Volatility and covariation of financial assets: A high-frequency analysis

Using high frequency data for the price dynamics of equities we measure the impact that market microstructure noise has on estimates of the: (i) volatility of returns; and (ii) variance–covariance matrix of n assets. We propose a Kalman-filter-based methodology that allows us to deconstruct price series into the true efficient price and the microstructure noise. This approach allows us to employ volatility estimators that achieve very low Root Mean Squared Errors (RMSEs) compared to other estimators that have been proposed to deal with market microstructure noise at high frequencies. Furthermore, this price series decomposition allows us to estimate the variance covariance matrix of n assets in a more efficient way than the methods so far proposed in the literature. We illustrate our results by calculating how microstructure noise affects portfolio decisions and calculations of the equity beta in a CAPM setting.     

Macroeconomic announcements,intraday covariance structure and asymmetry in the interest rate futures returns

The effects of scheduled macroeconomic announcements on the real-time intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday jumps in volatilities, covariances, and correlations. The details of the linkage are intriguing and include announcements timing effect. Further study on intraday asymmetric volatility and correlation-in-volatility indicates that news announcements magnify asymmetric volatility and shed light on why correlations tend to be high when volatilities are high. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:815–844, 2008     

Capital structure： The Italian market perspective

This article first investigates the determinants of＂capital structure＂ and the extent to which financial structure policy contributes to the creation of shareholder value in Italian companies through a survey of 76 CFOs of Italian listed non-financial companies, and revealed that the key driver is the quest for financial flexibility, necessary to combine effectively capital structure policy with the other two levers of value creation, investment policy and payout policy. These three value creation drivers are autonomous, but this empirical study reveals a clear hierarchy that links liability policy （capital structure and payout） to asset policy （investments） leading companies to make sub-optimal financial structure decisions that may not minimize the weighted average cost of capital, though ensuring the financial flexibility necessary to activate their principal lever of value creation, investment policy, effectively and without excessive constraints. A major finding in a subsequent benchmarking exercise is that Italian ＂family capitalism＂ affects corporate governance and therefore capital structure decisions. This finding may not be restricted to the Italian market, but could apply to all countries in which ownership structures are centered on very few shareholders with weak financial market control and where banks often play a crucial role in the governance of companies.     

An agent-based model for the assessment of LTV caps

We assess the effects of regulatory caps in the loan-to-value (LTV) ratio for housing mortgages using an agent-based model. Sellers, buyers and banks interact within a computational framework that enables the application of LTV caps to a one-step housing market. We first conduct a simulation exercise; later, we calibrate the probability distributions based on actual European data from the Household Finance and Consumption Survey. In both cases, the application of an LTV cap results in a modified distribution of buyers in terms of property values, bidding prices and properties sold, depending on the probability distributions of the LTV ratio, wealth and debt-to-income ratios considered. The results are of similar magnitude to other studies in the literature embodying other analytical approaches, and they suggest that our methodology can potentially be used to gauge the impact of common macroprudential measures.     

信息科学与旅游的交叉研究:系统综述

信息科学与旅游的交叉研究是探索旅游问题、规律及原理的新思路与方法。为了系统地概括信息科学与旅游的交叉研究现状和最新进展,采用系统综述(systematicreview)方法对该交叉领域最近12年的主要研究进行了归纳和分析。该系统综述回答了如下3个问题:①信息科学研究中面向旅游的研究主要有哪些方面;②旅游研究中与信息科学相关的研究主要有哪些方面;③信息科学与旅游的交叉研究有哪些趋势。     

INFORMATION TECHNOLOGY APPLICATIONS IN HOSPITALITY AND TOURISM: A REVIEW OF PUBLICATIONS FROM 2005 TO 2007

The tourism and hospitality industries have widely adopted information technology (IT) to reduce costs, enhance operational efficiency, and most importantly to improve service quality and customer experience. This article offers a comprehensive review of articles that were published in 57 tourism and hospitality research journals from 2005 to 2007. Grouping the findings into the categories of consumers, technologies, and suppliers, the article sheds light on the evolution of IT applications in the tourism and hospitality industries. The article demonstrates that IT is increasingly becoming critical for the competitive operations of the tourism and hospitality organizations as well as for managing the distribution and marketing of organizations on a global scale.     

Recent Developments at DG Competition: 2020/2021

Review of Industrial Organization - The Directorate General for Competition at the European Commission enforces competition law in the areas of antitrust, merger control, and State aid. After...     

Progress in tourism management: A review of website evaluation in tourism research

This paper reviews tourism studies published from 1996 to July 2009 that pertain to methodological approaches to website evaluation. The paper analyzes the initial work and continues up to recent developments in website evaluation. In general, prior research can be divided into five evaluation approaches: counting, automated, numerical computation, user judgment, and combined methods. The strengths and weaknesses of each method are examined. Research gaps and opportunities for future studies are discussed.