Dynamic models of exchange rate dependence using option prices and historical returns

Models for the conditional joint distribution of the U.S. Dollar/Japanese Yen and Euro/Japanese Yen exchange rates, from November 2001 until June 2007, are evaluated and compared. The conditional dependency is allowed to vary across time, as a function of either historical returns or a combination of past return data and option-implied dependence estimates. Using prices of currency options that are available in the public domain, risk-neutral dependency expectations are extracted through a copula repre- sentation of the bivariate risk-neutral density. For this purpose, we employ either the one-parameter \Normal" or a two-parameter \Gumbel Mixture" specification. The latter provides forward-looking information regarding the overall degree of covariation, as well as, the level and direction of asymmetric dependence. Specifications that include option-based measures in their information set are found to outperform, in-sample and out-of-sample, models that rely solely on historical returns.

Taking the carbon out of the car

Effective measures are being taken to reduce emissions from cars, which are now emerging as a major contributor to climate change. Developed countries will need to reduce emissions by at least 80% by 2050 to achieve stabilization of atmospheric CO2 concentration between 450 and 550 ppm, and have a unique opportunity to avoid the most damaging effects of climate change. The UK is aiming at completely decarbonising transport by 2050 through a combination of more efficient vehicles, cleaner fuels, and smart driving choices. The European Commission has proposed a mandatory CO2 target on new car CO 2 efficiency, which is an urgent needed development. The nation is also using regulatory targets for local schemes, such as free parking or congestion charging, break points for company car tax, and vehicle excise duty. Car ownership and use should thereby continue to drive economic growth and enhance quality of life around the world without destroying the planet.

Breaking out of the silo mentality

The return to methods focusing on language and experience following the dominance of experimental methods has in the last few decades led to debate, dialogue, and disagreement regarding the status of qualitative and quantitative methods. However, a recent focus on impact has brought an air of pragmatism to the research arena. In what ways, then, is psychology moving from entrenched mono methods approaches that have epitomised its development until recently, to describing and discussing ways in which mixed and pluralistic research can advance and contribute to further, deeper psychological understanding?.

Implementing a knowledge management system within an NHS hospital:a case study exploring the roll-out of an Electronic Patient Record (EPR)

This research aims to contribute to understanding the implementation of knowledge management systems (KMS) in the field of health through a case study, leading to theory building and theory extension. We use the concept of the business process approach to knowledge management as a theoretical lens to analyse and explore how a large teaching hospital developed, executed and practically implemented a KMS. A qualitative study was conducted over a 2.5 year period with data collected from semi-structured interviews with eight members of the strategic management team, 12 clinical users and 20 patients in addition to non-participant observation of meetings and documents. The theoretical propositions strategy was used as the overarching approach for data analysis. Our case study provides evidence that true patient centred approaches to supporting care delivery with a KMS benefit from process thinking at both the planning and implementation stages, and an emphasis on the knowledge demands resulting from: the activities along the care pathways; where cross-overs in care occur; and knowledge sharing for the integration of care. The findings also suggest that despite the theoretical awareness of KMS implementation methodologies, the actual execution of such systems requires practice and learning. Flexible, fluid approaches through rehearsal are important and communications strategies should focus heavily on transparency incorporating both structured and unstructured communication methods.

Making mole-hills out of mountains:Peer Mentoring in Engineering education - A case-study

Based on the emergent findings of a pilot study which examined the issues around introducing Peer Mentoring into an Engineering School, this paper, which is very much a 'work in progress', describes and discusses results from the first year of what will be a three year exploratory study. Focusing on three distinctive concepts integral to the student experience, Relationships, Variety and Synergy, the study follows an Action Research Design in that it aims to find a realistic and workable solution to issues of attrition within the Engineering School in which the Project and Study are set. Starting with the research question "Does Peer Mentoring improve engineering students' transition into university?"', the Pilot Project and Study will run for three years, each year building on the lessons of the previous year.

Inflation forecasting, relative price variability and skewness

This article presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness. © 2010 Taylor & Francis.

Out of credit: Evaluating the impact of the EU structural funds on Hungarian small business growth and access to finance

Totaling EUR 29 billion, Hungary is in the midst of implementing its largest economic development program in its young democratic history. At the center of the European Union led development program is an effort to revitalize and reequip Hungary’s languishing small and medium sized enterprises (SME), long the country's heart of employment. This paper examines the efficiency and impact of two Structural Fund's instruments to enhance SME development – ECOP 2.1.1 and JEREMIE. A survey of 1275 SME and interviews with dozens of top policy-makers paint a flawed development program in dire need of reform. Despite this, empirical analysis suggests JEREMIE funds may have dampened the effects of the financial crisis and are crucial for the continued liquidity of SME, who have been particularly hit hard by the world financial crisis.

The role of longevity risk in Hungary

In this paper, I analyze the role of longevity risk in Hungary in the public pension system and the life annuity segment of the life insurance market, which are two primary financial sectors of relevance to this special type of actuarial risk, using state-of-the- art econometric methodology. To this end, I present an overview and the mathematical background of several important current mortality forecasting techniques from the Lee–Carter model up to unifying paradigm of the Age–Period–Cohort family of models. After presenting the findings of a case study on the public pension system based on the paper of Bajk ́o, Maknics, T ́oth and V ́ekas, I conclude that longevity risk jeopardizes the sustainability of the Hungarian public pension system in the long run. In another case study, I present an analysis of the role of longevity risk in the pre- mium of private pension annuities, a relevant topic due to recent changes in a law on Hungarian voluntary pension funds, following an earlier analysis of M ́ajer and Kov ́acs. Based on the criterion on out-of-sample forecasting accuracy, I find that the Cairns–Blake– Dowd mortality forecasting model aimed specifically at modeling old-age mortality outperforms the Lee–Carter model applied by M ́ajer and Kov ́acs . Based on numerical results, I finally conclude that the role of longevity risk in the Hungarian life annuity mar- ket has increased significantly in the past decade and is likely to further increase in the future.

Two Decades Out of the Whirlpool: Past (and Possible Future) United States Interventions in Latin America [Student's Paper Series]

This paper examines the history of U.S. interventions in Latin America and attempts to explain their frequency by highlighting two factors – besides security and economic interests – that have made American interventions in Latin America so common. First, immense differences in size and influence between the United States and the States of Latin America have made interventions appear to be a low risk solution to crises that threaten American interests in the region. Second, when U.S government concerns and aspirations for Latin America converge with the general fears and aspirations of American foreign policy, interventions become much more likely. Such a convergence pushes Latin American issues high up the U.S. foreign policy agenda because of the region’s proximity to the United States and the perception that costs of intervening are low. The leads proponents of intervention to begin asking questions like “if we cannot stop communism/revolutions/drug-trafficking in Latin America, where can we stop it?” This article traces how these factors influenced the decision to intervene in Latin America during the era of Dollar Diplomacy and during the Cold War. It concludes with three possible scenarios that could lead to a reemergence of an American interventionist policy in Latin America. It makes the argument that even though the United Sates has not intervened in Latin America during the twenty-two years, it is far from clear that American interventions in Latin America will be consigned to the past.

Out of Challenge, Opportunity: Central America's Electric Sector & Key Issues and Recommendations for Enhanced Regional Electric Integration

Taken together, the six nations of Central America count a population of roughly 40 million people and an energy market equal in size to that of Colombia, sufficient to benefit from economies of scale. The region has traditionally been a net importer of hydrocarbons, and hydroelectricity has dominated electric generation. But more recently, thermoelectric generation (diesel and fuel oil) has greatly increased as a percentage of the regional generation market. Progress has been made across the region’s electric sector, beginning with reforms in the 1990s and the 1996 signing of a regional treaty aimed at the development of a regional energy integration project – the Central American Electrical Interconnection System, or SIEPAC. A fundamental SIEPAC goal is to set up a regional electric market and a regulatory system. Indeed, after many years of development, SIEPAC is poised to open a new chapter in Central America’s electric infrastructure and market. But this new era must contend with critical issues such as the need to consolidate the regional electric market, political issues surrounding the venture, and security concerns. Moreover, local conflicts, in different degrees, have become priorities for policymakers, and these are possible barriers to completing the project. The goals of the SIEPAC project and of deepening the broader electric integration process are possible if national and regional decision makers understand that cooperative decision making will produce better results than separate national decision making. Enhanced regional understanding and cooperative decision making, combined with an effort to reorient the terminology and dialogue vis-à-vis energy efficiency in Central America, form the core recommendations of this paper.

Take the "Con" Out of Consulting in the Food Service Industry

Consultants can help a food service operator with almost any problem which needs solving. Howeve6 the manager must "manage" the consultant. The author offers a design for planning for hiring and evaluating the work of anyone given the job of analyzing existing systems and diagnosing problems.

Taking the Bite Out of Higher Payroll Costs

Congress, in an attempt to help underemployed individuals, has once again passed a job hiring tax incentive program called the Work Incentive Taw Credit. This article will provide a brief review of the law and offer planning tips for hospitality firms which wish to reduce their payroll costs.

The Effect of Sample and Sample Matrix on DNA Processing: Mechanisms for the Detection and Management of Inhibition in Forensic Samples

The presence of inhibitory substances in biological forensic samples has, and continues to affect the quality of the data generated following DNA typing processes. Although the chemistries used during the procedures have been enhanced to mitigate the effects of these deleterious compounds, some challenges remain. Inhibitors can be components of the samples, the substrate where samples were deposited or chemical(s) associated to the DNA purification step. Therefore, a thorough understanding of the extraction processes and their ability to handle the various types of inhibitory substances can help define the best analytical processing for any given sample. A series of experiments were conducted to establish the inhibition tolerance of quantification and amplification kits using common inhibitory substances in order to determine if current laboratory practices are optimal for identifying potential problems associated with inhibition. DART mass spectrometry was used to determine the amount of inhibitor carryover after sample purification, its correlation to the initial inhibitor input in the sample and the overall effect in the results. Finally, a novel alternative at gathering investigative leads from samples that would otherwise be ineffective for DNA typing due to the large amounts of inhibitory substances and/or environmental degradation was tested. This included generating data associated with microbial peak signatures to identify locations of clandestine human graves. Results demonstrate that the current methods for assessing inhibition are not necessarily accurate, as samples that appear inhibited in the quantification process can yield full DNA profiles, while those that do not indicate inhibition may suffer from lowered amplification efficiency or PCR artifacts. The extraction methods tested were able to remove >90% of the inhibitors from all samples with the exception of phenol, which was present in variable amounts whenever the organic extraction approach was utilized. Although the results attained suggested that most inhibitors produce minimal effect on downstream applications, analysts should practice caution when selecting the best extraction method for particular samples, as casework DNA samples are often present in small quantities and can contain an overwhelming amount of inhibitory substances.