The Forecast Performance of Model-Free Implied Volatility: Evidence from DAX Index Options

Volatility has a central role in various theoretical and practical applications in financial markets. These include the applications related to portfolio theory, derivatives pricing and financial risk management. Both theoretical and practical applications require good estimates and forecasts for the asset return volatility. The goal of this study is to examine the forecast performance of one of the more recent volatility measures, model-free implied volatility. Model-free implied volatility is extracted from the prices in the option markets, and it aims to provide an unbiased estimate for the market’s expectation on the future level of volatility. Since it is extracted from the option prices, model-free implied volatility should contain all the relevant information that the market participants have. Moreover, model-free implied volatility requires less restrictive assumptions than the commonly used Black-Scholes implied volatility, which means that it should be less biased estimate for the market’s expectations. Therefore, it should also be a better forecast for the future volatility. The forecast performance of model-free implied volatility is evaluated by comparing it to the forecast performance of Black-Scholes implied volatility and GARCH(1,1) forecast. Weekly forecasts for six years period were calculated for the forecasted variable, German stock market index DAX. The data consisted of price observations for DAX index options. The forecast performance was measured using econometric methods, which aimed to capture the biasedness, accuracy and the information content of the forecasts. The results of the study suggest that the forecast performance of model-free implied volatility is superior to forecast performance of GARCH(1,1) forecast. However, the results also suggest that the forecast performance of model-free implied volatility is not as good as the forecast performance of Black-Scholes implied volatility, which is against the hypotheses based on theory. The results of this study are consistent with the majority of prior research on the subject.

Almond and peanut flours suppelmented with iron as potential ingredients to develop gluten-free cookies

Brazil is the second biggest worldwide producer of cookies and there are many varieties in the market; however, only a few are gluten-free. The objectives of this work were to formulate two gluten-free cookies added with iron, peanut or almond, and analyze their physicochemical, chromatic and sensory properties. Moisture, instrumental color (L*, a*, b* and C*), ash, proteins, lipids, iron, carbohydrates (estimated by difference), and water activity were determined. The acceptance of the products was assessed by 115 untrained taste panelists using a five-point hedonic scale. The data collected from the physicochemical analyses were submitted to Levene's, ANOVA, and Tukey's tests, which showed statistical difference (p < 0.05) in all the attributes for centesimal composition, water activity, and color of the cookies. Peanut and almond cookies could be considered sources of iron once they presented at least 15% of the daily recommended value of intake. They also garnered acceptance indexes of 80 and 85%, respectively, concluding that both formulations developed in this study were source of iron and contained high concentration of lipids and proteins with great sensory acceptance, suggesting their potential consumption by gluten-intolerants.

Development of gluten-free cookie from medicinal plants (Guaraná - Paullinea cupana and Catuaba - Anemopaegma mirandum) aiming at copper, iron, and zinc supplementation

Two flavors of cookies were developed (savory and peppery) containing a mixture of plants such as "guaraná" (Paullinia cupana) and "catuaba" (Anemopaegma mirandum). A test of acceptance and buying intention was applied to 48 consumers through a structured hedonic scale of 9 points. Afterwards, the centesimal compositions of these cookies were obtained as well as their total contents of copper, iron, and zinc through the method of atomic absorption spectrometry with flame. Sensorial tests indicated that the cookies presented good acceptance with potential to sensorial growth. The amount of fibers in the samples, 3 g/100 g, surpassed expectations since the product was not invented with the intention of being a source of this nutrient. The total amount of copper (0.41 mg.100 g-1), iron (4.50 mg.100 g-1), and zinc (1.32 mg.100 g-1) was considered good. The cookies produced can be considered good sources of fibers, copper, iron, and zinc. Furthermore, they are beneficial to people affected by celiac disease because they lack gluten. They also present functional properties. In addition, the medicinal plants used are considered energetic.

Obtention and characterization of gluten-free baked products

This work had as objective the development of gluten-free breads and muffins using rice flour and maize and cassava starches. From seven samples resulting from a Simplex-Centroid design, the sensory and instrumental analyses of specific volume, elasticity, and firmness were performed. For the sensory analysis, the optimized formulation contained 50% of rice flour and 50% of cassava starch, and for the instrumental evaluation, the optimal simultaneous point for the three conducted analyses were 20% of rice flour, 30% of cassava starch, and 50% of maize starch. A comparative analysis of specific volume, elasticity, firmness, and triangular test was performed with pre-baked, baked, and frozen bread. Physicochemical, nutritional, and microbiological analyses were performed for both bread and muffin according to the Brazilian legislation.

Macrocospic and physiochemical characterization of a sugarless and gluten-free cake enriched with fibers made from pumpkin seed (Cucurbita maxima, L.) flour and cornstarch

The Consumers' interest for products with caloric reduction has increased, and their development is a technological challenge. The consumption of cakes has grown in importance and the demand for dietary products has stimulated the use of sweeteners and the optimization of bakery products. The consumption of fibers is related to chronic diseases prevention. Pumpkin seeds (maximum Cucurbita, L.), rich in fibers, can be used as a source of fiber in food products. A gluten-free diet is not easy to follow since gluten free products are not always available. The objective of this work was to perform a physicochemical characterization of cakes prepared with flours blends (FB) based on Pumpkin Seed Flour (PSF). The cakes were elaborated with FB in the ratios of 30:70 (C30) and 40:60 (C40) of PSF and cornstarch (CS), respectively. The results showed gluten absence and near-neutral pH. The chemical analysis of C30 and B40 showed increase of ashes, lipids, proteins, and insoluble dietary fiber and a decrease in the content of carbohydrates and calories. The chemical composition of C40 presented the greatest content of lipids, proteins, and dietary fibers, the lowest content of calories, and the best physical parameters. Therefore, both products proved suitable for human consumption.

Effect of whey protein concentrate on texture of fat-free desserts: sensory and instrumental measurements

It is important to understand how changes in the product formulation can modify its characteristics. Thus, the objective of this study was to investigate the effect of whey protein concentrate (WPC) on the texture of fat-free dairy desserts. The correlation between instrumental and sensory measurements was also investigated. Four formulations were prepared with different WPC concentrations (0, 1.5, 3.0, and 4.5 wt. (%)) and were evaluated using the texture profile analysis (TPA) and rheology. Thickness was evaluated by nine trained panelists. Formulations containing WPC showed higher firmness, elasticity, chewiness, and gumminess and clearly differed from the control as indicated by principal component analysis (PCA). Flow behavior was characterized as time-dependent and pseudoplastic. Formulation with 4.5% WPC at 10 °C showed the highest thixotropic behavior. Experimental data were fitted to Herschel-Bulkley model. The addition of WPC contributed to the texture of the fat-free dairy dessert. The yield stress, apparent viscosity, and perceived thickness in the dairy desserts increased with WPC concentration. The presence of WPC promotes the formation of a stronger gel structure as a result of protein-protein interactions. The correlation between instrumental parameters and thickness provided practical results for food industries.

Multivariate study and regression analysis of gluten-free granola

This study developed a gluten-free granola and evaluated it during storage with the application of multivariate and regression analysis of the sensory and instrumental parameters. The physicochemical, sensory, and nutritional characteristics of a product containing quinoa, amaranth and linseed were evaluated. The crude protein and lipid contents ranged from 97.49 and 122.72 g kg-1 of food, respectively. The polyunsaturated/saturated, and n-6:n-3 fatty acid ratios ranged from 2.82 and 2.59:1, respectively. Granola had the best alpha-linolenic acid content, nutritional indices in the lipid fraction, and mineral content. There were good hygienic and sanitary conditions during storage; probably due to the low water activity of the formulation, which contributed to inhibit microbial growth. The sensory attributes ranged from 'like very much' to 'like slightly', and the regression models were highly fitted and correlated during the storage period. A reduction in the sensory attribute levels and in the product physical stabilisation was verified by principal component analysis. The use of the affective test acceptance and instrumental analysis combined with statistical methods allowed us to obtain promising results about the characteristics of gluten-free granola.

Application of extruded broken bean flour for formulation of gluten-free cake blends

The aim of this study was to determine the physical and microbiological characteristics of extruded broken beans flour, in addition to developing mixtures for gluten-free cake with these flours, evaluating their technological and sensory quality. Gluten-free formulations were prepared with 45%, 60% and 75% of extruded broken beans. All analyzes of the flours and mixtures for cakes were performed according to standard techniques found in the literature. Sensory analyzes of cakes applied the 9-point structured hedonic scale. Results were submitted to variance analysis and comparison of means test (Tukey, p<0.05). The use of extruded broken beans improved the water absorbed and water solubility index of the mixtures for gluten-free cake, and for the lower viscosity and retrogradation when compared to the standard formulation. All cakes were accepted (rate ≥ 7) for all the analyzed attributes. From the technological and sensory standpoints, the development of gluten-free cake mixtures is feasible with up to 75% of extruded broken beans.

Physical, chemical and sensory properties of gluten-free kibbeh formulated with millet flour (Pennisetum glaucum (L.) R. Br.)

Pearl millet flour was utilized in kibbeh formulations instead of whole-wheat flour. Physicochemical properties, oxidation stability and sensorial characteristics of control kibbeh made with whole-wheat flour (CT) were compared with kibbehs prepared with millet flour (roasted or wet) and stored for 90 days (–18 °C). Kibbeh prepared with millet flour presented good oxidation stability (TBARS concentration). Baked kibbehs (with roasted millet flour) presented good acceptability and kibbeh samples did not differ significantly (p > 0.05) from the whole-wheat flour sample, when global appearance, texture and flavor were evaluated. Millet flour could be a suitable ingredient for kibbeh formulations, maintaining their nutritional value and sensorial quality in addition to being a gluten-free product.

Stability of gluten free sweet biscuit elaborated with rice bran, broken rice and okara

Abstract A challenge to the food sector has been the development of new products incorporating co-products from the food processing industry with minimal impact on their pre-determined structures and adding nutritional quality. In order to add value and develop alternatives for the use of co-products generated during the agroindustrial processing, this work aimed to study the stability of gluten-free sweet biscuits developed with soybean okara, rice bran and broken rice. The formulations were elaborated with increasing percentages of these ingredients and compared with the standard (commercial sweet biscuit) for ten months. The analyses were: weight, diameters (internal and external), thickness, specific volume, instrumental parameters of color, texture, scanning electron microscopy, water activity, proximal composition and isoflavones. The experimental sweet biscuits had characteristics of color, weight, volume and diameters (internal and external) very similar to the commercial, whereas texture, lipids and energy value decreased, and aw, moisture and protein increased during storage. The sweet biscuits showed the same stability when compared to the standard, and the

Sensory response and physical characteristics of gluten-free and gum-free bread with chia flour

Abstract The aim of this study was to evaluate the physical quality and sensory acceptance of gluten-free breads with different percentages of chia flour (Salvia Hispanica L .). The chia flour was used to substitute rice flour and soy flour in order to replace the gum required in this type of bread. Four formulations were developed; a standard made with gum, and three formulations with 2.5%, 5.0% and 7.5% of chia flour. Analyses of specific volume, cooking losses and the rise in dough of the breads were performed. Sensory analysis included tests for affective acceptability and purchase intent. The results showed that the bread with 2.5% chia flour had specific volume and cooking losses similar to the standard. In terms of the rise in dough, the standard showed the highest values, followed by the bread made with 5.0% chia flour. The substitution of soy and rice flour with 2.5% of chia flour produced bread with sensory characteristics similar to the standard in all of the analyzed attributes; it also received higher purchase intent. Using chia flour at a concentration of 2.5%, compared to rice flour and soy flour, proved that it was possible to replace gum in the bread formulation.

Commerce in disguise : war and trade in the Caribbean free port of Gustavia, 1793–1815

ISBN 978-951-765-806-5Avhandlingen studerar frihamnen Gustavia på ön S:t Barthélemy, den svenska kolonin i Västindien, under de franska revolutionskrigen 1793-1815. Syftet är att kartlägga den ekonomiska aktiviteten genom Gustavia genom ett outforskat källmaterial och analysera hamnens roll i Västindien och i den atlantiska ekonomin under krigsåren. Det viktigaste resultatet av undersökningen är att den påvisar den kortvariga men exceptionella position som Gustavia fick under krigen, vilket ledde till att stora varuflöden gick genom den svenska kolonin och att sjöfart under svensk flagg i regionen tilltog. Krigskonjunkturen hämtade till ön ett stort antal nya invånare, framförallt från angränsande karibiska kolonier men också från USA och Europa. Frihamnen och ön fungerade kort under några decennier som en global marknadsplats i Västindien för handelsmän som kringgick blockader och handelsförbud. Vidare närmar sig även avhandlingen frågor om Sveriges engagemang i slavhandeln på ett systematiskt sätt, och demonstrerar att den svenska slavhandeln var mer omfattande än den tidigare forskningen visat, speciellt efter att rörelsen för slavhandelns förbud fått ett starkt fäste i Storbritannien. De tidigare stora internationella undersökningarna om slavhandeln har ofta missat det svenska inslaget. S:t Barthélemy har fått relativt lite uppmärksamhet i den svenska historieforskningen, och har ofta skildrats som ett exotiskt och ganska betydelselöst inslag i Sverige 1800-talshistoria. Mycket av den tidigare forskningen präglas av det nationalhistoriska perspektivet med kolonins länkar till Stockholm i blickfånget. Avhandlingen påvisar att länkarna mellan kolonin och Stockholm var fåtaliga och att dess ekonomiska betydelse för Sverige var ytterst liten. Däremot omvärderar avhandlingen kolonins betydelsefulla roll i ett större internationellt sammanhang. ----------------------------------------------------------- Väitöskirja käsittelee Gustavian vapaasatamaa Ruotsin Länsi-Intian siirtomaassa Saint-Barthélemyn saarella, Ranskan vallankumoussotien aikana 1793–1815. Tarkoitus on ollut kartoittaa Gustavian kautta kulkevaa taloudellista toimintaa tutkimattomien lähteiden avulla ja arvioida sataman asemaa Länsi-Intiassa sekä atlanttisessa taloudessa sotavuosina.Väitöskirjan tärkein tulos osoittaa sataman sotien aikana saavuttamaa lyhytkestoista mutta poikkeuksellista roolia, mikä johti suuren kaupankäynnin saapumiseen ruotsalaissiirtomaahan sekä siihen, että merenkulku ruotsalaisen lipun alla kiihtyi Länsi-Intian alueella. Sotatalouden nousukausi aikaansai pienelle saarelle muuttoliikkeen myötä suuren väestönkasvun, jonka lähteenä olivat pääsääntöisesti lähisaaret, mutta osa uusista asukkaista tuli myös Yhdysvalloista ja Euroopasta. Gustavian vapaasatama toimi muutaman vuosikymmenen ajan globaalina markkinapaikkana Länsi-Intian kauppamiehille, joilla oli tarve kiertää kauppasaartoja ja -kieltoja. Lisäksi väitöskirja lähestyy kysymystä Ruotsin osallistumisesta orjankauppaan ja osoittaa että ruotsalainen orjakauppa oli laajempaa kuin aiempi tutkimus on väittänyt, etenkin sen jälkeen kun kansanliike orjakauppaa vastaan oli saavuttanut vahvan tuen Iso-Britanniassa. Aiemmat laajat kansainväliset kartoitukset orjakaupasta ovat usein ohittaneet ruotsalaisten osallisuutta tässä yhteydessä. Saint-Barthélemy on aiemmin saanut suhteellisen vähän huomiota ruotsalaisessa historiankirjoituksessa, ja sitä on usein hahmoteltu eksoottisena ja melko merkityksettömänä osana Ruotsin 1800-luvun historiaa. Aiempaa tutkimusta on paljolti leimannut kansallinen historiankirjoitus, jonka keskeisenä kiinnostuksena ovat olleet saaren yhteydet Tukholmaan. Väitöskirja osoittaa kuitenkin että nämä yhteydet olivat heikkoja ja että siirtomaan taloudellinen merkitys Ruotsille oli hyvinkin pieni. Toisaalta väitöskirja arvioi siirtomaan todellista ja tärkeää roolia uudelleen sijoittamalla sen isompaan kansainväliseen asiayhteyteen.

Liberal versus neo-developmental convention to growth: why has Brazil shown a poor performance since the 1980s?

The main goal of our paper is to provide analytical arguments to explain why Brazil has not been able to restore its long-term capacity for economic growth, especially compared with its economy in the 1950-1979 period (7.3 per cent per year on average) or even with a select number of emerging economies in the 1980-2010 period(6.7 per cent per year on average, against 2.3 per cent per year on average in Brazil in the same period). We build our idea of convention to growth based on the Keynesian concept of convention. For our purposes, this concept could be briefly summarized as the way in which the set of public and private economic decisions related to different objectives, such as how much to produce and invest, how much to charge for products and services, how to finance public and private debt, how to finance research and development, and so on, are indefinitely - or at least until there is no change- carried out by the political, economic and social institutions. This analytical reference can be connected to the Neo-Schumpeterian National Innovation System (NIS) concept, which emphasizes not only institutions associated with science and technology per se, but also the complex interaction among them and other institutions. In this paper we identify two conventions to long-term growth in the last three decades in Brazil: the liberal and the neo-developmental. We show that the poor performance in the Brazilian economy in terms of real GDP growth from the 1980s on can be explained by a weak coordination between short-term macroeconomic policies and long-term industrial and technological policies. This weak coordination, in turn, can be associated with the prevalence of the liberal convention from the 1990s on, which has emphasized price stabilization to the detriment of a neo-developmental strategy whose primary goal is to sustain higher rates of growth and full employment in Brazil.