Variance swap dynamics

We compare several parametric and non-parametric approaches for modelling variance swap curves by conducting an in-sample and an out-of-sample analysis using market prices. The forecasted Heston model gives the best overall performance. Moreover, the static Heston model highlights some problems of stochastic volatility models in option pricing of forward starting products.     

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.     

基于SEM的企业社会责任发展指数模型研究

本文应用结构方程模型理论,对企业社会责任发展指数模型内部结构进行实证研究,通过验证性因素分析方法分析指数模型的信度和效度,结合结构方程模型的竞争策略对模型内部结构关系进行假设;通过模型适配度的对比分析选择较为理想的关系模型,根据关系模型的结构以及责任管理变量的中介效果显著存在,进而提出了以完善责任管理体系为主要途径,以市场责任为资源基础的环境责任和社会责任协同发展的企业社会责任发展模式。     

International trade,risk taking and welfare

This paper shows that the gains from opening up to international trade are smaller when firms do not fully internalize downward risk. I develop a general equilibrium model with two key assumptions. First, when faced with adverse productivity shocks, employers can lay off workers without fully paying the social costs of their layoff decisions, a common feature of many institutions. Second, when opening to international trade, the elasticity of demand perceived by an industry increases. In this setup, I show that international trade induces firms to take more risk and (i) raises the equilibrium unemployment rate, (ii) increases the volatility of sectoral sales and (iii) increases welfare proportionately less than in the absence of the externality. Inducing firms to internalize the costs of layoff (Blanchard and Tirole, 2003) therefore appears even more important in a globalized world.     

Landscape fragmentation in Mediterranean Europe: A comparative approach

Maintaining ecosystem continuity has become a central element in spatial planning policies. Several authors acknowledge the environmental, also known as landscape, fragmentation due to human action as one of the main causes which have negative effects on biodiversity. The phenomenon consists of the transformation of larger patches of habitat in smaller ones, or fragments, which tend to be more isolated than in the original condition. It is extremely evident in urban areas, including settlements and various transport and mobility infrastructures, whose main ecological effects include loss of habitat, increased mortality of plants, and isolation of animal and vegetal species. In this paper, we assess landscape fragmentation dynamics of six landscape units belonging to two European regions, i.e. Sardinia in Italy (from 2003 to 2008), and Andalusia in Spain (from 2005 to 2009). We developed on three indices: the Infrastructural Fragmentation Index (IFI), the Urban Fragmentation Index (UFI), and the Connectivity Index (CI). We found that coastal areas generally suffer from an higher pressure due to the demand of longer or faster transport infrastructures and new settlements and less fragmented areas tend to show the most relevant dynamics in a sort of convergent pattern. Even though landscape fragmentation and connectivity are intuitively complementary phenomena, in this paper we did not found any statistical evidence of this associative property.     

Modeling the time-varying volatility of the paper–bill spread

The spread between the rates on commercial paper and Treasury bills has received considerable attention in the literature for its role as an indicator of real economic activity. In this paper we empirically examine what happens when the volatility of the spread changes over time. We estimate a nonlinear model that enables us to discern the asymmetric impact of negative and positive shocks to the spread. We find that a positive shock has a larger impact on the volatility of the spread than does a negative shock.     

Ordering univariate distributions by entropy and variance

This paper examines the role of variance and entropy in ordering distributions and random prospects. There is no universal relation between entropy and variance orderings of distributions. But we place their relationship in the context of a stronger ordering relation known as dispersion ordering. Further, some conditions are identified under which variance and entropy order similarly when continuous variables are transformed. We also analyze parametric changes which do not disturb the agreement between these rankings. The results are conveniently tabulated in terms of distribution parameters.     

Maximum likelihood estimation of the double exponential jump-diffusion process

The double exponential jump-diffusion (DEJD) model, recently proposed by Kou (Manage Sci 48(8), 1086–1101, 2002) and Ramezani and Zeng (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=606361, 1998), generates a highly skewed and leptokurtic distribution and is capable of matching key features of stock and index returns. Moreover, DEJD leads to tractable pricing formulas for exotic and path dependent options (Kou and Wang Manage Sci 50(9), 1178–1192, 2004). Accordingly, the double exponential representation has gained wide acceptance. However, estimation and empirical assessment of this model has received little attention to date. The primary objective of this paper is to fill this gap. We use daily returns for the S&;P-500 and the NASDAQ indexes and individual stocks, in conjunction with maximum likelihood estimation (MLE) to fit the DEJD model. We utilize the BIC criterion to assess the performance of DEJD relative to log-normally distributed jump-diffusion (LJD) and the geometric brownian motion (GBM). We find that DEJD performs better than these alternatives for both indexes and individual stocks.     

Quadratic Hawkes processes for financial prices

We introduce and establish the main properties of QHawkes (‘Quadratic’ Hawkes) models. QHawkes models generalize the Hawkes price models introduced in Bacry and Muzy [Quant. Finance, 2014, 14(7), 1147–1166], by allowing feedback effects in the jump intensity that are linear and quadratic in past returns. Our model exhibits two main properties that we believe are crucial in the modelling and the understanding of the volatility process: first, the model is time-reversal asymmetric, similar to financial markets whose time evolution has a preferred direction. Second, it generates a multiplicative, fat-tailed volatility process, that we characterize in detail in the case of exponentially decaying kernels, and which is linked to Pearson diffusions in the continuous limit. Several other interesting properties of QHawkes processes are discussed, in particular the fact that they can generate long memory without necessarily being at the critical point. A non-parametric fit of the QHawkes model on NYSE stock data shows that the off-diagonal component of the quadratic kernel indeed has a structure that standard Hawkes models fail to reproduce. We provide numerical simulations of our calibrated QHawkes model which is indeed seen to reproduce, with only a small amount of quadratic non-linearity, the correct magnitude of fat-tails and time reversal asymmetry seen in empirical time series.     

Intradaily volatility and adjustment

Intradaily volatility is related to the speed of adjustment of prices towards their intrinsic values. The decomposition of volatility into intrinsic and noise related components is demonstrated to be impacted by speeds of adjustment. Intradaily speeds of adjustment are estimated for U.K. index data and some empirical evidence of overreaction at the open and underreaction at the close of the trading day found for the FTSE100 index. The major result that we report in this paper is that differential intradaily volatilities at the index level are related to differential speeds of adjustment, thus providing insights into the similar results reported in U.S. index studies, such as [Gerety, M., Mulherin, J., 1994. Price formation on stock exchanges: the evolution of trading within the day. The Review of Financial Studies 7, 609–629].