Search results

1 – 10 of 12
Per page
102050
Citations:
Loading...
Access Restricted. View access options
Article
Publication date: 29 May 2007

David G. McMillan and Alan E.H. Speight

In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the…

1495

Abstract

Purpose

In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the most appropriate model for risk management practice.

Design/methodology/approach

The study considers a variety of models, including those typically employed within the risk management industry, such as averaging and smoothing techniques, as well as those favored in academic circles, such as the GARCH genre of models, and a more recent realized volatility approach which incorporates both the simplicity in construction favored by the finance industry and the flexibility and theoretical underpinnings recommended by academics.

Findings

The results support the view that this realized volatility measure provides not only superior volatility forecasts per se, but also allows for improved hedge ratio and VaR calculations.

Practical implications

The research findings carry practical implications for the conduct of risk management, namely that volatility forecasts are best obtained using the realized volatility approach.

Originality/value

It is therefore proposed that a future direction for risk management practice may be to utilize such measures, while more generally it is hoped that such approaches may improve the cross‐fertilization of ideas and practice between the academic and practitioner communities.

Details

The Journal of Risk Finance, vol. 8 no. 3
Type: Research Article
ISSN: 1526-5943

Keywords

Access Restricted. View access options
Article
Publication date: 1 October 1998

David G. McMillan and Alan E.H. Speight

Reappraises the stylised facts of the contemporary UK business cycle and the robustness of associated sample moments to detrending under the Hodrick‐Prescott (HP) filter and an…

1030

Abstract

Reappraises the stylised facts of the contemporary UK business cycle and the robustness of associated sample moments to detrending under the Hodrick‐Prescott (HP) filter and an unobserved components (UC) model based on the structural time series mode of Harvey and advocated in this context by Harvey and Jaeger. For the majority of series considered, findings broadly confirm the earlier HP‐based results of Blackburn and Ravn, but important differences with previous results are reported for labour productivity, the real wage and the real interest rate. However, under neither detrending method are the anticipated cross‐correlations between output and the pivotal variables in standard real business cycle (RBC) models (labour productivity, real wages, the real interest rate and nominal variables) simultaneously confirmed. Indeed, on balance, these results may be interpreted as more suggestive of an orthodox demand‐led or policy‐induced cycle.

Details

Journal of Economic Studies, vol. 25 no. 5
Type: Research Article
ISSN: 0144-3585

Keywords

Access Restricted. View access options
Article
Publication date: 1 January 1954

Aarhus Kommunes Biblioteker (Teknisk Bibliotek), Ingerslevs Plads 7, Aarhus, Denmark. Representative: V. NEDERGAARD PEDERSEN (Librarian).

120

Abstract

Aarhus Kommunes Biblioteker (Teknisk Bibliotek), Ingerslevs Plads 7, Aarhus, Denmark. Representative: V. NEDERGAARD PEDERSEN (Librarian).

Details

Aslib Proceedings, vol. 6 no. 1
Type: Research Article
ISSN: 0001-253X

Access Restricted. View access options
Article
Publication date: 1 March 1991

David Blake

The different types of estimators of rational expectations modelsare surveyed. A key feature is that the model′s solution has to be takeninto account when it is estimated. The two…

749

Abstract

The different types of estimators of rational expectations models are surveyed. A key feature is that the model′s solution has to be taken into account when it is estimated. The two ways of doing this, the substitution and errors‐in‐variables methods, give rise to different estimators. In the former case, a generalised least‐squares or maximum‐likelihood type estimator generally gives consistent and efficient estimates. In the latter case, a generalised instrumental variable (GIV) type estimator is needed. Because the substitution method involves more complicated restrictions and because it resolves the solution indeterminacy in a more arbitary fashion, when there are forward‐looking expectations, the errors‐in‐variables solution with the GIV estimator is the recommended combination.

Details

Journal of Economic Studies, vol. 18 no. 3
Type: Research Article
ISSN: 0144-3585

Keywords

Access Restricted. View access options
Book part
Publication date: 22 May 2019

Greg Morgan

Abstract

Details

Rewriting Leadership with Narrative Intelligence: How Leaders Can Thrive in Complex, Confusing and Contradictory Times
Type: Book
ISBN: 978-1-78756-776-4

Access Restricted. View access options
Article
Publication date: 1 February 1990

Alan Carruth and Andrew Henley

Recent work on the econometric specification of the consumptionfunction by London Business School (LBS) forecasters has argued that theinclusion of a variable capturing movements…

114

Abstract

Recent work on the econometric specification of the consumption function by London Business School (LBS) forecasters has argued that the inclusion of a variable capturing movements in demographic structure is essential to the explanation of the recent sharp drop in the UK personal savings ratio. It is shown that the inclusion of demographic factors does not provide a model that is robust to alternative data formulations. On the contrary, an adequate explanation for recent movements in aggregate consumers′ expenditure can be found using the LBS data by specifying a consumption function that incorporates adjustment of income to control for the maintenance of the real value of asset holdings, following Hendry and Von Ungern‐Sternberg (1981).

Details

Journal of Economic Studies, vol. 17 no. 2
Type: Research Article
ISSN: 0144-3585

Keywords

Access Restricted. View access options
Article
Publication date: 1 June 1942

Perhaps it should be said that optimal nutrition is an ultimate goal which science is not yet prepared to define descriptively in detail. Speaking operationally, we may say that…

81

Abstract

Perhaps it should be said that optimal nutrition is an ultimate goal which science is not yet prepared to define descriptively in detail. Speaking operationally, we may say that recent research has established, fully and objectively, the principle of the nutritional improvability of the normal. The experimental evidence can, of course, be but sketchily presented in a review of this sort which attempts to summarise in so little space a scientific advance of undoubtedly far‐reaching significance. Under the necessity of extreme brevity, the writer trusts he will be pardoned for drawing illustrations chiefly from the work with which he is best acquainted. In experiments to determine what proportion of protective food suffices to balance a minimum proportion of wheat in the diet, it was found that a mixture of five‐sixths ground whole wheat and one‐sixth dried whole milk with table salt and distilled water (Diet A) was adequate in that it supported normal growth and health with successful reproduction and rearing of young, generation after generation. Yet when the proportion of milk was increased (Diet B) the average results were better. In the experiments just mentioned, an already‐adequate dietary and an already‐normal condition of nutritional wellbeing and health were improved by a more scientific adjustment of the relative quantities in which the staple articles of food were consumed. And in the comparison of the effects of these two diets the principle of the nutritional improvability of the normal was manifested measurably at every stage of the life cycle. Growth and development, adult vitality, and length of life all were normal on Diet A and all were better on Diet B. This research having been planned in terms of natural articles of food, the sole experimental variable was the quantitative proportion or ratio between the foods constituting the dietary. If, on the other hand, we turn to the consideration of individual chemical factors, we find that the single change in proportions of staple foods had the effect of enriching the dietary at four points: protein, calcium, riboflavin, and vitamin A. Subsequent experimentation was planned both in terms of these four chemical factors separately and in terms of diversification of the dietary by addition of natural foods of other types. Here it was found that enrichment of the original diet with protein alone or its diversification with other natural foods tended to a moderate increase in growth and adult size, but no distinct improvement in the life history. Clearly this indicates that the increased intake of protein played but little if any part in the nutritional improvement induced by Diet B over Diet A; and also strengthens the probability that the observed improvement is essentially explainable in terms of the factors we recognise, for if anything unknown had played an important rôle in this improvement, the diversification of the diet would probably have revealed some indication of it. Calcium, riboflavin, and vitamin A each is found to play a signicant part in the nutritional improvement of the already adequate diet and already normal health. With each of these three factors the level of intake giving best results in long‐term experiments is two or more times higher than the level of minimal adequacy. Some aspects of the respective rôles of these three factors are still subjects of further experimental investigation. It is not to be assumed that the wide margins of beneficial intake over actual need, found as just mentioned with calcium, riboflavin, and vitamin A, will apply to the other nutritionally essential mineral elements and vitamins. Each should be investigated independently in this respect; and with no presuppositions derived from the findings with calcium, riboflavin, and vitamin A, for these were not random samples, but were taken for rigorous experimental study because of the definite suggestions of earlier work. Meanwhile the above‐mentioned findings with the factors already comprehensively investigated afford a basis both for clarification of a fundamental chemical principle in nutrition, and for its practical application. One useful first‐approximation of nineteenth‐century science was that an organism may be expected to grow only as fast or as far as is consistent with the specific chemical composition of its kind; and another was that it is the fixité of the organism's internal environment which enables it to cope with new or changing external environments. It is surprising that these views continued to be held so rigidly for so long when at the same time there were developing physico‐chemical principles which call for a more flexible concept. In this light it seems clear that the so‐called steady states of the body are only relatively so: that one cannot introduce into the system different amounts and proportions of such active factors as we know some food constituents to be, without some resulting changes of concentration levels or of dynamic‐equilibrium points, or both. And now we have the objective evidence of well‐controlled, long‐term experimentation showing nutritional improvement of an already normal bodily condition in such manner as seems best expressed by saying that the chemical aspect of the body's internal environment has been modified for the better. Thus in accordance with physico‐chemical principles we now conceive the “normal level” of each nutritional factor to be not a single fixed level but a zone. Undoubtedly this zone is wider for some factors than for others, and probably also the most advantageous level is with some substances near the upper margins, and with other substances near the middle or the lower margins, of the respective normal zones. Thus while our bodies enjoy by virtue of their biological inheritance certain self‐regulatory processes of striking effectiveness, our minds are now finding, through chemical research, how these can be made still more effective by the scientific guidance of our nutritional intakes; by helpfully influencing our internal environments through good habits in our daily choice of food. Contemporary research in the chemistry of nutrition is here developing a fundamental and far‐reaching scientific concept which hitherto has hardly been apprehended because species have been regarded as more rigidly specific in their chemical composition, and the “steady states” of their internal environment have been regarded as more rigidly fixed, than they really are. The accepted generalisation that each life history is determined (1) by heredity and (2) by environment assigns all except hereditary factors to environment by definition. But as the result of nearly a century of scientific as well as popular habit of thought, the word “environment” actually connotes surroundings. Science exaggerated the extent and rigidity with which our internal chemistry is automatically regulated by our biological inheritance, to such an extent that there seemed nothing for us to do about it except to admire its wonders and stand ready to repair its occasional breakdowns. But now that we are finding ways to add conscious chemical control and improvement to the marvellous mechanism with which nature endows us, we can be not merely repair‐men to a biologically inherited bodily machine, but also architects of a higher health. It may help to make this newly‐opened opportunity clearer if, instead of the above‐mentioned two, we think and speak of three major determinants of our life‐histories: (1) heredity; (2) environment, in the familiar external sense of surroundings; and (3) the body's internal environment, which immediately environs and conditions the life process, and which in the course of the life cycle is much more significantly influenced than hitherto supposed by even the normal differences in what we take into our bodies as food. This responsiveness of our internal chemistry, and resulting degree or level of positive health, to our nutritional intake, usually becomes manifestly measurable only in cases of visible injury from nutritional deficiency, which, once apprehended, we seek to avoid; or in experimentation with laboratory animals whose natural life‐cycles are such as to permit of accurately controlled conditions and observations extending throughout entire lifetimes and successive generations. In the long‐controlled, laboratory‐bred colony of experimental animals used in large numbers for full‐life and successive‐generation feeding tests conducted with all the quantitatively meticulous care and precautions to which research workers in the exact sciences are trained, we now have an instrument and technique of investigation such as has not existed before. Much remains to be done in the new field of research thus opened; but work already completed shows clearly the possibility of nutritional improvements of already‐normal health, vitality and efficiency throughout our lives. Whatever we are individually born with, we can each do more for ourselves to influence our life histories in the direction of our aspirations than science has hitherto thought.

Details

British Food Journal, vol. 44 no. 6
Type: Research Article
ISSN: 0007-070X

Access Restricted. View access options
Article
Publication date: 1 May 1971

Earliest localism was sited on a tree or hill or ford, crossroads or whenceways, where people assembled to talk, (Sax. witan), or trade, (Sax. staple), in eggs, fowl, fish or…

121

Abstract

Earliest localism was sited on a tree or hill or ford, crossroads or whenceways, where people assembled to talk, (Sax. witan), or trade, (Sax. staple), in eggs, fowl, fish or faggots. From such primitive beginnings many a great city has grown. Settlements and society brought changes; appointed headmen and officials, a cloak of legality, uplifted hands holding “men to witness”. Institutions tend to decay and many of these early forms passed away, but not the principle vital to the system. The parish an ecclesiastical institution, had no place until Saxons, originally heathens, became Christians and time came when Church, cottage and inn filled the lives of men, a state of localism in affairs which endured for centuries. The feudal system decayed and the vestry became the seat of local government. The novels of Thomas Hardy—and English literature boasts of no finer descriptions of life as it once was—depict this authority and the awe in which his smocked countrymen stood of “the vicar in his vestry”. The plague freed serfs and bondsmen, but events, such as the Poor Law of 1601, if anything, revived the parish as the organ of local government, but gradually secular and ecclesiastical aspects were divided and the great population explosion of the eighteenth century created necessity for subdivision of areas, which continued to serve the principle of localism however. The ballot box completed the eclipse of Church; it changed concepts of localism but not its importance in government.

Details

British Food Journal, vol. 73 no. 5
Type: Research Article
ISSN: 0007-070X

Access Restricted. View access options
Article
Publication date: 1 August 1968

J.F. BLAGDEN

IThis review has been sponsored by the Office for Scientific and Technical Information and the end product of the complete research will be a thesaurus of management terms…

131

Abstract

IThis review has been sponsored by the Office for Scientific and Technical Information and the end product of the complete research will be a thesaurus of management terms. Parallel research in the business management area and also supported by OSTI is being conducted by David Dews, Librarian of the Manchester Business School, and K. D. C. Vernon, Librarian of the London Graduate School of Business Studies. As Mr Vernon is at present engaged in the construction of a faceted classification scheme for management, this investigation has concentrated on the possibility of utilizing faceted techniques to construct such a thesaurus.

Details

Aslib Proceedings, vol. 20 no. 8
Type: Research Article
ISSN: 0001-253X

Access Restricted. View access options
Book part
Publication date: 12 June 2017

Ofer Sharone

The rapid growth of online social networking sites (“SNS”) such as LinkedIn and Facebook has created new forms of online labor market intermediation that are reconfiguring the…

Abstract

The rapid growth of online social networking sites (“SNS”) such as LinkedIn and Facebook has created new forms of online labor market intermediation that are reconfiguring the hiring process in profound ways; yet, little is understood about the implications of these new technologies for job seekers navigating the labor market, or more broadly, for the careers and lives of workers. The existing literature has focused on digital inequality – workers’ unequal access to or skilled use of digital technologies – but has left unanswered critical questions about the emerging and broad effects of SNS as a labor market intermediary. Drawing on in-depth interviews with unemployed workers this paper describes job seekers’ experiences using SNS to look for work. The findings suggest that SNS intermediation of the labor market has two kinds of effects. First, as an intermediary for hiring, SNS produces labor market winners and losers involving filtering processes that often have little to do with evaluations of merit. Second, SNS filtering processes exert new pressures on all workers, whether winners or losers as perceived though this new filter, to manage their careers, and to some extent their private lives, in particular ways that fit the logic of the SNS-mediated labor market.

Details

Emerging Conceptions of Work, Management and the Labor Market
Type: Book
ISBN: 978-1-78714-459-0

Keywords

1 – 10 of 12
Per page
102050