Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

An economic evaluation of the Safe Motherhood programme in Guangxi, China

Maternal and infant mortality is a global health issue with a significant social and economic impact. Each year, over half a million women worldwide die due to complications related to pregnancy or childbirth, four million infants die in the first 28 days of life, and eight million infants die in the first year. Ninety-nine percent of maternal and infant deaths are in developing countries. Reducing maternal and infant mortality is among the key international development goals. In China, the national maternal mortality ratio and infant mortality rate were reduced greatly in the past two decades, yet a large discrepancy remains between urban and rural areas. To address this problem, a large-scale Safe Motherhood Programme was initiated in 2000. The programme was implemented in Guangxi in 2003. Interventions in the programme included both demand-side and supply side-interventions focusing on increasing health service use and improving birth outcomes. Little is known about the effects and economic outcomes of the Safe Motherhood Programme in Guangxi, although it has been implemented for seven years. The aim of this research is to estimate the effectiveness and cost-effectiveness of the interventions in the Safe Motherhood Programme in Guangxi, China. The objectives of this research include: 1. To evaluate whether the changes of health service use and birth outcomes are associated with the interventions in the Safe Motherhood Programme. 2. To estimate the cost-effectiveness of the interventions in the Safe Motherhood Programme and quantify the uncertainty surrounding the decision. 3. To assess the expected value of perfect information associated with both the whole decision and individual parameters, and interpret the findings to inform priority setting in further research and policy making in this area. A quasi-experimental study design was used in this research to assess the effectiveness of the programme in increasing health service use and improving birth outcomes. The study subjects were 51 intervention counties and 30 control counties. Data on the health service use, birth outcomes and socio-economic factors from 2001 to 2007 were collected from the programme database and statistical yearbooks. Based on the profile plots of the data, general linear mixed models were used to evaluate the effectiveness of the programme while controlling for the effects of baseline levels of the response variables, change of socio-economic factors over time and correlations among repeated measurements from the same county. Redundant multicollinear variables were deleted from the mixed model using the results of the multicollinearity diagnoses. For each response variable, the best covariance structure was selected from 15 alternatives according to the fit statistics including Akaike information criterion, Finite-population corrected Akaike information criterion, and Schwarz.s Bayesian information criterion. Residual diagnostics were used to validate the model assumptions. Statistical inferences were made to show the effect of the programme on health service use and birth outcomes. A decision analytic model was developed to evaluate the cost-effectiveness of the programme, quantify the decision uncertainty, and estimate the expected value of perfect information associated with the decision. The model was used to describe the transitions between health states for women and infants and reflect the change of both costs and health benefits associated with implementing the programme. Result gained from the mixed models and other relevant evidence identified were synthesised appropriately to inform the input parameters of the model. Incremental cost-effectiveness ratios of the programme were calculated for the two groups of intervention counties over time. Uncertainty surrounding the parameters was dealt with using probabilistic sensitivity analysis, and uncertainty relating to model assumptions was handled using scenario analysis. Finally the expected value of perfect information for both the whole model and individual parameters in the model were estimated to inform priority setting in further research in this area.The annual change rates of the antenatal care rate and the institutionalised delivery rate were improved significantly in the intervention counties after the programme was implemented. Significant improvements were also found in the annual change rates of the maternal mortality ratio, the infant mortality rate, the incidence rate of neonatal tetanus and the mortality rate of neonatal tetanus in the intervention counties after the implementation of the programme. The annual change rate of the neonatal mortality rate was also improved, although the improvement was only close to statistical significance. The influences of the socio-economic factors on the health service use indicators and birth outcomes were identified. The rural income per capita had a significant positive impact on the health service use indicators, and a significant negative impact on the birth outcomes. The number of beds in healthcare institutions per 1,000 population and the number of rural telephone subscribers per 1,000 were found to be positively significantly related to the institutionalised delivery rate. The length of highway per square kilometre negatively influenced the maternal mortality ratio. The percentage of employed persons in the primary industry had a significant negative impact on the institutionalised delivery rate, and a significant positive impact on the infant mortality rate and neonatal mortality rate. The incremental costs of implementing the programme over the existing practice were US $11.1 million from the societal perspective, and US $13.8 million from the perspective of the Ministry of Health. Overall, 28,711 life years were generated by the programme, producing an overall incremental cost-effectiveness ratio of US $386 from the societal perspective, and US $480 from the perspective of the Ministry of Health, both of which were below the threshold willingness-to-pay ratio of US $675. The expected net monetary benefit generated by the programme was US $8.3 million from the societal perspective, and US $5.5 million from the perspective of the Ministry of Health. The overall probability that the programme was cost-effective was 0.93 and 0.89 from the two perspectives, respectively. The incremental cost-effectiveness ratio of the programme was insensitive to the different estimates of the three parameters relating to the model assumptions. Further research could be conducted to reduce the uncertainty surrounding the decision, in which the upper limit of investment was US $0.6 million from the societal perspective, and US $1.3 million from the perspective of the Ministry of Health. It is also worthwhile to get a more precise estimate of the improvement of infant mortality rate. The population expected value of perfect information for individual parameters associated with this parameter was US $0.99 million from the societal perspective, and US $1.14 million from the perspective of the Ministry of Health. The findings from this study have shown that the interventions in the Safe Motherhood Programme were both effective and cost-effective in increasing health service use and improving birth outcomes in rural areas of Guangxi, China. Therefore, the programme represents a good public health investment and should be adopted and further expanded to an even broader area if possible. This research provides economic evidence to inform efficient decision making in improving maternal and infant health in developing countries.

Economic prosperity, suburbanization, and the creative workforce : findings from Australian suburban communities

This paper considers the changing relationship between economic prosperity and Australian suburbs, noting that what has been termed “the first suburban nation” in experiencing an intensification of suburban growth in the 2000s, in the context of economic globalization. The paper reports on a three-year Australian Research Council funded project into “Creative Suburbia”, identifying the significant percentage of the creative industries workforce who live in suburban areas. Drawing on case studies from suburbs in the Australian cities of Brisbane and Melbourne, it notes the contrasts between the experience of these workers, who are generally positive towards suburban life, and the underlying assumptions of “creative cities” policy discourse that such workers prefer to be concentrated in high density inner urban creative clusters.

Why evolutionary realism underpins evolutionary economic analysis and theory

This paper offers a reply to Jochen Runde's critical appraisal of the ontological framework underpinning Dopfer and Potts's (2008) General Theory of Economic Evolution. We argue that Runde's comprehensive critique contains several of what we perceive to be misunderstandings in relation to the key concepts of ‘generic’ and ‘meso’ that we seek here to unpack and redress.

The risks and returns of new public management : political business

Purpose – This article aims to consider success in terms of the financial returns and risks of new public management (NPM) in state-owned enterprises (SOEs). Design/methodology/approach – Financial returns of New Zealand SOEs were examined through a review of their annual reports over a five-year period. Dimensions of risk were examined through interviews conducted in two phases over a two-year period with senior executives from 12 of the (then) 17 SOEs operating in New Zealand. Findings – Findings indicate the potential for SOEs to operate as profitable government investments, with clear support for positive financial returns under NPM. However, variations noted within individual SOEs also indicate that profitable and commercial operations may not be possible in all cases. An examination of the risks associated with SOEs’ operations reveals a number of dimensions of risk, encompassing financial, political (including regulatory), reputational, and public accountability aspects. Practical implications – There is a need for an enhanced awareness on the part of internal and external stakeholders (such as the government and general public) of the risks SOEs face in pursuing higher levels of profitability. Also required, is a more acute understanding on the part of internal and external stakeholders (e.g. government and the public) of the need for SOEs to manage the range of risks identified, given the potentially delicate balance between risk and return. Originality/value – While previous studies have considered the financial returns of SOEs, or the risks faced by the public sector in terms of accountability, few have addressed the two issues collectively in a single context.

School education as social and economic governance : responsibilising communities through industry-school engagement

This article examines shifts in educational and social governance taking place in Queensland, Australia, through Industry School Engagement Strategy of Education Queensland and its Gateway Schools program. This significant educational initiative is set within the context of the social investment agenda first articulated in the education policy framework, Queensland State Education-2010. The article traces the historic extension of this governmental strategy through establishment of the Gateway Schools concept that brokers industry-school partnerships with global players in the Queensland economy. Industry sectors forming the partnerships include Minerals and Energy, Aerospace, Wine Tourism, Agribusiness, Manufacturing and Engineering, Building and Construction and ICT. We argue that this ‘post-bureaucratic’ model of schooling represents a new social settlement of neoliberal governance, in which educational outcomes align with economic objectives, and frame the conditions for community self-governance.

The role of universities in building prosperous knowledge cities : the Malaysian experience

This paper explores the role and importance of universities, particularly in the Malaysian context, for building prosperous knowledge cities of the rising knowledge economy. It aims to shed light on how universities contribute to the knowledge-based development of Malaysian cities by undertaking a case study investigation. In the case of Bandar Seri Iskandar, the paper scrutinises the creation – from scratch – of a knowledge city, including the establishment of new public and private universities and hence providing a unique opportunity to understand how the idea of the knowledge economy has permeated economic development policy within a developing country context. The research findings reveal that in Malaysia, much like many of the developed countries, universities are being positioned to play a major role in supporting knowledge city (trans)formation. While there has been a tangible success on the spatial development based on a rapid land use change towards accommodating knowledge-intensive land use and activities, the research reports that a more concerted and coordinated effort from academia, public and private sectors are needed to further foster the growth and development of economical, environmental, institutional and social aspects of Bandar Seri Iskandar to become a fully functioning prosperous knowledge city.

Using visuals to explore the contextual aspects of user-product interactions

Experience underlies all kinds of human knowledge and it is dependent on context. People’s experience within a particular context-of-use determines how they interact with products. Methods employed in this research to elicit human experience have included the use of visuals. This paper describes two empirical studies that employed visual representation of concepts as a means to explore the experiential and contextual component of user- product interactions. One study employed visuals that the participants produced during the study. The other employed visuals that the researcher used as prompts during a focus group session. This paper demonstrates that using visuals in design research is valuable for exploring and understanding the contextual aspects of human experience and its influence on people’s concepts of product use.

Social Procurement: Promoting the sustainability of NPOs through the transformation of economic, social and cultural capital

Social procurement provides a key source of income for the Third Sector, and is vital for the sustainability of many nonprofit organisations. Social procurement involves the exchange of economic capital from one organisation, typically government (although for-profit and non-profit organisations can also purchase), with a nonprofit organisations in order to deliver other forms of. It is this transformation of economic capital into other forms of capital (cultural, human, social) in the social procurement process, which is the focus of this paper. Four case studies, which are representative of the four main types of social procurement, will be examined in order to trace how economic capital is transformed into other types of capital in each of these cases. In so doing, the paper will advance our understanding of social procurement theoretically, and lead to a wider discussion about the role of social procurement in ensuring the sustainability of nonprofit organisations, and the civil societies in which they operate.