U.S. Virgin Islands National Park:

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Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models

This article explores the relationships between several forecasts for the volatility built from multi-scale linear ARCH processes, and linear market models for the forward variance. This shows that the structures of the forecast equations are identical, but with different dependencies on the forecast horizon. The process equations for the forward variance are induced by the process equations for an ARCH model, but postulated in a market model. In the ARCH case, they are different from the usual diffusive type. The conceptual differences between both approaches and their implication for volatility forecasts are analysed. The volatility forecast is compared with the realized volatility (the volatility that will occur between date t and t + ΔT), and the implied volatility (corresponding to an at-the-money option with expiry at t + ΔT). For the ARCH forecasts, the parameters are set a priori. An empirical analysis across multiple time horizons ΔT shows that a forecast provided by an I-GARCH(1) process (one time scale) does not capture correctly the dynamics of the realized volatility. An I-GARCH(2) process (two time scales, similar to GARCH(1,1)) is better, while a long-memory LM-ARCH process (multiple time scales) replicates correctly the dynamics of the implied and realized volatilities and delivers consistently good forecasts for the realized volatility.     

Spiritual Functions of Leisure and Spiritual Well-Being: Coping with Time Pressure

The purpose of this study was to develop a model of leisure style and spiritual well-being relationships, and the processes (spiritual functions of leisure) by which leisure can influence spiritual well-being. Also, the role of leisure in ameliorating the effects of time pressure on spiritual well-being was examined. Structural equation modeling using AMOS was employed to test direct and indirect effects models of the relationships among components of leisure style (leisure activity participation, leisure motivation, and leisure time), spiritual functions of leisure (sacrilization, repression avoidance, sense of place) and spiritual well-being (both behavioral and subjective). The model developed suggests that some components of people's leisure styles lead to certain behaviors and experiences (spiritual functions of leisure) that maintain or enhance spiritual well-being. These spiritual functions of leisure may also serve as coping strategies to ameliorate the negative influence of time pressure on spiritual well-being.     

Do perceptions of time affect outbound-travel motivations and intention? An investigation among Chinese seniors

How people conceptualise time can play a critical role in their travel intention. However, relatively little research attention has been directed to the links between time perspective, outbound-travel motivation and outbound-travel intention. In this study, survey data from a sample of Chinese seniors were analysed to test hypotheses regarding these links. The results showed that present-time perspective and future-time perspective were directly related to travel motivation, and that the associations between present and future perspectives and travel intention were fully mediated by travel motivation. These findings not only highlight the relevance of time-perspective styles to travel research, but also have specific implications for tourism-destination marketers with senior audiences.     

Modifying and applying time and cost blocks: The case of E-Da theme park,Kaohsiung, Taiwan

The main purpose of this study is to modify and apply a management tool called time and cost blocks (TCB). The model was modified to adjust how the “benefit indicator” was measured and further enhanced by inclusion of visitor satisfaction scores and revisiting intention. Data collection was accomplished by means of a diary-type semi-structured questionnaire, which was administered in face-to-face interviews with 655 visitors of the E-Da World theme park in Kaohsiung, Taiwan. The results indicate that participation intensity (PI) and benefit indicator (BI) have a significant relationship with satisfaction and revisiting intention.     

Forecasting accuracy evaluation of tourist arrivals

This paper evaluates the use of several parametric and nonparametric forecasting techniques for predicting tourism demand in selected European countries. We find that no single model can provide the best forecasts for any of the countries in the short-, medium- and long-run. The results, which are tested for statistical significance, enable forecasters to choose the most suitable model (from those evaluated here) based on the country and horizon for forecasting tourism demand. Should a single model be of interest, then, across all selected countries and horizons the Recurrent Singular Spectrum Analysis model is found to be the most efficient based on lowest overall forecasting error. Neural Networks and ARFIMA are found to be the worst performing models.     

Going for gold: Investigating the (non)sense of increased advertising around major sports events

Major sports events draw unsurpassed media attention. Companies are motivated to increase their advertising investments around these events to reach large audiences in a short period. Is such an advertising surge actually beneficial though, or should companies avoid advertising in these periods because of negative effects of competitive interference? This study investigates when consumer packaged goods companies should invest in advertising to increase sales: before, during, or after the event or outside these event periods. The author estimates short- and long-term own- and cross-advertising elasticities for 206 brands using four years of weekly data. Although considerable heterogeneity exists across brands, own-advertising effectiveness diminishes especially before and during major sports events, in both the short and the long run. In addition, brands benefit less from category-demand effects through competitors' advertising. Conversely, greater increases in advertising spending resulting in significant growth in share of voice around focused, single-sport events are a successful strategy to overcome this overall general negative trend.     

TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new market‐consistent evaluation procedure which we call “two‐step market evaluation.” This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two‐step market evaluations. We show further that in a dynamic setting with continuous stock prices every evaluation which is time‐consistent and market‐consistent is a two‐step market evaluation. We also give characterization results and examples in terms of g‐expectations in a Brownian‐Poisson setting.     

A management orientated approach to combination forecasting of tourism demand

Volatility, exponential smoothing, regression and Naïve 2 models are considered singly and in combination in terms of forecasting demand for international tourism. These models generate accurate predictions of tourism flows, but their prime utility is when combined with other models. Usually, models are combined by means of purely statistical criteria. We show that goal programming (GP) offers an alternative, flexible approach to model combination. GP offers planners a practical solution to tourism forecasting problems, since the method is more adaptable than conventional minimisation of prediction error, by permitting practitioners to prioritise a series of management related goals. Forecasters can focus on longer- and short-term goals, minimising forecast under- and over-estimation and/or concentrate on prediction errors in tourism flows at various times of the year.     

长期融资与经济增长

三十人小组（G30）将“投资时间区间”作为2012年的研究课题,形成《长期融资与经济增长》报告。报告旨在测算未来全球长期融资需求的规模,发现影响金融体系提供长期融资进而影响未来经济增长的潜在障碍,并提出了促进长期融资的五个目标以及具体建议。