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We utilise novel functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; Euro/United States Dollar, Euro/British Pound, and Euro/Japanese Yen. The FTS model is shown to produce both realistic and plausible implied volatility shapes that closely match empirical data during the volatile 2006–2013 period. Furthermore, the FTS model significantly outperforms implied volatility forecasts produced by traditionally employed parametric models. The evaluation is performed under both in-sample and out-of-sample testing frameworks with our findings shown to be robust across various currencies, moneyness segments, contract maturities, forecasting horizons, and out-of-sample window lengths. The economic significance of the results is highlighted through the implementation of a simple trading strategy. 相似文献
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Claudine Kearney Robert Hisrich Frank Roche 《The International Entrepreneurship and Management Journal》2008,4(3):295-313
Entrepreneurship has been conceptualized as a process that can occur in organizations of all sizes and types (Burgelman, Academy of Management Review, 8, 32–47, 1983; Miller, Management Science, 29, 770–791, 1983; Gartner, Academy of Management Review, 10, 696–706, 1985; Kao, Entrepreneurship, creativity and organization, 1989). This paper develops a conceptual model of public sector corporate entrepreneurship. The proposed model is intended
to depict the main antecedents that relate to corporate entrepreneurship within the public sector and the impact of corporate
entrepreneurship on public sector organizational performance (growth, development and productivity), as well as factors influencing
its continuous performance. Following discussion of the model’s contents, the potential value for researchers and those engaging
in public sector corporate entrepreneurship are described. 相似文献
23.
The world eocnomy is currently adjusting to a low inflation regime which has implicastions for the cross-country distribution of world growth opportunities. In contrast to previous related work which assumes unidirectional causality, this paper uses the Granger methodology to examine both the direction and pattern of causality between inflation and economic growth in 70 countries using annual data over the period 1960–89. Among the conclusions are that first, the relationship between inflation and growth is non-uniform across countries: 40% of countries studied reveal no causality, one-third exhibit unidirectional causality and about one-fifth of countries show bidirectional causality, second, a vast majority of countries which show either uni- or bi-directional causality beong to the industrial group, and third, the low world inflation regime will on balance redistribute real growth opportunities benefit away from the developing countries towards the industrialized countries. 相似文献
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ABSTRACTPeople with disabilities (PWD) constitute one of the largest minority groups. While recognition and inclusion of this group in the marketplace has seen improvement, the effects of (mis)representation of PWD in shaping the discourse on fostering marketplace inclusion of socially marginalized consumers remain little understood. By extending the theory of ableism into the context of PWD representation and applying it to the analysis of the We’re the Super humans advertisement developed for the Rio 2016 Paralympic Games, this paper examines the relationship between the (mis)representation and the inclusion/exclusion discourse. By uncovering that PWD misrepresentations can partially mask and/or redress the root causes of exclusion experienced by PWD in their lived realities, it contributes to the research agenda on the transformative role of consumption cultures perpetuating harmful, exclusionary social perceptions of marginalized groups versus contributing to advancement of their inclusion. 相似文献
26.
This study conducts an investigation of intraday time-series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half-hour return positively predicts the last half-hour return across all four futures. Furthermore, in metals markets, we find that first trading sessions with high volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an intraday momentum informed trading strategy that earns a return in excess of standard always long and buy-and-hold benchmarks. 相似文献
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Large-scale investment in education in Ireland began in 1967 and has led to a dramatic increase in the relative supply of skilled labour over the past four decades. Furthermore the supply of labour in Ireland is traditionally highly elastic through migration, which in the 1990s was predominantly high-skilled. This combination of rising education levels and an open labour market meant that employment and incomes rose rapidly in the 1990s, while Ireland still maintained a strong competitive position in terms of relative labour costs.In this paper we develop a new macro-economic framework to formally analyse these mechanisms. We estimate a small structural model of the Irish labour market, separately identifying high-skilled and low-skilled labour. We find that this model captures key characteristics of the Irish labour market in the 1990s. 相似文献
29.
The objective of this paper is to determine whether the observed variation in the response of market interest rates over the
1990s to the news about employment is a result, at least in part, of changes in expectations for monetary policy. Fed funds
futures rates, which embody predictions for the expected monthly average of the daily effective funds rate, are used to capture
market participants' expectations for monetary policy in the face of employment surprises. It is found that unanticipated
employment announcements have a positive and statistically significant impact on one- and three-month-ahead fed funds futures
rates and the size of the impact declines over the 1990s, thereby coinciding with a noticeable decline in the frequency of
adjustment in the fed funds target rate. 相似文献
30.
Mairead Kearney Katia Thokagevistk Emmanuelle Boutmy 《Journal of medical economics》2013,16(12):1159-1171