A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Building on realized variance and bipower variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability into the continuous sample path variance, the variation arising from discontinuous jumps that occur during the trading day, as well as the overnight return variance. Our empirical results, based on long samples of high-frequency equity and bond futures returns, suggest that the dynamic dependencies in the daily continuous sample path variability are well described by an approximate long-memory HAR–GARCH model, while the overnight returns may be modeled by an augmented GARCH type structure. The dynamic dependencies in the non-parametrically identified significant jumps appear to be well described by the combination of an ACH model for the time-varying jump intensities coupled with a relatively simple log-linear structure for the jump sizes. Finally, we discuss how the resulting reduced form model structure for each of the three components may be used in the construction of out-of-sample forecasts for the total return volatility.     

Imperial Self-Insufficiency Rediscovered: Britain and Australia 1945–51

This paper addresses the unresolved debate about the timing of economic disengagement between Australia and Great Britain. During Chifley's administration international economic collaboration between Australia and Britain was close, Australia tending to identify its interests with those of the UK and the sterling area. Yet collaboration never stretched to acceptance by Australia of traditional forms of manufacturer–primary producer complementarity; this played no part in Canberra's postwar planning and priority given to industrialization led to the relative neglect of rural industries, which, together with the rapidly growing demands of its own population, reduced export surpluses and contributed to Australia's poor record as a food supplier. Buoyant export prices, especially for wool, combined with capital inflows from the UK to stimulate import demands. Because of dollar shortages most of these had to be sourced from Britain. From 1948 the UK not only expanded exports dramatically but was a major source of migrants and capital. Yet British industrial capacity in particular proved unequal to the task of meeting Australian needs. Imperial self-insufficiency again stood revealed, encouraging Menzies to look beyond the sterling area to support Australia's rapid development.     

Networks,Place and Identities in Post‐industrial Mining Communities

This article engages with the theme of the symposium by examining the role and meaning of networks in the context of a former coal‐mining region in the UK. Mining communities have historically been noted by sociologists and historians for their strong social ties and extended families as well as for forming the bedrock of discussion of class and place. In the wake of the closure programme of the 1980s and early 1990s, such identities have been fundamentally challenged. The notion of networks is explored in four distinct but ultimately interrelated senses: occupational/work networks; networks around place; networks of class relations; and, finally, networks as relationships of family, kin and generation. Material presented here is based on research that investigated four former coalfield communities in the UK after closure, focusing on a former pit village in the North East of England. It begins with a discussion of community and the coalfield within sociological and historical literatures. It then proceeds to discuss the changing nature of community and social networks post‐coal by focusing on the experience of two separate cohorts of former workers. It concludes by arguing for a historical understanding of the patterning of networks. Cet article s’inscrit dans le th? me du symposium en étudiant le rôle et la signification des réseaux dans le cadre d’une ancienne région miniàre anglaise. De tous temps, sociologues et historiens ont distingué les communautés miniàres, celles‐ci présentant de solides liens sociaux et des familles étendues, tout en étant à la base des débats de classes et de lieux. À la suite du plan de fermeture des années 1980 et du début des années 1990, ces identités ont été profondément remises en cause. La notion de réseaux est examinée dans quatre sens distincts, quoique liés en définitive: réseaux professionnels, réseaux autour du lieu, réseaux liés à la classe, et réseaux de relations de famille, parenté et génération. Les éléments présentés sont issues de recherches sur quatre communautés d’un ancien bassin charbonnier anglais apràs la fermeture des mines, et plus particuliàrement sur un village du nord‐est de l’Angleterre. Apràs avoir abordé la communauté et le bassin charbonnier au travers de documents sociologiques et historiques, l’article s’intéresse à la nature évolutive des réseaux de la communauté et des réseaux sociaux apràs l’àre du charbon, en s’attachant à l’expérience de deux groupes distincts d’anciens ouvriers. Il conclut en défendant une appréhension historique de la modélisation des réseaux.     

Technology Management in a Mature Firm: Structuration Theory and the Innovation Process

Most innovation studies focus on the activities or characteristics of individuals (agency) or on organizational attributes such as size and formalization (structure). In attempting to reconcile this agency-structure dichotomy we draw on structuration theory to examine the innovation process in detail. Structural properties (signification, domination and legitimation) are constantly reproduced from social interaction (communication, power and sanctions) by means of the modalities (interpretative schemes, facilities and norms) drawn on by knowledgeable, reflexive actors. This framework is utilized to examine the case of a mature manufacturing company in which managers and engineers were attempting to access new technologies. The data were acquired by means of a 6-year, on-going study which began in 1992 and which we suggest is essential for a thorough understanding of the innovation process.     

The Moderating Effect of Individuals' Perceptions of Ethical Work Climate on Ethical Judgments and Behavioral Intentions

Dimensions of the ethical work climate, as conceptualized by Victor and Cullen (1988), are potentially important influences on individual ethical decision-making in the organizational context. The present study examined the direct and indirect effects of individuals' perceptions of work climate on their ethical judgments and behavioral intentions regarding an ethical dilemma. A national sample of marketers was surveyed in a scenario-based research study. The results indicated that, although perceived climate dimensions did not have a direct effect on behavioral intentions, there were significant moderating effects. Climates perceived as emphasizing social responsibility and rules/codes moderated the individual ethical judgment-behavioral intentions relationship such that individuals were less likely to say that they would engage in a questionable selling practice even when they themselves did not believe the practice to be unethical. Respondents were somewhat more likely to form intentions consistent with their judgment that the questionable practice was morally acceptable when the ethical climate was characterized by an emphasis on team/friendship.     

THE LIBERAL DEMOCRATS AND SUPPLY‐SIDE ECONOMICS

The coalition has given the Liberal Democrats the opportunity to demonstrate their support for – or opposition to – supply‐side economics. The person who has done most on the supply side is Ed Davey, in the Department of Business, Innovation and Skills. In a remarkable legislative achievement for a Parliamentary Under Secretary in under two years in office, Davey ensured that the privatisation of Royal Mail reached the statute books, liberalised the terms and conditions for Post Office counters, and liberalised employment and retirement laws.     

Are Environmental Social Movements Socially Exclusive? An Historical Study from Thailand

Environmental social movements in developing countries are often portrayed as democratizing but may contain important social divisions. This paper presents a new methodology to analyze the social composition and underlying political messages of movements. Nearly 5 000 newspaper reports during 1968–2000 in Thailand are analyzed to indicate the participation of middle and lower classes, and their association with “green” (conservationist) and “red-green” (livelihoods-oriented) environmental values. Results show middle-class “green” activism has dominated forests activism, but lower-class “red-green” activism has grown for forests and pollution. Newspapers, however, portray all environmentalism as “democratization,” suggesting that the possible exclusiveness of some environmental norms is unacknowledged.     

Formative versus reflective measurement models: Two applications of formative measurement

This paper presents a framework that helps researchers to design and validate both formative and reflective measurement models. The framework draws from the existing literature and includes both theoretical and empirical considerations. Two important examples, one from international business and one from marketing, illustrate the use of the framework. Both examples concern constructs that are fundamental to theory-building in these disciplines, and constructs that most scholars measure reflectively. In contrast, applying the framework suggests that a formative measurement model may be more appropriate. These results reinforce the need for all researchers to justify, both theoretically and empirically, their choice of measurement model. Use of an incorrect measurement model undermines the content validity of constructs, misrepresents the structural relationships between them, and ultimately lowers the usefulness of management theories for business researchers and practitioners. The main contribution of this paper is to question the unthinking assumption of reflective measurement seen in much of the business literature.