Estimation and pricing under long-memory stochastic volatility

We treat the problem of option pricing under a stochastic volatility model that exhibits long-range dependence. We model the price process as a Geometric Brownian Motion with volatility evolving as a fractional Ornstein–Uhlenbeck process. We assume that the model has long-memory, thus the memory parameter H in the volatility is greater than 0.5. Although the price process evolves in continuous time, the reality is that observations can only be collected in discrete time. Using historical stock price information we adapt an interacting particle stochastic filtering algorithm to estimate the stochastic volatility empirical distribution. In order to deal with the pricing problem we construct a multinomial recombining tree using sampled values of the volatility from the stochastic volatility empirical measure. Moreover, we describe how to estimate the parameters of our model, including the long-memory parameter of the fractional Brownian motion that drives the volatility process using an implied method. Finally, we compute option prices on the S&P 500 index and we compare our estimated prices with the market option prices.     

The Impact of Austerity in the Framework of Corporate Rescue and the Rights of Workers in the EU: A Road to Recovery?

The financial crisis and the sovereign debt crisis have been attributed to a number of causes. Whether these are economic, social, cultural or legal, they are all by and large also political. The aim of this article is not to delve into the myriad of heated political arguments that continue to dominate the scene but to assess the impact of the financial crisis on the employment protection rights and the corporate rescue regimes in Greece, Portugal, France and the UK. In light of the crisis, the rights of the workforce have been severely compromised to afford financially troubled companies a greater opportunity to recover. In order to minimise the catastrophic impact of financial turmoil on their economy and society, all four jurisdictions introduced reforms to their labour codes and corporate rescue mechanisms, often in the name of austerity. This article will offer a snapshot of the changes and their effects and an assessment whether or not the reforms of pre‐insolvency regimes have operated as an effective embankment for the protection of social and economic welfare. The purpose of this piece is to shed a light on the changes that have occurred and that have affected employment rights in the domestic legal systems of individual member states, as influenced to some extent by the EU in its expectations of improvements to increase labour market flexibility, and whether corporate rescue mechanisms in individual member states are able to provide some counterbalance to the erosion of employment rights generally. Copyright © 2017 INSOL International and John Wiley & Sons, Ltd.     

Community resilience to long-term tourism decline and rejuvenation: a literature review and conceptual model

Studied for decades in disciplines such as ecology, psychology, engineering and sociology ‘resilience’ can be defined as a system's ability to withstand and respond to change. The tourism literature has embraced the concept of community resilience by harnessing concepts of adaptive capacity and vulnerability. Many of these studies have focused on the tourism system's ability to respond to short-term disasters and hazards. With the growth of resilience studies in tourism, it is timely to take stock of the core premise of resilience as it is applied to tourism and to identify key gaps in current research. Consequently, this research aims to identify the core concepts of community resilience, with a focus on its application within tourism. The findings reveal that many studies have been conceptual, although there are an increasing number of empirical studies underpinned by resilience theory. Therefore, a conceptual model is presented to broaden existing resilience research and to guide future research into community resilience to tourism decline and rejuvenation.     

Transformations of a city centre in the light of ideologies: the case of Banská Bystrica,Slovakia

This paper is concerned with transformations of the central square in the city of Banská Bystrica, Central Slovakia, from 1918 to the present. This period can be divided into three important eras with respect to the historical development of the square. In the democratic period from 1918–48, the central square was a polyfunctional area where most of the city’s social and cultural events and activities took place. The polyfunctionality of the square in the interwar period was replaced by a dominating traffic function in the communist period, during the years 1948–89. The central square became the arterial road of the city where any social and cultural activities were impossible to organize because of noise and pollution. The situation has changed since the velvet revolution in 1989. Most of the houses on the square have been returned to former owners and transformed into luxurious private shops, restaurants, cafes and banks. In 1994 the complete reconstruction of the square took place. The inhabitants have welcomed the reconstruction with great interest. After long years, the square has become a place of rich social and cultural life, and is considered a symbol of modernization and westernization. The reconstruction of the square has contributed to a revitalization of urban life. It has reinforced the inhabitants’ identity with the city and their pride in the place where they live. mdash; Cet article concerne les transformations de la place centrale de la ville de Banská Bystrica en Slovakie Centrale, de 1918 à nos jours. Cette période peut être divisée en trois époques, importantes quant au développement historique de cette place. Durant la période démocratique de 1918 à 1948, la place centrale était un endroit polyfonctionnel où prenaient place la plupart des activités sociales et culturelles. La polyfonctionnalité de la place entre les deux guerres fut remplacée par la fonction dominante de la circulation durant la période communiste de 1948 à 1989. La place centrale devint l’artère principale de la ville où il était impossible d’organiser des activités culturelles ou sociales à cause du bruit et de la pollution. Cette situation a changé depuis la révolution feutrée de 1989. La plupart des maisons sur la place ont été rendues à leurs anciens propriétaires et transformées en boutiques de luxe, en restaurants, en cafés et en banques. La reconstruction complète de la place que les habitants ont accueilli chaudement et avec grand intérêt, eut lieu en 1994. Après de nombreuses années, la place est devenue un lieu riche de vie culturelle et sociale et est considérée un symbole de modernisation et occidentalisation. La reconstruction de la place a contribuéà la revigoration de la vie urbaine. Elle a renforcé l’identification des habitants à leur ville et leur fierté d’y habiter.     

Asset Write‐downs: Evidence from 2001–2008

Accounting for asset write‐downs has received substantial media attention throughout the Global Financial Crisis and has been the subject of academic debate and numerous accounting regulations during the past three decades. This study provides evidence of the magnitude and frequency of quarterly asset write‐down activities for a sample of US firms between 2001 and 2008 and examines whether reported asset write‐downs mirror market and economic indicators during the sample period.     

The rest of me

iPhone Siri demonstratively introduced natural language processing. Still a gadget, the idea revived one of the old promises of computers as personal assistants. Does it have the potential of fulfilling the already burgeoning imagination related to this promise? The authors believe that, while still dependent on the evolution of artificial intelligence, the virtual assistant may find support in the already maturing technologies of augmented reality and, more important, in the changing global network with the semantic web, Internet of things and geo-location. Bluntly speaking, its feasibility and acceptability may not even have to wait for the promised IBM computer with human brain capabilities, but rather build on a more friendly interaction with the Google search engine.The article provides a narrative scenario of the deep economic and social transformations and even turbulence that the so called imaginary friend may produce. Not discarding, but creatively integrating some of the archetypes of futuristic literature, the story positions these entities as the foreground of a deep integration of networks, with the added turmoil caused by economic interests that go beyond individuals’ sense-making capacity.This article is one of the follow-ups of the international foresight workshop “Crazy futures” coordinated by Ziauddin Sardar and George Cairns in a small resort on the Danube Delta in July 2011, a workshop organised as part of the project Quality and Leadership for Romanian Higher Education.     

Non-Segmented Equilibria Under Differential Taxation: Evidence from the Canadian Government Bond Market

This paper investigates tax effects in the Canadian governmentbond market during the period 1964—1986. Unlike previousstudies, we apply both statistical and nonstatistical teststoanalyze clientele effects and market equilibria. The resultsdivide the sample into two distinct periods of time, with theend of 1976 marking the division. We find that tax effects arealmost nonexistent in the Canadian government bond market beforethe end of 1976, but are predominant in the post-1976 period.Non-segmented market equilibria cannot be rejected before 1977,but are strongly rejected after 1976. In fact, segmented equilibriawith clientele effects in both quantities and prices characterizethe entire five year period from 1982 to 1986. These findingsare consistent with tax reforms, government deficit financingand interest rate fluctuations in Canada during our sample period.     

Environmental impacts of changes to healthier diets in Europe

Food consumption causes, together with mobility, shelter and the use of electrical products, most life cycle impacts of consumption. Meat and dairy are among the highest contributors to environmental impacts from food consumption. A healthier diet might have less environmental impacts. Using the E3IOT environmentally extended input output database developed in an EU study on Environmental Impacts of Products (EIPRO), this paper estimates the difference in impacts between the European status quo and three simulated diet baskets, i.e. a pattern according to universal dietary recommendations, the same pattern with reduced meat consumption, and a ‘Mediterranean’ pattern with reduced meat consumption. Production technologies, protein and energy intake were kept constant. Though this implies just moderate dietary shifts, impact reductions of up to 8% were possible in reduced meat scenarios. The slightly changed food costs do not lead to significant first order rebound effects. Second order rebounds were estimated by applying the CAPRI partial equilibrium model. This analysis showed that European meat production sector will most likely respond by higher exports to compensate for losses on the domestic meat market. Higher impact reductions probably would need more drastic diet changes.     

Intergenerational Correlations of Extreme Right‐Wing Party Preferences and Attitudes toward Immigration

In this paper, we analyze the importance of parental socialization on the development of children's far right‐wing preferences and attitudes toward immigration. Using longitudinal data from Germany, our intergenerational estimates suggest that the strongest and most important predictor for young people's right‐wing extremism are their parents' right‐wing extremist attitudes. While intergenerational associations in attitudes toward immigration are equally high for sons and daughters, we find a positive intergenerational transmission of right‐wing extremist party affinity for sons, but not for daughters. Compared to the intergenerational correlation of other party affinities, the high association between fathers' and sons' right‐wing extremist attitudes is particularly striking.     

Income and religion: a heterogeneous panel data analysis

A recent empirical literature has addressed the relationship between income and religion, but most of the studies are based on microdata. Macroeconomic analysis of the issue has largely ignored the potential heterogeneity between countries. Using retrospective data on church attendance rates for a panel of countries between 1925 and 1990, we apply heterogeneous panel data estimators and reveal that the effect of participation in religious activities on income per capita is mostly non-significant. This is consistent with some of the recent research that casts doubt onto the influence of religion on income, once causality is taken into account.