Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities

Published also as: Documento de Trabajo Banco de España 0504/2005.

Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and three alternative risk-adjustments: the classic power and exponential utility functions and a habit-based specification that allows for a counter-cyclical variation of risk aversion. Our results show that at four-week horizon we can reject the hypothesis that between October 1996 and March 2000 the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at a four-week horizon. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. All risk-adjusted densities generate similar forecasting statistics. Then, at least for a horizon of four-weeks, the actual risk adjustment does not seem to be the issue. By contrast, at the one-week horizon risk-adjusted densities do not improve the forecasting ability of the risk-neutral counterparts.

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

Environmental judgment in early childhood and its relationship with the understanding of the concept of living beings

The evidence collected concerning the biocentric judgment that young children express when evaluating human actions on the environment leads some scholars to suggest that an essential understanding of the notion of living beings should appear earlier than previously believed. This research project aims to study that assumption. To this end, young children’s choice when they are put in situation of having to compare and choose the most negative option between environmentally harmful actions and the breaking of social conventions are examined. Afterwards, the results are categorized in relation to those obtained from the study of children’s grasp of the distinction between living beings and inanimate entities. The data is analysed according to the individuals’ age and overall, it suggests a lack of relationship between environmental judgment and the understanding of the concept of living beings. The final results are discussed in keeping with recent research in the field of moral development that underscores the role that unconscious emotional processing plays in the individual’s normative judgment.

Towards a participatory integrated assessment approach for planning and managing Natura 2000 network sites

Managing protected areas implies dealing with complex social-ecological systems where multiple dimensions (social, institutional, economic and ecological) interact over time for the delivery of ecosystem services. Uni-dimensional and top-down management approaches have been unable to capture this complexity. Instead, new integrated approaches that acknowledge the diversity of social actors in the decision making process are required. In this paper we put forward a novel participatory assessment approach which integrates multiple methodologies to reflect different value articulating institutions in the case of a Natura 2000 network site in the Basque Country. It integrates within a social multi-criteria evaluation framework, both the economic values of ecosystem services through a choice experiment model and ecological values by means of a spatial bio-geographic assessment. By capturing confronting social and institutional conflicts in protected areas the participatory integrated assessment approach presented here can help decision makers for better planning and managing Natura 2000 sites.

Which policy option can be more cost-effective in promoting the use of energy efficient appliances in Europe? A comparison of energy taxes, subsidies, tax credits and bans.

4 p.

O constitucionalismo solidário: responsabilidade, democracia e inclusão

A presente dissertação tem por objetivo analisar a solidariedade social e sua projeção no sistema constitucional brasileiro, buscando definir seus contornos, fundamentos e limites na efetivação de políticas públicas e decisões judiciais. Ademais, busca-se na presente dissertação demarcar os limites e possibilidades da solidariedade enquanto valor que norteia o campo da política, notadamente na prática democrática. O estudo parte de uma análise histórica e filosófica para contextualizar a solidariedade como princípio jurídico que fundamenta direitos e deveres e que encontra nas demandas por reconhecimento das diferenças seu maior campo de incidência. Na política, a solidariedade se abre à opção de uma democracia anti-elitista que tem no conflito, na tolerância e nas divergências as pedras de toque que proporcionam uma dinâmica que respeita as diferenças e geram cooperação social por conta dessa estima intersubjetiva. Os deveres de reconhecimento intersubjetivo e de estima social possibilitam uma construção social dialógica e interacional, na qual seus sujeitos são respeitados como seres livres e iguais, dignos de igual respeito e consideração. Tal afirmativa é colocada a prova quando da viabilidade constitucional da cota racial nas Universidades Públicas brasileiras. Da mesma forma, a solidariedade se projeta para o campo jurídico devido a sua positivação na Constituição brasileira de 1988 como princípio/objetivo fundamental da República Federativa do Brasil. Deste modo, a jurisprudência do Supremo Tribunal Federal vem lançando mão do princípio fundamental da solidariedade para fundamentar decisões que envolvam deveres fundamentais de redistribuição e reconhecimento. Tais decisões nos permitem traçar um conteúdo mínimo desse princípio à luz da ordem social e cultural brasileira que, aliás, não foi deixada de lado em nenhum momento no decorrer do estudo. Esse conteúdo material encontra nos deveres de redistribuição e reconhecimento, principalmente neste último, seu suporte de eficácia jurídica, viabilizando, em certos momentos, até uma aplicação direta da solidariedade por meio dos deveres.

River-based artificial propagation of the African catfish Clarias gariepinus: an option for the small fish farmer

A cheap method of propagating the African catfish, Clarias gariepinus, by incubating the fertilized eggs in a cage placed directly in a flowing river is described. Hatching ranged between 39 and 70%. This is not significantly different from the commonly used water recirculating flow through system. The economic advantages of the river hatching method are discussed with special emphasis on the rural fish farmers.

Analysis of dimensions involved in the option of improved fish curing practices

A statistical analysis was made of the dimensions involved in the adoption of improved fish curing practices.

The water hyacinth problem and the biological control option in the highland lake region of the upper Nile basin: Uganda's experience

The rapid proliferation and extensive spread of water hyacinth Eichhornia crassipes (Mart) Solms in the highland lakes of the Nile Basin within less than 15 years of introduction into the basin in the 1980s pauses potential environmental and social economic menace if the noxious weed is not controlled soon. The water weed has spread all round Lake Victoria and, in Uganda where infes tation is mos t severe, water hyacinth estimated at 1,330,000 ton smothers over 2,000 ha of the lakeshore (August,1994). Lake Kyoga which already constantly supplies River Nile with the weed is infested with over 570 ha, while over 80% of the river course in Uganda is fringed on either side with an average width of about 5m of water hyacinth. As the impact of infestation with water hyacinth on water quality and availability, transportation by water, fishing activities, fisheries ecology, hydro-power generation etc becomes clear in Uganda, serious discussion is under way on how to control and manage the noxious weed. This paper pauses some of the questions being asked regarding the possible application of mechanical and chemical means to control the water weed.Uganda has already initiated the use of biological control of water hyacinth on Lake Kyoga with a strategy to use two weevils namely Neochetinabruchi and Neochetina eichhorniae. The strategy to build capacity and infrastructure for mass multiplication and deployment of biological control of the weevils in the field developed in Uganda by the Fisheries Research Insti tu te (FIRI) and the Namulonge Agricultural and Animal production Research Insti tute (NAARI) is proposed in outline for evaluation. Plans to deploy this strategy on lake Kyoga are under way