Stock market volatility forecasting: Do we need high-frequency data?

The general consensus in the volatility forecasting literature is that high-frequency volatility models outperform low-frequency volatility models. However, such a conclusion is reached when low-frequency volatility models are estimated from daily returns. Instead, we study this question considering daily, low-frequency volatility estimators based on open, high, low, and close daily prices. Our data sample consists of 18 stock market indices. We find that high-frequency volatility models tend to outperform low-frequency volatility models only for short-term forecasts. As the forecast horizon increases (up to one month), the difference in forecast accuracy becomes statistically indistinguishable for most market indices. To evaluate the practical implications of our results, we study a simple asset allocation problem. The results reveal that asset allocation based on high-frequency volatility model forecasts does not outperform asset allocation based on low-frequency volatility model forecasts.     

Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets

In order to analyze the performance of mean-risk efficient portfolios, several methods of portfolio comparison have been developed. In this paper we analyze the second-order stochastic dominance efficiency of portfolios on the mean-risk efficient frontier assuming that the risk is represented by standard deviations and concordance matrices set up on the basis of Pearson's linear correlation, Spearman's rho, or Kendall's tau. Empirical analysis of the market returns of selected Asia-Pacific stock markets is carried out considering both the U.S. dollar and euro as reference currencies, and different periods: before and during the subprime crisis. Measures and portfolios on the mean-risk efficiency frontier that should be of interest to at least one risk-averse investor are empirically documented.     

Do people gamble more in good times? Evidence from 27 European countries

We provide evidence of a positive relationship between the intensity of gambling and economic growth in 27 European countries for 2005–2013. Our proxy for gambling is represented by government revenues from taxes on lotteries, betting and gambling. This variable is linked to GDP growth in a panel regression framework and pooled OLS. However, when we split our sample to account for the heterogeneity among European countries, we found that the positive ‘gambling – GDP growth’ relationship is driven extensively by the Central and Eastern European countries. It appears that people in these countries tend to gamble more when the economy is expanding.     

Language and ideology: quantitative thematic analysis of New Year speeches given by Czechoslovak and Czech presidents (1949–2011)

The relationship between ideology and language is analyzed by using quantitative linguistic methods to measure the thematic concentration of texts. The assumption is that totalitarianism and democracy represent radically different types of ideology and that this difference will be reflected in different levels of thematic concentration in texts of the same genre. The analysis focuses on the New Year speeches given by Czechoslovak and Czech presidents; these texts were chosen because they represent a relatively clearly delineated genre with a long tradition and because they are one of the most important outlets for the public expression of political opinions by the head of state. The results of statistical tests show that there exist significant differences between the thematic concentrations in the speeches of presidents from the totalitarian period and the period of democracy. The analysis also revealed that the largest differences in thematic concentrations were between the speeches made by the presidents representing the most ideologically polarized positions: the leader of the 1948 communist coup Klement Gottwald and the public face of the 1989 democratic Velvet Revolution Václav Havel.     

On Combining Partial and Incompatible Information in E-negotiation and E-arbitration

The complexity of the problems to be addressed in an e-democracy framework and the variety of involved stakeholders, with different backgrounds, views and access to information sources, lead us to consider the case in which an e-negotiation should be performed among subjects who have partial, sometimes incompatible, information and can hardly gather to discuss issues together, under the supervision of a facilitator. We propose a statistical method which addresses the issue of partial and incompatible information, merging it and then using it to get a final decision, possibly in an automatic way, through processes of e-negotiation and e-arbitration.      

The Shifting Tides of Academe: Oscillation between Hand and Computer in Architectural Education

There is a current vacillation in choosing hand or computer for design presentation in academia. Although the computer emerged as very powerful alternative presentation medium, it could not sweep away the hand totally. Believing that this vacillation cannot only be due to the positive and negative aspects of both media, we worked with a group of students in a design curriculum to observe the factors that affect their choice of medium for presenting design ideas. The students were required to use both media for the same task, subsequently their satisfaction and evaluation were examined through a questionnaire. Students acknowledged the positive aspects of both media, rather than accumulating on one side. Findings led us to concur that the constant oscillation of architecture between art and science penetrates down to the individual choice of presentation medium. We assert that the warmness of hand is not deserted as it contemplates the artistic essence, while the digital perfection of the computers flirt with science. The ever-attended, age-old question of architecture’s being art and/or science occupies the architectural agenda at various levels. Both the polarizations and the reconciliations have theoretical, practical and educational consequences. This paper locates itself within this context and proposes a new framework for analyzing the impacts of this oscillation in design presentation, concluding that the future of presentation in education points to the coexistence of both media.     

Assessing the burden of illness from cervical dystonia using the Toronto Western Spasmodic Torticollis Rating Scale scores and health utility: a meta-analysis of baseline patient-level clinical trial data

Purpose:

This study aimed to explore the burden of illness associated with cervical dystonia (CD), including possible demographic and humanistic correlates of baseline disease severity.

Methods:

The analysis involved the five multinational randomized, placebo-controlled clinical trials that had evaluated the efficacy and safety of Dysport® in patients with CD, including assessment using the Toronto Western Spasmodic Torticollis Rating Scale (TWSTRS). Patient-level TWSTRS scores from the individual studies were meta-analysed to estimate disease severity at baseline. One of the studies had reported Short Form-36 (SF-36) Health Survey quality-of-life measures, and these data were used to investigate whether the severity of CD was associated with humanistic outcomes, as measured by health utility. A generalized regression model was then applied to explore potential correlation between TWSTRS scores and utilities.

Results:

The estimated pooled mean baseline severity of CD in clinical trial entrants, as measured by TWSTRS score, was 43.23 (95% CI?=?39.31–47.15). In general, disease severity was significantly greater in patients aged over 40 years (compared to the reference group aged 18–30 years). However, there was no correlation between disease severity and other demographic characteristics (e.g., weight, height, gender). Higher TWSTRS scores correlated with worse health-related quality of life as perceived by patients and was reflected in health utility (R^2?=?0.133).

Conclusions:

This study was able to define TWSTRS scores in patients with CD in terms of associated utility. This approach could help in capturing the disease’s burden through measures that are more tangible than TWSTRS scores to patients, carers, clinicians, and healthcare payers.     

The Non-Equity Entry Mode Choices of International Hotel Organizations in New Zealand

ABSTRACT

Research on the non-equity entry mode choices of service firms is relatively limited. We use transaction cost economics and organizational capability perspectives to examine the determinants of choosing between franchising and management contracts in the hotel industry. In our analysis of four international hotel organizations operating in New Zealand, we found that both asset specificity and imperfect imitability helped in explaining the choice between franchising and management contracts. Behavioral uncertainty and host country management capabilities explained the entry mode choice of some hotel organizations but were not applicable for others that entered New Zealand via international strategic alliances or used strata titles. Finally, environmental uncertainty and the development of New Zealand’s business environment had a limited effect on choosing between franchising and management contracts.     

Data envelopment analysis for measuring economic growth in terms of welfare beyond GDP

Recent discussions about the definition of growth in terms of welfare beyond GDP suggest that it is of urgent need to develop new approaches for measuring the economic performance of firms and national economies. The new concepts should simultaneously take into account economic as well as social and environmental goals. First we present several approaches to productivity measures. Then we extend the data envelopment analysis models with environment indicators in order to measure the so called eco-efficiency and social indicators to take into consideration social performance. For illustration, we perform the analysis of 30 European countries for the year 2010. The last section concerns itself with the possibilities of inter-temporal analysis of the proposed models and their use in ex-ante evaluation of different policy scenarios.     

Visualization of time-dependent dynamics of postglacial rebound

Postglacial rebound is a major geological process which plays an important role in many areas in the earth sciences. Up to now, most of the images derived from studies of the glacial isostatic adjustment phenomenon have been concerned with surface signatures, such as the uplift and gravity anomalies and not much attention has been paid on the dynamical responses in the mantle. We will make use of the 3D visualization package Amira to depict both the external and internal deformation histories of the transient viscoelastic flow inside the mantle induced by postglacial uplift. Of particularly great interest are the transient displacement fields and shear heating inside the mantle. This same visualization technology can be brought to bear in the future for visualizing tsunami waves in ocean basins excited by earthquakes, volcanic eruptions and InSAR images. We have also integrated the visualization results into the Google Earth virtual globe by combining this scheme with the Amira package to provide a better geographical and dynamical context.