particularly with regard to the relevance of the right today, the thesis proceeds on two fundamental hypotheses. The first is that Mervyn Frost s theory of settled norms, among which he lists the right to self-determination, assumes too much. Even if the right to self-determination is a human right belonging to all peoples stipulated, inter alia, in the first Article of the 1966 International Human Rights Covenants, it is a highly politicized and context-bound right instead of being settled and observed in a way that its denial would need special justification. Still, the suggested inconsistency or non-compliance with the norm of self-determination is not intended to prove the uselessness or inappropriateness of the norm, but, on the contrary, to invite and encourage debate on the potential use and coverage of the right to self-determination. The second hypothesis is that within the concept of self-determination there are two normative dimensions. One is to do with the idea and practice of statehood, the nation and collectivity that may decide to conduct itself as an independent state. The other one is to do with self-determination as a human right, as a normative condition, to be enjoyed by people and peoples within states that supersedes state authority. These external and internal dimensions need to be seen as complementary and co-terminous, not as mutually exclusive alternatives. The thesis proceeds on the assumption that the internal dimension of the right, with human rights and democracy at its core, has not been considered as important as the external. In turn, this unbalanced and selective interpretation has managed to put the true normative purpose of the right making the world better and bringing more just polity models into a somewhat peculiar light. The right to self-determination in the African context is assessed through case studies of Western Sahara, Southern Sudan and Eritrea. The study asks what these cases say about the right to self-determination in Africa and what their lessons learnt could contribute to the understanding and relevance of the right in today s Africa. The study demonstrates that even in the context of decolonization, the application of the right to self-determination has been far from the consistent approach supposedly followed by the international community: in many respects similar colonial histories have easily led to rather different destinies. While Eritrea secured internationally recognized right to self-determination in the form of retroactive independence in 1993, international recognition of distinct Western Sahara and Southern Sudan entities is contingent on complex and problematic conditions being satisfied. Overall, it is a considerable challenge for international legality to meet empirical political reality in a meaningful way, so that the universal values attached to the norm of self-determination are not overlooked or compromised but rather reinforced in the process of implementing the right. Consequently, this thesis seeks a more comprehensive understanding of the right to self-determination with particular reference to post-colonial Africa and with an emphasis on the internal, human rights and democracy dimensions of the norm. It is considered that the right to self-determination cannot be perceived only as an inter-state issue as it is also very much an intra-state issue, including the possibility of different sub-state arrangements exercised under the right, for example, in the form of autonomy. At the same time, the option of independent statehood achieved through secession remains a mode of exercising and part of the right to self-determination. But in whatever form or way applied, the right to self-determination, as a normative instrument, should constitute and work as a norm that comprehensively brings more added value in terms of the objectives of human rights and democracy. From a normative perspective, a peoples right should not be allowed to transform and convert itself into a right of states. Finally, in light of the case studies of Western Sahara, Southern Sudan and Eritrea, the thesis suggests that our understanding of the right to self-determination should now reach beyond the post-colonial context in Africa. It appears that both the questions and answers to the most pertinent issues of self-determination in the cases studied must be increasingly sought within the postcolonial African state rather than solely in colonial history. In this vein, the right to self-determination can be seen not only as a tool for creating states but also as a way to transform the state itself from within. Any such genuinely post-colonial approach may imply a judicious reconsideration, adaptation or up-dating of the right and our understanding of it in order to render it meaningful in Africa today.

Small State Cultures of Consensus : State Traditions and Consensus-Seeking in the Neo-Corporatist and Neutrality Policies in Post-1945 Austria and Finland

Austria and Finland are persistently referred to as the “success stories” of post-1945 European history. Notwithstanding their different points of departure, in the course of the Cold War both countries portrayed themselves as small and neutral border-states in the world dictated by superpower politics. By the 1970s, both countries frequently ranked at the top end in various international classifications regarding economic development and well-being in society. This trend continues today. The study takes under scrutiny the concept of consensus which figures centrally in the two national narratives of post-1945 success. Given that the two domestic contexts as such only share few direct links with one another and are more obviously different than similar in terms of their geographical location, historical experiences and politico-cultural traditions, the analogies and variations in the anatomies of the post-1945 “cultures of consensus” provide an interesting topic for a historical comparative and cross-national examination. The main research question concerns the identification and analysis of the conceptual and procedural convergence points of the concepts of the state and consensus. The thesis is divided into six main chapters. After the introduction, the second chapter presents the theoretical framework in more detail by focusing on the key concepts of the study – the state and consensus. Chapter two also introduces the comparative historical and cross-national research angles. Chapter three grounds the key concepts of the state and consensus in the historical contexts of Austria and Finland by discussing the state, the nation and democracy in a longer term comparative perspective. The fourth and fifth chapter present case studies on the two policy fields, the “pillars”, upon which the post-1945 Austrian and Finnish cultures of consensus are argued to have rested. Chapter four deals with neo-corporatist features in the economic policy making and chapter five discusses the building up of domestic consensus regarding the key concepts of neutrality policies in the 1950s and 1960s. The study concludes that it was not consensus as such but the strikingly intense preoccupation with the theme of domestic consensus that cross-cut, in a curiously analogous manner, the policy-making processes studied. The main challenge for the post-1945 architects of Austrian and Finnish cultures of consensus was to find strategies and concepts for consensus-building which would be compatible with the principles of democracy. Discussed at the level of procedures, the most important finding of the study concerns the triangular mechanism of coordination, consultation and cooperation that set into motion and facilitated a new type of search for consensus in both post-war societies. In this triangle, the agency of the state was central, though in varying ways. The new conceptions concerning a small state’s position in the Cold War world also prompted cross-nationally perceivable willingness to reconsider inherited concepts and procedures of the state and the nation. At the same time, the ways of understanding the role of the state and its relation to society remained profoundly different in Austria and Finland and this basic difference was in many ways reflected in the concepts and procedures deployed in the search for consensus and management of domestic conflicts. For more detailed information, please consult the author.

Ett' varttuisi Suomenmaa : Suomalaisten kasvattaminen kulutusyhteiskuntaan kotimaisissa lyhytelokuvissa 1920-1969

The birth of the Modern Consumer Society in Finnish short films 1920-1969 The main subject of this research is Finnish short films in 1920-1969. These short films were produced by film studios for private enterprises, banks, advisory organizations, communities and the state. The evolution of short films on consumer affairs was greatly influenced by a special tax reduction system that was introduced in 1933 and lasted until 1964. The tax reduction system increased the production volumes of educational short films significantly. This study covers 342 Finnish short films, more than any other study in the field before this. The aim of this research is to examine how short films introduced Finns to modern consumer society. The cinemagoers were an excellent target group for different advisory groups as well as advertisers. Short films were used by organizations and private enterprises from very early on. In the 1920's Finns were still living in rural areas and agriculture was the dominant industry. Consumer society was still in its infancy, and the prevalent attitude to industrially produced goods was that of suspicion. From the cultural and ideological point of view the evolution of trust was one of the first steps towards the birth of the consumer society. Short films were an excellent means for helping to transform public attitudes. During the war period short films were an important means of propaganda. Short films were produced in abundance and shown for big audiences. They guided people how to survive shortages caused by the war. Even though the idea of rationalization was presented in short films somewhat in the 1920's and 1930's it became a national virtue during the war period. The idea of rationalization widened from the industry to households expecially in the late 1940's and the 1950's. New household apparati and the way in which daily chores were taken care of were presented not as luxury consumption but as a way of rationalization and saving money and effort. Banks and the advisory organizations guided the public to save their money for a specific target. Short films were use to help the public to acceps industrial goods and the notions of planning and saving. The ideological change from an agrarian society to consumer society was based on old acricultural ideas and self-sufficiency was evolved into rational and economizing consumerism. This made Finnish consumer society to value durable consumer goods and own homes. The public was also encouraged to consider their own decisions in the national context - especially after the second world war Finland laced capital, and personal savings were strongly presented as a way to help the whole nation. Modern hedonistic values were not dominant in Finland in the1950's and 1960's. Initial traces of modern hedonism can be seen in the films, but they were only marginal paths in the bigger.

Ethics of Justification : A Defence of Contractualism

In What We Owe to Each Other, T.M. Scanlon formulated a new version of the ethical theory called contractualism. This theory took reasons considerations that count in favour of judgment-sensitive attitudes to be the fundamental normative notion. It then used normative reasons to first account for evaluative properties. For an object to be valuable, on this view, is for it to have properties that provide reasons to have favourable attitudes towards the bearer of value. Scanlon also used reasons to account for moral wrongness. His contractualism claims that an act is morally wrong if it is forbidden by any set of moral principles that no one could reasonably reject. My thesis consists of five previously published articles which attempt to clarify Scanlon s theory and to defend it against its critics. The first article defends the idea that normative reason-relations are fundamental against Joshua Gert. Gert argues that rationality is a more basic notion than reasons and that reasons can be analysed in terms of their rationally requiring and justifying dimensions. The second article explores the relationship between value and reasons. It defends Scanlon s view according to which reasons are the more basic than value against those who think that reasons are based on the evaluative realm. The last three articles defend Scanlon s views about moral wrongness. The first one of them discusses a classic objection to contractualist theories. This objection is that principles which no one could reasonably reject are redundant in accounting for wrongness. This is because we need a prior notion of wrongness to select those principles and because such principles are not required to make actions wrong or to provide reasons against wrong actions. The fourth article explores the distinctive reasons which contractualists claim there are for avoiding the wrong actions. The last article argues against the critics of contractualism who claim that contractualism has implausible normative consequences for situations related to the treatment of different-sized groups of people.