Are VIX futures prices predictable? An empirical investigation

This paper investigates whether volatility futures prices per se can be forecasted by studying the fast-growing VIX futures market. To this end, alternative model specifications are employed. Point and interval out-of-sample forecasts are constructed and evaluated under various statistical metrics. Next, the economic significance of the forecasts obtained is also assessed by performing trading strategies. Only weak evidence of statistically predictable patterns in the evolution of volatility futures prices is found. No trading strategy yields economically significant profits. Hence, the hypothesis that the VIX volatility futures market is informationally efficient cannot be rejected.     

Volatility spillovers and the effect of news announcements

We examine the effect of US and European news announcements on the spillover of volatility across US and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between US and European markets as well as within European markets. We observe a stark contrast in the effect of scheduled versus unscheduled news releases. Scheduled (unscheduled) news releases resolve (create) information uncertainty, leading to a decrease (increase) in implied volatility. Nevertheless, news announcements do not fully explain the volatility spillovers, although they do affect the magnitude of volatility spillovers. Our results are robust to extreme market events such as the recent financial crisis and provide evidence of volatility contagion across markets.     

Gender portrayals revisited: searching for explicit and implicit stereotypes in Cypriot magazine advertisements

The study pursues a line of inquiry into contemporary gender stereotypes drawn from print advertisements in Cyprus. The investigation of implicit modes of stereotyping suggested by Goffman across explicit gender roles yield novel and interesting insights that broaden existing knowledge on male and female advertising depictions. Through a content analysis of 3.729 characters, the study reveals the existence of gender clichés in Cypriot magazine advertisements. Neither male nor female evolving roles are adequately reflected in advertisements, as men tend to be portrayed in traditional masculine stereotypes while women lean towards decorative portrayals. Implicit stereotyping is more likely to suggest the subordination and lower status of women compared to men. The study indicates that advertising in Cyprus reinforces the diffusion of hostile sexism by the underrepresentation of professional women and their commonplace portrayal in body revealing attires. At the same time, the high proportion of women's implicit subordination signifies benevolent sexism. The distorted representation of both genders raises key public policy concerns, as diminishing portrayals hold sway upon men's and women's psychological well-being and professional development.     

Impact of treatment heterogeneity on drug resistance and supply chain costs

The efficacy of scarce drugs for many infectious diseases is threatened by the emergence and spread of resistance. Multiple studies show that available drugs should be used in a socially optimal way to contain drug resistance. This paper studies the tradeoff between risk of drug resistance and operational costs when using multiple drugs for a specific disease. Using a model for disease transmission and resistance spread, we show that treatment with multiple drugs, on a population level, results in better resistance-related health outcomes, but more interestingly, the marginal benefit decreases as the number of drugs used increases. We compare this benefit with the corresponding change in procurement and safety stock holding costs that result from higher drug variety in the supply chain. Using a large-scale simulation based on malaria transmission dynamics, we show that disease prevalence seems to be a less important factor when deciding the optimal width of drug assortment, compared to the duration of one episode of the disease and the price of the drug(s) used. Our analysis shows that under a wide variety of scenarios for disease prevalence and drug cost, it is optimal to simultaneously deploy multiple drugs in the population. If the drug price is high, large volume purchasing discounts are available, and disease prevalence is high, it may be optimal to use only one drug. Our model lends insights to policy makers into the socially optimal size of drug assortment for a given context.     

Modeling farmer participation in agri-environmental nitrate pollution reducing schemes

Why do farmers choose to participate in agri-environmental programmes and how do they choose the amount of land they allocate to such programmes? This paper examines the determinant factors influencing farmers' adoption of the EU-financed agri-environmental Nitrate Reduction Programme (NRP) in Greece and the extent of the programme's adoption, in terms of land allocation. The decision to adopt the NRP is modeled as a two-step procedure. First, farmers decide whether to participate in the agri-environmental programme and second, the extent of participation is determined. We employ Heckman's self-selection bias correction model to derive unbiased estimates. Based on farm level data, we develop the profile of farmers who choose to adopt the agri-environmental programme and the characteristics of their farms. The results of the analysis provide valuable policy insights decomposed into the main factors determining first, the adoption of the agri-environmental programme and second, the extent of adoption. By decomposing the determining factors, policy makers can employ this information to design effective agri-environmental programmes, desirable to farmers and more targeted towards specific environmental and agricultural development goals.     

Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices

We address the question whether the evolution of implied volatility can be forecasted by studying a number of European and US implied volatility indices. Both point and interval forecasts are formed by alternative model specifications. The statistical and economic significance of these forecasts is examined. The latter is assessed by trading strategies in the recently inaugurated CBOE volatility futures markets. Predictable patterns are detected from a statistical point of view. However, these are not economically significant since no abnormal profits can be attained. Hence, the hypothesis that the volatility futures markets are efficient cannot be rejected.     

Gender differences in the interpretation of web atmospherics: A selectivity hypothesis approach

This paper sets out to explore the role of gender as a moderator of the relationship between web atmospheric cues and virtual visitor's attitudes. In a laboratory experiment, the web atmospherics of a museum website – conceived as high and low task relevant cues – are manipulated so as to assess their impact on attitude toward the website and attitude toward the brand. The findings indicate that low task relevant cues are associated not only with higher attitude toward the website but with more positive evaluations of the brand as well. Gender has a moderating effect on both relationships of interest: In the absence of low task relevant cues, males develop less favorable attitudes toward the site and the brand, while females' attitude remains consistent across both experimental conditions. The findings are interpreted from a Selectivity Hypothesis viewpoint, which attributes gender differences in cognitive evaluations, to differences in information processing style. The study underscores the value of web atmospherics for service branding, elucidating the benefits for webpage design. It also supports the relevance of the Selectivity Model in the Internet context and highlights its significance in the sphere of online attitude development.     

Social-ecological dynamics and water stress in tourist islands: the case of Rhodes,Greece

Abstract

Tourism increases, diversifies and concentrates water consumption in space and time; it contributes to social-ecological processes that often make tourist destinations vulnerable to water stress. Climate change projections foresee an increase in water stress problems in many tourist resorts. Tourist islands are particularly challenged due to their geographical isolation and the limited options for enhancing supply. Despite the significance of the problem, the understanding of the tourism and water–stress complex remains under-researched. In this article, we aim at a novel, integrated and spatiotemporally dynamic conceptualization of tourist islands’ vulnerability to water stress. To do this, we begin by presenting the “Water-Tourism Social-Ecological Systems framework” based on literature on water and tourism, social-ecological systems, adaptation, vulnerability, resilience, and island studies. We then apply this framework to investigate the so far underexplored vulnerability to water stress of the island of Rhodes (Greece). Results from in-depth interviews with key stakeholders along with secondary sources provide insights into the Rhodes Water-Tourism SES dynamics. Our analysis provides an interdisciplinary and multidimensional lens to the water-stress and -tourism complex. It enriches the literature of tourism and water and gives the opportunity to open up the scope of solutions that are being discussed.     

Development of a health economic model to evaluate the potential benefits of optimal serum potassium management in patients with heart failure

Abstract

Aims: Patients with heart failure are at increased risk of hyperkalemia, particularly when treated with renin-angiotensin-aldosterone system inhibitor (RAASi) agents. This study developed a model to quantify the potential health and economic value associated with sustained potassium management and optimal RAASi therapy in heart failure patients.

Materials and methods: A patient-level, fixed-time increment stochastic simulation model was designed to characterize the progression of heart failure through New York Heart Association functional classes, and predict associations between serum potassium levels, RAASi use, and consequent long-term outcomes. Following internal and external validation exercises, model analyses sought to quantify the health and economic benefits of optimizing both serum potassium levels and RAASi therapy in heart failure patients. Analyses were conducted using a UK payer perspective, independent of costs and utilities related to pharmacological potassium management.

Results: Validation against multiple datasets demonstrated the predictive capability of the model. Compared to those who discontinued RAASi to manage serum potassium, patients with normokalemia and ongoing RAASi therapy benefited from longer life expectancy (+1.38 years), per-patient quality-adjusted life year gains (+0.53 QALYs), cost savings (£110), and associated net monetary benefit (£10,679 at £20,000 per QALY gained) over a lifetime horizon. The predicted value of sustained potassium management and ongoing RAASi treatment was largely driven by reduced mortality and hospitalization risks associated with optimal RAASi therapy.

Limitations: Several modeling assumptions were made to account for a current paucity of published literature; however, ongoing refinement and validation of the model will ensure its continued accuracy as the clinical landscape of hyperkalemia evolves.

Conclusions: Predictions generated by this novel modeling approach highlight the value of sustained potassium management to avoid hyperkalemia, enable RAASi therapy, and improve long-term health economic outcomes in patients with heart failure.