Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Assimetria na volatilidade - O impacto das más notícias nas rendibilidades do PSI 20

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap methods. Yet the latter remain approximate. In this paper, we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts. We study procedures based on the standard test statistics [e.g., the Goldfeld-Quandt, Glejser, Bartlett, Cochran, Hartley, Breusch-Pagan-Godfrey, White and Szroeter criteria] as well as tests for autoregressive conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of combined test statistics) to allow for unknown breakpoints in the error variance. We exploit the technique of Monte Carlo tests to obtain provably exact p-values, for both the standard and the new tests suggested. We show that the MC test procedure conveniently solves the intractable null distribution problem, in particular those raised by the sup-type and combined test statistics as well as (when relevant) unidentified nuisance parameter problems under the null hypothesis. The method proposed works in exactly the same way with both Gaussian and non-Gaussian disturbance distributions [such as heavy-tailed or stable distributions]. The performance of the procedures is examined by simulation. The Monte Carlo experiments conducted focus on : (1) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one exogenous variable, and (ii) the mean of the dependent variable; (3) grouped heteroskedasticity; (4) breaks in variance at unknown points. We find that the proposed tests achieve perfect size control and have good power.

Computationally Efficient Bootstrap Prediction Intervals for Returns and Volatilities in ARCH and GARCH Processes

We propose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the nonlinear GARCH framework. Our simulation studies indicate that the new re-sampling method provides sharp and well calibrated prediction intervals for both returns and volatilities while reducing computational costs by up to 100 times, compared to other available re-sampling techniques for ARCH/GARCH models. The proposed procedure is illustrated by an application to Yen/U.S. dollar daily exchange rate data.

Loss of space and dental arch length after the loss of the lower first primary molar: A longitudinal study

The premature loss of primary teeth may harm the normal occlusal development, although there are debates relating to the necessity of using space maintainer appliances. The aim of the study is to evaluate the changes in the dental arch perimeter and the space reduction after the premature loss of the lower first primary molar in the mixed dentition stage. The sample consists of 4 lower arch plaster models of 31 patients, within the period of pre-extraction, 6, 12 and 18 months after the lower first primary molar extraction. A reduction of space was noted with the cuspid dislocation and the permanent incisors moving toward the space of the extraction site. It was concluded that the lower first molar primary premature loss, during the mixed dentition, implicates an immediate placement of a space maintainer.

Assimetria na volatilidade dos principais índices bolsistas de Portugal, Irlanda, Itália, Grécia e Espanha : um estudo comparativo

Mestrado em Controlo de Gestão e dos Negócios

The role of role uncertainty in modified dictator games

We compare behavior in modified dictator games with and without role uncertainty. Subjectschoose between a selfish action, a costly surplus creating action (altruistic behavior) and acostly surplus destroying action (spiteful behavior). While costly surplus creating actions are themost frequent under role uncertainty (64%), selfish actions become the most frequent withoutrole uncertainty (69%). Also, the frequency of surplus destroying choices is negligible with roleuncertainty (1%) but not so without it (11%). A classification of subjects into four differenttypes of interdependent preferences (Selfish, Social Welfare maximizing, Inequity Averse andCompetitive) shows that the use of role uncertainty overestimates the prevalence of SocialWelfare maximizing preferences in the subject population (from 74% with role uncertainty to21% without it) and underestimates Selfish and Inequity Averse preferences. An additionaltreatment, in which subjects undertake an understanding test before participating in theexperiment with role uncertainty, shows that the vast majority of subjects (93%) correctlyunderstand the payoff mechanism with role uncertainty, but yet surplus creating actions weremost frequent. Our results warn against the use of role uncertainty in experiments that aim tomeasure the prevalence of interdependent preferences.

Elicited beliefs and social information in modified dictator games: What do dictators believe other dictators do?

We use subjects actions in modified dictator games to perform a within-subject classification ofindividuals into four different types of interdependent preferences: Selfish, Social Welfaremaximizers, Inequity Averse and Competitive. We elicit beliefs about other subjects actions inthe same modified dictator games to test how much of the existent heterogeneity in others actions is known by subjects. We find that subjects with different interdependent preferences infact have different beliefs about others actions. In particular, Selfish individuals cannotconceive others being non-Selfish while Social Welfare maximizers are closest to the actualdistribution of others actions. We finally provide subjects with information on other subjects actions and re-classify individuals according to their (new) actions in the same modified dictatorgames. We find that social information does not affect Selfish individuals, but that individualswith interdependent preferences are more likely to change their behavior and tend to behavemore selfishly.

Traducción de fragmentos humorísticos de dos videojuegos

En este trabajo se estudia la relación entre el humor y el mundo de la localización de videojuegos mediante el análisis de las diferentes técnicas de traducción utilizadas en la traducción oficial de dos fragmentos de los videojuegos Portal (2007) y Portal 2(2011) respectivamente. De este modo, por una parte, el trabajo profundiza en el mundo de la localización de videojuegos centrándose en diferentes aspectos relacionados como la interfaz, los componentes que forman un videojuego y los tipos, modelos y procesos de localización existentes y, por la otra, se centra en cómo traducir referencias humorísticas en este ámbito de la traducción especializada. Para poner en práctica todo lo analizado, se realiza una traducción de los fragmentos de Portal y de Portal 2 seleccionados con tal de comparar las soluciones que hemos ofrecido con las que aparecen en los productos oficiales.

International propagation of shocks: an evaluation of contagion effects for some Latin American countries

In this paper we analyze the spread of shocks across assets markets in eight Latin American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate the volatility of assets markets based in ARCH-GARCH models in function of the principal components retained in the first stage. Our results do not support the existence of financial contagion, but of interdependence in most of the cases and a slight increase in the sensibility of markets to recent shocks.

A new way of analyzing occlusion 3 dimensionally

This article introduces a new method for 3-dimensional dental cast analysis, by using a mechanical 3-dimensional digitizer, MicroScribe 3DX (Immersion, San Jose, Calif), and TIGARO software (not yet released, but available from the author at hayasaki@dent.kyushu-u.ac.jp). By digitizing points on the model, multiple measurements can be made, including tooth dimensions; arch length, width, and perimeter; curve of Spee; overjet and overbite; and anteroposterior discrepancy. The bias of the system can be evaluated by comparing the distance between 2 points as determined by the new system and as measured with digital calipers. Fifteen pairs of models were measured digitally and manually, and the bias was evaluated by comparing the variances of both methods and checking for the type of error obtained by each method. No systematic errors were found. The results showed that the method is accurate, and it can be applied to both clinical practice and research. Copyright © 2005 by the American Association of Orthodontists.

Intercommissural width in 4 racial groups as a guide for the selection of maxillary anterior teeth in complete dentures

Purpose: To determine whether intercommissural width is a reliable guide for the selection of maxillary denture teeth width. Materials and Methods: Casts were made of 160 subjects from 4 different racial groups. Locations of intercommissural width landmarks (the corners of the mouth) were made on the subjects and transferred to the casts. The distances between the corners of the mouth and the distal of the canines were measured on the casts and compared. Results: A weak correlation was found between the distal of the canines and the distance between the corners of the mouth in the 4 racial groups. Conclusion: The use of the corners of the mouth for the selection of artificial teeth is generally inaccurate.

AVALIAÇÃO POR MEIO DE MODELOS VIRTUAIS TRIDIMENSIONAIS DAS DISTÂNCIAS INTERCANINOS E INTERMOLARES INFERIORES EM TRÊS MOMENTOS

O propósito desse estudo foi de avaliar a estabilidade do tratamento ortodôntico em três momentos distintos, por meio de mensuração das distâncias intercaninos e intermolares inferiores, utilizando, como ferramenta, modelos virtuais tridimensionais. Foram selecionados modelos de gesso da arcada inferior de 19 pacientes em três fases distintas: pré-tratamento (T1), pós-tratamento (T2) e mínimo de 5 anos pós-contenção (T3), totalizando 57 modelos, os quais foram digitalizados por meio do Scanner 3D SCANTEH ST500 (SCAN technology A/S, Dinamarca), para obtenção dos modelos virtuais tridimensionais. Nesses modelos virtuais tridimensionais foram selecionadas e mensuradas as distâncias entre as pontas de cúspide dos caninos, denominada distância intercaninos e pontas de cúspide mesiovestibulares dos primeiros molares, denominada distância intermolares, com o auxílio do programa Rapidform ( Inus Technology Inc,). Para a análise estatística, foi realizada a análise de variância de medidas repetidas, e realizadas comparações múltiplas de Bonferroni ao nível de significância de 5%. As distâncias intercaninos e intermolares, em média, diminuíram entre T1-T2 e continuaram diminuindo entre T2- T3. Após 4 semanas, 20% da amostra foi novamente mensurada para avaliação do erro do método, onde foram encontrados valores médios semelhantes aos encontrados na primeira mensuração. Nesse trabalho, utilizando-se modelos virtuais tridimensionais, nota-se que não há estabilidade durante e após o tratamento ortodôntico, no tocante às distâncias intercaninos e intermolares.

AVALIAÇÃO POR MEIO DE MODELOS VIRTUAIS TRIDIMENSIONAIS DAS DISTÂNCIAS INTERCANINOS E INTERMOLARES INFERIORES EM TRÊS MOMENTOS

O propósito desse estudo foi de avaliar a estabilidade do tratamento ortodôntico em três momentos distintos, por meio de mensuração das distâncias intercaninos e intermolares inferiores, utilizando, como ferramenta, modelos virtuais tridimensionais. Foram selecionados modelos de gesso da arcada inferior de 19 pacientes em três fases distintas: pré-tratamento (T1), pós-tratamento (T2) e mínimo de 5 anos pós-contenção (T3), totalizando 57 modelos, os quais foram digitalizados por meio do Scanner 3D SCANTEH ST500 (SCAN technology A/S, Dinamarca), para obtenção dos modelos virtuais tridimensionais. Nesses modelos virtuais tridimensionais foram selecionadas e mensuradas as distâncias entre as pontas de cúspide dos caninos, denominada distância intercaninos e pontas de cúspide mesiovestibulares dos primeiros molares, denominada distância intermolares, com o auxílio do programa Rapidform ( Inus Technology Inc,). Para a análise estatística, foi realizada a análise de variância de medidas repetidas, e realizadas comparações múltiplas de Bonferroni ao nível de significância de 5%. As distâncias intercaninos e intermolares, em média, diminuíram entre T1-T2 e continuaram diminuindo entre T2- T3. Após 4 semanas, 20% da amostra foi novamente mensurada para avaliação do erro do método, onde foram encontrados valores médios semelhantes aos encontrados na primeira mensuração. Nesse trabalho, utilizando-se modelos virtuais tridimensionais, nota-se que não há estabilidade durante e após o tratamento ortodôntico, no tocante às distâncias intercaninos e intermolares.

AVALIAÇÃO POR MEIO DE MODELOS VIRTUAIS TRIDIMENSIONAIS DAS DISTÂNCIAS INTERCANINOS E INTERMOLARES INFERIORES EM TRÊS MOMENTOS

O propósito desse estudo foi de avaliar a estabilidade do tratamento ortodôntico em três momentos distintos, por meio de mensuração das distâncias intercaninos e intermolares inferiores, utilizando, como ferramenta, modelos virtuais tridimensionais. Foram selecionados modelos de gesso da arcada inferior de 19 pacientes em três fases distintas: pré-tratamento (T1), pós-tratamento (T2) e mínimo de 5 anos pós-contenção (T3), totalizando 57 modelos, os quais foram digitalizados por meio do Scanner 3D SCANTEH ST500 (SCAN technology A/S, Dinamarca), para obtenção dos modelos virtuais tridimensionais. Nesses modelos virtuais tridimensionais foram selecionadas e mensuradas as distâncias entre as pontas de cúspide dos caninos, denominada distância intercaninos e pontas de cúspide mesiovestibulares dos primeiros molares, denominada distância intermolares, com o auxílio do programa Rapidform ( Inus Technology Inc,). Para a análise estatística, foi realizada a análise de variância de medidas repetidas, e realizadas comparações múltiplas de Bonferroni ao nível de significância de 5%. As distâncias intercaninos e intermolares, em média, diminuíram entre T1-T2 e continuaram diminuindo entre T2- T3. Após 4 semanas, 20% da amostra foi novamente mensurada para avaliação do erro do método, onde foram encontrados valores médios semelhantes aos encontrados na primeira mensuração. Nesse trabalho, utilizando-se modelos virtuais tridimensionais, nota-se que não há estabilidade durante e após o tratamento ortodôntico, no tocante às distâncias intercaninos e intermolares.