Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures

We employ four various GARCH-type models, incorporating the skewed generalized t (SGT) errors into those returns innovations exhibiting fat-tails, leptokurtosis and skewness to forecast both volatility and value-at-risk (VaR) for Standard & Poor's Depositary Receipts (SPDRs) from 2002 to 2008. Empirical results indicate that the asymmetric EGARCH model is the most preferable according to purely statistical loss functions. However, the mean mixed error criterion suggests that the EGARCH model facilitates option buyers for improving their trading position performance, while option sellers tend to favor the IGARCH/EGARCH model at shorter/longer trading horizon. For VaR calculations, although these GARCH-type models are likely to over-predict SPDRs' volatility, they are, nevertheless, capable of providing adequate VaR forecasts. Thus, a GARCH genre of model with SGT errors remains a useful technique for measuring and managing potential losses on SPDRs under a turbulent market scenario.     

Stochastic Generational Accounting Applied to Reforms of Dutch Occupational Pensions

This paper examines stochastic or ‘value based’ generational accounting as a method to assess the intergenerational redistributive impact of pension reform. The analysis is applied to three policy changes to the regulation of Dutch occupational pensions during the years 2012 and 2013 that mark the transition from defined benefit pensions to ‘defined ambition’ pension schemes.     

How sensitive are bargaining outcomes to changes in disagreement payoffs?

We use a human-subjects experiment to investigate how bargaining outcomes are affected by changes in bargainers’ disagreement payoffs. Subjects bargain against changing opponents, with randomly drawn asymmetric disagreement outcomes that vary over plays of the game, and with complete information about disagreement payoffs and the cake size. We find that subjects only respond about half as much as theoretically predicted to changes in their own disagreement payoff and to changes in their opponent’s disagreement payoff. This effect is observed in a standard Nash demand game and a related unstructured bargaining game, in both early and late rounds, and is robust to moderate changes in stake sizes. We show theoretically that standard models of expected utility maximisation are unable to account for this under-responsiveness, even when generalised to allow for risk aversion. We also show that quantal-response equilibrium has, at best, mixed success in characterising our results. However, a simple model of other-regarding preferences can explain our main results.     

‘Breaking the ICE’: workplace democracy in a modernized social Europe

The EU seeks to improve its labour market performance through implementing the Lisbon and European Employment Strategies which encourage the modernization of work organization through the development of partnership with the assistance of an ‘appropriate’ regulatory framework. Key aspects of this latter framework concern workers' rights regarding information, consultation and participation in corporate governance. European labour laws, introduced in the 1970s, sought to strengthen employers' consultation with their workforce and, more recently, the changing economic, technological and organizational environment has returned issues related to workplace democracy to the top of the social policy agenda. Here we evaluate the significance of the new Directive on Information and Consultation with Employees (ICE) within the context of this planned modernization of European social policy. In doing so, we re-examine the historical development of workers' consultation laws in Europe and assess the economic rationale for regulating workplace social dialogue in an enlarged Social Europe.