A note on estimating market–based minimum capital risk requirements: a multivariate GARCH approach

Internal risk management models of the kind popularized by J. P. Morgan are now used widely by the world’s most sophisticated financial institutions as a means of measuring risk. Using the returns on three of the most popular futures contracts on the London International Financial Futures Exchange, in this paper we investigate the possibility of using multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models for the calculation of minimum capital risk requirements (MCRRs). We propose a method for the estimation of the value at risk of a portfolio based on a multivariate GARCH model. We find that the consideration of the correlation between the contracts can lead to more accurate, and therefore more appropriate, MCRRs compared with the values obtained from a univariate approach to the problem.

Selecting from amongst non–nested conditional variance models: information criteria and portfolio determination

We consider the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Recent theoretical results show that certain popular criteria are consistent in that they will select the true model asymptotically with probability 1. To examine the empirical relevance of this property, Monte Carlo simulations are conducted for a set of non–nested data generating processes (DGPs) with the set of candidate models consisting of all types of model used as DGPs. In addition, not only is the best model considered but also those with similar values of the information criterion, called close competitors, thus forming a portfolio of eligible models. To supplement the simulations, the criteria are applied to a set of economic and financial series. In the simulations, the criteria are largely ineffective at identifying the correct model, either as best or a close competitor, the parsimonious GARCH(1, 1) model being preferred for most DGPs. In contrast, asymmetric models are generally selected to represent actual data. This leads to the conjecture that the properties of parameterizations of processes commonly used to model heteroscedastic data are more similar than may be imagined and that more attention needs to be paid to the behaviour of the standardized disturbances of such models, both in simulation exercises and in empirical modelling.

Flatpack revolution

The project consists of a trilogy of films and a live performance. The Future trilogy takes IKEA riot of 2005 as the starting point for a speculative history of a fictional future, culminating in a choreographed re-enactment of the original event. Shot on 16mm and 8mm film, the series explores the possibility of collective action emerging from the capitalist relations inherent in the consumer riot. The live performance No Haus Like Bau, staged at the HAU 1 theatre in Berlin for the 5th Berlin Biennale, continues this research into re-enactment and post-1989 politics by dramatizing the rise and fall of the soviet union as a neo-Constructivist mime using a stage set made of flatpack furniture. Using the aesthetics of Modernism and the avant garde, from Constructivist and Futurist constumes to biomechanics and Bauhaus theatre theory, the project transposes early twentieth century utopian ideology to a present day setting where mass uprisings are motivated by cheap commodities. These explorations of consumerism and revolution have been widely exhibited internationally and supported by Film London, Arts Council England, Collective Gallery and the Berlin Biennale. The Future Trilogy formed the basis of a solo exhibition at the Te Tuhi Art Centre in Auckland, New Zealand and was screened as part of the Signal and Noise media art festival in Vancouver, as well as other exhibitions and screenings including “Roll it to Me” at Collective Gallery, Edinburgh, and Apocatopia, Castlefield Gallery, Manchester.

The cult of the Duce: Mussolini and the Italians

This is an edited volume of essays (to which I, as one of the three joint editors, have contributed three essays) that explores the cult of Mussolini from a variety of perspectives: historical, political, art historical, literary and cinematic. Much of the focus is on the period from 1919 to 1945, but there are also sections dealing with the cult of Mussolini after the Second World War.

Adoption of ICT among small business: vision vs. reality

The aim of this paper is to present a case study of the adoption of Information and Communication Technologies (ICT) among 6000 small businesses within a locality of Greater Manchester, England. The paper presents an analysis of factors affecting adoption and discusses the wider implications for achieving the European vision of regional 'digital ecosystems".

Small business collaboration through electronic marketplace

It is widely recognized that small businesses with less than 50 employees make significant contributions to the prosperity of local, regional, and national economies. They are a major source of job creation and a driving force of economic growth for developed countries like the USA (Headd, 2005; SBA, 2005), the UK (Dixon, Thompson, & McAllister, 2002; SBS, 2005), Europe (European Commission, 2003), and developing countries such as China (Bo, 2005). The economic potential is further strengthened when firms collaborate with each other; for example, formation of a supply chain, strategic alliances, or sharing of information and resources (Horvath, 2001; O’Donnell, Cilmore, Cummins, & Carson, 2001; MacGregor, 2004; Todeva & Knoke, 2005). Owing to heterogeneous aspects of small businesses, such as firm size and business sector, a single e-business solution is unlikely to be suitable for all firms (Dixon et al., 2002; Taylor & Murphy, 2004a); however, collaboration requires individual firms to adopt standardized, simplified solutions based on open architectures and data design (Horvath, 2001). The purpose of this article is to propose a conceptual e-business framework and a generic e-catalogue, which enables small businesses to collaborate through the creation of an e-marketplace. To assist with the task, analysis of data from 6,000 small businesses situated within a locality of Greater Manchester, England within the context of an e-business portal is incorporated within this study.