Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range

We compare the incremental information content of implied volatility and intraday high-low range volatility in the context of conditional volatilityforecasts for three major market indexes: the S&P 100, the S&P 500, and the Nasdaq 100. Evidence obtained from out-of-sample volatility forecasts indicates that neither implied volatility nor intraday high-low range volatility subsumes entirely the incremental information contained in the other. Our findings suggest that intraday high-low range volatility can usefully augment conditional volatility forecasts for these market indexes.

Industrial production and capacity utilization: the 2001 annual revision

In late 2001, the Board of Governors of the Federal Reserve System published the annual revision of its index of industrial production and the related measures of capacity and capacity utilization for the period January 1992 to October 2001. The updated measures reflect the incorporation of newly available, more-comprehensive source data and the introduction of improved methods for compiling a few series. ; Measured fourth quarter to fourth quarter, increases in rates of industrial output and capacity have been revised downward from rates previously reported for 1999 and 2000. The revision places the decline in industrial output in 2001 at an annual rate of 6.0 percent. The estimated rate of increase in capacity in 2001 was lowered by 0.7 percentage point, to 1.7 percent. The rate of industrial capacity utilization as of the third quarter of 2001 was little changed by the revision; at 74.6 percent in the fourth quarter of 2001, the rate is 4 percentage points below the nadir of the 1990-91 recession but 3 percentage points above that of the 1982 recession.Industrial production index ; Industrial capacity

Industrial production and capacity utilization: historical revision and recent developments

The Board of Governors of the Federal Reserve System has completed a revision of its measures of output, capacity, and capacity utilization for the industrial sector. The primary feature of the revision is a new formulation for aggregating the indexes and utilization rates based on weights that are updated annually rather than every five years. The new formulation has been used to revise the output, capacity, and utilization rates back to 1977. It provides more accurate current estimates of developments in industrial production and capacity utilization and eliminates an earlier, small overstatement of the growth trends of production and capacity. ; The revised indexes of industrial production and capacity show slower growth, on average, than the earlier estimates while the cyclical patterns of the revised measures are practically the same as before. Both from 1977 to 1987 and from 1987 to 1996, total industrial output grew at an average pace of about 2.3 percent a year--about 1/4 percentage point less than previously estimated. The growth of industrial capacity was revised down nearly as much; consequently, the rate of total industrial capacity utilization was revised down only a fraction of a percentage point at the end of 1996. (Statistical Release G.17, "Industrial Production and Capacity Utilization.")Industrial capacity ; Industrial productivity

The cost of granting executive stock options with strike prices adjusted by the cost of capital

Purpose &ndash; The purpose of this paper is to estimate the cost of granting executive stocks with strike prices adjusted by the cost of capital.Design/methodology/approach &ndash; In the paper a Monte Carlo simulation approach developed in Longstaff and Schwartz is used in conjunction with the subjective valuation model developed in Ingersoll to value these executive stock options that are subject to performance hurdles.Findings &ndash; The paper finds that standard European Black-Scholes-Merton option values overstate the true cost to the firm of granting these executive stock options. The option values also decrease with a higher dividend yield, a higher performance hurdle, a longer vesting period, and a shorter maturity.Research limitations/implications &ndash; While the study in the paper is limited to the valuation of executive options, the methodology can be used to study incentive effects of executive stock options that have a performance hurdle.Practical implications &ndash; The approach used in this paper to estimate the cost of granting executive stock options is a clear improvement over standard European option pricing approaches that often result in biased estimates.Originality/value &ndash; This paper presents a first attempt to integrate the Ingersoll utility-theoretic model and the Longstaff and Schwartz least squares Monte Carlo algorithm to estimate the subjective value and the objective cost of executive stock options with a performance hurdle. This valuation approach will be useful in the study of other types of executive compensation.<br /

Intangible Capital and Economic Growth

Published macroeconomic data traditionally exclude most intangible investment from measured GDP. This situation is beginning to change, but our estimates suggest that as much as $800 billion is still excluded from U.S. published data (as of 2003), and that this leads to the exclusion of more than$3 trillion of business intangible capital stock. To assess the importance of this omission, we add capital to the standard sources-of-growth framework used by the BLS, and find that the inclusion of our list of intangible assets makes a significant difference in the observed patterns of U.S. economic growth. The rate of change of output per worker increases more rapidly when intangibles are counted as capital, and capital deepening becomes the unambiguously dominant source of growth in labor productivity. The role of multifactor productivity is correspondingly diminished, and labor's income share is found to have decreased significantly over the last 50 years.

Measuring intangible capital and its contribution to economic growth in Europe

This study describes the state of the art in the measurement of intangible capital and its contribution to economic growth, with a focus on an international comparison of intangible capital deepening among eleven advanced economies. By employing a broad measure of intangibles, including computerized information, innovative property and economic competencies, we find a relatively large impact on growth. Intangible capital explains about a quarter of labour-productivity in the US and larger countries of the EU. The continental West-European countries show a distinction between countries with significant contributions from intangible capital deepening and a group of laggards. Catching-up countries such as the Czech Republic, Greece and Slovakia show much larger contributions from tangible capital deepening than from intangibles, and also larger multi-factor productivity (MFP) growth rates related to the restructuring of those countries.Economic growth; productivity; capital; innovation

The Case for a Muon Collider Higgs Factory

We propose the construction of a compact Muon Collider Higgs Factory. Such a machine can produce up to \sim 14,000 at 8\times 10^{31} cm^-2 sec^-1 clean Higgs events per year, enabling the most precise possible measurement of the mass, width and Higgs-Yukawa coupling constants.Comment: Supporting letter for the document: "Muon Collider Higgs Factory for Smowmass 2013", A White Paper submitted to the 2013 U.S. Community Summer Study of the Division of Particles and Fields of the American Physical Society, Y. Alexahin, et. al, FERMILAB-CONF-13-245-T (July, 2013

The v-Ki-Ras Oncogene Alters cAMP Nuclear Signaling by Regulating the Location and the Expression of cAMP-dependent Protein Kinase IIβ

The v-Ki-Ras oncoprotein dedifferentiates thyroid cells and inhibits nuclear accumulation of the catalytic subunit of cAMP-dependent protein kinase. After activation of v-Ras or protein kinase C, the regulatory subunit of type II protein kinase A, RIIbeta, translocates from the membranes to the cytosol. RIIbeta mRNA and protein were eventually depleted. These effects were mimicked by expressing AKAP45, a truncated version of the RII anchor protein, AKAP75. Because AKAP45 lacks membrane targeting domains, it induces the translocation of PKAII to the cytoplasm. Expression of AKAP45 markedly decreased thyroglobulin mRNA levels and inhibited accumulation of C-PKA in the nucleus. Our results suggest that: 1) The localization of PKAII influences cAMP signaling to the nucleus; 2) Ras alters the localization and the expression of PKAII; 3) Translocation of PKAII to the cytoplasm reduces nuclear C-PKA accumulation, resulting in decreased expression of cAMP-dependent genes, including RIIbeta, TSH receptor, and thyroglobulin. The loss of RIIbeta permanently down-regulates thyroid-specific gene expression