Reality check for volatility models

Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark.

Cameron’s reality check on Europe. EPIN [Working] Paper No. 38, 15 April 2014

Ever since Prime Minister David Cameron made his major speech on Europe on 23 January 2013, in which he argued for some kind of new deal between the UK and the EU, the rest of the EU as well as the British public have been wondering what he would actually propose in operational terms. On 15 March 2014, the Prime Minister offered at least an interim reply to these questions in an article in the Daily Telegraph newspaper. This paper extracts from the Daily Telegraph article the main ideas that the Prime Minister advances. In all, 10 propositions are identified, presented in the precise language used, followed by an appraisal. The article has not attracted so much attention, mainly because its content is not particularly sensational, but that is its real importance and quality. It points the way towards resolving what otherwise would mean a huge political crisis for the UK and the EU. The Prime Minister gave the overall impression that he is not now heading towards making an impossibly difficult list of demands. On the contrary, an informed and moderate realism seems to be in the making. The package outlined in this paper could be sold in Brussels. There would then have to be a robust communications campaign to sell it to the British public. This paper is part of a series for a CEPS-EPIN project on “The British Question and the Search for a Fresh European Narrative”, which is pegged to an ambitious ongoing exercise by the British government to review all the competences of the European Union. The intention is that this should provide a basis for informed debate before the referendum on the UK remaining in the EU or not, which is scheduled for 2017.

Adjusting to external imbalances within the EMU, the case of Portugal

From 1995 to 2010 Portugal has accumulated a negative international asset position of 110 percent of GDP. In a developed and aging economy the number is astonishing and any argument to consider it sustainable must rely on extremely favorable forecasts on growth. Portuguese policy options are reduced in number: no autonomous monetary policy, no currency to devaluate, and limited discretion in changing fiscal deficits and government debt. To start the necessary deleveraging a remaining possible policy is a budget-neutral change of the tax structure that increases private saving and net exports. An increase in the VAT and a decrease in the employer’s social security contribution tax can achieve the desired outcome in the short run if they are complemented with wage moderation. To obtain a substantial improvement in competitiveness and a large decrease in consumption, the changes in the tax rates have to be large. While a precise quantitative assessment is difficult, the initial increase in the effective VAT rate needed to allow the social security tax to decrease by 16 percentage points (pp) is approximately 10 pp. Such a large increase in the effective VAT rate could be obtained by raising most of the reduced VAT rates to the new general VAT rate of 23 percent. The empirical analysis shows that over time the suggested tax swap could generate surpluses and improve the trade balance. A temporary version of the suggested tax-swap has the attractiveness to achieve a sharper increase in the private saving rate maintaining the short run gains in competitiveness. Finally, the temporary version of the fiscal devaluation could be the basis for an automatic stabilizer to external imbalances within a monetary union.Portugal has been running large current account deficits every year since 1995. These deficits have accumulated to an astonishing 110 percent of GDP negative external asset position. The sustainability of such a large external position is questionable and must rely on fantastic productivity growth expectations. The recent global financial crisis appears to have anticipated the international investors reality check on those future expectations with the result of a large increase in the cost of external financing. Today the rebalancing of the current account through an increase in national savings and an improvement in competitiveness must be at the top of the Portuguese authorities “to do” list as the cost of a pull out from international investors is of the order of 10% of GDP. The external rebalancing is difficult as the degrees of freedom of the Portuguese authorities are limited in number: they have no autonomous monetary policy, no currency to devaluate, and little discretion in fiscal policy as deficit limits and debt targets are set by the Stability Growth Pact and the postcrisis consensus on medium-term fiscal consolidation. One possibility that remains is to change the fiscal policy mix for a given budget deficit. The purpose of this paper is to explore the effects of a “fiscal devaluation”1 obtained through a tax swap between employers’ social security contributions and taxes on consumption2. The paper begins by illustrating Portugal’s current account evolution during the euro period. The second section section lays out a model to offer a qualitative assessment of the dynamic outcomes of the the tax swap. I show that the suggested tax swap can in theory achieve the desired outcomes in terms of competitiveness and consumption if complemented with moderation (stickiness) in wages. I also study the effects of a temporary version of the tax swap and show that it achieves a sharper improvement in the current account that accelerate the rebalancing. The third section moves to the empirical analysis and estimates the likely effects of the tax swap for the Portuguese economy. The fourth section concludes.

Predictability of equity models

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the “stepwise regression” model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs.

Estudo da lucratividade de modelos de análise técnica no mercado de câmbio brasileiro

Este trabalho estuda a lucratividade dos modelos de Análise Técnica no mercado de câmbio brasileiro. Utilizando a metodologia de White (2000) para testar 1712 regras geradas a partir de quatro modelos de Análise Técnica verifica-se que a melhor regra não possui poder de previsibilidade significante ao se considerar os efeitos de data-snooping. Os resultados indicam que o mercado de câmbio brasileiro está de acordo com a hipótese de mercado eficiente sugerida pela literatura.

A model-data comparison of Holocene timberline changes in the Swiss Alps reveals past and future drivers of mountain forest dynamics

Mountain vegetation is strongly affected by temperature and is expected to shift upwards with climate change. Dynamic vegetation models are often used to assess the impact of climate on vegetation and model output can be compared with paleobotanical data as a reality check. Recent paleoecological studies have revealed regional variation in the upward shift of timberlines in the Northern and Central European Alps in response to rapid warming at the Younger Dryas/Preboreal transition ca. 11700years ago, probably caused by a climatic gradient across the Alps. This contrasts with previous studies that successfully simulated the early Holocene afforestation in the (warmer) Central Alps with a chironomid-inferred temperature reconstruction from the (colder) Northern Alps. We use LandClim, a dynamic landscape vegetation model to simulate mountain forests under different temperature, soil and precipitation scenarios around Iffigsee (2065m a.s.l.) a lake in the Northwestern Swiss Alps, and compare the model output with the paleobotanical records. The model clearly overestimates the upward shift of timberline in a climate scenario that applies chironomid-inferred July-temperature anomalies to all months. However, forest establishment at 9800 cal. BP at Iffigsee is successfully simulated with lower moisture availability and monthly temperatures corrected for stronger seasonality during the early Holocene. The model-data comparison reveals a contraction in the realized niche of Abies alba due to the prominent role of anthropogenic disturbance after ca. 5000 cal. BP, which has important implications for species distribution models (SDMs) that rely on equilibrium with climate and niche stability. Under future climate projections, LandClim indicates a rapid upward shift of mountain vegetation belts by ca. 500m and treeline positions of ca. 2500m a.s.l. by the end of this century. Resulting biodiversity losses in the alpine vegetation belt might be mitigated with low-impact pastoralism to preserve species-rich alpine meadows.

On QKD industrialization

During the 25 years of existence of the first protocol for Quantum Key Distribution, much has been said and expected of what came to be termed as Quantum Cryptography. After all this time, much progress has been done but also the reality check and analysis that naturally comes with maturity is underway. A new panorama is emerging, and the way in which the challenges imposed by market requirements are tackled will determine the fate of Quantum Cryptography. The present paper attempts to frame a reasonable view on the issues of the security and market requirements that QKD should achieve to become a marketable technology.

The two limits debates: "Limits to Growth" and climate change

In this article we compare the current debate about global warming with the earlier discourse of Limits to Growth (LtG) of the 1970's. We are especially interested in the similarities of and differences between the two cases and therefore compare the policy challenges and lessons to be drawn. While the two debates differ on important issues, they share a technocratic orientation to public policy, and susceptibility to similar pitfalls. In both debates alarming scenarios about future catastrophes play an important role. We suggest that climate change policy discourse needs to focus more closely on the social, economic, and political dimensions of climate change, as opposed to its excessive emphasis on emission reduction targets. We also argue that an excessive faith in the market mechanisms to supply global warming mitigation technologies is problematic. In this respect, we provide a reality check regarding the political implications of emission targets and timetables and suggest how policy issues can be moved forward.

Teamwork and well-being:the role of social support

This thesis explores, in a team context, using the Michigan Model, the relationship between social support, stress and well-being outcomes. The studies reported were carried out in Post Office Ltd. Study one examines differences in social support source and type for employees working in teams and quasi teams. Analysis was carried out at the individual level. The results supported previous work on well-being in teams: individuals working in teams report significantly higher levels of well-being, job satisfaction and organisational commitment than those individuals in quasi teams. Members of teams reported greater satisfaction with support from their manager and colleagues, and all types of support compared to members of quasi teams. Manager support and specific types of support mediated the relationship between team working and well-being outcomes. In terms of stressors, satisfaction with manager support and emotional challenge predicted greater influence which was positively related to the well-being outcomes. Study two conducted at the team level builds on relationships established in study one. Stage one explored teamness, the extent to which, along a continuum the team was well-defined. Stage two explored teamness agreement, the extent to which the team agreed on their teamness. The extent to which the Branch Office were a well-defined team had a positive effect on team functioning; participation, innovation and commitment to task excellence. Team functioning was associated with higher levels of satisfaction with manager and team support and all types of support. Working in a well-defined team was associated with job satisfaction, mediated by positive team functioning and social support. Teamness agreement predicted team well-being, clarity of objectives, work demands and satisfaction with reality check. Working in a team was not associated with performance. This thesis advances understanding in the area of team working and processes within teams, advancing understanding of the specifics of social support from different so urces and types of support. The studies reveal the key role of team functional characteri stics in creating the vehicle through which supportive interactions take place. which contribute to positive outcomes associated with working in a well-defined team.

La migración infantil indocumentada de Centroamérica, un desafío a la reformulación de la política migratoria de Estados Unidos. Estudio de caso de Honduras (2010-2014)

El siguiente estudio de caso analiza la influencia de la llegada de la migración infantil indocumentada centroamericana en la reformulación de la política migratoria de Estados Unidos en el período 2010-2014. Enfocándose en el caso de Honduras para dar a conocer y analizar las causas que crean las dinámicas migratorias por parte de los menores, este trabajo analiza como la llegada de estas poblaciones genera ciertos efectos en el proceso de toma de decisión de las políticas internas de los Estados Unidos. Por un lado, para resaltar las características del fenómeno migratorio, se utilizan las teorías de redes sociales y la teoría push and pull. Por otro, mediante los conceptos de Sensibilidad y Vulnerabilidad expuestos en la teoría de la Interdependencia Compleja de las Relaciones Internacionales, como también el concepto de Seguridad Societal propuesto por Barry Buzan se estudia el nivel de influencia del fenómeno infantil en el gobierno norteamericano.

O "Check-up" do conhecimento: aprender e avaliar

Relatório de estágio de mestrado em Educação Pré-Escolar e Ensino do 1.º do Ensino Básico

Augmented and Virtual Reality techniques for footwear

The use of 3D imaging techniques has been early adopted in the footwear industry. In particular, 3D imaging could be used to aid commerce and improve the quality and sales of shoes. Footwear customization is an added value aimed not only to improve product quality, but also consumer comfort. Moreover, customisation implies a new business model that avoids the competition of mass production coming from new manufacturers settled mainly in Asian countries. However, footwear customisation implies a significant effort at different levels. In manufacturing, rapid and virtual prototyping is required; indeed the prototype is intended to become the final product. The whole design procedure must be validated using exclusively virtual techniques to ensure the feasibility of this process, since physical prototypes should be avoided. With regard to commerce, it would be desirable for the consumer to choose any model of shoes from a large 3D database and be able to try them on looking at a magic mirror. This would probably reduce costs and increase sales, since shops would not require storing every shoe model and the process of trying several models on would be easier and faster for the consumer. In this paper, new advances in 3D techniques coming from experience in cinema, TV and games are successfully applied to footwear. Firstly, the characteristics of a high-quality stereoscopic vision system for footwear are presented. Secondly, a system for the interaction with virtual footwear models based on 3D gloves is detailed. Finally, an augmented reality system (magic mirror) is presented, which is implemented with low-cost computational elements that allow a hypothetical customer to check in real time the goodness of a given virtual footwear model from an aesthetical point of view.

Uma leitura da questão da deficiencia e da inclusão no ensino municipal de Hortolandia : olhares e ações da docencia de Educação Fisica e de seus pares

Universidade Estadual de Campinas . Faculdade de Educação Física